Estimates of foreign exchange risk premia: a pricing kernel approach

The goal of this study is to measure market prices of risk and foreign exchange risk premia. Estimations of minimum variance pricing kernels permit to determine market prices of risk, which, in an international no-arbitrage framework, allow to measure foreign exchange risk premia. Market prices of risk are time-varying and surge during financial turmoils. Foreign exchange risk premia are on average small in comparison to interest rate differentials and exhibit significant variation from the early 1970s onwards, when the Bretton Woods exchange rate system collapsed. At times, foreign exchange risk premia dominate interest rate differentials. We are indebted to Baldev Raj, Robert Kunst, the associate editor of Empirical Economics and two anonymous referees for their valuable comments. We also thank seminar participants at the European Central Bank, the Bank of England and Queen Mary University of London. The views expressed in this paper are those of the authors and do not necessarily reflect those of the European Central Bank or the Eurosystem.     

Behavioral Pragmatism: President Obama’s Approach to Unemployment

However wide the ideological distance between positive and negative prognosticators of employment growth, the pragmatic center is where the White House preferences are likely to fall. Obama??s pragmatic center may be far from the ideological center between public-private program alternatives. Instead, it is closer to the pressure center of partisan and interest-group forces that normally participate in fiscal policy-making. As a behavioral pragmatist the moderate position for Obama is found at the center of ideologically separated political competitors whatever the content of their beliefs, since content is relatively uncritical in this perspective. Pressure groups?? numbers and organizational strength define the value of their diversity more than the substance of their beliefs. For the strong believers on both political left and right the outcomes will rarely look pragmatic because they will rarely fit the traditional standards for moderation     

Bargaining, coalitions and competition

We study a Gale-like matching model in a large exchange economy, in which trade takes place through non-cooperative bargaining in coalitions of finite size. Under essentially the same conditions of core equivalence, we show that the strategic equilibrium outcomes of our model coincide with the Walrasian allocations of the economy. Our method of proof makes use of the theory of the core. With respect to previous work, our positive implementation result applies to a substantially larger class of economies: the model relaxes differentiability and convexity of preferences, and also admits an arbitrary number of divisible and indivisible goods.     

Lévy CARMA models for shocks in mortality

Decisions in Economics and Finance - Recent literature on mortality modeling suggests to include in the dynamics of mortality rates the effects of time, age, the interaction of these two and a term...     

Cash holdings in family firms: CEO identity and implications for firm value

We investigate the cash holdings policy of family firms and examine potential value implications. Family firms hold more cash than other firms, with an average difference of 2.3% of total assets. This result is driven by firms managed by heir CEOs. While the cash holdings policy of first‐generation family firms is more sensitive to firm risk, consistent with founders’ increased risk aversion, that of later‐generation firms is more sensitive to information asymmetry and agency conflicts. Heir CEOs’ cash policies destroy value, as the marginal value of an additional Euro suffers from a 38.3‐cent discount, on average, relative to non‐family firms.     

Relative export prices and firm size in imperfect markets

This paper contributes to the rising field in international trade and industrial organization. A vast sample of Italian micro data is used to study the behavior of relative export prices in imperfect markets. It is shown that relative export prices, the relation of prices a firm charges on export and domestic markets, are, in general, downward biased. Moreover, relative export prices depend negatively on firm size and market concentration, but positively on the average export share of the industry. This indicates that markets are segmented and firms are able to discriminate prices.     

The internationalization process in the small and medium sized firms: A case study on the Italian clothing industry

In this research we use a data-base that reveals the propensity for contractual ventures and direct investments (1051 operations) of the clothing Italian companies during the period 1987–1991, on a national (342 operations) and international level (709 operations). The latter were analyzed with reference to the internal (412) and external growth strategies (297), cooperative (362) and non-cooperative (347) deals. Our analysis focuses on the different strategies that SMEs, on one hand, and large companies, on the other hand, show in the internationalization process. Main results of the study are:

the international growth of the SMEs takes place mainly through contractual agreements (68%), more so than with non-cooperative operation (32%), whereas in large companies the non-cooperative strategies slightly prevail (54%). Consequently, the external growth strategy is very important for the SMEs (72%) and somewhat less important for the large companies (54%);

the cooperative growth is usually seen by SMEs as an expansion both of the commercial (48% of the operations involves commercial purposes) and of the production areas (48% of the cases). This could indicate that SMEs try to organize on an international level the same network model used in Italy: SMEs decentralize their production within the country through networks of companies and industrial districts, whose horizontal connections (among SMEs themselves) and vertical connections (with large companies) provide flexibility and low costs;

large companies' expectations of the Single European Market have brought a great number of international operations in Europe (24%), notwithstanding the notable importance of Japan (23%) and U.S. (17%); on the contrary, SMEs focus on “niche and rich markets” as Japan (40%); but as far as the contractual agreements are concerned, both types of firm privilege the Japanese market: almost 50% of SMEs' international agreements are directed towards Japan (33% in the large company's case);

large companies and SMEs in the middle and high segments of the market carry out more operations than companies operating in the low quality and casual segments;

generally speaking, in Italy there is an urgent need for industrial policies promoting SMEs access to cooperative instruments (“learning by cooperating”).

     

New development: Directly elected mayors in Italy—creating a strong leader doesn't always mean creating strong leadership

More than 20 years after their introduction, directly elected mayors are key players in Italian urban governance. This article explains the main effects of this reform on local government systems and provides lessons for other countries considering directly elected mayors.     

An Open Innovation Decision Support System to Select a Biopharmaceutical R&D Portfolio

Drugs available in the market today, selected several years ago under very uncertain future scenario, have experienced a long and expensive process of research and development carried out following both a closed and an open innovation path. To support this critical selection process, we propose a Decision Support System, able to choose among different candidates the most promising drugs along their best development path. The Decision Support System, based on a real options portfolio optimization model, mapping tools, and what‐if rules as well, has been applied to a numerical example available in literature, and the research findings show interesting managerial and academic implications. Copyright © 2015 John Wiley & Sons, Ltd.