Entry, Competitiveness and Exports: Evidence from the Indian Firm Data

This paper attempts to evaluate the effects of industrial de-licensing of 1991 and WTO-induced tariff-reforms of 1995 on domestic competitiveness and export performances of the Indian manufacturing during the post-1991. Unlike existing empirical studies not backed by theoretical underpinnings, the paper has been founded on an open-economy-oligopoly-model framework. The paper develops an econometric method of estimating the output from data on sales of the firms, thereby estimating the firms?? marginal cost, which is conducive for the entire empirical analysis with a unified set of firm data. Using firm level data for 14 sectors for the period 1990?C2008, it is observed that there has been an increase in the number of firms resulting in a fall in the concentration ratio and elasticity of demand at the point of equilibrium is generally less than unity and is declining over-time. The panel regression results of increasing exports by bigger firms also conforms the theoretical predictions.     

Development and income distribution in a dual economy: A dynamic simulation model for Zambia

This paper discusses medium-term development prospects for Zambia. The analysis is carried out in terms of a modified dual economy model, suitably modified to capture a number of key aspects of the Zambian Economy. Mining is separated from other urban production and the rural sector is sub-divided into traditional, emergent, and commercial farming. Simulations are carried out on the basis of alternative governmental expenditure, investment, and taxation policies. Special attention is paid to sectoral employment and income distribution implications. In addition, the model is used to derive a number of shadow prices which would be used for project appraisal. These include the shadow price of government savings and a social discount rate.     

Temporary components of stock returns: What do the data tell us?

Within the past few years several articles have suggested thatreturns on large equity portfolios may contain a significantpredictable component at horizons 3 to 6 years. Subsequently,the tests used in these analyses have been criticized (appropriately)for having widely misunderstood size and power, rendering theconclusions inappropriate. This criticism however has not focusedon the data, it addressed the properties of the tests. In thisarticle we adopt a subjectivist analysis - treating the dataas fixed - to ascertain whether the data have anything to sayabout the permanent/temporary decomposition. The data speakclearly and they tell us that for all intents and purposes,stock prices follow a random walk.     

Forecasting stock-return variance: toward an understanding of stochastic implied volatilities

We examine the behavior of measured variances from the optionsmarket and the underlying stock market. Under the joint hypothesesthat markets are informationally efficient and that option pricesare explained by a particular asset pricing model, forecastsfrom time-series models of the stock return process should nothave predictive content given the market forecast as embodiedin option prices. Both in-sample and out-of-sample tests suggestthat this hypothesis can be rejected. Using simulations, weshow that biases inherent in the procedure we use to imply variancescannot explain this result. Thus, we provide evidence inconsistentwith the orthogonality restrictions of option pricing modelsthat assume that variance risk is unpriced. These results alsohave implications for optimum variance forecast rules.     

A dynamic simulation model of the world jute economy

This paper investigates both the sources of jute supply instability and the potential impact of an internationally managed buffer stock to stabilize market prices. The analysis is carried out utilizing a rather simple dynamic model of the markets for raw jute and jute goods. The model combines econometric estimates of the relevant parameters with a priori information derived from industry studies. It integrates the behavior of jute farmers in the principal jute growing countries with that of jute goods manufacturers and consumers using a series of region-specific demand and supply functions. Expected price variance is an explicit factor in determining jute acreage.