Determining the integrated volatility via limit order books with multiple records

The integrated volatility plays an important role in risk management and portfolio selection, the estimation methods regarding the quantity have been widely investigated, either under low-frequency data or high-frequency data, or a combination of both. In this paper, we propose a measure for the integrated volatility via limit order book data with possible presence of multiple records. The estimator is valid under mild conditions and it is easily implemented. The finite sample performance of the proposed estimator has been verified by simulation studies and we apply the method to some real high-frequency data-sets as well.     

Teaching HRM in contemporary hospitality management: a case study drawing on HR analytics and big data analysis

In this article, we discuss how hospitality students can leverage new technology and new HRM metrics from a combination of a traditional format case study and innovative data spreadsheets. We offer a teaching case study that combines the strategic dimensions of HRM with practice-driven data analysis anchored in HR analytics and HR big data mining. We argue that this combination helps identify, develop, and promote appropriate managerial skills among students.     

Migration and imperfect labor markets: Theory and cross-country evidence from Denmark,Germany and the UK

We investigate the labor market effects of immigration in Denmark, Germany and the UK, three countries which are characterized by considerable differences in labor market institutions and welfare states. Institutions such as collective bargaining, minimum wages, employment protection and unemployment benefits affect the way in which wages respond to labor supply shocks, and, hence, the labor market effects of immigration. We employ a wage-setting approach which assumes that wages decline with the unemployment rate, albeit imperfectly. We find that the wage and employment effects of immigration depend on wage flexibility and the composition of the labor supply shock. In Germany immigration involves only moderate wage, but large unemployment effects, since immigrants are concentrated in labor market segments with low wage flexibility. The reverse is true for the UK and Denmark.     

The determinants of credit spreads changes in global shipping bonds

This paper investigates whether bond, issuer, industry and macro-specific variables account for the observed variation of credit spreads’ changes of global shipping bond issues before and after the onset of the subprime financial crisis. Results show that conclusions as to the significant variables of spreads depend significantly on whether two-way cluster-adjusted standard errors are utilized, thus rendering results in the extant literature ambigious. The main determinants of global cargo-carrying companies’ shipping bond spreads are found in this paper to be: the liquidity of the bond issue, the stock market’s volatility, the bond market’s cyclicality, freight earnings and the credit rating of the bond issue.     

Short-term forecasting of Japanese tourist inflow to South Korea using Google trends data

We utilize the Internet search data from Google Trends to provide short-term forecasts for the inflow of Japanese tourists to South Korea. We construct the Google variable in a systematic way by combining keywords to minimize mean squared or mean absolute forecasting errors. We augment the Google variable to the standard time-series forecasting models and compare their forecasting accuracies. We find that Google-augmented models perform much better than the standard time-series models in terms of short-term forecasting accuracy. In particular, Google models show better out-of-sample forecasting performance than in-sample forecasting.     

Investigating first‐stage exchange rate pass‐through: Sectoral and macro evidence from euro area countries

In this paper, we evaluate the first‐stage pass‐through, namely the responsiveness of import prices to the exchange rate changes, for a sample of euro area (EA) countries. Our study aimed to shed further light on the role of microeconomic factors versus macroeconomic factors in influencing the extent of the exchange rate pass‐through (ERPT). As a first step, we conduct a sectoral analysis using disaggregated import prices data. We find a much higher degree of pass‐through for more homogeneous goods and commodities, such as oil and raw materials, than for highly differentiated manufactured products, such as machinery and transport equipment. Our results confirm that cross‐country differences in pass‐through rates may be due to divergences in the product composition of imports. The higher share of imports from sectors with lower degrees of pass‐through, the lower ERPT for an economy will be. In a next step, we investigate for the impact of some macroeconomics factors or common events experienced by EA members on the extent of pass‐through. Using the system generalised method of moments within a dynamic panel‐data model, our estimates indicate that decline of import‐price sensitivity to the exchange rate is not significant since the introduction of the single currency. Our findings suggest instead that the weakness of the euro during the first 3 years of the monetary union significantly raised the extent of the ERPT. This outcome could explain why the sensitivity of import prices has not fallen since 1999. We also point out a significant role played by the inflation in the Eurozone, as the responsiveness of import prices to exchange rate fluctuations tends to decline in a low and more stable inflation environment. Overall, our findings support the view that the extent of pass‐through is comprised of both macro‐ and microeconomic aspects that policymakers should take into account.     

Microfinance and gender inequality: cross-country evidence

Microfinance enables poor women to engage in income-generating activities, which helps them become financially independent, strengthening their decision-making power within the household and society. Consequently, microfinance has the potential to reduce gender inequality (GI). Case-study evidence from across the developing world both supports and contradicts this hypothesis. We therefore revisit this issue using macroeconomic cross-country panel data for 64 developing economies over the period 2003–2014. We find that women’s participation in microfinance is associated with a reduction in GI. However, regional interactions reveal that cultural factors are likely to influence the GI–microfinance nexus.     

Utilizing the access value of customers

Customers are critical resources for the success of any business, not only because they bring in sales and profits directly, but also because of their access value in a world that is becoming increasingly interconnected. However, the mechanisms by which the customer access value may be exploited and the implication for management has not been well understood. Access value can be defined as the worth of utilizing patrons for further marketing and sales of value-added or third party products. The access value, which mainly results from the aggregation of the customer base and customer data, is essentially a corporation's internalized asset. This article shows that the size of the customer base and the extent of engagement have a significant impact on the customer access value. To develop and gain the benefits of customer access value, traditional business models often need to be transformed: firms and platforms should provide free or subsidized products to attract people and then embed value-added products to make money. The success of the new business model depends on not only the right pricing and product strategies, but also an embedding strategy.     

短期影响中国商品房房价因素的计量分析--基于31个省市的横截面数据

房价问题是影响国计民生的重要问题之一，分析房价的影响因素具有重要的现实意义。收集2012年北京、天津等31个省市相关指标的横截面数据，尝试在三种不同情况下用经典线性模型进行逐步回归拟合数据，再对不同模型进行比较，从而选出最优模型。最后，通过最优模型分析得出人均可支配收入与失业率是短期内影响中国商品房房价上涨的主要因素。     

签订双边投资协定对中国吸收FDI影响的实证分析

本文以引力模型为基础,利用1990~2011年40个与中国签订双边投资协定国家的面板数据,采用混合效应模型,实证分析了签订双边投资协定对中国吸收外商直接投资的影响。研究结果表明：双边投资协定的签订显著地促进了各国对中国的投资,中国与发达国家签订双边投资协定的投资促进效果更好。