Information,hedging demand,and institutional investors: Evidence from the Taiwan Futures Exchange

This paper examines the effect of hedging demand by various types of institutional investor on subsequent returns and volatility. Using data from the Taiwan Futures Exchange, empirical results indicate that the hedging demand of foreign investors has a significant negative impact on subsequent returns and volatility. In addition, trading strategies based on the extreme hedging demand of foreigners are positively correlated with trading performance. Furthermore, there is evidence to show that returns (volatility) also affect the subsequent hedging demand of foreign investors, suggesting a feedback relation. Finally, the hedging demand of foreign investors has a greater impact on subsequent returns and volatility after global financial turmoil. Accordingly, this paper concludes that foreign investors are informed hedgers in the Taiwan futures market, especially after global financial turmoil.     

Monetary disequilibria and the euro/dollar exchange rate

Although stable money demand functions are crucial for the monetary model of the exchange rate, empirical research on exchange rates and money demand is more or less disconnected. This paper tries to fill the gap for the euro/dollar exchange rate. We investigate whether monetary disequilibria provided by the empirical literature on US and European money demand functions contain useful information about exchange rate movements. Our results suggest that the empirical performance of the monetary exchange rate model improves when insights from the money demand literature are explicitly taken into account.     

A new approach to estimate concentrations of alcohol ethoxylate in rivers in Japan for screening-level risk assessment

Alcohol ethoxylate (AE) is a widely used household detergent that is ubiquitous in aquatic environments. To assess and manage the risk of AE, its environmental exposure concentrations must be evaluated in rivers nationwide; however, very few AE monitoring data are currently available. Furthermore, developing a rigorous exposure model that would cover rivers nationwide would require a great deal of time, human resources, and money. We developed a new approach to estimate AE concentrations in rivers throughout Japan for screening-level risk assessment. In this approach, five-day biochemical oxygen demand (BOD₅) data were used as a surrogate indicator of the AE concentration in river water. The Tama and Nikko Rivers were ranked according to their BOD₅ data, and the AE concentrations of the Nikko River were then estimated using the Standardized Hydrology-based Assessment tool for chemical Exposure Load (AIST-SHANEL) model. For each river, the concentrations of AE in its waters were projected based on that river’s reported BOD₅ values, its ranking, the approximation formula for AE and BOD₅, and estimated AE concentrations in water of the Nikko River from the model. The accuracy of the projected values was validated by comparing the projected AE concentrations in water from the Tama River with its monitoring data. There are various technical uncertainties associated with this approach; however, our results suggest that this new approach can be applied in screening-level exposure assessment of other chemical substances that have properties similar to AE.     

基于组合预测模型的我国能源需求预测分析

本文根据预测理论,结合我国历年能源消费的相关数据,分别采用多元线性回归方法、灰色预测、指数模型方法建立我国能源需求的单项预测模型,并对各单项模型的结果进行分析比较和检验,然后采用误差平方和最小法进行权重分配,建立了我国未来能源需求量的组合预测模型,最后,应用该模型对我国未来10年的能源需求量进行预测,结果表明：组合预测的精度要远远优于单项预测;我国未来10年的能源需求仍呈现较快的增长趋势。     

TV advertising spillovers and demand for private labels: the case of carbonated soft drinks

The expansion of private labels, or store brands, has transformed consumer choice sets and competition in retail markets, prompting manufacturers to fight back with renewed pricing and product and promotion strategies to forestall further private label expansion. This article examines the spillover effects of television advertising on brand-level consumer demand for carbonated soft drinks (CSDs), including private labels, using a random coefficients logit model with household purchasing and advertising viewing Nielsen data. As in previous work, we find that although brand spillover effects significantly increase demand for CSD brands in the same company and undermine demand facing other manufacturers’ CSD brands, surprisingly, there are positive spillover effects on the demand for private label brands. This indicates that brand advertising is persuasive with respect to manufacturers’ brands but complementary with respect to private labels. Further results show that eliminating television advertising for CSDs would lower aggregate CSD sales as consumers migrate to other beverages, although private labels stand to gain, particularly Wal-Mart brands.     

