Central bank transparency and market efficiency: An econometric analysis

Blinder (1998) argues that more open public disclosure of central bank policies may enhance the efficiency of markets. We examine this claim by studying whether the Federal Reserve System's 1994 policy shift toward more open disclosure improved or worsened the predictability of financial markets. Employing methods analogous to Campbell and Shiller (1991), we find that since 1994, the forecasting error has decreased for interest rates on U.S. bonds of most maturity lengths, and that the expectations hypothesis has performed better at the low end of the yield curve. These findings are inconsistent with the view that increased central bank transparency will decrease the efficiency of financial markets. The authors would like to thank participants of the 2001 Midwest Macroeconomics Conference and 2001 Missouri Economics Conference for their helpful comments and suggestions. All errors are, of course, the author's.     

Predicting the geo-temporal variations of crime and disorder

Traditional police boundaries—precincts, patrol districts, etc.—often fail to reflect the true distribution of criminal activity and thus do little to assist in the optimal allocation of police resources. This paper introduces methods for crime incident forecasting by focusing upon geographical areas of concern that transcend traditional policing boundaries. The computerised procedure utilises a geographical crime incidence-scanning algorithm to identify clusters with relatively high levels of crime (hot spots). These clusters provide sufficient data for training artificial neural networks (ANNs) capable of modelling trends within them. The approach to ANN specification and estimation is enhanced by application of a novel and noteworthy approach, the Gamma test (GT).     

"Flexible" Work Practices and Occupational Safety and Health: Exploring the Relationship Between Cumulative Trauma Disorders and Workplace Transformation

This article matches establishment-level data on workplace transformation (e.g., quality circles, work teams, and just-in-time production) with measures of cumulative trauma disorders at these same establishments to explore the relationship between "flexible" workplace practices and workplace health and safety. The results reveal a positive, statistically significant, and quantitatively sizable relationship between cumulative trauma disorders and the use of quality circles and just-in-time production.     

Regulating Banks through Market Discipline: A Survey of the Issues

Abstract.  The interest in the application of market discipline to regulate the financial industry has boomed recently due to the proposed New Capital Accord. This paper reviews the potential role market discipline can play in financial regulation. We start with a discussion of the rationale for financial regulation and with a brief history of the current regulatory mechanisms. Next, a definition of market discipline as a regulatory mechanism is advanced. We evaluate the disciplining power various market participants have. Finally, we argue that more external risk management disclosure is a condition sine qua non in order to enable market discipline as a regulatory mechanism. In this respect, the Basle Committee has taken the right approach.     

Exact Ruin Probabilities and the Evaluation of Program Trading On Financial Markets

For a compound Poisson process with negative drift and jump distribution consisting of a mixture of exponentials on [0) and on (-, 0), an exact expression is derived for the probability of hitting the level c, c > 0. the problem is motivated by modeling the returns from trading on financial markets.     

Shadow Financial Regulatory Committee statements

Shadow Financial Regulatory Committee statements     

WARRANT PRICING USING OBSERVABLE VARIABLES

The classical warrant pricing formula requires knowledge of the firm value and of the firm‐value process variance. When warrants are outstanding, the firm value itself is a function of the warrant price. Firm value and firm‐value variance are then unobservable variables. I develop an algorithm for pricing warrants using stock prices, an observable variable, and stock return variance. The method also enables estimation of firm‐value variance. A proof of existence of the solution is provided.