A Lévy HJM multiple-curve model with application to CVA computation

We consider the problem of valuation of interest rate derivatives in the post-crisis set-up. We develop a multiple-curve model, set in the HJM framework and driven by a Lévy process. We proceed with joint calibration to OTM swaptions and co-terminal ATM swaptions of different tenors, the calibration to OTM swaptions guaranteeing that the model correctly captures volatility smile effects and the calibration to co-terminal ATM swaptions ensuring an appropriate term structure of the volatility in the model. To account for counterparty risk and funding issues, we use the calibrated multiple-curve model as an underlying model for CVA computation. We follow a reduced-form methodology through which the problem of pricing the counterparty risk and funding costs can be reduced to a pre-default Markovian BSDE, or an equivalent semi-linear PDE. As an illustration, we study the case of a basis swap and a related swaption, for which we compute the counterparty risk and funding adjustments.     

Knowledge sourcing and firm performance in an industrializing economy: the case of Taiwan (1992–2003)

We examine the impact of R&D and technology imports on firm performance in Taiwan??s manufacturing industry in a policy context of industrial upgrading. To do so, we estimate a Translog production function on two panels (covering 1992?C1995 and 1997?C2003), using stochastic frontier models. We find that the effects of both knowledge inputs become significant in a larger number of industries in the second panel. These results suggest that the policies encouraging innovation implemented from 1991 onwards paid off in the second half of the 1990s, with innovation driving firm sales. In traditional industries, the effect of innovation can be interpreted as an effort to catch up with the global technology frontier. In the electronics and high-technology industries, it rather testifies of the emergence of a new domain of specialization for Taiwan??which was largely enabled by the aforementioned innovation policies.     

Prediction accuracy and sloppiness of log-periodic functions

We show that log-periodic power-law (LPPL) functions are intrinsically very hard to fit to time series. This comes from their sloppiness, the squared residuals depending very much on some combinations of parameters and very little on other ones. The time of singularity that is supposed to give an estimate of the day of the crash belongs to the latter category. We discuss in detail why and how the fitting procedure must take into account the sloppy nature of this kind of model. We then test the reliability of LPPLs on synthetic AR(1) data replicating the Hang Seng 1987 crash and show that even this case is borderline regarding the predictability of the divergence time. We finally argue that current methods used to estimate a probabilistic time window for the divergence time are likely to be over-optimistic.     

What economic democracy for degrowth? Some comments on the contribution of socialist models and Cuban agroecology

While degrowth is about reducing energy and material flows in the economy while sustaining basic human needs, capitalism fosters the opposite trend. How then is degrowth to be implemented on a large scale? In line with different critical intellectual traditions, we argue that degrowth is unlikely to occur within an economy based on capital accumulation and free market of assets. Our objective is then to preliminarily investigate the links between economic structures, democratic principles, and degrowth. We do this, firstly, by briefly exploring some of the main theoretical models of economic democracy in order to find out their potential for achieving sustainable degrowth. In our view, models of self-managed socialism have the best potential for this. Secondly, we intend to learn some empirical lessons from a countrywide experience: Cuban agroecology, today's largest real-life experience of agroecological “degrowth”. Our hypothesis is that the Cuban economy, which limits the private accumulation of capital and of productive assets, is in a better position for achieving forms of sustainable degrowth than capitalist economies, but that it would be even more so with more democracy. The Cuban agricultural system faces the challenge to free itself from the central planning tradition. This could be achieved by following the current process of giving increasing autonomy to small producers. Specifically, we argue that small-scale farmer cooperatives have the best potential for achieving the degrowth-oriented goals of agroecology.     

