How Costly is Modern Maritime Piracy to the International Community?

This paper focuses on the impact of maritime piracy on international trade. Piracy increases the cost of international maritime transport through an increase in insecurity regarding goods deliveries. Bilateral trade flows between the main European and Asian countries over the 1999 to 2008 period are used to estimate an augmented gravity model that includes various measures of piracy acts. We found robust evidence indicating that maritime piracy reduces the volume of trade; the effect of 10 additional vessels hijacked being associated to an 11% decrease in exports. Consequently, the current cost of piracy in terms of international trade destruction is estimated at 24.5 billion dollars.     

Turn-of-the-month and intramonth effects in government bond markets: Is there a role for macroeconomic news?

This paper focuses on the turn-of-the-month (TOM) and intramonth anomalies in government bond returns. In particular, we examine whether the TOM and intramonth effects exist in government bond markets, and moreover, whether these anomalies are related to the release of macroeconomic news as suggested in recent stock market studies. Using data on the 2-year and 10-year US Treasury Notes and German government bonds, we document a modest TOM effect in government bond returns. This effect does not disappear after controlling for the release of macroeconomic announcements, thereby suggesting that the origin of the TOM effect is not necessarily the same across asset classes.     

Taxation, collateral use of land, and Japanese asset prices

Japan experienced a significant increase in land and stock prices in the late 1980s and a subsequent reversal in these asset prices in the 1990s. I use a neoclassical growth model to determine how much of these asset price movements can be accounted for by the observed changes in output growth and land-related taxation. In the model, corporations issue land-collateralized debt to reduce their tax liabilities, and the government follows a land-taxation policy that is countercyclical to land prices. Without these features, the model cannot generate any significant change in land values, even with a permanent increase in the growth rate of the economy, because a permanent increase in the growth rate results in a comparable increase at the rate at which agents discount future returns. The collateral use of land and countercyclical land-tax policy introduce a substantial magnification mechanism for asset prices by reducing the required return on land. I calibrate the model to Japanese data, and conduct steady-state experiments and deterministic simulations. I show that if the observed increase in the growth rate of productivity and the decline in land taxes were expected to be permanent by market participants, then the model can by and large account for the movements in land and stock prices, but has counterfactual predictions regarding the behavior of capital. If agents expect the observed changes in the fundamentals to be temporary, then the model cannot generate a significant increase in these asset prices.     

The Fed's policy decisions and implied volatility

This study examines how the Fed's monetary policy decisions affect the implied volatility of the S&P 500 index. The results show that stock market uncertainty is significantly affected by the Fed's policy decisions. In particular, we find that implied volatility generally decreases after FOMC meetings, while the relationship between target rate surprises and market uncertainty appears positive. However, our results also suggest that the apparent positive relationship between policy surprises and implied volatility is mostly driven by the volatility‐reducing effects of negative surprises. We further document that implied volatility is affected by both scheduled and unscheduled policy actions, with the scheduled path surprises having the strongest impact on volatility. Finally, our findings indicate that the impact of monetary policy decisions on implied volatility is more pronounced during periods of expansive policy. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark     

The international policies of brain gain: A review

Policymakers across OECD countries have become increasingly concerned with the national and international debate about brain drain and have launched appraisal processes of the situations in their respective countries. The debates took different turns in different countries, but nevertheless, some common issues cut across a number of countries. The issues of academic structures and traditions, legislation and management, and reputation and image have surfaced as critical factors for brain drain and brain gain. In this paper I provide a systematic analysis of the international policy debates surrounding the issue of brain drain and brain gain and make an attempt to distinguish between them by classifying them into different categories.     

Entrepreneurial Orientation,Dynamic Capabilities and International Performance

In order to be able to seize the opportunities that a dynamic operating environment opens up, entrepreneurial firms have to reconfigure their existing asset base and processes. This study explores the effect of an entrepreneurial orientation and a firm's reconfiguring capabilities on international performance by using survey data from 217 manufacturing and service organizations. Our findings indicate that a firm's entrepreneurial orientation and reconfiguring capabilities have an effect on its international performance and provide empirical support for the dynamic capability view of the firm. Entrepreneurial behavior combined with organizational reconfiguring capabilities constitutes a potential source of competitive advantage.     

FORECASTING PERFORMANCE OF AN ESTIMATED DSGE MODEL FOR THE SOUTH AFRICAN ECONOMY

We construct a small open‐economy New Keynesian dynamic stochastic general equilibrium (DSGE) model for South Africa with nominal rigidities, incomplete international risk sharing and partial exchange rate pass‐through. The parameters of the model are estimated using Bayesian methods, and its out‐of‐sample forecasting performance is compared with Bayesian vector autoregression (VAR), classical VAR and random‐walk models. Our results indicate that the DSGE model generates forecasts that are competitive with those from other models, and it contributes statistically significant information to combined forecast measures.     

Cross-Listings and M&A Activity: Transatlantic Evidence

We analyze whether European firms choose to list shares in the US to facilitate acquisitions. Evidence from a sample of 547 European companies shows that cross-listed firms are significantly more active in acquiring US companies than are their domestically listed peers. This pattern holds even after we account for self-selection in the cross-listing decision. Cross-listed firms are also more likely to use equity payment in large transactions, but after taking self-selection into account, transaction size becomes the key determinant of the use of equity. After cross-listing, the proportion of aggregate M&A volume financed with equity increases.     

The Collusion-deterring Effect of Pre-attributed Supplies and the Hog Auction in Quebec

The hog/pork industry in Quebec has been going through major institutional changes since 1989, the year an electronic auction was put in place to market all of the hogs in the province. Because the auction's ability to generate high prices did not meet the expectations of hog producers, the pure auction system was replaced by a hybrid one in 1994. In this system, most of the hog supply was pre-attributed to processors at a negotiated price based on the US. price while the remainder of the provincial supply of hogs was sold through the auction. In this paper, we investigate how a seemingly inefficient marketing mechanism like pre-attributions can increase the efficiency of a usually efficient mechanism like an auction. We present theoretical arguments regarding the sustainability of collusion under the pure auction and hybrid systems in addition to analyzing auction prices with modern time series tools.