Persistent misalignments of the European exchange rates: some evidence from non-linear cointegration

The asymmetric and persistent adjustment of the European real exchange rates is investigated using the framework of non-linear cointegration. The episodes of slow mean-reversion dynamics over the period from 1979 to 1999 are explained. A test of unit root against STAR cointegration is proposed and some complete estimations and stochastic simulations of ESTAR models are presented. The presence of effective non-linear adjustment during the moving of the currencies to their long-run fundamental equilibrium exchange rate value is discussed.     

Sukuk vs. conventional bonds: A stock market perspective

The last decade witnessed a wide expansion of Islamic finance in Middle Eastern and Southeast Asian countries. Sukuk issues, which are Islamic financial instruments structured to replicate the cash flows of conventional bonds, have notably proliferated, fuelling the debate on the similarity between Islamic and conventional finance. Using an event study methodology on a sample of Malaysian listed companies, we investigate whether stock market investors react differently to the announcements of sukuk and conventional bond issues. We find that the stock market is neutral to announcements of conventional bond issues, but it reacts negatively to announcements of sukuk issues. We attribute this finding to the excess demand for Islamic investment certificates and to an adverse selection mechanism that favors sukuk issuance by lower-quality debtor companies.     

Archetypes of governance for science and technology labs

While policy-makers understand the vast benefits of publicly funded and not-for-profit research, governance practitioners have the difficult task of defining processes that can best foster high performance for science and technology (S&T) labs not primarily driven by profits. This qualitative study develops a new taxonomy based on two dimensions, the nature of the funding relationship between the parent organisation and the S&T lab and the degree of interdependence between the lab's research units. We discuss the dynamics uncovered for each of the four archetypes with illustrative cases and argue that high-performance governance of S&T labs requires an internal coherence linking the processes of planning, funding and performance evaluation.     

The econometrics of auctions with asymmetric anonymous bidders

We consider standard auction models when bidders’ identities are not-or are only partially-observed by the econometrician. We first adapt the definition of identifiability to a framework with anonymous bids and explore the extent to which anonymity reduces the possibility of identifying private value auction models. Second, in the asymmetric independent private value model which is nonparametrically identified, we generalize Guerre, Perrigne and Vuong’s estimation procedure [Optimal nonparametric estimation of first-price auctions, Econometrica 68 (2000) 525-574] and consider the asymptotic properties of our multi-step kernel-based estimator. Monte Carlo simulations illustrate the practical relevance of our estimation procedure in small data sets.     

Assessing horizontal mergers under uncertain efficiency gains

The analysis of horizontal mergers hinges on a tradeoff between unilateral effects and efficiency gains. We examine the role of uncertainty in this tradeoff. In theory, the attitude towards uncertainty depends on the curvature of the social objective function. On the one hand, adjustment effects, both on the consumers' and firms' sides, tend to make consumers' surplus and firms' profits convex. On the other hand, pass-through effects may act in the opposite direction. We show that convexity prevails in a number of situations, including the most general linear demand model. Implications for empirical merger analysis are exposed.     

The Shill Bidding Effect versus the Linkage Principle

The analysis of second price auctions with externalities is utterly modified if the seller is unable to commit not to participate in the mechanism. For the General Symmetric Model introduced by Milgrom and Weber [P. Milgrom, R. Weber, A theory of auctions and competitive bidding, Econometrica 50 (1982) 1089-1122] we characterize the full set of separating equilibria that are symmetric among buyers and with a strategic seller being able to bid in the same way as any buyer through a so-called shill bidding activity. The revenue ranking between first and second price auctions is different from the one arising in Milgrom and Weber: the benefits from the highlighted ‘Linkage Principle’ are counterbalanced by the ‘Shill Bidding Effect.’     

Not all high-alexithymia individuals are risk-takers: private self-consciousness moderates the relationship between alexithymia and risk-taking behaviours

This article concerns the influence which alexithymia exerts on risk-taking. In particular, alexithymia is seen as a factor which encourages risk-taking as it allows high-alexithymia individuals to feel emotions which are sufficiently intense to compensate for their deficit of emotional awareness. In this connection, we make the hypothesis that alexithymia’s influence is moderated by private self-consciousness (SC). This is because private SC increases the likelihood that high-alexithymia individuals become aware of their risk-taking tendency and that this tendency is discrepant with their pro-safety standards (‘putting someone in danger is bad’) or self-schemas (‘I am a responsible person’). Thus, private SC is likely to enable and motivate them to consciously regulate their behaviour in a safer direction. This hypothesis was empirically tested by a questionnaire amongst 372 French drivers, whose SC, alexithymia, as well as their current adoption of eight risky behaviours (with a more detailed analysis of speeding). The use of conditional process analyses reveal no main effects of alexithymia and private SC but strong interaction effects, while controlling for other predictors. More precisely, when private SC is low high-alexithymia individuals break more the speed limits and adopt more frequently risky behaviours than low-alexithymia drivers. Conversely, when private SC is high, they are less risk-prone. As practical implication, we recommend the use of techniques increasing private SC amongst high-alexithymia persons.     

Knowledge management through the development of knowledge repositories: towards work degradation

This paper questions the consequences of the use of electronic knowledge repositories for work and employment. Drawing on critical research suggesting that knowledge management associated with such tools presents similarities to scientific management principles, it proposes to examine the following key research question: how do employees experience the transformation of the employment relationship when a knowledge repository is introduced to the workplace? The inquiry is grounded in an exploratory qualitative case study of a knowledge management system designed to foster knowledge‐sharing in a Belgian public administration. The findings illustrate two complementary outcomes: this system resulted in employees experiencing deskilling and work degradation, and was met with resistance. Significantly, this paper considers work degradation as a reflexive phenomenon in the context studied, where knowledge‐sharing systems produced deskilling and resistance as part of a specific re‐regulation process.     

Learning from peers' stock prices and corporate investment

Peers' valuation matters for firms' investment: a one standard deviation increase in peers' valuation is associated with a 5.9% increase in corporate investment. This association is stronger when a firm's stock price informativeness is lower or when its managers appear less informed. Also, the sensitivity of a firm's investment to its stock price is lower when its peers' stock price informativeness is higher or when demands for its products and its peers' products are more correlated. Furthermore, the sensitivity of firms' investment to their peers' valuation drops significantly after going public. These findings are uniquely predicted by a model in which managers learn information from their peers' valuation.     

Nowcasting global economic growth: A factor‐augmented mixed‐frequency approach

Assessing accurately global economic conditions is a great challenge for economists. The International Monetary Fund proposes within its periodic World Economic Outlook report a measure of the global GDP annual growth, that is generally considered as the benchmark nowcast by macroeconomists. In this paper, we put forward an alternative approach to provide monthly nowcasts of the annual global growth rate. Our approach builds on a Factor‐Augmented MIxed DAta Sampling (FA‐MIDAS) model that enables: (i) to account for a large monthly database including various countries and sectors of the global economy and (ii) to nowcast a low‐frequency macroeconomic variable using higher frequency information. Pseudo‐real‐time results over the period 2010–16 show that this approach provides reliable and timely nowcasts of the world GDP annual growth on a monthly basis.