Cash Flow Effects of the Saskatchewan Short-Term Hog Loan Program

The Saskatchewan short-term hog loan program of 2002 provided a nonmarket credit-line to participating hog producers. The repayment conditions for cash advances committed to by the provincial government depend on later hog prices, and so the program has derivative contract attributes. We model the contracts and use an estimated spot price stochastic process to establish summary statistics for producer benefits from the program .
Le programme de prêt à court terme que la Saskatchewan a offert à ses producteurs de porcs en 2002 comprenait une ligne de crédit non marchande. Comme les modalités de remboursement des avances de fonds engagées par le gouvernement provincial dépendent du prix futur du porc, ce programme possède les caractéristiques d'un instrument dérivé. Nous avons modélisé les contrats et nous avons utilisé un processus stochastique pour estimer le prix au comptant en vue d'établir des statistiques sommaires sur les avantages que les producteurs retirent de ce programme.     

The role of corporate governance in FDI decisions: Evidence from Taiwan

There has been a considerable literature on the determinants of why firms undertake foreign direct investment (FDI), but very little on whether firms with different governance characteristics are more or less likely to venture overseas. For example, are family-controlled firms more predisposed to FDI than firms, with similar attributes, but different forms of ownership? Does the presence of institutional shareholders suggest a greater propensity to invest abroad? Does the composition of the Board of Directors have an impact? Most extant studies of corporate governance focus on the impact of governance factors on firm performance. However, these performance outcomes are a function of the strategic decisions made by the firms, which suggests it might be useful to consider the relationship between corporate governance factors and particular strategic decisions. One example is the decision to undertake foreign direct investment. The two main strands of IB literature on the determinants of FDI have little or nothing to say about how corporate governance factors might affect the FDI decision. Both internalisation theory and the resource-based view see FDI primarily as a means by which firms can appropriate rents in overseas markets from the exploitation of their idiosyncratic resources and capabilities. This paper extends this literature by investigating the effects of governance factors on the decision to undertake FDI. In particular, we want to assess the impact upon the FDI decision of (a) the extent of family control, (b) the presence of domestic and foreign institutional shareholders, and (c) the composition of the Board of Directors. We investigate these effects using a sample of 228 publicly listed firms in Taiwan, and our results clearly indicate that family control and share ownership by domestic financial institutions in Taiwanese firms are associated with the decision to undertake FDI. We also find that corporate governance impacts in different ways with regard to Taiwanese FDI in China in comparison to Taiwanese FDI in the rest of the world.     

Fertility and Economic Growth: Do Immigrant Maids Play a Role?

A significant source of child-care services in East and South-East Asia are provided by immigrant maids. Using a modified version of the model used in Galor and Weil (1996), the present paper analyses the impact of this source of child-care services on women's labor market participation, fertility behavior and the household purchase of child-care services. The results show that a lower price for the maid service leads to a lower savings rate, a higher demand for children and less time being spent with children. We also find that hiring immigrant maids leads to lower economic growth in the long run.     

A note on asymmetric stochastic volatility and futures hedging

This note incorporates asymmetric responses to good and bad news within a stochastic volatility framework. It is shown that the asymmetry leads to a greater average optimal hedge ratio. Moreover, the ratio increases with increasing degree of asymmetry. On the other hand, asymmetry has no impact on the hedging performance. The result is consistent with the empirical finding of Brooks, Henry, and Persand (2002) where GARCH models are employed. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:607–612, 2005     

Risk-return measures of hedging effectiveness: The case of multiple cash and futures markets

In this article we consider the measure of hedging effectiveness proposed by Howard and D' Antonio (HD) when there are multiple cash and futures markets. It is found that the HD measure can be decomposed into two components: one solely determined by the futures market conditions, the other affected by both cash and futures markets as well as the hedger's cash portfolio. We then analyze the impacts of optimal cash portfolios on the HD measure. Although the Ederington hedging effectiveness is bounded over all cash portfolios, the conclusion does not apply to the HD measure.     

DATA REVISION AND MARKET RESPONSE: THE CASE OF UNITED STATES TRADE BALANCE ANNOUNCEMENTS†

ABSTRACT In this paper we study economic news, as reflected in the announcements of the United States trade balance by the Commerce department, to illustrate the importance of revised data versus preliminary data to economic agents. A new methodology has been developed here to study how agents in the exchange market respond to these monthly trade balance announcements and consequently, move the dollar's exchange rate. In contrast to previous studies where agent reactions to only preliminary trade figures were analyzed, this method is applied to examine market reactions to the preliminary and revised trade balance figures.     

A note on estimating the minimum extended Gini hedge ratio

The extended Gini coefficient, Γ, is a measure of dispersion with strong theoretical merit for use in futures hedging. Yitzhaki (1982, 1983) provides conditions under which a two-parameter framework using the mean and Γ of portfolio returns yields an efficient set consistent with second-order stochastic dominance. Unlike mean-variance theory, the mean-Γ framework requires no particular return distribution or utility function to yield this conclusion. However, Γ must be computed iteratively making it less convenient to use than variance. Shalit (1995) offers a solution to the computation problem by suggesting an instrumental variables (IV) slope estimator, β^IV, as the basis for the minimum extended Gini hedge ratio where the instruments are based on the empirical distribution function (edf) of futures prices. However, the validity of employing the IV slope coefficient as the basis for the minimum extended Gini hedge ratio requires the questionable assumption that the rankings of futures prices to be the same as those for the profits of the hedged portfolio. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19:101–113, 1999