Shadow Banking,Chinese Style

Shadow banks are broadly defined as entities which conduct credit intermediation outside the formal banking system. Poorly regulated, engaging in opaque forms of intermediation, deeply interconnected with the official banking system, and operating with implicit government guarantees, they pose a major source of systemic risk. Yet shadow banks provide an important service by channeling credit to excluded investors, and can complement the formal banking sector. What explains the rapid proliferation of shadow banks in China? How large are they and what forms do they take? What types of risks do they pose to the financial system? And how best can China utilise the services of shadow banks while at the same time ensuring that they do not create systemic risks for the financial system?     

An examination of the impact of macroeconomic news on the spot and futures treasuries markets

In this study we analyze the reaction of daily cash and futures prices for several Treasury securities to the release of U.S. macroeconomic news. Some important results are reported. First, consistent with the notion of market integration, the futures market is found to be cointegrated with the corresponding cash market. Second, of the 23 types of periodic macroeconomic announcements, 19 of them have a significant influence on either the cash or futures prices. Most notably, surprises in nonfarm payroll and Treasury budget significantly influence the cash and futures market across the entire maturity spectrum. Third, consistent with the Fisher and real activity hypotheses, macroeconomic news that conveys higher inflation and/or economic growth has a negative influence on cash and futures prices. Finally, hedging with Treasury futures appears to offer investors protection from inflation‐related fluctuations in interest rates, but not against fluctuations arising due to variations in real output. Some important policy implications of the results are offered. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:453–478, 2004     

The effects of autocorrelation among errors on the consistency property of OLS variance estimator

In a linear regression model the ordinary least squares (OLS) variance estimator (S²) converges in probability to E(S²) even when the errors are autocorrelated. Of interest, however, is the rate of convergence. In this paper we shed some light on this question for the case of a linear trend model. In particular the relation between the rate of convergence and the correlation property of the errors is explored. It is shown that the retardation of the rate of convergence is not appreciable if the correlation is moderate, but it can be severe for extreme correlations.     

Conservation or energy development: Consumer perceptions of alternate solutions to the energy crisis

The purpose of this study was to identify segments of the population on the basis of what they believe would ensure energy for the future—conservation or energy/technological development. To the extent that technology is perceived to be the solution, a potential danger exists that consumers will not commit to an energy-conscious lifestyle except as required by increasing energy costs. The respondents were 692 systematically sampled residents of Alabama. A follow-up survey of 73 non-respondents indicated that nonresponse bias was absent in terms of demographic and social-psychological characteristics, perceptions of the energy crisis, and level of energy use. Distinct differences emerged among the segments (energy development, conservation, or neutral) which indicate that policy makers must be concerned with emphasizing that technological breakthroughs are not the solution to the energy crisis. Note This study was funded by a grant from the Energy Assessment Program, School of Mines and Energy Development, the University of Alabama.     

Robustness of Williams Square change-over designs

In literature, Williams Square change-over designs balanced for first residual effects of treatments have been proved to be universally optimal. Here, an attempt has been made to show that these designs are robust against missing of last α [≤v−1; v being the number of periods in the design for v treatments] observations from an experimental unit. Received May 2000     

Brand promotions as a lottery

This paper shows that imprecisely stated discounts in brand promotions offered in the form of a low-probability lottery can lead to higher sales (purchase intentions) and consequently profits than equally costly conventional promotions offering a precise discount on the entire stock. Results from two different experimental studies support our findings. For high-probability lottery-like promotions, imprecise discounts lead to a lower performance for the brand than conventional promotions. We attempt to explain the findings by drawing on the behavioral decision theory literature.