Measuring financial risks with copulas

This paper is concerned with the statistical modeling of the dependence structure of multivariate financial data using the concept of copulas. We select some special copulas and identify the type of dependency captured by each one. We fit copulas to daily returns and simulate from the fitted models. We compare the effect of the choice of copula on risk measures and assess the variability of one-step-ahead predictions of portfolio losses. We analyze extreme scenarios and fit extreme value copulas to the block maxima and minima from daily returns. The stress scenarios constructed are compared to those obtained using models from the extreme value theory. We illustrate the usefulness of the copula approach using two stock market indexes.     

Investor sentiment in the US-dollar: Longer-term,non-linear orientation on PPP

How is it possible that exchange rates move in the long run towards fundamentals, while professionals form consistently irrational exchange rate expectations? We look at this puzzle from a different perspective by analyzing investor sentiment in the US-dollar market. First, long-horizon regressions show that investor sentiment is connected with exchange rate returns at longer horizons, i.e. more than two years. Second, sentiment is cointegrated with fundamentals, whereas third, this relation becomes stronger, the larger exchange rate's misalignment from long-run PPP. In sum, investor sentiment's behavior in the US-dollar market closely matches with established facts of empirical exchange rate research.     

Momentum,market states and investor behavior

This paper shows that the momentum effect appears in the wake of both up-market and down-market states in the Spanish stock market, although in the first of these cases it is followed by return reversal. This evidence, which contradicts the predictions of Cooper et al. (2004), provides the rationale for taking into account the disposition effect among the possible explanatory factors behind the momentum effect in a behavioral theory context.      

The Role of Four Universal Moral Competencies in Ethical Decision-Making

Current frameworks on ethical decision-making process have some limitations. This paper argues that the consideration of moral competencies, understood as moral virtues in the workplace, can enhance our understanding of why moral character contributes to ethical decision-making. After discussing the universal nature of four moral competencies (prudence, justice, fortitude and temperance), we analyse their influence on the various stages of the ethical decision-making process. We conclude by considering the managerial implications of our findings and proposing further research.     

The effect of nonreciprocal preferential trade agreements on benefactors’ exports

Over the last decades, developed countries have provided developing countries with preferential market access via trade policies in the form of nonreciprocal preferential trade agreements (NRPTAs). Despite the lack of reciprocity of this kind of agreements, certain criteria for designating eligible countries refer to the commercial interests of benefactor countries. This paper examines for the first time the effect of NRPTAs on benefactors’ exports to beneficiary countries. Using recent developments in the econometric analysis of the gravity equation, we find robust evidence that nonreciprocal agreements have had an economically significant effect on exports not only for beneficiary countries but also for benefactor countries.     

Politiques publiques et économie sociale en Europe: Le cas de l'Espagne

Cet article examine les différentes politiques économiques susceptibles d'avoir des répercussions sur l'économie sociale en tant que secteur institutionnel.En premier lieu il présente un cadre d'analyse permettant d'appréhender les contenus des politiques et en offre trois typologies.A la lumière de ce cadre dans unpremier temps il fait unbilan global des politiques mises en oeuvre en Europe pour se centrer dans un deuxième temps sur l'Espagne l'un des pays de l'Union où le niveau de développement de ces politiques est le plus avancé .Pour terminer, l'auteur évalue l'efficacité des principales mesures de politique économique mises en oeuvre dans ce pays.
The article considers different economic policies likely to affect the social economy sector as an institutional sector. In a first time it sets up an analytical framework which allows to apprehend the policies contents and offers three typologies. In the light of this framework it first makes a global evaluation of policies implemented in Europe and then focuses on Spain, one of the Union countries with the highest level of development of these policies. Finally, the author evaluates the efficiency of the main measures of economic policy applied in this country.     

Governance of Knowledge‐Intensive Firms in the Modern Market Economy

We model contracting for joint production between workers and shareholders when investment in knowledge is non‐verifiable and the resulting specific human capital embedded in the workers is non‐tradable. The model explains how the effective cost of human capital services will vary depending on whether the investment in knowledge is financed by the workers or by the shareholders. We apply the results of the modeling to identify which firms are expected to gain and which to lose from posted trends in higher employability and lower empowerment of workers in modern market economies. Finally, we present conditions on the self‐interest of current shareholders to empower workers as a way to stimulate their investment in firm‐specific human capital.     

The two‐way interaction between globalization and labour market policies

Labour market and social policies both affect and are affected by the process of trade liberalization and globalization. This two‐way interaction and the feedback effects are the focus of this paper. The analysis is mainly conceptual—but examples are illustrated throughout, based mainly in the context of labour markets in North America, Latin America and the Caribbean basin. Attention is paid to outlining the mechanisms whereby globalization and trade liberalization affect labour market and social policy initiatives, and the extent to which these pressures will lead to a harmonization of legislative and policy initiatives, and if that harmonization will necessarily be downward to the lowest common denominator. The paper concludes that: (1) the pressures will lead towards policy harmonization; (2) the harmonization generally will be downwards; (3) such harmonization is not always negative as generally perceived; (4) efficient regulatory and social policy initiatives will survive and indeed expand, with the “rent‐protecting” ones under most pressure to dissipate; and (5) pure distributional or equity‐oriented initiatives that have no positive feedback effect on efficiency, unfortunately, will also be under jeopardy to dissipate, and this is a serious policy concern. Alternatives for addressing this concern are discussed, as are their associated problems.