Exchange rate pass-through in Turkish export and import prices

This article investigates the effects of horizontal acquisitions on the performance of target firms in the 1990s. Using French manufacturing firm-level data, we examine two main indicators of performance: the profit and the productive efficiency. We distinguish domestic from cross-border acquisitions. To evaluate the impact of take-overs, we implement appropriate difference-in-difference estimation techniques associated to a matching propensity score procedure. We find that Mergers &?Acquisitions (M&A) do not increase the profit of French target firms, even on the long run. However, they clearly raise the productivity of target firms. These results suggest that firms probably redistribute efficiency gains at the upstream and/or downstream production stage. There is no evidence of an increase in market power. In addition, the consequences of domestic and cross-border M&A significantly differ. Efficiency gains are stronger for cross-border M&A. This conclusion is however true only for extra-European Union operations. The achievement in the European economic integration certainly explains the absence of difference between European and domestic acquisitions. Finally, our results cast some doubt on the frequent discrimination attitude towards foreign takeovers and the fears of their impact on firms’ performance and the host country's welfare.     

Econometric analysis of microscopic simulation models

Microscopic simulation models are often evaluated based on visual inspection of the results. This paper presents formal econometric techniques to compare microscopic simulation (MS) models with real-life data. A related result is a methodology to compare different MS models with each other. For this purpose, possible parameters of interest, such as mean returns, or autocorrelation patterns, are classified and characterized. For each class of characteristics, the appropriate techniques are presented. We illustrate the methodology by comparing the MS model developed by He and Li [J. Econ. Dynam. Control, 2007, 31, 3396–3426, Quant. Finance, 2008, 8, 59–79] with actual data.     

Politicizing the expertise of the accounting industry in the realm of corporate social responsibility

The accounting industry plays an important role in the production and implementation of accountability mechanisms surrounding corporate social responsibility practices. Operating as both politicians and implementers of knowledge (Gendron, Cooper, & Townley, 2007), the expert activities of accountants are never purely technical. This paper focuses on the mediating role of accounting firms and professional bodies in aligning the socially responsible practices of organizations with the rational morality of the market. I show that the construction of the market as a moral marker of socially responsible action is the result of a major effort of rationalization aimed at justifying the emergence of a social and moral conscience in business, not in the name of subjective feelings or human values, but in the name of an economic and depoliticized logic of profitability. Drawing on the political analysis of Latour (2004) [Politics of Nature: How to Bring the Sciences into Democracy] and his metaphor of the ‘modern constitution’, I view the economicization of corporate social responsibility as symptomatic of the power imbalance between the world of humans and the world of objects governing the political structure of contemporary society and weakening democratic activity.     

Long-term asset tail risks in developed and emerging markets

A power law typically governs the tail decay of financial returns but the constancy of the so-called tail index which dictates the tail decay remains relatively unexplored. We study the finite sample properties of some recently proposed endogenous tests for structural change in the tail index. Given that the finite sample critical values strongly depend on the tail parameters of the return distribution we propose a bootstrap-based version of the structural change test. Our empirical application spans developed and emerging financial asset returns. Somewhat surprisingly, emerging stock market tails are not more inclined to structural change than their developed counterparts. Emerging currency tails, on the contrary, do exhibit structural shifts in contrast to developed currencies. Our results suggest that extreme value theory (EVT) applications in hedging tail risks can assume stationary tail behavior over long time spans provided one considers portfolios that solely consist of stocks or bonds.     

Cooperation,stability and social welfare under majority rule

We resolve collective irrationality in the stability set, a solution concept for voting games proposed by Rubinstein (J Econ Theory 23:150–159, 1980) to resolve the well-known paradox of voting in the core. A lack of cooperation within winning coalitions prevents their members from eliminating an alternative globally less preferred to another one when they observe the rational behavior defining the stability set. Allowing for the possibility of accompanying a coalitional vote with a binding solidarity agreement is a natural response to this cooperation failure. This leads to a new standard of behavior and a new solution concept called stability set with binding solidarity agreement or S _c -stability set. It is shown that the S _c -stability set and a newly defined version of the Mas-Colell bargaining set for simple games are not comparable with respect to set inclusion. The S _c -stability set includes the core, is included in the stability set and contains only Pareto-optimal alternatives. When individual preferences are complete linear orders, the S _c -stability set is always non-empty.      

Assessing a Perfect European Optimum Currency Area: A Common Cycles Approach

In this paper we introduce a new definition for an optimum currency area (OCA) which is more restrictive than the previous ones. Indeed, using both a cointegration and a common cyclical feature analysis in a VAR(p)framework, a set of countries is said to constitute a perfect OCA if theshort-run dynamics is perfectly correlated while long-run relationships arenot constrained. Using seasonally unadjusted industrial production indicesfor the period 75:M1 to 97:M4, we show that European countries are notsufficiently related to fit our definition.