Short Sales Constraints, Liquidity and Price Discovery: An Empirical Analysis on the Paris Bourse

In the Paris Bourse some stocks are traded on a spot basis, while others are traded on a monthly settlement basis. The latter are likely to be less subject to leverage and short sales constraints. We empirically analyse the consequences of this difference for the order flow and the return process. Consistent with the theoretical analysis of Diamond and Verrechia (1987), we find that market sell orders are less frequent on the spot market than on the monthly settlement market (although not very significantly) and that the spot market reflects good news (significantly) faster than bad news.     

Empirical factor demands and flexible functional forms: a bayesian approach

In this paper we compare classical econometrics, calibration and Bayesian inference in the context of the empirical analysis of factor demands. Our application is based on a popular flexible functional form for the firm's cost function, namely Diewert's Generalized Leontief function, and uses the well-known Berndt and Wood 1947–1971 KLEM data on the US manufacturing sector. We illustrate how the Gibbs sampling methodology can be easily used to calibrate parameter values and elasticities on the basis of previous knowledge from alternative studies on the same data, but with different functional forms. We rely on a system of mixed non-informative diffuse priors for some key parameters and informative tight priors for others. Within the Gibbs sampler, we employ rejection sampling to incorporate parameter restrictions, which are suggested by economic theory but in general rejected by economic data. Our results show that values of those parameters that relate to non-informative priors are almost equal to the standard SUR estimates, whereas differences come out for those parameters to which we have assigned informative priors. Moreover, discrepancies can be appreciated in some crucial parameter estimates obtained with or without rejection sampling.     

Assessing Macroprudential Policies: Case of South Korea*

In this paper, we develop methods for assessing the sensitivity of capital flows to global financial conditions. We use these methods to assess the impact of macroprudential policies introduced by South Korea in 2010. Relative to a comparison group of countries, we find that the sensitivity of capital flows into South Korea to global conditions decreased in the period following the introduction of macroprudential policies.     

Testing constancy of the error covariance matrix in vector models

In this paper a Lagrange multiplier test of the hypothesis that the covariance matrix of a multivariate time series model is constant over time is considered. It is assumed that under the alternative, the error variances are time-varying, whereas the correlations remain constant over time. Under the parameterized alternative hypothesis the variances may change continuously as a function of time or some observable stochastic variables. Small-sample properties of the test statistic are investigated by simulation. The assumption of constant correlations does not appear overly restrictive.     

Downstream offshoring and firm-level employment

When engaging in offshoring, firms import not only intermediates they used to produce in-house but also intermediates they previously sourced from non-affiliated domestic suppliers. This leads to a negative demand shock for the latter. We label this demand shock “downstream offshoring” and develop a novel measure capturing its extent for a firm in a given upstream industry. According to our instrumental variables estimations for a rich sample of Belgian manufacturing firms for the period of 1997 to 2007, downstream offshoring has a robust negative effect on employment.     

Systèmes De Gestion Des Ressources Humaines Et Performance Organisationnelle

Résumé ** :  La gestion des ressources humaines et son effet sur la performance de la firme représentent encore de nos jours une zone d'indétermination. Plusieurs théories tentent d'ailleurs d'expliquer cette importante relation. C'est l'approche configurationnelle des ressources humaines qui servira de filtre théorique à cette recherche. Validant cette approche auprès de 46 entreprises financières canadiennes, nous avons démontré, en partie du moins, la robustesse de cette approche stratégique de gestion des ressources humaines. Il ne fait aucun doute qu'une telle approche représente une alternative stratégique intéressante, capable d'accroître l'efficacité de nos firmes dans ce monde économique impitoyable et mondialisé.     

CALCULATING TRAGEDY: ASSESSING THE COSTS OF TERRORISM

Abstract.  The trends and consequences of terrorist activities are often captured by counting the number of incidents and casualties. More recently, the effects of terrorist acts on various aspects of the economy have been analyzed. These costs are surveyed and put in perspective. As economic consequences are only a part of the overall costs of terrorism, possible approaches for estimating the utility losses of the people affected are discussed. Results using the life satisfaction approach, in which individual utility is approximated by self-reported subjective well-being, suggest that people's utility losses may far exceed the purely economic consequences.     

«Flexiseguridad» en Bélgica. Una propuesta de reforma basada en principios económicos

El régimen de seguro de desempleo y la legislación protectora del empleo de Bélgica se establecieron con el telón de fondo de una relación clásica, de carácter estable y duradero, entre trabajadores y empresas. Sin embargo, la globalización de la economía y la rápida evolución de las tecnologías y los sistemas de organización exigen hoy en día más flexibilidad tanto a unos como a otras. De ahí que las instituciones del mercado laboral hayan de reformarse de manera urgente para conciliar esta mayor flexibilidad con una seguridad suficiente para los trabajadores. Aunque la idea de la «flexiseguridad» no es nueva, hay opiniones distintas sobre cuál es el modelo institucional que debe traer consigo. Los autores proponen una reforma guiada expresamente por los principios económicos.