On the robustness of alternative rankings methodologies: Australian and New Zealand economics departments, 1988 to 2002

Theoretical considerations appear to support the conjecture that stock returns are positively related to growth in the long run. However, the empirical literature does not give unanimous support to the theory. Based on a stochastic general equilibrium model it is argued that the long-run relationship between stock returns and per capita income growth is ambiguous and depends on output volatility. Using a century of data for 20 Organization for Economic Co-operation and Development (OECD) countries it is shown that the relationship between stock returns and growth is positive over the period 1916–1951, in which output volatility was persistent. Outside this period no relationship between stock returns and growth is found. These findings are consistent with the predictions of the theoretical model.     

A Ricardian model of international trade with oligopolistic competition

This paper studies a Ricardian model of international trade with a continuum of products in a general equilibrium model in which firms engage in oligopolistic competition. It provides a bridge between trade models based on perfect competition and models based on imperfect competition. Compared with a model based on perfect competition, the incorporation of fixed cost leads to the result that an increase of domestic labor may increase the relative wage of the domestic country.     

North–South trade liberalization and returns to skill in the south: The case of Mexico

This study examines the effect of North American Free Trade Agreement (NAFTA), an instance of North–South trade liberalization, on returns to skill in Mexico. Mexico is abundant in low-skill workers relative to the US and Canada, and so, by the Heckscher–Ohlin–Samuelson trade model, NAFTA ought to have raised the relative earnings of low-skill workers, that is, lowered returns to skill in Mexico. Analysis of Mexican labour micro-data yields the finding that while returns to skill in industries producing tradeables have risen, ceteris paribus, since Mexico embarked upon trade liberalization by joining the GATT in 1986, this rise was less pronounced by 1999 in industries liberalized relatively rapidly by NAFTA, launched in 1994, than in industries liberalized relatively slowly by this phased trade treaty. This is considered evidence of NAFTA holding back rise in returns to skill, since it is plausible such a dampening would have been more marked in industries more rapidly exposed to trade with Mexico's skill abundant northern neighbours. Hence, this study suggests trade with developed nations may lower returns to skill in developing nations.     

Restructuring in Telecommunications and its Market Impacts: An Event-Study Analysis

This study presents an assessment of the changes in the telecommunications industry and their impact on market returns. Events were identified from a sample of global telecom companies and assessed in terms of their favorable or unfavorable impacts. Based on event-study analysis with generalized autoregressive conditionally heteroskedastic specification, the impact was tested after incorporating dummy variables of different lengths. The results show interesting patterns in how the market views restructuring in the business model of telecom companies, organizational structure, alliances and mergers, and technological platform changes. Countries differ in how they view telecoms restructuring and what changes are considered beneficial by investors.     

Correcting Inflation with Financial Dynamic Fundamentals: Which Adjustments Matter in Africa?

This article assesses the adjustment of inflation with financial dynamic fundamentals of money (financial depth), credit (financial activity), and efficiency. Three main findings are established: (a) there are significant long-run relationships between inflation and the fundamentals; (b) the error correction mechanism is stable in all specifications but in case of any disequilibrium, only financial depth is significant in adjusting inflation to the long-run relationship; and (c) in the long-run, short-term adjustments in the ability of banks to transform money into credit do not matter in correcting inflation. This is most probably due to surplus liquidity issues. Policy implications are discussed.     

Time series modeling of histogram-valued data: The daily histogram time series of S&P500 intradaily returns

Histogram time series (HTS) and interval time series (ITS) are examples of symbolic data sets. Though there have been methodological developments in a cross-sectional environment, they have been scarce in a time series setting. Arroyo, González-Rivera, and Maté (2011) analyze various forecasting methods for HTS and ITS, adapting smoothing filters and nonparametric algorithms such as the k-NN. Though these methods are very flexible, they may not be the true underlying data generating process (DGP). We present the first step in the search for a DGP by focusing on the autocorrelation functions (ACFs) of HTS and ITS. We analyze the ACF of the daily histogram of 5-minute intradaily returns to the S&P500 index in 2007 and 2008. There are clusters of high/low activity that generate a strong, positive, and persistent autocorrelation, pointing towards some autoregressive process for HTS. Though smoothing and k-NN may not be the true DGPs, we find that they are very good approximations because they are able to capture almost all of the original autocorrelation. However, there seems to be some structure left in the data that will require new modelling techniques. As a byproduct, we also analyze the [90,100%] quantile interval. By using all of the information contained in the histogram, we find that there are advantages in the estimation and prediction of a specific interval.     

Kernel density estimation for time series data

A time-varying probability density function, or the corresponding cumulative distribution function, may be estimated nonparametrically by using a kernel and weighting the observations using schemes derived from time series modelling. The parameters, including the bandwidth, may be estimated by maximum likelihood or cross-validation. Diagnostic checks may be carried out directly on residuals given by the predictive cumulative distribution function. Since tracking the distribution is only viable if it changes relatively slowly, the technique may need to be combined with a filter for scale and/or location. The methods are applied to data on the NASDAQ index and the Hong Kong and Korean stock market indices.     

浅谈物流业营业税改增值税过程中的问题及对策

在我国进行经济体制改革的进程中,物流业倍受国家重视。现在试点地区正试行的“营改增”税改措施应用到物流业时出现了许多问题,不利于“营改增”在全国和更多服务型行业的推行。文中罗列了“营改增”试点地区出现的问题并提出几点对策和建议。     

Determining returns to bidding firms’ shareholders using different benchmark methods: an Australian study

This article revisits the determinants of cumulative abnormal returns (CAR) for bidder firm shareholders around takeover bid announcements and in particular, if bidder CAR estimates differ significantly between conditional and unconditional models. The results indicate that CAR estimation is significantly different between the two models. The conditional model is theoretically superior to the traditional unconditional model due to the former controlling for unobservable factors surrounding the bid announcement. This study shows that it is important to account for unobservable factors in growth (organic versus takeover) strategies to infer the true effect of the bidder's characteristics on CAR.     

The Role of Ownership Concentration and Debt in Downturns: Evidence from Brazilian Firms During the 2008–9 Financial Crisis

This article aims to reconcile conflicting literature about the role of ownership concentration in the responsiveness of stock prices to macroeconomic shocks. We modified a previous theoretical model, adding leverage as a disciplining device. An important implication of our model is that only in deep crises ownership concentration plays a role in attenuating the effect of macroeconomic shock on firm value. We test this hypothesis using a sample of Brazilian firms during distinct phases of the 2008–9 crisis. Our empirical analyzes shows that only in the most critical part of the crisis, ownership concentration reduced the negative effects of the financial crisis.