Estimating demand elasticities under rationing

Eliminating rationing in the United Kingdom following the Second World War was a concern for policy-makers because of potentially large fluctuations in post-war prices and the impact on unrationed goods. This study shows that in using virtual prices, elasticities can be estimated from a ‘free’ demand system consistent with observed consumer choices. Substitution estimates without accounting for rationing are misleading. In contrast, using virtual prices and estimating a ‘free’ market system yield results similar to those of the pre-war period. Results show that food rationing affected expenditure across unrationed goods. Rationing on other services had little effect on expenditure across unrationed goods.     

Firm credit in the euro area: a tale of three crises

Using survey data from 2009 to 2011, we analyse the effects of the recent euro area economic, financial and private debt crisis on the supply of and demand for bank finance for small and medium enterprises (SMEs). At the country level, we identify three distinct aspects of the recent crisis in the euro area affecting firm credit through different channels. Controlling for country fixed effects, the impact of a weak real economy on firm credit operates both by reducing firms’ demand for bank financing and by lenders increasing loan rejections and tightening terms and conditions on credit allocated. On the other hand, financial conditions have no significant effect on demand, but they do affect credit supply as we find that financial tensions worsen the chances of obtaining credit and its terms and conditions. We interpret this as evidence of a bank balance sheet channel negatively impacting credit provision. We find that private sector indebtedness has important effects on SMEs’ credit access and its terms and conditions.     

Explaining personality pay gaps in the UK

Using the British Household Panel Survey we estimate the effect on pay of each of the Big Five personality traits for employed men living in the UK. We add to the existing literature by estimating the role of factors such as education and occupation in explaining personality pay gaps, by allowing the personality traits to affect wage differently across occupations, education levels and other workers characteristics, and by investigating personality pay gaps for high- and low-paid workers. We find that openness to experience is the most relevant personality trait in explaining wages, followed by neuroticism, agreeableness, extroversion and conscientiousness. Openness and extroversion are rewarded while agreeableness and neuroticism are penalized, but the openness pay gap is totally explained by differences in worker characteristics, particularly education and occupation.     

Long-run estimates of money demand: new evidence from East Asian countries and the presence of structural breaks

Conventionally, the money demand function is estimated using a linear regression of the logarithm of money demand on a number of variables. In this article, we aim to estimate the long-run properties of money demand specification for a number of East Asian economies and within a panel framework with the presence of structural breaks. Various country-specific coefficients are allowed to capture inter-country heterogeneities. Consistent with theoretical postulates, it is found that (a) the demand for money in the long-run positively responds to real income and inversely to the interest rate spread, inflation, the real effective exchange rate and the US real interest rate; (b) the long-run income elasticity is greater than unity; and (c) both the currency substitution and capital mobility hypotheses hold. The empirical findings in this article can provide useful policy guidelines to the East Asian countries’ central banks in their quest for price stability. If one of the primary objectives of these countries is to minimize price instability, they should avoid creating unnecessary disequilibrium in the money market, while the employment of cointegration with the presence of structural breaks clearly recommends to central banks to use the supply of money to attain price and macroeconomic stability.     

Demand disruption and coordination of supply chain via effort and revenue sharing

This article explores the equilibrium behaviour of a basic supplier–retailer distribution channel under demand disruption via effort and revenue sharing contract. This differs from the traditional supply chain coordination model. Firstly, demand is simultaneously affected by retail price and nonprice marketing effort from manufacturers and retailers. Secondly, when the demand is disrupted, this article considers disruptions in the market scale and price sensitivity coefficient. Thirdly, the supply chain coordination model is proposed via effort and revenue sharing contract. In this way, the manufacturer reduces the wholesale price as an incentive for the retailer to share revenue. Finally, the total supply chain profit is greater with contract than no contract. This also constitutes another incentive for the players to follow the effort and revenue sharing contract.