The dynamics of moonlighting in Russia1

This paper uses the Russian Longitudinal Monitoring Survey (RLMS) to analyse the dynamics of moonlighting by the working‐age population. We find that moonlighting is transitory and that a desire to switch jobs expressed in the past is positively related to moonlighting in the present and to actual job changes in the future. We also find that workers who moonlighted as self‐employed in the past represent 26.5 percent of the new self‐employed. These results suggest that moonlighting in Russia can be seen as an effective incubator for setting up new self‐employed businesses, thereby providing long‐term benefits for the economy.     

Improved estimation of portfolio value‐at‐risk under copula models with mixed marginals

Portfolio value‐at‐risk (PVAR) is widely used in practice, but recent criticisms have focused on risks arising from biased PVAR estimates due to model specification errors and other problems. The PVAR estimation method proposed in this article combines generalized Pareto distribution tails with the empirical density function to model the marginal distributions for each asset in the portfolio, and a copula model is used to form a joint distribution from the fitted marginals. The copula–mixed distribution (CMX) approach converges in probability to the true marginal return distribution but is based on weaker assumptions that may be appropriate for the returns data found in practice. CMX is used to estimate the joint distribution of log returns for the Taiwan Stock Exchange (TSE) index and the associated futures contracts on SGX and TAIFEX. The PVAR estimates for various hedge portfolios are computed from the fitted CMX model, and backtesting diagnostics indicate that CMX outperforms the alternative PVAR estimators. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:997–1018, 2006     

Spreads, depths, and the impact of earnings information: an intraday analysis

For a sample of NYSE firms, we show that wide spreads are accompaniedby low depths, and that spreads widen and depths fall in responseto bigger volume. Spreads widen and depths fall in anticipationof earnings announcements; these effects are more pronouncedfor announcements with larger subsequent price changes. Spreadsare also wider following earnings announcements, but this effectdissipates quickly after controlling for volume. Collectively,our results suggest liquidity providers are sensitive to changesin information asymmetry risk and use both spreads and depthsto actively manage this risk.     

How Does a Development Moratorium Affect Development Timing Choices and Land Values?

This paper investigates how a development moratorium affects choices of development timing and land values in a framework where both the value of developed property evolves stochastically and the development costs are fully irreversible. We assume that a regulator initially announces that land is not allowed to be developed during a finite period of time in the future. A developer, thus, must decide whether to develop land before the timing ordinance is imposed, or after it expires. The development moratorium reduces the developer’s option value from waiting and, thus, accelerates development. We also use simulation analysis to demonstrate how the other factors that relate to the demand and supply conditions of the real estate market affect this accelerating effect.     

Technical innovation and 3.5 mobile phone generation: Lessons from Korea

In 1996, the Korean mobile communication market was the first in the world to commercialize the code division multiple access (CDMA). Since then, the voice-based mobile phone market has continued to grow and has now reached near saturation. Having recognized the potential of the mobile data service as a new source of profit, telecommunication operators are scrambling to evolve 3.5 generation (3.5G) technology in order to lead market competition. Recently, the Korean 3.5G mobile telecom market has faced stiff competition from CDMA-based EVDO Rev.A and global system for mobile telecommunications (GSM)-based high-speed downlink packet access (HSDPA). In addition, the world's first wireless LAN-based wireless broadband internet (WiBro) service was commercialized in June, 2006. This paper reviews the current status of the 3.5G technology and analyzes the service standardization strategies from the viewpoint of technological evolutions. This paper also suggests implications for Korea's specific circumstances where different mobile telecom technologies complement and compete with one another. Korea's experiences may serve as important lessons for other countries or operators who try to introduce the 3G and look beyond mobile telecom technologies.     

The Political Economy of Exchange Rate Regimes: Evidence from Hong Kong and Taiwan

This paper investigates whether the macroeconomic performance of a small- open economy depends on the choice of exchange rate regimes. Hong Kong and Taiwan - two economies with many similar macroeconomic characteristics, but different in their choices of exchange rate regimes - provide a good setting to study the relation between the choice of exchange rate regime and macro-economic performance. We examine the basic facts of growth and inflation and the coefficients' stability of their vector autoregression (VAR), as well as cyclical characters of other aggregate variables in Hong Kong and Taiwan. Our empiric finding indicates that macroeconomic performance is not systematically related to exchange rate regimes.     

Emotional and interpersonal competencies and leader development

A variety of recent leader development programs have focused on improving leaders' emotional and interpersonal competencies. Decades of leadership research suggest that these “people skills” are crucial for leader effectiveness. This paper reviews the history of these leader development programs as well as research on emotional and interpersonal competencies. Suggestions for grounding leader development programs in sound research on emotional and social competencies, as well as an agenda for future research on the development of leader emotional and interpersonal skills, are provided.     

Financial Development and Economic Growth: Empirical Evidence from Six MENA Countries

This paper examines the causal relationship between financial development and economic growth for six Middle Eastern and North African countries (Algeria, Egypt, Israel, Morocco, Syria, and Tunisia), within a quadvariate vector autoregressive framework. We employ four different measures of financial development and apply the augmented vector autoregression vector (VAR) methodology of Toda and Yamamoto to test for Granger causality. Our empirical results strongly support the hypothesis that finance leads to growth in five out of the six countries. Only in Israel could weak support be found for causality running from economic growth to financial development but no causality in the other direction. These findings suggest the need to accelerate the financial reforms that have been launched since the mid 1980s and to improve the efficiency of these countries’ financial systems to stimulate saving/investment and, consequently, long‐term economic growth.     

Looking for contagion in currency futures markets

This article tests whether there are pure contagion effects in both conditional means and volatilities among British pound, Canadian dollar, Deutsche mark, and Swiss franc futures markets during the 1992 ERM crisis. A conditional version of international capital asset pricing model (ICAPM) in the absence of purchasing power parity (PPP) is used to control for economic fundamentals. The empirical results indicate that overall there are no mean spillovers among those futures markets, but they are detected during the crisis period. That is, past return shocks originating in any one of the four markets have no impact on the other three markets during the entire sample period, suggesting that these markets are weak‐form efficient. However, this weak‐form market efficiency fails to hold during the market turmoil, especially for British pound and Swiss franc, and the sources of contagion‐in‐mean effects are mainly due to the return shocks originating in three European currency futures markets. As for the contagion‐in‐volatility, it is detected for British pound only because its conditional volatility is influenced by the negative volatility shocks from Canadian dollar, Deutsche mark, and Swiss franc, with Deutsche mark playing the dominant role in generating these shocks. JEL Classifications: C32; F31; G12. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:957–988, 2003     

MANAGING VENDOR INVENTORY IN A DUAL LEVEL DISTRIBUTION SYSTEM

Collaborative arrangements among members of the supply chain have received a great deal of interest in recent years as a means of reducing costs. One such arrangement is vendor managed inventory (VMI). VMI allows the vendor to make decisions concerning the quantity and timing of deliveries to the retailer. Such an arrangement offers the potential of a more efficient supply chain by removing the negative effects of retail ordering policies. A thorough review of the literature was conducted to identify factors likely to impact the performance of a VMI partnership. Computer simulation was used to study the effects of these factors from both the vendor's and retailer's perspectives. The results lend insight into the performance of VMI and guidance for managers as to the environments in which VMI is most effective.