The intra‐day price discovery process between the Singapore Exchange and Taiwan Futures Exchange

This paper focuses on the increasing competition between exchanges for listing similar index futures contracts and the impact this has on information dissemination between various markets. Specifically, using both the Hasbrouck and Gonzalo–Granger methodologies for extracting the information content held in each market, a comparison of information efficiencies between the Singapore Exchange and the Taiwan Futures Exchange is examined for Taiwan Index Futures listed in both markets. The results show not only a common stochastic trend between index futures and their underlying indices, but also provide strong evidence to suggest price discovery primarily originates from the Singapore futures market. There are direct implications of this result for both financial exchanges and traders—in particular, that traders realize price determination can arise from both futures markets, and the need for exchanges to maintain a reputation as an information center for these similarly traded financial instruments. © 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22: 219–240, 2002     

Export variety and export performance: Empirical evidence for the OECD countries

Export Variety and Export Performance: Empirical Evidence for the OECD Countries. — Does product variety matter for export performance? This has been suggested by the new trade theory. In the present paper, we investigate empirically whether increasing export variety has contributed to the export growth of the OECD countries. We calculate direct measures of export variety and estimate pooled export demand equations for 15 OECD countries. The econometric results suggest that producing highly differentiated export goods gives a competitive advantage which allows to sell more products.     

Local Currency Pricing versus Producer Currency Pricing: Direct Evidence from German Exporters

Abstract. In new open-economy macroeconomic models, the assumption on the pricing behavior of firms in international trade plays a central role. Whether firms apply producer currency pricing (PCP) or local currency pricing (LCP) crucially affects, for example, the design of optimal monetary policy or the choice of the optimal exchange rate system. However, empirical evidence has so far been mixed and is furthermore mostly of an indirect nature. This paper draws direct evidence on the price-setting behavior of German exporters from a questionnaire-based survey. We find that PCP applies in more integrated markets. Differences between LCP firms and PCP firms mainly exist with respect to the use of mark-ups and in the validity of the law of one price for their respective products.     

Identifying the balance sheet and the lending channels of monetary transmission: A loan-level analysis

We make a novel attempt at comparing the strength of the lending and balance sheet channels of monetary transmission. To make this comparison, we use loan-level data to determine how borrower balance sheets and bank liquidity are related to bank lending decisions and how monetary policy can affect these relationships. The key innovation in this paper is the use of loan-level data. This enables us to measure the independent effects of the two channels and directly account for borrower balance sheets and lender liquidity instead of using proxies. Our results show that the balance sheet channel is the main mechanism through which monetary policy shocks are transmitted to the economy and that the lending channel does not play a significant role.     

The optimal-drift model: an accelerated binomial scheme

We introduce the optimal-drift model for the approximation of a lognormal stock price process by an accelerated binomial scheme. This model converges with order o(1/N), which is superior compared to today??s benchmark methods. Our approach is based on the observation that risk-neutral binomial schemes converge to the lognormal limit independently of the choice of the drift parameter. We verify the improved order of convergence by an asymptotic expansion of the binomial distribution function. Further, we show that the above result on drift invariance implies weak convergence of the binomial schemes suggested by Tian (in J. Futures Mark. 19, 817?C843, 1999) and Chang and Palmer (in Finance Stoch. 11, 91?C105, 2007).     

Nationality background of MNC affiliates' top management and affiliate performance in Japan: knowledge-based and upper echelons perspectives

Drawing from the knowledge-based view of multinational corporations (MNCs) and the upper echelons perspective along with the theory of job demands, we examine the relationship between nationality background of MNC affiliates' top management (i.e. expatriates or host country nationals) and affiliate performance. Using a sample of 643 foreign MNC affiliates from 31 countries operating in Japan, we found that when the length of an affiliate operation was shorter, the affiliate performed better under the expatriate managing director rather than the Japanese managing director. We also found that when the size of an affiliate was larger and the length of operation was shorter, the affiliate performed better under the larger rather than smaller proportion of expatriates in the top management team. Implications for research and practice on top management staffing of MNC foreign affiliates are discussed.     

Maintaining the Common Pool: Voluntary Water Conservation in Response to Varying Scarcity

Studies of voluntary conservation response to changing information about an environmental problem have traditionally been synonymous with studies of information campaign effectiveness. As such, they have not been able to capture the response to actual changes in the environment. This paper takes a novel approach to identifying voluntary conservation by studying the impact of changing storage levels on urban water usage in the context of a prolonged drought and a highly ’water aware’ community. Our results suggest that voluntary conservation increases substantially when water is scarce and the public value of the savings is greatest. We discuss the implications of these findings for our understanding of environmental information campaigns in general, and urban water demand management in particular.     

Empirical Analysis of the Assessment of Innovation Effects in U.S. Merger Cases

In merger policy it is still an open question how the negative effects of mergers on innovation should be assessed. In this empirical study all mergers that were challenged by the U.S. antitrust agencies FTC and DOJ between 1995 and 2008 were analyzed in regard to the question to what extent and how the agencies assessed the innovation effects of mergers. The study also contributes to the discussion about differences and convergence in the merger assessments of the two agencies FTC and DOJ. Our results show (1) that in one third of all challenged mergers also innovation concerns have been raised (with no significant differences between the agencies). (2) Despite the wide-spread rejection of the “innovation market approach” in the antitrust debate the agencies used more often an innovation-specific assessment approach that includes also innovation in the market definition than the traditional product market concept. (3) Overall, we found both significant similarities and differences as well as some convergence over time in regard to the specifics of the assessment of innovation effects of mergers between both agencies.