Is the January effect still alive in the futures markets?

The January effect concerns the fact that small capitalization stocks have historically outperformed large capitalized stocks in January. We analyze evidence as to whether this anomaly can be exploited in the futures markets as a speculative investment or to add risk-adjusted value to portfolio performance. We find that the January effect is still alive in the futures markets on the Value Line minus S&P 500 spread trade, but that the marginal liquidity of the Value Line stock index futures contract has made it very risky to exploit the effect. Historically from 1982/3 to 2004/5, the trade has been profitable. This anomaly was also exploitable through a Russell 2000 minus S&P 500 spread trade from 1993/4 to 2004/5.

Jason Scott Smith. Building New Deal Liberalism: The Political Economy of Public Works, 1933-1956

Jason Scott Smith's ambitious, some might say overly-ambitious,goal is to "construct a new narrative" of the New Deal's significanceby using the lens of political economy to examine and explainhow the policies initiated during that historical phase "revolutionizedthe priorities of the American state, radically transformingthe physical landscape, political system, and economy of theUnited States" (p. 1). Smith most certainly does not see NewDeal policies as failures that were incapable of getting theU.S.     

Formal targets, central bank independence and inflation dynamics in the UK: A Markov-Switching approach

We examine inflation and uncertainty in the UK with a version of the Markov Switching model, which allows for changes in the variance as well as in the mean and persistence of a series. We find that the UK’s attempts at exchange rate pegs in the form of shadowing the deutschmark and entering the ERM were ineffective, and in the latter case counterproductive in lowering inflation uncertainty. The 1981 budget, however, greatly lowered uncertainty, and the adoption of a formal inflation target also had a palpable, negative impact on inflation uncertainty. As a suggestive exercise, we examine inflation uncertainty in the US, and find that, over 2005–2008, in the absence of an inflation target, uncertainty rose in the US, while uncertainty remained low in the UK over this period of rising commodity prices and financial turmoil.     

Business cycle amplification with heterogeneous expectations

This paper studies the implications for business cycle dynamics of heterogeneous expectations in a stochastic growth model. The assumption of homogeneous, rational expectations is replaced with a heterogeneous expectations model where a fraction of agents hold rational expectations and the remaining fraction adopt parsimonious forecasting models that are, in equilibrium, optimal within a restricted class. Our approach nests the literature on rational expectations in business cycle models with a recent approach based on adaptive learning. We demonstrate that (i.) heterogeneous expectations can lead to substantial improvement in the internal propagation of equilibrium business cycle models and (ii.) the internal propagation depends on the degree of heterogeneity. A calibrated model with heterogeneity provides a closer fit to business cycle data than its representative agent, rational expectations counterpart.     

A model of adolescents' online consumer self-efficacy (OCSE)

This paper investigates adolescent online shopping and self-efficacy development in the virtual setting. The authors present and test a model of antecedents and mediators to two dimensions of online consumer self-efficacy. Additionally, a discriminant analysis finds that more involved adolescent online shoppers can be differentiated from less involved online shoppers on key variables of interest-shopping motivations, self-efficacies, shopping behaviors, and relative influence in household decision-making.     

World market integration for export and food crops in developing countries: a case study for Mali and Nicaragua

Using a generalized error correction model, this article measures and compares market integration for export cash crops versus imported food crops for Mali and Nicaragua, and computes transmission elasticities between changes in the goods’ border and domestic prices. Both Mali and Nicaragua obtain the bulk of their export revenue from a particular agricultural commodity—cotton for Mali and coffee for Nicaragua—and both import the same key staple food of rice. To reap the economic gains from this trade specialization, the two countries’ agriculture must be well‐integrated into world markets. The two countries present an important policy contrast that affects their degree of world market integration and price transmission. In Mali, a parastatal enterprise controls its cotton industry, while Nicaragua has less state direction over agriculture. Reflecting this difference, the results show that for both its main export and import commodity, Nicaragua is more integrated into world markets and has higher price transmission than Mali. The results for Nicaragua also show much higher integration and price transmission for its main agricultural export (coffee) than its major import (rice).