Evidence on the efficacy of interest-rate risk disclosures by commercial banks

This paper documents evidence on the efficacy of maturity-gap disclosures of commercial banks in indicating their net interest income that is exposed to interest-rate risk. For the large sample of banks that filed call reports from 1990 to 1997, a period that includes a wide range of interest rate movements, we find that (i) one-year maturity gap measures are significantly related to the one-year- and three-years-ahead change in net interest income, (ii) fixed-rate and variable-rate instruments differ in explanatory ability, and (iii) the one-to-five-year aggregate gap measures also have some power in explaining three-year-ahead changes in net interest income. These findings hold after controlling for the ex post growth in assets as well as the amount of rate-sensitive assets and liabilities (a competing set of explanatory variables). Because the Securities and Exchange Commission (SEC)'s [Securities and Exchange Commission (SEC), (1997). Disclosure of accounting policies for derivative financial instruments and derivative commodity instruments and disclosure of qualitative and quantitative information about market risk inherent in derivative financial instruments, other financial instruments, and derivative commodity instruments. Release Nos. 33-7386; 3438223; IC-22487; FR-48; International Series No. 1047; File No. S7-35-95 (January 31, 1997), Washington, DC] tabular disclosures are finer than maturity-gap data, our findings mitigate concerns about the usefulness of the SEC's market-risk-disclosure requirements. Furthermore, they suggest contrary to the claims of certain banks that the omission of prepayment and early withdrawal risk from gap measures does not totally compromise the ability of gap data to indicate interest-risk exposures.     

Leading knowledge-workers through situated ambiguity

The paper explores how formal leaders make sense of and deal with autonomy of knowledge-workers. Based on interviews, I suggest that leaders make sense of knowledge-workers’ autonomy as ranging from perfectly autonomous to too autonomous to less independent to acting childish. This ambiguity was dealt with by making sense of leading as ranging from facilitative and supportive approaches to more controlling, even reprimanding acts. This empirical investigation of constructions of ‘leader/ship’ and ‘followers’ contributes to leader/ship-follower/ship literature. The paper’s contribution to theory lies in the notion of situated ambiguity; a way to understand the emerging way through which formal leaders navigate and smoothly move between their own differing perspectives, different practical situations, various culturally acceptable understandings of leaders and knowledge-workers.     

Using Limited Information to Support the Decision to Launch a New Product in the Fruit Juice Market: A Teaching Case Study

Fresh Juice Incorporated (FJI) is in the process of determining whether it should launch a new fruit juice, Genetically Enhanced (GE) Juice. The GE Juice meets consumers' demands for a tasty, nutritious product and it would be the first new juice product in the last fifteen years. Before FJI decides to launch GE Juice, it must analyze the uncertainty surrounding market size, market share, and price of GE Juice. Finally, if FJI decides to launch GE Juice, then they must decide if they will bottle the juice themselves or outsource this process. This case teaches students how to discuss the strategic implications of launching a new product and develop a net present value and financial feasibility simulation model given limited information.     

Managing Public IP with Downstream Interfirm Research Spillovers

The paper examines the economic impact of pricing and access to public basic research‐related intellectual property (IP) in the presence of downstream interfirm spillovers using a Salop circle model of monopolistic competition. Depending on the nature and extent of spillovers and with free access to upstream basic research, firm entry can be excessive, insufficient, or socially optimal. When interfirm lump‐sum spillovers are absent or sufficiently small, competitive entry is excessive, so policies that restrict access to basic research IP can enhance social welfare. When lump‐sum research spillovers are sufficiently large, policies to induce entry and a clustering of downstream research activity can be welfare enhancing. Le présent article examine, à l’aide du modèle de Salop de concurrence monopolistique positionnant les firmes sur un cercle, l’impact économique de l’attribution d’une valeur à la propriété intellectuelle de la recherche fondamentale financée par des fonds publics et de l’accès à cette recherche lorsqu’il y a des retombées entre firmes en aval. Selon la nature et l’étendue des retombées et compte tenu de l’accès gratuit à la recherche fondamentale en amont, l’entrée de firmes peut‐être excessive, insuffisante ou optimale sur le plan social. Lorsque les débordements de la recherche vers d’autres firmes sont absents ou faibles, le niveau d’entrée de concurrence parfaite est excessif. Dans ce cas, les politiques qui restreignent l’accès à la recherche fondamentale financée par des fonds publics peuvent accroître le bien‐être social. Lorsque les débordements de la recherche sont assez importants, les politiques mises en ?uvre pour encourager l’entrée et le regroupement des activités de recherche en amont peuvent améliorer le bien‐être.     

