Risk management of precious metals

This paper examines volatility and correlation dynamics in price returns of gold, silver, platinum and palladium, and explores the corresponding risk management implications for market risk and hedging. Value-at-Risk (VaR) is used to analyze the downside market risk associated with investments in precious metals, and to design optimal risk management strategies. We compute the VaR for major precious metals using the calibrated RiskMetrics, different GARCH models, and the semi-parametric Filtered Historical Simulation approach. The best approach for estimating VaR based on conditional and unconditional statistical tests is documented. The economic importance of the results is highlighted by assessing the daily capital charges from the estimated VaRs.     

Virtual Instant Global Entrepreneurship

International entrepreneurship must be hard, because so few firms attempt it. If true, perhaps it is hard because it requires knowledge about people and places far away. It is hard because it requires mastering processes to handle business across borders. And it is hard because it requires trust in the processes and eventually in the customers elsewhere. These three elements, knowledge, mastery and trust in international business are essential to the success of international entrepreneurship for SMEs.     

Managerial attitudes to social responsibility: A comparative study in India and Britain

Changes in the understanding of the relationship between business and society have led to increased interest in and discussion of the notion of corporate social responsibility.This paper offers an empirical analysis of the perceptions of top executives in the West Midlands, U.K., and in Delhi, District Ghaziabad, India, of the notion of corporate social responsibility. Organisational changes and involvement in social action programmes, and problems of implementing and monitoring Social Responsibility in two cultures, India and Britain, were explored.The results of this study are compared with results obtained from studies on American companies and some significant similarities and differences are noted.Finally, some of the implications of the acceptance of the relevance of social responsibility to industry and the social involvement of industry are discussed. A. Farooq Khan is Associate Professor at the Faculty of Commerce of the Aligarh Muslim University. He has been awarded the Common-Wealth Scholarship (1975–1978) and he visited Hungary under the Indo-Hungarian Cultural Exchange Programme (1984–1985). He has published over thirty papers and two books: Business and Society, S. Chand & Co. Ramnagar, New Delhi, 1985; and Social Responsibility and Management, Faculty of Commerce Publication, Aligarh, 1983.Adrian Atkinson is Managing Director of Human Factor Consultants (UK) Ltd.     

Inter‐Organizational Learning in Supply Chains: A Focus on Logistics Service Providers and Their Customers

The learning process between supply chain entities is explored from the perspective of senior third‐party executives. Through grounded theory, a theoretical framework emerged that extends our understanding of learning within a supply chain by identifying the major constructs and learning stages comprising the basic social process of inter‐organizational learning. This framework provides significant insights into the complex process employed in a supply chain to share, disseminate, and store information; co‐create knowledge; and to derive a competitive advantage.     

Few Opportunities, Much Desperation: The Dichotomy of Non-Agricultural Activities and Inequality in Western Kenya

Using data from Western Kenya, we confirm the existence of a dichotomous non-agricultural sector. The poverty and inequality implications of the differently motivated diversification strategies only partly correspond to expected patterns. While high-return activities are indeed confined to richer households, low-return activities constitute an important income source for households across the entire income distribution. Finally, we examine the wider implications of our findings for rural livelihoods. We find that only engagement in high-return non-agricultural activities is significantly associated with increased agricultural productivity. It seems that such high-return activities play a key role in triggering cumulative effects of relative livelihood success.     

Disclaiming onerous property in insolvency: A comparative study

Insolvency practitioners in charge of certain insolvency procedures have a facility open to them to disclaim property deemed to be onerous and whose retention as part of the debtor's estate may affect the mass of creditors. This article takes a comparative survey of a number of jurisdictions in the common‐law and civil‐law worlds. Its purpose is to assess whether work carried out at international level seeking to benchmark insolvency procedures generally should be revised to take into account enviornmental concerns in relation to such disclaimed property. Copyright © 2010 John Wiley & Sons, Ltd.     

Estimating Volatility Persistence in Oil Prices Under Structural Breaks

Policy makers and financial market participants are interested in knowing how shocks affect the volatility of oil prices over time. We accurately compute the volatility persistence by incorporating endogenously determined structural breaks into a GARCH model. Contrary to previous findings, we find that oil shocks dissipate very quickly but have a strong initial impact. Understanding this behavior is not only important for derivative valuation and hedging decisions but for broader financial markets and the overall economy, for which there are significant consequences.     

Model Selection for Monetary Policy Analysis: How Important is Empirical Validity?*

We investigate the economic significance of trading off empirical validity of models against other desirable model properties. Our investigation is based on three alternative econometric systems of the supply side, in a model that can be used to discuss optimal monetary policy in Norway. Our results caution against compromising empirical validity when selecting a model for policy analysis. We also find large costs from basing policies on the robust model, or on a suite of models, even when it contains the valid model. This confirms an important role for econometric modelling and evaluation in model choice for policy analysis.     

Interdependence and Volatility Spillovers Under Market Liberalization: The Case of Istanbul Stock Exchange

This paper analyzes stock returns and volatility relations between the Istanbul Stock Exchange (ISE) and the global market as represented by stock markets in the US, the UK, Japan and Germany. Results from monthly data and multivariate cointegration tests suggest that the ISE became significantly integrated in the global market only in the period following market liberalization in late 1989. We also find evidence based on GARCH estimations that capital liberalization actually mitigated, rather than intensified, volatility in the ISE. Our results further suggest that the Asian crisis in mid‐1997 and the consequent Russian economic meltdown in mid‐1998 are partly responsible for the recent excessive volatility in the Turkish market. The results also identify the US and the UK markets as dominate sources of volatility spillovers for the ISE, even in the period following the Asian‐Russian crises. Consequently, it appears that the two matured markets of the US and the UK shoulder significant responsibility for the stability and financial health of smaller emerging markets like the ISE.     

Arbitrage in the foreign exchange market: Turning on the microscope

This paper provides real-time evidence on the frequency, size, duration and economic significance of arbitrage opportunities in the foreign exchange market. We investigate deviations from the covered interest rate parity (CIP) condition using a unique data set for three major capital and foreign exchange markets that covers a period of more than seven months at tick frequency. The analysis unveils that: i) short-lived violations of CIP arise; ii) the size of CIP violations can be economically significant; iii) their duration is, on average, high enough to allow agents to exploit them, but low enough to explain why such opportunities have gone undetected in much previous research using data at lower frequency.