Initial Margin Requirements, Volatility, and the Individual Investor: Insights from Japan

Initial margin requirements represent: (1) a cost impediment to the wealth constrained investor and (2) a potential way of mitigating excessive volatility. However, prior empirical research finds that margins are not an effective tool in reducing volatility. We consider the possibility that margins primarily affect certain stocks and investors. Specifically, we test whether margins affect individuals who, as a group, we believe to be the investors most affected when margin requirements change. Our initial empirical tests, however, do not support this contention.     

Information Disclosure to Employees and Rational Expectations: a Game-Theoretical Perspective: a Comment

In this comment we identify the key features of the Frantz and Walker (1997) game theoretic model that drive the non-disclosure equilibrium result in their paper. We argue that, although technically correct, their model fails to capture certain aspects of real-world wage bargaining that will be important in determining optimal disclosure strategies in practice. However, Frantz and Walker's paper illustrates the potential of analytical techniques to contribute to the employee disclosure debate.     

Futures and forward price differential and the effect of marking‐to‐market: Australian evidence

The objective of this paper is to examine the effects of marking‐to‐market of futures contracts on the price differential between futures and forward contracts based on the predictions of the Cox, Ingersoll and Ross (1981) (CIR) model. Cox et al ., (1981) derive a series of propositions with respect to the relationship between futures and forward prices and a set of testable implications. These are tested empirically in this paper using Australian data from November 1991 to June 1997. The results provide evidence of the presence of significant futures and forward price differences, where the futures price is consistently below the forward price. Only partial support is found for the Cox et al ., (1981) propositions, implying that the effect of marking‐to‐market is not able to fully account for the price differential. Therefore, it is not possible to rule out the influence of other institutional factors on the futures‐forward price difference.     

The political economy of direct legislation: direct democracy and local decision–making

Local and regional governments account for an important share of total government spending and, given the decentralization trend in OECD nations, this is likely to increase. How should this spending be governed? This article argues that direct democracy is best suited to organize decision–making at the state and local level. To support this, we present the main theoretical arguments on why and how referenda and initiatives affect fiscal policy outcomes. The basic argument concerns voter control. Under representative democracy, citizens only have direct control at election time. With referenda and initiatives, citizens can selectively control their representatives on specific policies whenever they deviate sufficiently from citizens' preferences. As a result, fiscal policy outcomes are likely to more closely reflect voter preferences. We empirically test this on Swiss data since Switzerland provides a 'natural laboratory' for local governance. The governance structures of Swiss cantons and localities with respect to fiscal issues range from classic parliamentary democracy to pure direct democracy, and an important part of spending and taxation is controlled at these levels. Specifically, we estimate an econometric model of fiscal behaviour using data from 1986 to 1997 for the 26 Swiss cantons, and 1990 data on 134 local communities. It is shown that mandatory referenda on fiscal issues at both levels have a dampening effect on expenditure and revenue, and at the local level also on public debt. Combining this with existing empirical evidence leads to a relatively uncontested result, namely that elements of direct democracy are associated with sounder public finances, better economic performance and higher satisfaction of citizens.     

THE ECONOMETRICS OF THE HOLY GRAIL — A REVIEW OF ECONOMETRICS: ALCHEMY OR SCIENCE? ESSAYS IN ECONOMETRIC METHODOLOGY

Books reviewed in this article: David F. Hendry (1993) Econometrics: Alchemy or Science? Essays in Econometric Methodology     

Multiple regimes and cross-country growth behaviour

This paper provides some new evidence on the behaviour of cross-country growth rates. We reject the linear model commonly used to study cross-country growth behaviour in favour of a multiple regime alternative in which different economies obey different linear models when grouped according to initial conditions. Further, the marginal product of capital is shown to vary with the level of economic development. These results are consistent with growth models which exhibit multiple steady states. Our results call into question inferences that have been made in favour of the convergence hypothesis and further suggest that the explanatory power of the Solow growth model may be enhanced with a theory of aggregate production function differences.     

通向市场的新道路

对于传统的市场营销人员来说,组织本身即意味着架构:不同的产品、销售渠道和客户群。但对于新型的营销组织而言,在瞬息万变的市场环境中,传统的架构已经不能推动价值的攀升