The Influence of Monetary Conditions on the Response of Interest Rate Futures to M1 Releases: 1976–1998

Abstract:   This study examines the response of T‐bill and T‐bond futures prices to weekly M1 announcements over the period March 1976 to November 1998 conditioned upon monetary operating procedures and the stance in monetary policy. In concurrence with previous studies, this study finds that unanticipated increases in M1 are negatively related to changes in T‐bill and T‐bond futures prices. However, when the data is sorted by monetary regime, the stance in monetary policy, and direction of money surprise, we find evidence to support the several competing theories historically suggested by Cornell (1983b) to explain the impact of money supply announcements.     

THE DEALERS' PRICE/SIZE QUOTE AND MARKET LIQUIDITY

We model trading in a competitive securities market where informed traders and liquidity traders transact with dealers. The dealers' entire published quote is modeled: bid-ask prices and the number of shares the dealer is willing to buy/sell at these prices (i.e., size quotes). We argue that size quotes are a more informative indicator of market liquidity than the bid-ask spread's adverse-selection component. Moreover, the size quotes reveal several market characteristics that cannot be inferred from the bid-ask spread's adverse-selection component alone. The model generates a number of empirically testable predictions that clarify certain key elements of market liquidity.     

„International Market Development“

Literaturhinweise

„International Market Development“ Literaturhinweise zusammengestellt von Oliver Malms, MSc     

Do parental decision-making patterns predict compliance with use of child booster seats?

Booster seat use for 4–9 year olds remains the lowest of all age groups in many countries. The objective of this study is to examine whether parents’ decision-making patterns, as measured by the Melbourne Decision Making Questionnaire, relate to car booster seat use. Israeli parents of 4–7 years old children (n = 398) answered a questionnaire about car safety and decision-making habits. Ninety per cent of parents reported having a booster seat; 70.5% reported consistent booster seat use in general and on short drives during the last month (booster seat use compliance index). Greater compliance index was positively related to a vigilant decision-making pattern, passenger compliance with rear seat belts and families with fewer children. Lower booster seat use compliance index was associated with buck-passing decision-making pattern. Health professionals and policy-makers should take into account parents’ habitual decision-making patterns when designing interventions for car booster seat compliance.     

Interest rate changes and the timing of debt issues

There is much recent interest in the role of market timing in firm financial decisions. Using a large detailed sample of corporate public debt issues, private placements, Rule 144A issues and bank loans over the period 1970–2006, we investigate the relationship between interest rate changes and issues of floating and fixed-rate debt. Our results indicate that both past and future rates are associated with issuance decisions. We examine whether firms are able to lower their cost of capital by anticipating future rate changes, controlling for firm characteristics and market conditions. Our findings suggest that evidence of timing success is dependent on the time interval and type of debt examined. Over the longest time intervals available in our data, we do not find evidence of timing ability for fixed-rate or floating-rate debt issues.     

Convertible Preferred Stock Valuation: Tests of Alternative Models

We undertake a comprehensive test of several contingent claim valuation models adapted to callable, convertible preferred stocks employing a sample of 24 issues and over 27,000 daily price observations. To our knowledge, no large-scale tests of these models have been published. The most complete model tested is an extension of the 1970s developments of Ingersoll and of Brennan and Schwartz, allowing for realistic contract features including delayed callability and nonconstant call prices. The mean and the mean absolute pricing errors are approximately –0.18 percent and 5.4 percent, respectively, and this model fits the data substantially better than the simpler alternatives that ignore such features. Thus, the added computational complexity required for the most complete model examined is evidently merited. Moreover, to the extent that the most complete model accurately mirrors reality, the evidence suggests that investors rationally account for many of the complex features imbedded in typical contracts.     

Institutional causes of urban and rural sprawl in Switzerland

Open space is a very scarce resource in Switzerland. The Federal Government aims to stabilize the use of settlement area per resident at 400 m². This paper starts by outlining the institutional system of spatial planning in Switzerland. Regressions then explain both the current level of land use per resident as well as the development of this indicator. Factors like cars per resident, the proportion of old people and the rural character of the municipality do increase land use per resident. Case studies show that there are currently hardly any instruments available with which to steer land use beyond the local level. It is concluded that incentives for local administrations should be introduced in order to limit urban and rural sprawl.     

Beyond Böhm-Bawerk: Searching for a place for relations in economic theory

Although, in the nineteenth century, Böhm-Bawerk remarked that relations as a category are distinct from goods, economists today increasingly subsume relations as a particular category of goods, both semantically and by applying methods like Contingent Valuation. This paper shows where the main distinctions between goods and relations lie. It categorizes economically relevant relations along the lines of symmetry and relevance for bystanders. The main obstacles to applying valuation techniques developed for public goods are outlined.     

Business Angel Syndication and the Evolution of Risk Capital in a Small Market Economy: Evidence from Scotland

In this paper, we examine the evolution of risk capital markets in a small market economy, with particular reference to business angel syndication. Scotland provides a valuable case, where the number of business angel syndicates (BAS) has grown from 3 to 18 between 2001 and 2010, the most radical shift in market organisation of any region in Europe. Findings suggest that a narrow range of focused but integrated public policies can be very effective in risk capital ‘capacity building’. Results suggest that syndication generates larger investment deals and more follow‐on investment but results in less new investments, fewer exits and an ‘equity gap’ in the lower end of the market, suggesting the need for ongoing formation of new BAS and greater emphasis on investment exits. Copyright © 2013 John Wiley & Sons, Ltd.