Dynamic Linkages between FDI Inflows and Domestic Investment: A Panel Cointegration Approach

This paper analyzes the dynamic relationship between FDI inflows and domestic investment for a panel of selected countries by means of panel cointegration and causality techniques. Specifically, the paper provides empirical evidence regarding the existence of possible crowding in or crowding out effects between FDI inflows and domestic investment, accounting for the location and the level of development of the host countries.The paper was presented at the International Atlantic Economic Conference in London, March 9–13, 2005. The authors wish to thank the participants of the Macroeconomic Topics session for their valuable comments on an earlier draft. We would also like to express our gratitude to G. Chortareas and G. Konteos for helpful comments and suggestions. Nevertheless, the usual disclaimer applies.     

Exchange return co-movements and volatility spillovers before and after the introduction of euro

This paper examines return co-movements and volatility spillovers between major exchange rates before and after the introduction of euro. Dynamic correlations and VAR-based spillover index results suggest significant return co-movements and volatility spillovers, however, their extend is, on average, lower in the post-euro period. Co-movements and spillovers are positively associated with extreme episodes and US dollar appreciations. The euro (Deutsche mark) is the dominant net transmitter of volatility, while the British pound the dominant net receiver of volatility in both periods. Nevertheless, cross-market volatility spillovers are bidirectional, and the highest spillovers occur between European markets.     

DYNAMIC PRICE COMPETITION WITH CAPACITY CONSTRAINTS AND A STRATEGIC BUYER

We analyze a simple dynamic durable good model. Two incumbent sellers and potential entrants choose their capacities at the start of the game. We solve for equilibrium capacity choices and the (necessarily mixed) pricing strategies. In equilibrium, the buyer splits the order with positive probability to preserve competition, making it possible that a high and low price seller both have sales. Sellers command a rent above the value of unmet demand by the other seller. A buyer benefits from either a commitment not to make future purchases or by hiring an agent to always buy from the lowest priced seller.     

Foreign Direct Investment Determinants in OECD and Developing Countries

In this paper we examine the foreign direct investment (FDI) inflow determinants in 24 Organisation for Economic Co‐operation and Development (OECD) and 22 developing (non‐OECD) countries over 1980–2012, using the standard fixed effects as well as a dynamic panel approach. The most robust finding is that lagged FDI, market size, gross capital formation and corporate taxation significantly affect FDI inflows in OECD countries. We also examine a group of developing countries, taking into consideration the increased share of world FDI inflows that developing countries have attracted, and compare the results. In this case, lagged FDI, market size, labor cost and institutional variables provide the most robust results. The empirical results have important policy implications indicating the factors that host economies should emphasize in order to attract FDI inflows.     

LIQUIDITY AND PRICE VARIABILITY IN FUTURES MARKETS

This paper tests the hypothesis that market liquidity affects the price variability of futures contracts. The analyses used take into account the maturity effect and various sources of nonstationarity. Empirical testing involved eleven commodities in various markets. The evidence strongly suggests that futures contracts in distant and thinly traded months exhibit different price variability than contracts in near to maturity and liquid traded months, and that the behavior is commodity dependent. These findings could help investors better evaluate risks and provide a better basis for hedging strategies. Also, monthly averages of open interest can be used interchangeably with volume to measure liquidity in determining which pattern applies to a given commodity.     

Input–output evidence on the relative price effects of total productivity shift

This paper provides empirical evidence on the relative price effects of a notional shift in total productivity using data from ten Symmetric Input–Output Tables of five European economies. The results suggest that the direction of the price-movements is, more often than not, governed by the (traditional) labour cost condition and this could be connected to the effective ranks of the matrices of the relative shares of the capital goods.     

Accuracy of forward freight agreements in forecasting future freight rates

Participants in the maritime industry place much interest in the Forward Freight Agreements (FFA/FFAs), being an indispensable tool for hedging shipping freight risk. Our article innovates by directly comparing the FFA predictions with their actual future settlement prices as well as by examining contracts going forward as far as next calendar year. We combine straightforward comparison measurements with cointegration analysis to test for the accuracy and efficiency of the FFA projections. We find that FFAs display limited usefulness in predicting future freights, only slightly superior than simple naïve models. The shorter the contract period and the smaller the vessel the better the forecast. We also find FFAs being relatively good predictors of future market direction but missing the turning points of the market cycles.     

The Impact of Carbon Performance on Climate Change Disclosure

In the light of the significant role of environmental accounting in sustainable development, this study examines whether climate change disclosure reflects a firm's environmental performance. The novelty of the study stands on the approaches adopted to describe environmental performance. The first approach concerns performance in terms of output, direct and indirect greenhouse gas emissions, while the second one is based on environmental intention of mitigating climate change, including climate change policy and emission reduction initiatives. The Climate Performance Leadership Index is employed as a measure for climate change disclosure level, incorporating initiatives contributing to climate change mitigation, adaptation and transparency. Ordered logit regression is the appropriate methodology for the data employed concerning firms listed on FTSE 350. According to our findings, environmental performance for both adopted approaches entails a positive effect on climate change disclosure, a result that is consistent with voluntary disclosure theory. It is inferred that firms cannot manipulate their information reflecting their actual environmental performance and adopting a forthright and factual attitude towards sustainable development. Finally, findings provide an insight into managers' strategic behavior towards climate change issues. Copyright © 2017 John Wiley & Sons, Ltd and ERP Environment