Intraday data and hedging efficiency in interest spread trading

Three government bond futures contracts and their respective 3-month interest rate futures contracts traded on LIFFE are examined. The data period covers three years of observations, January 1994-December 1996, sampled at half-hourly intervals. Borrowing from the calculation of minimum variance hedge ratios, half-hourly minimum variance spread ratios (the ratio of one contract to another, which provides the minimum variance) are estimated for the above contracts. The hypothesis under examination is whether there is any value-added in estimating minimum spread ratios based on intraday data. Three spread ratios are defined: two ratios calculated from daily data and a third one based on intraday data. Evidence tends to indicate that spread ratios calculated from intraday data exhibit a substantially lower variance than the other two spread ratio speciications. Thus, it is shown that intraday data, in comparison with daily data, allow for lower hedging costs. Moreover, the use of intraday-based spread ratios might be a contributing factor to reducing the maximum cumulative loss potentially incurred while holding a spread position.     

Is Busy Really Busy? Board Governance Revisited

We investigate the relationship between firm governance and the board's position in the social network of directors. Using a sample of 133 German firms over the four‐year period from 2003 to 2006, we find that firms with intensely connected supervisory boards are (1) associated with lower firm performance, and (2) pay their executives significantly more. We interpret these results as evidence of poor monitoring in firms with directors who are more embedded in the social network. In both cases, simple measures for busy directors that were used by other studies in the past fail to show any significant pattern. The findings suggest that the quality and structural position of additional board seats may play a bigger role than simply the number of board appointments.     

Testing time series data compatibility for benchmarking

Compatibility testing determines whether two series, say a sub-annual and an annual series, both of which are subject to sampling errors, can be considered suitable for benchmarking. We derive statistical tests and discuss the issues with their implementation. The results are illustrated using the artificial series from Denton (1971) and two empirical examples. A practical way of implementing the tests is also presented.     

DOES THE ECB HAVE A TIME‐INCONSISTENCY PROBLEM? A NOTE

A standard time‐inconsistency model of monetary policy, extended to include a time‐varying natural rate of unemployment, implies cointegration between the inflation rate and the unemployment rate. An application of the model to data for the EMU countries does not yield strong evidence of cointegration. In addition, the sign of the estimated coefficient of cointegration is not in line with a sign restriction imposed by the time‐inconsistency model.     

A note on forecasting the prices of gold and silver: Asymmetric loss and forecast rationality

Given that the prices of gold and silver have witnessed large and substantial swings in recent years, policymakers and investors need readily available and reliable forecasts of the prices of these two precious metals. Survey data of forecasts of the prices of gold and silver provide a particularly rich data environment for policymakers and investors to study developments in the markets for gold and silver. Our research helps to develop a deeper understanding of the properties of survey data of the prices of gold and silver. We study the shape of forecasters’ loss function and the rationality of their forecasts. Assuming an asymmetric loss function weakens evidence against forecast rationality, but results depend on the empirical model being studied.     

入美企业如何避开国家安全限制

2008年11月14日,美国财政部发布《2007年外国投资与国家安全法》（FINSA）的实施细则,此项法律旨在改革美国外国投资委员会（CFIUS）关于国外机构收购、兼并和接管美国企业国家安全审查体制。2008年12月,美国财政部发布了有关经过CFIUS审核认为存在国 家安全问题的交易类别指引，正式条例和相关指引传递的明确信息是，在个案基础上，CFIUS将保持其对外国投资交易进行国家安全审查的广泛自由裁量权。那么，美国这些法规的出台将会给我国企业以外资并购的方式进入美国市场带来怎样的影响？