Simulating the Evolution of the Implied Distribution

Motivated by the implied stochastic volatility literature (Britten–Jones and Neuberger, forthcoming; Derman and Kani, 1997; Ledoit and Santa–Clara, 1998) this paper proposes a new and general method for constructing smile–consistent stochastic volatility models. The method is developed by recognising that option pricing and hedging can be accomplished via the simulation of the implied risk neutral distribution. We devise an algorithm for the simulation of the implied distribution, when the first two moments change over time. The algorithm can be implemented easily, and it is based on an economic interpretation of the concept of mixture of distributions. It can also be generalised to cases where more complicated forms for the mixture are assumed.     

Uncertainty Associated with Future Environmental Costs and the Market's Differential Response to Earnings Information

This study examines whether the uncertainty arising from a firm's exposure to future environmental costs (environmental uncertainty) affects the market's price sensitivity to reported earnings. Specifically, when environmental uncertainty is significantly high, are investors more responsive to reported earnings released by 'high-polluting' firms than reported earnings announced by 'low-polluting' firms within the same industry? The initial impact of Title IV (the acid rain provisions) of the 1990 Clean Air Act Amendments (1990 CAAA) on the US electric utility industry provides the research setting required to isolate the effects of environmental uncertainty while addressing this question. Consistent with theoretical predictions, we find that the earnings response coefficients (ERCs) of high-polluting electric utilities are significantly greater than those of their low-polluting counterparts during a predicted period of elevated environmental uncertainty. In adjoining sample years associated with lower environmental uncertainty, we observe no statistical difference in the magnitude of the ERCs between these two groups. In addition, the study's findings suggest that the magnitude of the ERC is increasing in the firm's exposure to future environmental costs, after controlling for other factors that potentially affect ERCs.     

Trade, foreign firms and economic policy in Indonesian and Thai manufacturing

This paper first examines the rapid growth and changing composition of manufactured exports in Indonesia and Thailand, highlighting the rapid growth of office and computer machinery and electric machinery, somewhat slower growth of non-electric and transportation machinery, as well as the low growth of previously large exports of textiles apparel. Second, the important contributions of foreign multinational enterprises (MNEs) to export growth in the machinery industries, particularly in electric, office, and computing machinery, are documented. Third, the paper describes trade policies in all these industries in some detail, emphasizing how low protection was a key facilitator of rapid export growth in the MNEs that dominated the electric, office, and computing machinery industry, while high protection reduced incentives to export among MNEs in the transportation machinery industry.     

中国成品油市场月度分析

回顾1.需求7月份,世界主要经济体跌幅趋缓,显现经济复苏迹象。中国经济更是率先走出低迷,增长提速,第二季度国内生产总值同比增长7.9%。基础设施投资起到了决定性的作用。7月份固定资产投资延续上半年的趋     

Understanding the Economic Factors Influencing Farm Policy Preferences

A survey conducted in Mississippi, Texas, Indiana, and Nebraska elicited producers' preferences for various farm policy changes. This permitted examination of the diversity of preferences that single-state studies have not allowed. Five policy choices, including deficiency payments, loan programs, crop insurance, export programs, and disaster payments were examined. Logit model results predicting producer preferences for each of the five dichotomous policy choices are reported. Explanatory variables based on expected utility theory such as risk aversion, price and yield variability, and price–yield correlation are significant in various models.     

A theoretical model of the relationship between value added elements and end product

This paper focuses on the development of a theoretical scheme describing the transformation of primary incomes into end consumption and savings in the Russian economy. This scheme is basically a system of interrelated tables reflecting the distribution of primary incomes across the institutional sectors and their further reallocation and use. The scheme makes allowances for the specific features of the Russian economy and existing statistics. In terms of methodology, it is coordinated with the interindustry balance in current buyer prices and, from the theoretical standpoint, describes the connection between Quadrant II and Quadrant III of the balance. Therefore, the proposed system of tables is treated in the paper as Quadrant IV of the interindustry balance. The theoretical scheme is used by the authors as a necessary basis for constructing an empirical model of the relationship between value added and end product, which will be published in the next issue of this journal.