Volatility clustering and the bid–ask spread: Exchange rate behavior in early Renaissance Florence

This paper investigates the nature and behavior of the domestic (local) currency market that existed in Florence (Italy) during the late 14th and early 15th centuries (a.k.a. the Early Renaissance). We find that the extant volatility and microstructure models developed for modern asset markets are able to describe the statistical volatility properties observed for the denaro-florin exchange rate. Volatility is clustered and is related to the bid–ask spread. This supports the notion that, although there are huge social, industrial and technological differences between capitalism then and now, individuals trading financial assets in an organized venue behave in a similar manner.     

Manifestations of compulsiveness in the consumer-marketplace domain

The marketing literature exhibits a consistent lack of concern to recognize the distinct differences among the various possible manifestations of compulsiveness in the consumer-marketplace domain. The practice of using terms pertaining to different manifestations of compulsiveness synonymously, especially when the meaning of the term “compulsive behavior” is itself under debate, creates further semantic uncertainties that hinder typological endeavors in the budding area of abnormal or deviant consumer behavior. This article attempts to remove such uncertainties by elucidating and establishing the differences among the above manifestations.     

Options on bond futures: Isolating the risk premium

The introduction of unspanned sources of risk (and frictions) implies that option prices include a risk premium. Prima facie evidence of the existence of risk premia in option prices is contained in the implied volatility smile patterns reported in the literature. This article isolates the risk premium (defined as the simple difference between estimated and observed option prices) on options on U.K. Gilts, German Bunds, and U.S. Treasury bond futures using models that include price jumps and stochastic volatility. This study finds that single and multi‐factor stochastic volatility models with jumps may explain the empirical regularities observed in bond futures. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:169–215, 2003     

Responsibility, Taint, and Ethical Distance in Business Ethics

Much light can be shed on events which characterize or underlie scandals at firms such as Enron, Arthur Andersen, Worldcom, ImClone, and Tyco by appealing to the notion of ethical distance. Various inquiries have highlighted the difficulties in finding or identifying particular individuals to blame for particular events, and in the context of situations as complex as these it can sometimes be helpful to investigate the comparative ethical distance of various participants in these events. In this essay I offer a characterization of ethical distance in terms of moral responsibility, and in doing so I describe and illustrate the rough inverse correlation between moral distance and degrees of moral responsibility. I urge that the concept of ethical distance is capable of shedding light upon situations in which several people are involved in bringing about a state of affairs. I then argue that moral responsibility cannot do justice to all situations involving ethical distance. When the distance between a person and a state of affairs grows sufficiently large, a different type of treatment is called for, and I introduce the notion of moral taint to describe the moral status of agents in these situations.     

Measuring Integrated Market and Credit Risk in Bank Portfolios: An Application to a Set of Hypothetical Banks Operating in South Africa

The banking crises of the ‘90s emphasize the need to model the connections between financial environment volatility and the potential losses faced by financial institutions resulting from correlated market and credit risks. Due to the number of variables that must be modeled and the complexity of the relationships an analytical solution is not feasible. We present here a numerical solution based on a simulation model that explicitly links changes in the relevant variables that characterize the financial environment and the distribution of possible future bank capital ratios. This forward looking quantitative risk assessment methodology allows banks and regulators to identify potential risks before they materialize and make appropriate adjustments to bank portfolio credit qualities, sector and region concentrations, and capital ratios on a bank by bank basis. It also has the potential to be extended so as to assess the risks of correlated failures among a group of financial institutions (i.e., systemic risk analyses). This model was applied by the authors to the study of the risk profile of the largest South African Banks in the context of the Financial System Stability Assessment program undertaken by the IMF in 1999. In the current study, we apply the model to various hypothetical banks operating in the South African financial environment and assess the correlated market and credit risks associated with business lending, mortgage lending, asset and liability maturity matches, foreign lending and borrowing, and direct equity, real estate, and gold investments. It is shown to produce simulated financial environments (interest rates, exchange rates, equity indices, real estate price indices, commodity prices, and economic indicators) that match closely the assumed parameters, and generate reasonable credit transition probabilities and security prices. As expected, the credit quality and diversification characteristics of the loan portfolio, asset and liability maturity mismatches, and financial environment volatility, are shown to interact to determine bank risk levels. We find that the credit quality of a bank's loan portfolio is the most important risk factor. We also show the risk reduction benefits of diversifying the loan portfolio across various sectors and regions of the economy and the importance of accounting for volatility shocks that occur periodically in emerging economies. Banks with high credit risk and concentrated portfolios are shown to have a high risk of failure during periods of financial stress. Alternatively, banks with lower credit risk and broadly diversified loan portfolios across business and mortgage lending are unlikely to fail even during very volatile periods. Asset and liability maturity mismatches generally increase bank risk levels. However, because credit losses are positively correlated with interest rate increases, banks with high credit risk may reduce overall risk levels by holding liabilities with longer maturities than their assets. Risk assessment methodologies which measure market and credit risk separately do not capture these various interactions and thus misestimate overall risk levels.     

RECEIPT OF INFORMATION AND INFLUENCE OVER DECISIONS IN HOSPITALS BY THE BOARD, CHIEF EXECUTIVE OFFICER AND MEDICAL STAFF

This article examines relationships between receipt of internal administrative information in hospitals, influence over general management decisions, and the extent to which certain organizational characteristics predict the receipt of information by each of the three major groups in hospitals: the board, the CEO, and the medical staff. Using a US national sample of 287 non-profit community hospitals, CEOs were found to receive the greatest amount of information and had highest influence while medical staffs were lowest on both measures. of five major organizational characteristics, hospital size emerged as the single strongest predictor of receipt of information for both boards (beta =?0.28, p 0.001) and medical staffs (beta =?0.42, p 0.001). Overall, the five dependent variables explained 18 per cent of the variance in receipt of information by boards and 28 percent of the variance for medical staffs.     

A model of the Dutch labour market (AMO-K)

Summary So far, the labour market has not received any special attention from macro-econometric model builders. In this article an attempt has been made to describe the labour market in detail, paying attention to such important phenomena as the friction between labour supply and demand, the heterogeneity of labour, the dependence of labour supply on the labour-market situation, the Phillips mechanism and the impact of real wages on labour demand. To make it suitable for policy simulations, the model has been extended to a complete macro-econometric model, taking account of the fact that both labour and capital limit the production possibilities.This paper summarises an extensive Dutch report on the construction of a model for the Netherlands labour market. The title of the original report is AMO-K: Een arbeidsmarktmodel met twee categorieën arbeid; (AMO-K, A labour-market model with two categories of labour) ; it was published by the Netherlands Economic Institute (NEI) in Rotterdam in the so-called Olive Series, 1982-2, pp. 403ff. Some details of the model presented in that report were changed after its publication; see G. den Broeder, AMO-K 81-12, Tussenrapport betreffende de verdere ontwikkeling van het arbeidsmarktmodel (Interim report on the further development of the labourmarket model), Rotterdam, September 1983. Since then, only minor changes have been carried through. The model reproduced in this paper is the modified version. The model was developed within the National Programme of Labour-Market Research (NPAO) (now defunct), the NPAO organisation having granted a commission to the NEI in Rotterdam.