The Asian clam Corbicula fluminea in the European freshwater-dependent industry: A latent threat or a friendly enemy?

While the biofouler Corbicula fluminea (Müller, 1774) is known to cause great economic losses in North America, studies reporting the problem in Europe are much scarcer. This paper explores the industrial effects of the species in Portugal, the gateway by which the bivalve entered Europe around 30 years ago. National waterworks, major power stations, cement plants, pulp and paper mills and irrigation systems were surveyed. The industrial impacts of the pest were shown to remain relatively mild; irrigation systems are those that seem to be facing more significant economic losses due to infestation. Possible reasons for the apparent discrepancy between this result and the species dispersal in natural ecosystems are discussed, and recommendations on adequate responses to the latent threat are provided. This study may assist the implementation of integrated pest management policies in countries at risk of invasion or recently invaded, and contribute to an understanding of the species’ progression in industrial environments.     

Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach

We examine the economic implications arising from a bank using a VaR-constrained mean-variance model for the selection of its trading portfolio as a consequence of the Basle Capital Accord. Surprisingly, we show that when a VaR constraint is imposed, it is plausible that certain banks will end up selecting ‘riskier’ portfolios than they would have chosen in the absence of the constraint. Accordingly, regulators such as the Basle Committee on Banking Supervision should be aware that allowing a bank to use VaR to determine its minimum regulatory capital may increase its fragility. Alternatives to VaR-based bank capital regulation that mitigate or even preclude its perverse implications are presented.     

Identifying small mean-reverting portfolios

Given multivariate time series, we study the problem of forming portfolios with maximum mean reversion while constraining the number of assets in these portfolios. We show that it can be formulated as a sparse canonical correlation analysis and study various algorithms to solve the corresponding sparse generalized eigenvalue problems. After discussing penalized parameter estimation procedures, we study the sparsity versus predictability trade-off and the significance of predictability in various markets.     

Regulatory Capture: A Review

This article reviews both the theoretical and empirical literatureson regulatory capture. The scope is broad, but utility regulationis emphasized. I begin by describing the Stigler–Peltzmanapproach to the economics of regulation. I then open the blackbox of influence and regulatory discretion using a three-tierhierarchical agency model under asymmetric information (in thespirit of Laffont and Tirole, 1993). I discuss alternative modellingapproaches with a view to a richer set of positive predictions,including models of common agency, revolving doors, informationallobbying, coercive pressure, and influence over committees.I discuss empirical work involving capture and regulatory outcomes.I also review evidence on the revolving-door phenomenon andon the impact that different methods for selecting regulatorsappear to have on regulatory outcomes. The last section containsopen questions for future research. Footnotes ¹ E-mail address: dalbo{at}haas.berkeley.edu     

Evidence of the impacts of public e-procurement: The Portuguese experience

This paper analyses public e-procurement implementation and emphasizes its main difficulties and impacts in relation to the type of public organizations. The primary impacts and changes in the Portuguese public sector are analyzed within the new legal framework, which adopts mandatory e-procurement for any open, restricted or negotiated procedure. In this sense, two surveys carried out in consecutive years were conducted to assess the implementation difficulties and impact of e-procurement in the Portuguese public sector.The major value of this research is that it presents and discusses, for the first time, evidences about difficulties and impacts on the mandatory adoption of public e-procurement, based on the case of Portugal. The results show that the entities’ administrative level influences the e-procurement implementation, which is influenced by the innovation adoption process.     

Externalities,Cross-Sectoral Spillovers and Productivity Growth

We provide an interpretation of the productivity dynamics in the manufacturing sector based on the idea of the thick market externality à la Diamond. An econometric model has been estimated which allows to disentangle the long run effects of these trading externalities from those of internal economies of scale and of aggregate industry-level economies. The results obtained—based on a cointegrated system of non-linear-error-correction equations—confirm the hypothesis that the trading externality matters. Moreover, our findings point out that the emphasis generally posited both on internal and external economies of scale is not justified.     

Does Inter‐jurisdictional Competition Engender a “Race to the Bottom”? A Meta‐Regression Analysis

A growing literature documents the existence of strategic political reactions to public expenditure between rival jurisdictions. These interactions can potentially create a downward expenditure spiral (“race to the bottom”) or a rising expenditure spiral (“race to the top”). However, in the course of identifying the existence of such interactions and ascertaining their underlying triggers, the empirical evidence has produced markedly heterogeneous findings. Most of this heterogeneity can be traced back to study design and institutional differences. This article contributes to the literature by applying meta‐regression analysis to quantify the magnitude of strategic inter‐jurisdictional expenditure interactions, controlling for study, and institutional characteristics. We find several robust results beyond confirming that jurisdictions do engage in strategic expenditure interactions, namely that strategic interactions: (i) are weakening over time, (ii) are stronger among municipalities than among higher levels of government, and (iii) appear to be more influenced from tax competition than yardstick competition, with capital controls and fiscal decentralization shaping the magnitude of fiscal interactions.     

Stochastic Models of Implied Volatility Surfaces

We propose a market–based approach to the modelling of implied volatility, in which the implied volatility surface is directly used as the state variable to describe the joint evolution of market prices of options and their underlying asset. We model the evolution of an implied volatility surface by representing it as a randomly fluctuating surface driven by a finite number of orthogonal random factors. Our approach is based on a Karhunen–Loeve decomposition of the daily variations of implied volatilities obtained from market data on SP500 and DAX options.
We illustrate how this approach extends and improves the accuracy of the well–known 'sticky moneyness' rule used by option traders for updating implied volatilities. Our approach gives a justification for the use of 'Vegas' for measuring volatility risk and provides a decomposition of volatility risk as a sum of independent contributions from empirically identifiable factors.
(J.E.L.: G130, C14, C31).