Information transmission between the Gulf equity markets of Saudi Arabia and Bahrain

This paper examines whether the emerging Gulf markets of Saudi Arabia and Bahrain in conjunction with the US market exhibit cointegrating relationship. Additionally, the transmission of information and volatility spillover between the Gulf markets is explored using a bivariate EGARCH model. We find that although the markets are not cointegrated, the Gulf markets do share information flows. Specifically, we observe an asymmetric spillover of volatility from the smaller though more liberal and accessible Bahraini market to the larger and less accessible Saudi market. The observed difference in information processing may partly be due to a well-developed Bahraini financial sector that encourages wider participation by international investors who play a significant role in assimilating new information.     

Two polar cases of dynamic stability: voluntary exchange and income redistribution

Summary. It is known that when voluntary exchange is permitted at disequilibrium, dynamic stability may fail because of lack of liquidity. In this paper it is shown that when the economy runs out of liquidity dynamic stability can still be restored by means of a planning procedure of redistributing personal incomes.Received: 30 May 2003, Revised: 20 January 2005, JEL Classification Numbers: D01, D50.I wish to thank a referee for helpful comments.     

Optimal bank asset and liability management with financial futures

This paper presents a model for optimal bank asset and liability management with financial futures. This model is a multiperiod linear programming model based on Markowitz portfolio theory. Given the bank's initial position, its economic forecasts, and the constraints under which it operates, the model can help a bank's senior executives determine the current and expected future balance sheet composition and financial futures position which will minimize the bank's operating risks and which will meet the bank's expected profits goal with the minimum possible profits risk. By parametrically varying the expected profits goal, the model will generate the set of risk-return efficient decisions. Bankers need then examine only the set of efficient decisions to choose their optimal solution. A simplified example is used to illustrate the application of our model and to demonstrate that banks that use financial futures in asset and liability management can obtain better results than banks that do not use financial futures.     

Social protection and regional convergence in a European Monetary Union

This paper addresses convergence in social protection and GDP in a European Economic and Monetary Union. We evaluate the impact of recently proposed EC social minimum requirements on regional convergence within the EC. Subsequently, we analyze a system of differentiated social norms as a means of raising social protection in countries with lower social standards.     

Concentration,unionization and the distribution of income in Canadian manufacturing industry

An attempt is made to assess how the unionization of labor and the presence of buyers possessing monopsony power affects the distribution of income among the factors of production in Canadian manufacturing. It is found that these variables have a composite effect. They transfer income from factors of production in one industry to the factors in another. They also affect the distribution of income between labor and capital within industries.     

A dynamic balance sheet management model for a Canadian chartered bank

This paper presents a linear programming (LP) model based on Markowitz portfolio theory for solving the balance sheet management problem for the domestic assets and liabilities of a Canadian chartered bank. Given the bank's initial position, its economic forecasts, and the constraints under which it operates, the model will determine the current and expected future balance sheet adjustments which will meet the bank's expected profits goal with the minimum possible risk. By parametrically varying the expected profits goal, the model will generate the set of risk-return efficient decisions. Bankers need examine only the set of efficient decisions to choose their optimal solution.     

A note on capital budgeting in the purchase of information

A capital budgeting problem of purchasing perfect information is defined. The relationship between this problem and the Expected Value measure is shown and an illustrative example provided.     

The 1979 US gasoline shortage and its impact on the tourism industry

Owners or managers of 373 businesses on Cape Cod, Massachusetts, were interviewed in summer 1981 to determine whether they were affected by the 1979 gasoline shortage. The results indicate that half the respondents were affected, the majority of whom were adversely affected. More tourism businesses reported being affected than non-tourism businesses. The effects manifested themselves in staff layoffs and unfilled vacancies. Nevertheless, tourism businesses on the Cape did not alter any of their marketing strategies, excluding the lowering of prices.