We examine the properties of several residual-based cointegration tests when long-run parameters are subject to multiple shifts
driven by an unobservable Markov process. Unlike earlier study, which considered one-off deterministic breaks, our approach
has the advantage of allowing for an unspecified number of stochastic breaks. We illustrate this issue by exploring the possibility
of Markov switching cointegration in the stock price-dividend relationship and showing that this case is empirically relevant.
Our subsequent Monte Carlo analysis reveals that standard cointegration tests are generally reliable, their performance often
being robust for a number of plausible regime shift parameterizations. 相似文献
We analyse the monetary policy implications of boom–bust cycles in asset prices using a Markov-switching rational expectations model. In our simulations, when a bubble bursts, the Taylor rule fails to achieve a soft landing, contrary to the optimal policy. 相似文献
This article examines the impact of industrial productivity in the country of origin on transnationals M&As, directed from OECD countries toward Latin America in the period 1996–2010. It also analyzes the relationship between external mechanisms of corporate governance and transnational M&As. Employing a gravitational model at the industry level, we find that industry productivity in the country of origin promotes transnational M&A activity, although capital productivity affects it negatively. We also find evidence that higher standards of corporate governance in both origin and destination countries increase the likelihood of transnational M&As taking place. 相似文献
In pharmaceuticals markets, sellers of branded drugs sometimes sell generic versions of their own branded products, either directly or through license agreements. Although claims that these pseudo-generics may have anti-competitive effects are not unusual, the theoretical literature on this issue is limited and not conclusive. This paper uses a model that combines horizontal and vertical product differentiation, to explain how those effects may occur. We show that the producer of the branded product will not sell the pseudo-generic unless faced with competition and that, if she does so, in some circumstances, all prices rise to the benefit of all sellers and the detriment of consumers. 相似文献
This paper investigates whether foreign firms had a positive impact on entrepreneurial activity measured by the net creation
of firms. Using firm-level panel data for the Portuguese manufacturing and service industries over the period 1986 to 2000,
we test whether the impact of foreign firms on firms’ entry depends on the number and size of previous foreign entrants. Overall,
the results cast some doubts on the influence of foreign firms in assisting entrepreneurial activity. The impact of a first
foreign investment is, in general, positive but the marginal impact of additional investments appears to be negative. 相似文献
Baleiras and Santos (2000) show that "stop–and–go" policies may be inherent in the institutional set–up rather than result from the wrong timing of expansionary vs. contractionary policies or any form of players' irrationality. We use this set–up, involving ultrarational players and perfect foresight, to show that stop–and–go policies are more likely (in a statistical sense) than the opposite type of phenomenon. Moreover, it is shown that having the voters' and the business community's preferences concerning the cycle converge to the socially optimal cycle pattern may entail a welfare loss. 相似文献
Throughout the nineties, a number of tender offers occurred in the Portuguese market. This article employs event study methodology to investigate their effects on the involved firms shareholders. On average, these operations increased the market value of the involved firms by 2% to 3%. However, target shareholders appropriated most of this gain, earning 18% over their firms previous value, whereas bidder shareholders seem to have gained nothing. These averages bent in bidders shareholders favour, however, when bidders held significant positions in the targets capital before the bid.Received: December 2002, Accepted: September 2003, JEL Classification:
G14, G34This paper corresponds to a revised version of chapter 6 of my PhD dissertation. I have greatly benefited from comments by my supervisors José Manuel Amado da Silva and Victor Mendes dos Santos, Pedro Pita Barros, participants in the 9o Encontro Nacional de Economia Industrial and in an internal seminar at the Faculdade de Economia e Gestão, and two anonymous referees. The responsibility for any remaining errors is, of course, exclusively mine. CMVM and BDP have kindly provided the data used. Grant PRAXIS/PCSH/C/CEG/30/96 partially supported this research. 相似文献
Corporate Social Responsibility is a reality for businesses and can be understood through the analysis of organizational actions in three areas, namely: economic, social and environmental. Its operationalization occurs through projects, and cases presented by the literature can greatly contribute to the definition of factors that lead these projects to success. Generally, professionals and entrepreneurs have good qualifications in traditional aspects of project management, but when they need to manage Corporate Social Responsibility projects doubts arise. In this context, the main objective of this study was to analyse the most impactful Critical Success Factors for Corporate Social Responsibility projects, considering Brazilian companies’ context, and to propose guidelines to better qualify new professionals and entrepreneurs in the kind of projects mentioned. Thirteen Critical Success Factors were identified in the literature and, through a survey with experienced professionals, it was possible to evidence the six most relevant for Brazilian companies’ context: ability to properly define the scope; ability to integrate the CSR project with the company's strategy; ability to identify stakeholders’ needs; ability to analyse risks; identify and involve stakeholders outside the organization; and grant financial resources to meet project needs. Using the information provided, three guidelines were proposed to better qualify professionals and entrepreneurs. This is an exploratory study that can contribute to potentialize debates on theme.