Cointegration for market forecast in the Spanish stock market

This study is interested in empirically testing the existence of a long-run relationship between the Spanish stock market and its fundamentals, and in checking to which extent this relationship helps in forecasting. This study is concerned with the behaviour of the aggregate Madrid Stock Exchange in a macroeconomic context. It also identifies as macroeconomic fundamentals: industrial production as a proxy for real activity, inflation and interest rates. This study tests the existence of cointegration by Johansen's procedure. The long-run relationships among the variables implied by the existence of cointegration do not allow inference to the interrelations among the variables. To get some insight into the short-run interactions among the variables, an impulse response analysis was performed. This study compares the forecasting ability of its model with respect to alternative multivariate specifications in terms of RMSE. Also measured is the value of the forecast for the financial agents assessing the extent to which it helps improve asset allocation.     

R&D Outsourcing and the Effectiveness of Intangible Investments: Is Proprietary Core Knowledge Walking out of the Door?

Intangible relationship‐specific investments can be double‐edged swords, as they facilitate not only the governance of business relationships but also undesired knowledge transfers. Building on transaction costs theory and the relational view of alliances, we analyse the effectiveness of these investments in R&D outsourcing agreements from the viewpoint of the client. We argue that, when outsourcing to business firms, the safeguards adopted by the clients to prevent spillovers may reduce the effectiveness of the supplier's specialized investments. Using original survey data from 170 European and US technology‐intensive firms, we find that the contribution of these investments to client performance decreases the more a client's core knowledge is required to perform the service, except when outsourcing to non‐profits. This suggests that as the appropriability hazards associated with outsourcing to business firms rise, the client is able to capture less value from the supplier's relationship‐specific investments.     

Customer interaction in environmental innovation: the case of cloth diaper laundering

The aim of this paper is to illustrate the capability of a customer of a service business to act as a co-manufacturer. Thus, the customer becomes a key element in simultaneously improving environmental performance and competitiveness, in both the environmental dimension as well as in other dimensions. To this end, we have analyzed the case of the Dydee Company. In order to address the root of the environmental issues, certain procedures were used to change the customers’ habits. This option turned out to be much more efficient and less risky than its alternatives. The challenge laid in getting the customers, once informed, to be willing to modify such a personal and delicate task. The exchange rate at the time of writing this case analysis (9 September 1999) was 166 pesetas to the dollar, that is, approximately the current value of 1 euro.     

Time Variation in Macro‐Financial Linkages

We analyze the contribution of credit spread, house and stock price shocks to the US economy based on a time‐varying parameter vector autoregressive model. We find that the contribution of financial shocks to gross domestic product growth fluctuates from about 20% in normal times to more than 50% during the Great Recession. The Great Recession and the subsequent weak recovery can largely be traced back to negative housing shocks. Housing shocks have become more important for the real economy since the early 2000s, and negative housing shocks are more important than positive ones. Unexpected increases in credit spreads have not been deflationary recently. Copyright © 2016 John Wiley & Sons, Ltd.     

Pricing policies for a two-part exhaustible resource cartel: The case of OPEC

This paper examines pricing policies for OPEC under the assumption that the cartel is composed of a block of spender countries with large cash needs and a block of saver countries with little immediate need for cash and a lower rate of discount. The decision problem for the two-part cartel is embodied in a game-theoretic framework and the optimal bargaining solution is computed using results from the theory of cooperative games developed by Nash. The set of feasible bargaining points—and the corresponding Nash solution—is computed under two assumptions on the behavior of output shares: that they are subject to choice and that they are fixed at historical values. Our results suggest that for fixed output shares, there is little room for bargaining, and the price path approximates the optimal monopoly price path. If the shares are subject to control, optimal paths depend significantly on the relative bargaining power of each block.     

Further remarks on totally ordered representable subsets of Euclidean space

We introduce the property of ? -norm-boundedness on totally ordered subsets of Euclidean spaces. We show that when a closed subset X of the Euclidean space ⁿ, endowed with a continuous total order ?, is ? -norm-bounded, the order topology and the induced Euclidean topology must coincide on X. This generalizes a recent result by Beardon, proved on connected totally ordered subsets of Euclidean space, because on totally ordered closed subsets of ⁿ connectedness is a particular case of ? -norm-boundedness. We also analyze necessary and sufficient conditions for the coincidence of both topologies, and discuss some extension to the infinite-dimensional context.     

Financial globalization and debt maturity in emerging economies

This paper studies how financial globalization affects debt structure in emerging economies. We find that by accessing international markets, firms increase their long-term debt and extend their debt maturity. In contrast, with financial liberalization, long-term debt decreases and the maturity structure shifts to the short term for the average firm. These effects are stronger in economies with less developed domestic financial systems. The evidence is consistent with financial integration having opposite effects on the firms that are able to integrate with world markets and obtain financing globally, relative to the firms that rely on domestic financing only.     

Product innovation and adoption in market equilibrium: The case of digital cameras

This paper studies the effect of competition on product innovation in the market for digital cameras during the years 1998 to 2001. The analysis is based on a structural dynamic model that is estimated and used to simulate the innovation behavior of firms in counterfactual environments. The model features heterogeneous consumers, who time optimally purchase goods, depending on the expected evolution of the prices and the characteristics of available cameras. On the supply side, firms introduce new camera models and choose their characteristics, accounting for the dynamic value of new products and the optimal dynamic behavior of consumers. The counterfactual simulations imply that an increase in competition in the industry would not have generated better products on average and, depending on the type of competition, would have generated products with lower average quality.     

Labour segregation and immigrant and native-born wage distributions in Spain: an analysis using matched employer–employee data

This article carries out an empirical examination of the origin of the differences between immigrant and native-born wage structures in the Spanish labour market. Special attention is given in the analysis to the role played by occupational and workplace segregation of immigrants. Legal immigrants from developing countries exhibit lower mean wages and a more compressed wage structure than native-born workers. By contrast, immigrants from developed countries display higher mean wages and a more dispersed wage structure. The main empirical finding is that the disparities in the wage distributions for the native-born and both groups of immigrants are largely explained by their different observed characteristics, with a particularly important influence in this context of workplace and, specially, occupational segregation. Hipólito Simón, Esteban Sanromá and Raúl Ramos wish to thank the support received from the Ministerio de Fomento and the Ministerio de Educación y Ciencia through the projects T 75/2006 (Plan Nacional de Investigación, Desarrollo e Innovación Científica), SEJ2004-05860/ECON and SEJ2005-04348/ECON, respectively. A previous version of this paper was published as an IVIE Working Paper (WP-EC 2007-03).     

Contract employment policy and research productivity of knowledge workers: an analysis of Spanish universities

Abstract

This article investigates how contract employment practices adopted by universities—fixed-term contracts and permanent contracts—impact research productivity measured in terms of publications in scholarly journals. The empirical application considers the Spanish public higher education system for the period 2002–2008. We report an inverse U-shaped relationship between the rate fixed-term contracts and the research productivity of Spanish universities. That is, contract policies based on fixed-term contracts are conducive to research productivity; however, beyond a critical threshold value increases in the proportion of fixed-term contracts are associated with declining research productivity. These findings reveal that contract employment policies shape research productivity, and that flexible and balanced contract practices are critical for enhancing universities’ research productivity. The results suggest that the excessive use of fixed-term contracts might create an unstable working environment that limits the universities’ capacity to capitalize on their knowledge workers. Policy implications and future research avenues are discussed.