How much should inflation targeters care about the exchange rate?

A DSGE model is used to examine whether including the exchange rate in the central bank’s policy rule can improve economic performance. Smoothing the exchange rate helps both financially-robust economies and financially-vulnerable emerging economies in handling risk premium shocks and, given a small weight placed on the exchange rate, the effects on inflation and output volatility are minimal with demand and cost-push shocks. Financially-vulnerable economies are especially likely to benefit from exchange rate smoothing due to perverse movements of the exchange rate they experience when hit by demand shocks and being more prone to risk premium shocks.     

State Dependence Can Explain the Risk Aversion Puzzle

Risk aversion functions extracted from observed stock and optionprices can be negative, as shown by Aït-Sahalia and Lo(2000), Journal of Econometrics 94: 9–51; and Jackwerth(2000), The Review of Financial Studies 13(2), 433–51.We rationalize this puzzle by a lack of conditioning on latentstate variables. Once properly conditioned, risk aversion functionsand pricing kernels are consistent with economic theory. Todifferentiate between the various theoretical explanations interms of heterogeneity of beliefs or preferences, market sentiment,state-dependent utility, or regimes in fundamentals, we calibrateseveral consumption-based asset pricing models to match theempirical pricing kernel and risk aversion functions at differentdates and over several years.     

Assessing misspecified asset pricing models with empirical likelihood estimators

Hansen and Jagannathan (1997) compare misspecified asset pricing models based on least-square projections on a family of admissible stochastic discount factors. We extend their fundamental contribution by considering Minimum Discrepancy projections where misspecification is measured by a family of convex functions that take into account higher moments of asset returns. The Minimum Discrepancy problems are solved on dual spaces producing a family of estimators that captures the least-square problem as a particular case. We derive the asymptotic distributions of the estimators for the Cressie–Read family of discrepancies, and illustrate their use with an assessment of the Consumption Asset Pricing Model.     

Performance Evaluation of Pension Funds Management Companies with Data Envelopment Analysis

This article uses Data Envelopment Analysis (DEA) to evaluate the performance of Portuguese pension funds management companies from 1994 to 2003, combining operational and financial variables. We evaluate how close the pension funds management companies are to the best practices frontier, also analyzing how they manage their funds. Implications of this research for managerial purposes are then drawn.     

New Men and New Women? A Comparison of Paid Work Propensities from a Panel Data Perspective

British Household Panel Survey data for waves 1–5 (1991–5) is used to compare paid work participation rates of men and women. Year-on-year persistence in paid work propensities is high, but greater for men than women. Non-work persistence is higher for women. Using panel data probit regression models, we also investigate why men's and women's participation rates differ, comparing the roles of differences in observable characteristics and differences in rates of return to these characteristics, while also controlling for unobserved heterogeneity. Most of the difference in participation rates is accounted for by the differences in returns associated with the presence of children, especially young ones.     

The causes of misapplied capacity related manufacturing costs and corresponding reporting implications: A conceptual perspective

To meet external financial reporting requirements, fixed (i.e., capacity related) manufacturing overhead costs are typically applied to inventory via the use of a predetermined overhead application rate. However, textbooks do not consider all appropriate conceptual issues regarding the setting of the overhead application rate nor how these issues influence the causes of misapplied capacity costs (under/over-applied fixed manufacturing overhead) typically reported as the Production Volume Variance. Specifically, discussion is lacking related to those misapplied capacity costs potentially caused variously by the presence of capacity that is not explicitly planned to be used, capacity that is currently unused but in the longer-term is planned to be used (due to anticipated growth), and capacity that is currently unused but in the shorter term is planned to be used due to seasonality. Determining if any of these three causes are contributing to misapplied capacity costs is critical, as there are important managerial accounting and financial accounting reporting implications associated with each. And while the relevant literature to be discussed offers support for these causal constructs, this paper extends this literature by developing a parsimonious and conceptually-based approach to permit a simultaneous partitioning of misapplied capacity costs into these causal categories. Further, this paper will identify the important conceptual differences among these three causes, how these differences warrant unique approaches for the managerial and financial reporting of information related to capacity costs and utilization, and needed changes to Generally Accepted Accounting Principles to facilitate more appropriate financial reporting in this area.     

Contingent work in the hospitality industry: A mediating model of organizational attitudes

It is widely accepted that work status has an impact on emotional attachment to the organization, because of the different ways in which the two categories of workers, contingent and regular, are treated in the same organization. This study aims to investigate the effect of work status on affective commitment and how this relationship is influenced by identification processes.     

Internationalization Strategies to Replicate in Design and Consulting Engineering Services Firms Related to the Energy Industry

Based on a case study of a Colombian company, HMV Ingenieros Ltda, this article aims to analyze different strategies for expanding consulting and design engineering firms related to the energy industry. Variables taken from internationalization theories, such as the Eclectic paradigm, the Uppsala model, and the five competitive forces, are considered in a longitudinal case study to determine the industry best practices for consulting and design engineering firms. As the focus on these services is relatively new in internationalization and competitiveness studies, this study is believed to be of great interest for research purposes.     

Simultaneously determined,time-varying hedge ratios in the soybean complex

Time-varying hedge ratios are derived which account for the dynamic characteristics of prices in the soybean complex. A multivariate generalized autogressive heteroskedastic (MGARCH) model, along with other conditional models, is used to specify the relevant covariance matrix. While the time-varying representations of the variance matrix are statistically appropriateex anteand ex posthedging effectiveness indicate that they provide minimal gain to hedging in terms of mean return and reduction in variance over a constant conditional procedure. Whether similar findings arise from other applications of GARCH models to optimal hedging is a question for further research.     

Intrinsic quality improvements and network externalities

We analyze the optimal pricing choice of an incumbent firm that sells a good with network externalities and is threatened by the entry of a higher intrinsic quality variant. In the framework of a vertical differentiation model, we find a necessary and sufficient condition under which intrinsic quality improvement occurs as a result of this competition.