Value at risk forecasting for volatility index

Forecasts of values at risk (VaRs) are made for volatility indices such as the VIX for the US S&P 500 index, the VKOSPI for the KOSPI (Korea Stock Price Index) and the OVX (oil volatility index) for crude oil funds, which is the first in the literature. In the forecasts, dominant features of the volatility indices are addressed: long memory, conditional heteroscedasticity, asymmetry and fat-tails. An out-of-sample comparison of the VaR forecasts is made in terms of violation probabilities, showing better performance of the proposed method than several competing methods which consider the features differently from ours. The proposed method is composed of heterogeneous autoregressive model for the mean, GARCH model for the volatility and skew-t distribution for the error.     

The Big Family: Informal Financing of Small‐ and Medium‐Sized Businesses by Guanxi

Guanxi facilitates interaction between companies and people in Confucian societies. Does this type of social construct still play the key role, when the entrepreneurs live in Western societies? The objective of this article is to verify the impact of Guanxi on the capacity of small and medium‐sized businesses accessing financial resources informally. To this end, data collected from small Chinese entrepreneurs active in the principal business center of Brazil were used. From nonparametric tests, the results suggest that: (1) different levels of Guanxi allow small and medium‐sized businesses to access informal financial resources; (2) different types of informal financing are mostly used, or judged to be more significant, depending on the level of Guanxi of the entrepreneur in terms of parental and nonfamily ties; and (3) unlike the Western literature on the financial cycles of start‐ups, this type of informal financing can extend beyond the initial stage of the business. © 2014 Wiley Periodicals, Inc.     

Free trade agreement and transport service trade

This study investigates the effects of free trade agreements (FTAs) on trade in transport services using OECD data from 2003 to 2006. Our analysis found that FTAs had a positive overall impact on transport services for multiple countries (i.e., 26 home and 56 partner countries). The resulting positive overall impact assures that, even with the challenges associated with different layers of services and the obstacles formed by generally low trade openness in the sector, the provisions in FTAs (e.g., national treatment and market access for goods and services) promote transport service trades. Our findings suggest that the provisions in FTAs encourage economic agents to increase engagement in transport services because of expanded openness of the physical movement of goods across international borders.     

Market Risk Disclosures and Investment Efficiency: International Evidence from the Gulf Cooperation Council Financial Firms

This study examines the association between market risk disclosures (MRDs) and the investment efficiency of financial firms from six emerging markets in the Gulf Cooperation Council (GCC) region. Based on a sample of 553 firm‐year observations over the 2007–2011 period, we find that MRDs are significantly and negatively associated with both under‐investment and over‐investment and that this association is more pronounced for larger firms. We also find that the association between MRDs and under‐investment is moderated during periods of economic distress such as the Global Financial Crisis of 2008 and that the association between MRDs and over‐investment is magnified during periods of reduced financial distress. Our results are consistent with the idea that MRDs reduce information asymmetry, which ultimately improves investment efficiency. We contribute to the literature in an emerging market context by providing empirical evidence on the association between MRDs and investment efficiency across six emerging GCC capital markets. This study also fills a gap in the literature by providing evidence on the factors affecting the investment efficiency of financial firms.     

IMMIGRANT RELATIVE WAGES AT THE GREAT RECESSION: EVIDENCE WITH MATCHED EMPLOYER‐EMPLOYEE DATA FOR SPAIN

The article examines relative wages of immigrants in Spain, with a particular focus on the impact of the Great Recession. The empirical analysis is restricted to men and is based on matched employer‐employee microdata and the decomposition techniques of Juhn et al. (1991, 1993) and Fortin et al. (2011). Our results show that the significant native‐immigrant wage gap that exists both in terms of average wages and of differentials along the wage distribution is essentially explained by differences in the endowments of observed characteristics so that, in general, immigrants tend to receive a similar wage treatment than Spaniards with analogous observed attributes. On the other hand, the Great Recession has had a noticeable impact on the relative wages of immigrants, given that the significant increase of the native‐immigrant wage gap observed during the previous expansionary period was mitigated during the economic downturn due to composition effects arising from the severe employment destruction pattern.     

Does Inter‐jurisdictional Competition Engender a “Race to the Bottom”? A Meta‐Regression Analysis

A growing literature documents the existence of strategic political reactions to public expenditure between rival jurisdictions. These interactions can potentially create a downward expenditure spiral (“race to the bottom”) or a rising expenditure spiral (“race to the top”). However, in the course of identifying the existence of such interactions and ascertaining their underlying triggers, the empirical evidence has produced markedly heterogeneous findings. Most of this heterogeneity can be traced back to study design and institutional differences. This article contributes to the literature by applying meta‐regression analysis to quantify the magnitude of strategic inter‐jurisdictional expenditure interactions, controlling for study, and institutional characteristics. We find several robust results beyond confirming that jurisdictions do engage in strategic expenditure interactions, namely that strategic interactions: (i) are weakening over time, (ii) are stronger among municipalities than among higher levels of government, and (iii) appear to be more influenced from tax competition than yardstick competition, with capital controls and fiscal decentralization shaping the magnitude of fiscal interactions.     

Towards mediation: developing a theoretical framework to understand alternative dispute resolution

This article examines alternative approaches to conflict resolution by developing a theoretical framework that relates dispute resolution practice to philosophical assumptions about authority and knowledge. By investigating the assumptions underpinning interest‐based bargaining and mediation their link to direct democracy and challenge to managerial authority are revealed at the level of theory and practice.     

A LONGITUDINAL STUDY OF CHANGE IN THE ENGLISH NATIONAL HEALTH SERVICE

This paper reports the findings of a longitudinal comparative case study of three National Health Service (NHS) hospital Trusts in England, investigating the perceptions of clinical, managerial and accounting professionals towards changing cost accounting and performance measurement practices. It incorporates both qualitative and quantitative data analysis, and is based on a contextualist understanding of change management, utilising the content‐process‐context approach (Pettigrew and Lapsley, 1994) to investigate the influence of receptive versus non‐receptive contexts on change. The analysis reveals limited success in improving performance measurement practices (the content of change) in Trusts. Nevertheless the specific context within which change was operationalised was found to be very important, with central mangers playing a key role in influencing change. The process of change indicated slow shifts in clinical‐accountant‐managerial relations, partly driven by changes in financial flows within the organisations.