The Asynchronous Leontief Model

The traditional dynamic Leontief model is synchronous: every vertex acts simulaneously. A model with delays of action has been proposed, but it still remains synchronous. In this paper we propose an asynchronous version of the model that allows realistic computations. We furnish an algorithm and a program.     

Information content of extended trading for index futures

The recent extension of trading hours for Hang Seng Index Futures provides an opportunity to examine whether extended futures trading contains useful information about spot returns. Using the weighted price contribution measure, we find that pre‐open futures trades are associated with significant price discovery. We extend the model from T. Hiraki, E. D. Maberly, and N. Takezawa (1995) and adjust for the existence of a pre‐open trading session and the overnight trading of cross‐listed shares in London. Our results indicate that extended trading for index futures contains useful information in explaining subsequent spot returns during the trading day. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:861–886, 2004     

The response of the Dollar/Yen exchange rate to economic announcements

The paper examines the impact of major U.S. macroeconomic announcements on the Dollar/Yen exchange rate. We find that these announcements are responsible for most intraday and day-of-the-week volatility patterns in this market and we identify the most important announcements. The initial reaction to a major 8:30 announcement begins around 8:30:10 and lasts until about 8:30:50. A partial price correction is normally observed between 8:31 and 8:32. Price movements after 8:32 are basically independent of those observed earlier although volatility continues to be higher than normal until about 8:55.     

CHINA'S RURAL INDUSTRY AND MONOPSONY: AN EXPLORATION

Abstract. Despite spectacular output growth and significant employment creation, recent findings suggest that China's TVEs are "under-employing"'labour relative to the competitive benchmark. The paper reconfirms these findings on a new data set, discusses the possibility that it is caused by enterprises confronting upward-sloping labour supply curves, and performs a preliminary test for this by regressing the estimated marginal product-wage gaps for our enterprise sample on variables proxying for labour scarcity, labour market infrastructure, and pressure to maximize profits. The results are broadly supportive of the hypothesis.