Understanding consumers' in-store visual perception: The influence of package design features on visual attention

It is widely accepted that the human brain has limited capacity for perceptual stimuli and consumers' visual attention, when searching for a particular product or brand in a grocery store, should then be limited by the boundaries of their own perceptual capacity. In this exploratory study, we examine the relationship between abundant in-store stimuli and limited human perceptual capacity. Specifically, we test the influence of package design features on visual attention. Data was collected through two eye-tracking experiments, one in a grocery store using wireless eye-tracking equipment, and another in a lab setting. Findings show that consumers have fragmented visual attention during grocery shopping, and that their visual attention is simultaneously influenced and disrupted by the shelf display. Physical design features such as shape and contrast dominate the initial phase of searching. Time pressure and familiarity with the grocery store are studied and discussed.     

Entrepreneurs in the new economy: Immigration and sex effects in the Montreal metropolitan area

The recent literature on women’s entrepreneurship shows that they are underrepresented in the main stream economy when compared to their male counterparts, a phenomenon typically observed in other urban contexts. Approximately 30% of the entrepreneurs in the Montreal metropolitan area are women, active in a variety of sectors of the general economy. Their underrepresentation is still greater in the new economy, that is, those sectors that are knowledge-based and/or specialized in information technologies and communications. In this article, we examine the place of female entrepreneurs in the larger economy and in the new economy as related to their immigrant and/or ethnic origins. We seek in this paper to establish a comparative analysis of the situation of women entrepreneurs in immigrant-origin groups, focusing our attention on both the presence of women in entrepreneurial positions and the differential impact associated with membership in an immigrant-origin group. Based on data derived from Scott's Directory of 2007, we first determined an operational definition of the new economy and then analyzed the data from the perspective of sex and ethnic/immigrant origin. New economy enterprises represent approximately 12% of businesses in the Montreal metropolitan area, the majority of which are of the knowledge-based variety, and there is a relative, statistically significant absence of women from such enterprises. At the same time, there is a significantly greater presence of women drawn from minority groups, that is, from groups other than the Anglo-Canadian and French-Canadian dominant groups.     

Job satisfaction and commitment in the entrepreneurial SME

In the current global corporate climate that surrounds us, firms would do well to encourage the talent and creativity of their employees to achieve success. This is achieved, not by giving priority to individual talent, but by optimizing the collective as a whole and with the firm’s activities based on teamwork and joint effort. Heads of organizations might benefit from creating a favorable context for the birth and growth of collective internal cooperation, which is understood to be the collective ability to create and innovate on the part of the team, the firm or the organization. Having contrasted our hypotheses through research on Spanish firms, we have concluded that job satisfaction and commitment to the team are factors that have a direct and positive effect on Internal Entrepreneurship.      

The need to touch: Exploring the link between music involvement and tangibility preference

Amid the increasing consumption of digital music and generally declining sales of recorded music, physical formats persist as the preferred means of storing and listening to music for many consumers. The purpose of this paper is to increase the understanding of the relationship between music involvement and preference for tangible music formats. To achieve this, we test a research model and perform a segmentation analysis based on music involvement. Findings indicate that high music involvement is positively correlated with subjective music knowledge, tangibility preference, and portable player use. Quite naturally, involvement increases music consumption in all formats, including digitized forms, but high involvement appears connected to a perception of tangible records as more valuable. The behavior of highly involved consumers suggests that digital music is not necessarily eradicating physical formats but possibly fulfilling different needs; for example, sampling and complementing vs. collecting and displaying.     

The Location of Manufacturing Exporters in Africa: Empirical Evidence

Abstract: The costs of accessing and using a port/export hub should be high on the list of priorities for export promotion agencies in Africa. This conclusion emanates from this paper focusing on the geographical location of manufacturing export industries in South Africa. Here manufacturing export firms tend to be spatially concentrated with about 84 per cent of total manufacturing exports produced in only 6 per cent of magisterial districts. Distance from an export hub is negatively related to the density of manufactured exports. The largest volumes of manufactured exports are generated within 100 km of an export hub. For electronics, about 98 per cent of manufacturing takes place within 100 km of an export hub. Comparison over time showed that the number of locations from which manufacturing exports occur increased by 15 per cent over 1996–2004 and that manufacturing exports increased in the band between 200 and 400 km from the nearest hub.