Cointegration,Fractional Cointegration,and Exchange Rate Dynamics

Multivariate tests due to Johansen (1988, 1991) as implemented by Baillie and Bollerslev (1989a) and Diebold, Gardeazabal, and Yilmaz (1994) reveal mixed evidence on whether a group of exchange rates are cointegrated. Further analysis of the deviations from the cointegrating relationship suggests that it possesses long memory and may possibly be well described as a fractionally integrated process. Hence, the influence of shocks to the equilibrium exchange rates may only vanish at very long horizons.     

Unionism in the United States and Other Advanced OECD Countries

In this paper we compare the changing pattern of unionization in OECD countries, reviewing existing evidence and presenting new information on union-nonunion differentials in labor market outcomes in these countries. Our principal source of information are the micro data files of the International Social Survey Programme cross-country surveys of 1985–87. Our analysis shows that U.S. unions have a larger effect on wages than on other outcomes than unions in other OECD countries, and we argue that the high union premium in the United States has contributed to the decline in union density and divergence of the US. industrial relations system     

Fabric speciality stores: customer satisfaction/dissatisfaction with information-source attributes

The purpose of this research was to determine customer satisfaction/dissatisfaction with information-source attributes supplied by fabric speciality stores. After constructing a theoretical framework of information-source attributes and a questionnaire, a survey of fabric speciality store customers was conducted in eight Midwestern cities in the U.S. The results indicated that salespeople, store layout/displays and fabric-bolt labels caused more dissatisfaction than store advertising, special services and free printed literature. It was also found that variables, such as the respondent's age, were related to the respondent's degree of satisfaction/dissatisfaction with fabric speciality store informations-source attributes.     

On Unit Roots and the Empirical Modeling of Exchange Rates

Tests are conducted for the presence of unit roots in the autoregressive representations of the logarithms of spot and forward exchange rates. The results from these tests provide one explanation for some of the conflicting conclusions which emerge from recent empirical papers on the foreign exchange market.     

The Incremental Informativeness of Stock Prices for Future Accounting Earnings*

This study extends previous research that documents a stock price reaction leading accounting earnings. The primary issue is that prior studies use a naive earnings expectation model (random walk) as the benchmark for the information content of lagged returns and do not adequately address the “incremental” information content of lagged returns. This study identifies and estimates firm-specific models of earnings to control directly for the autocorrelation in earnings. The explanatory power of lagged prices with respect to this earnings residual is investigated using both a multiple regression model of lagged returns and a multiple time-series vector autoregressive model. In-sample estimation of the models provides clear evidence that stock prices impound information about future earnings incremental to the information contained in historical earnings data. Holdout period analysis of the earnings forecasts from these lagged return models finds that both models outperform the naive seasonal random walk expectation, but neither model outperforms the more sophisticated Box-Jenkins forecasts. On an individual firm basis, earnings forecasts supplemented with the lagged return data tend to be less precise than the Box-Jenkins forecasts, but the price-based models demonstrate an ability to rank the earnings forecast errors from the time-series models. The analysis helps to characterize the limitations of lagged returns as a means of predicting future earnings innovations.     

MAY ISSUE VERSUS SHALL ISSUE: EXPLAINING THE PATTERN OF CONCEALED-CARRY HANDGUN LAWS, 1960–2001

We analyze the timing and pattern of adoption of "shall issue" concealed-carry handgun laws. "Shall issue" laws require the authorities to issue permits to qualified applicants; "may issue" laws give the authorities more latitude to reject applications. We find three factors influence the shift from "may issue" to "shall issue." First, more urban states are less likely to shift to "shall issue," although the size of this effect is quantitatively small. Second, the switch is influenced by the decisions taken by neighboring states. Third, we find evidence that increases in the crime rate accelerated the switch to "shall issue." ( JEL K40)