The future of in-store technology

Journal of the Academy of Marketing Science - This paper introduces a conceptual framework for understanding new and futuristic in-store technology infusions. First, we develop a...     

Gratitude works: its impact and the mediating role of affective commitment in driving positive outcomes

After studying the effects of Louisiana’s post-hurricane “thank you” campaigns, the researchers find expressions of gratitude significantly improve perceptions of Louisiana in the midst of its recovery. Through a national survey conducted November 2006, they find that those who saw or heard a thank you advertisement have more positive attitudes toward the state and its people, a greater willingness to pay a premium for its products, services and travel to the state, and spread positive word-of-mouth, thus justifying the use of public funds to support the campaign. The authors investigate the role of participation on the effectiveness of expressions of gratitude and identify the mediating role of affective commitment in driving the positive results attributed to expressions of gratitude.     

Structural production layer decomposition: a new method to measure differences between MRIO databases for footprint assessments

Recent empirical assessments revealed that footprint indicators calculated with various multi-regional input–output (MRIO) databases deliver deviating results. In this paper, we propose a new method, called structural production layer decomposition (SPLD), which complements existing structural decomposition approaches. SPLD enables differentiating between effects stemming from specific parts in the technology matrix, e.g. trade blocks vs. domestic blocks, while still allowing to link the various effects to the total region footprint. Using the carbon footprint of the EU-28 in 2011 as an example, we analyse the differences between EXIOBASE, Eora, GTAP and WIOD. Identical environmental data are used across all MRIO databases. In all model comparisons, variations in domestic blocks have a more significant impact on the carbon footprint than variations in trade blocks. The results provide a wealth of information for MRIO developers and are relevant for policy makers designing climate policy measures targeted to specific stages along product supply chains.     

Trading frequency and event study test specification

We examine the effects of thin trading on the specification of event study tests. Simulations of upper and lower tail tests are reported with and without variance increases on the event date across levels of trading volume. The traditional standardized test is misspecified for thinly traded samples. If return variance is unlikely to increase, then Corrado's rank test provides the best specification and power. With variance increases, the rank test is misspecified. The Boehmer et al. standardized cross-sectional test (Event-study methodology under conditions of event-induced variance, Journal of Financial Economics 30, pp. 253–272) is properly specified, but not powerful, for upper-tailed tests. Lower-tailed alternative hypotheses can best be evaluated using the generalized sign test.     

Brexit: How Will UK Agriculture Fare?

There is little doubt that Brexit would have significant implications for UK agriculture, a sector with strong trade links to the EU and strong reliance on CAP income support. This article reports preliminary results from employing a Computable General Equilibrium Model, a Partial Equilibrium Model and Farm Level Models to explore selected trade and domestic policy scenarios post‐Brexit. These allow for the estimation of changes in producer prices, production and farm incomes against a baseline scenario of continued EU membership. Under a Free Trade Agreement with the EU, agricultural impacts are relatively modest. By contrast, unilateral removal of import tariffs has significant negative impacts on prices, production and incomes. Adoption of the EU's WTO tariff schedule for all imports favours net importers (e.g. dairy) and harms net exporters (e.g. sheep). Given the strong dependence of most UK farms on direct payments, their removal worsens negative impacts of new trade arrangements and offsets positive impacts. Impacts vary across different types and sizes of farm, but also regionally. However, the period of adjustment to new trade and domestic policy conditions may prove very challenging for a large number of farm businesses.     

Forecasting inflation with an uncertain output gap

The output gap is a crucial concept in the monetary policy framework, indicating demand pressure that generates inflation. However, its definition and estimation raise a number of theoretical and empirical questions. This paper evaluates a series of univariate and multivariate methods for extracting the output gap in Norway, and compares their value added in predicting inflation. We find that models including the output gap have better predictive power than models based on alternative indicators, and they forecast significantly better than simple benchmark models. Furthermore multivariate measures of the output gap perform better than the univariate gaps. Comments from two anonymous referees, Q. Farooq Akram, Tommy Sveen, Ken West, Fredrik Wulfsberg and seminar participants in Norges Bank are gratefully acknowledged. All mistakes remain our own. The views expressed are those of the authors and do not necessarily represent those of Norges Bank.