The current global financial crisis: Do Asian stock markets show contagion or interdependence effects?

In the framework of the current global economic crisis, a pertinent question is whether the world economies are suffering from contagion or interdependence effects. With its origins in the US sub-prime mortgage market crisis starting at the end of 2007, when a loss of confidence by investors in the value of securitized mortgages resulted in a liquidity crisis, hard-hitting the banking system and rapidly spreading into the financial markets, the effects of the crisis were automatically reflected in the rest of the world economies. These effects become more severe as the rest of the world is facing economic and financial instability. Therefore, the American shock can be seen as the trigger that revealed the other economies’ own financial problems. The main finding of this paper shows that the US stock markets are not generating contagious effects into the Asian stock markets. However, strong evidence of volatility transmission derived from these economies’ interlinkages has been detected.     

Stochastic FDH/DEA estimators for frontier analysis

In this paper we extend the work of Simar (J Product Ananl 28:183–201, 2007) introducing noise in nonparametric frontier models. We develop an approach that synthesizes the best features of the two main methods in the estimation of production efficiency. Specifically, our approach first allows for statistical noise, similar to Stochastic frontier analysis (even in a more flexible way), and second, it allows modelling multiple-inputs-multiple-outputs technologies without imposing parametric assumptions on production relationship, similar to what is done in non-parametric methods, like Data Envelopment Analysis (DEA), Free Disposal Hull (FDH), etc.... The methodology is based on the theory of local maximum likelihood estimation and extends recent works of Kumbhakar et al. (J Econom 137(1):1–27, 2007) and Park et al. (J Econom 146:185–198, 2008). Our method is suitable for modelling and estimation of the marginal effects onto inefficiency level jointly with estimation of marginal effects of input. The approach is robust to heteroskedastic cases and to various (unknown) distributions of statistical noise and inefficiency, despite assuming simple anchorage models. The method also improves DEA/FDH estimators, by allowing them to be quite robust to statistical noise and especially to outliers, which were the main problems of the original DEA/FDH estimators. The procedure shows great performance for various simulated cases and is also illustrated for some real data sets. Even in the single-output case, our simulated examples show that our stochastic DEA/FDH improves the Kumbhakar et al. (J Econom 137(1):1–27, 2007) method, by making the resulting frontier smoother, monotonic and, if we wish, concave.     

THE FUTURE OF PUBLIC ENTERPRISES: PERSPECTIVES FROM THE CANADIAN EXPERIENCE

ABSTRACT: Public enterprises have been an integral part of the involvement of the state in the economy for most of the 20th century. After 1980, privatization has been the dominant trend until the 2008–2010 economic crisis when new nationalizations happened. Ownership is only an element of a complex system of relations between a public enterprise and its institutional environment where the role of the board of directors, the mechanisms of coordination, the role of senior civil servants, etc. come to play. Using the Canadian experience with public enterprises, we suggest in this article that public enterprises could be interesting economic policy instruments in the future as in the past if such an economic policy exists. In other words, privatization did not solve the control issue over many large enterprises. Improved corporate governance should be considered. This article aims at improving the understanding of how by focusing on various aspects of the governance of public enterprises on their potential use and work. In Canada, public enterprises have been used to face the recent global crisis but they also come from a long tradition of intervention in the economy, a tradition closer to the European than the American. After reviewing recent developments in their governance, paths for future research are proposed.     

What Drives Household Choice of Organic Products in Grocery Stores?

This paper studies how households choose organic products on a given store visit. We develop a three-stage purchase incidence/brand choice/purchase quantity model for organic products. Shared random effects parameters link the three stages of the model. We empirically quantify the effects of category variables, marketing mix, and demographic variables on the purchase of organic products using a unique household panel dataset that includes actual organic purchase data from two markets, by over 4,500 households in 25 stores for the period between January 2004 and June 2009. First, we find that the purchase of organic products is greater among the high income, college educated, and older families as well as among consumers holding high-level occupations. Second, households tend not to purchase organic products when buying in concentrated categories. Third, on average, households tend to buy organic store brands more than the organic national brands. Promotions of organic brands (feature ad and display) are less likely to drive households to buy organic brands and so does the organic brand's distribution breadth. Finally, price has an inverted U-shaped effect. We discuss the implications of these results for retailers, manufacturers and researchers.     

Who gets the carrot and who gets the stick? Evidence of gender disparities in executive remuneration

This paper offers a new explanation of the gender pay gap in leadership positions by examining the relationship between managerial bonuses and company performance. Drawing on findings of gender studies, agency theory, and the leadership literature, we argue that the gender pay gap is a context‐specific phenomenon that results partly from the fact that company performance has a moderating impact on pay inequalities. Employing a matched sample of 192 female and male executive directors of U.K.‐listed firms, we corroborate the existence of the gender pay disparities in corporate boardrooms. In line with our theoretical predictions, we find that bonuses awarded to men are not only larger than those allocated to women, but also that managerial compensation of male executive directors is much more performance‐sensitive than that of female executives. The contribution of attributional and expectancy‐related dynamics to these patterns is highlighted in line with previous work on gender stereotypes and implicit leadership theories such as the romance of leadership. Gender differences in risk taking and confidence are also considered as potential explanations for the observed pay disparities. The implications of organizations' indifference to women's performance are examined in relation to issues surrounding the recognition and retention of female talent. Copyright © 2010 John Wiley & Sons, Ltd.     

Multivariate GARCH models: a survey

This paper surveys the most important developments in multivariate ARCH‐type modelling. It reviews the model specifications and inference methods, and identifies likely directions of future research. Copyright © 2006 John Wiley & Sons, Ltd.     

Implicit functional relationships between systematic effects in a general model of movement

In this paper some further remarks are formulated on a general systems model of movement developed by Alonso. In particular, implicit relations between systemic variables are derived, which results in the proportionality of all systems push and pull effects and the choice of a reference unit as numeraire. This results in a simplified reduced form equation. The approach is illustrated empirically using data on interprovincial migration in Canada.     

Asian Economic Integration and Stock Market Comovement

Using daily returns from 1988 to 1998, we investigate to what degree twelve equity markets in Asia are integrated with Japan's equity market and examine the factors that affect the level of economic integration. We find that the equity markets of Australia, China, Hong Kong, Malaysia, New Zealand, and Singapore are highly integrated with the stock market in Japan. There is also evidence that these Asian markets become more integrated over time, especially since 1994. A higher import share as well as a greater differential in inflation rates, real interest rates, and gross domestic product growth rates have negative effects on stock market comovements between country pairs. Conversely, increased export share by Asian economies to Japan and greater foreign direct investment from Japan to other Asian economies contribute to greater comovement.