CORRUPTION AND POLITICAL AND ECONOMIC REFORMS: A STRUCTURAL BREAKS APPROACH

In this paper we look at the impact of broad policy reforms on the levels of corruption. We use a structural break approach to identify country-specific time periods in which significant shifts in corruption levels take place. We then correlate these times of change with a set of covariates with specific focus on the impact of democratization, and trade and equity market liberalization. We find robust support for the hypothesis that episodes of reduction in corruption levels tend to be correlated with democratization and equity market liberalization.     

FX spreads and dealer competition across the 24-hour trading day

This study examines the impact of competition on bid-ask spreadsin the spot foreign exchange market. We measure competitionprimarily by the number of dealers active in the market andfind that bid-ask spreads decrease with an increase in competition,even after controlling for the effects of volatility. The expectedlevel of competition is time varying, highly predictable, anddisplays a strong seasonal component that in part is inducedby geographic concentration of business activity over the 24-hourtrading day. Our estimates show that the expected addition ofone more competing dealer lowers the average quoted spread by1.7%     

The components of the bid-ask spread: a general approach

A simple time-series market microstructure model is constructedwithin which existing models of spread components are reconciled.We show that existing models fail to decompose the spread intoall its components. Two alternative extensions of the simplemodel are developed to identify all the components of the spreadand to estimate the spread at which trades occur. The empiricalresults support the presence of a large order processing componentand smaller, albeit significant, adverse selection and inventorycomponents. The spread components differ significantly accordingto trade size and are also sensitive to assumptions about therelation between orders and trades.     

美国不能学习中国经济模式

未来,当历史学家们回顾2010年这个夏天时,最值得铭记的历史事件应该是：中国超过日本,成为世界第二大经济体。总的来说,这是件大好事。中国的迅猛崛起,以及速度稍逊一筹的印度崛起,改善了数十亿贫困人口的生活,让他们成为全球经济的一员。     

Volatility in the foreign currency futures market

We examine the volatility implications of around-the-clock foreignexchange trading with transaction data on futures contractsfrom the Chicago Mercantile Exchange and the London InternationalFinancial Futures Exchange. We find higher U.S.-European andU.S.-Japanese exchange-rate volatilities during U.S. tradinghours and higher European cross-rate volatilities during Europeantrading hours. While the disclosure of private information throughtrading may partly explain these volatility patterns, we concludethat the increased volatility is more likely driven by macroeconomicnews announcements. An analysis of inter- and intraday dataalso reveals that volatility increases at times that coincidewith the release of U.S. macroeconomic news.     

从经济低迷中起飞

经济的低迷似乎就要过去.但展望前景的时候已经到了,机会来临,你的公司准备好了吗? 要赶在竞争者之前发现和抢占这些先机,你需要一个全心全意、有能力以及准备充足的队伍帮助你迎接在低迷的经济环境中起飞的挑战.但知易行难.一些顺利渡过销售大幅滑落和经历大幅裁员的公司,往往发现很难为启动生产、迎接繁荣做好准备.也许,你手下最得力的员工灰心丧气、满腹牢骚,更糟糕的是他们已经准备另谋高就.有道是,失败导致众叛亲离.     

Money Velocity in an Endogenous Growth Business Cycle with Credit Shocks

The paper sets the neoclassical monetary business cycle model within endogenous growth, adds exchange credit shocks, and finds that money and credit shocks explain much of the velocity variations. The role of the shocks varies across subperiods in an intuitive fashion. Endogenous growth is key to the construction of the money and credit shocks because these have similar effects on velocity, but opposite effects upon growth. The model matches the data's average velocity and simulates well velocity volatility. Its Cagan-like money demand means that money and credit shocks cause greater velocity variation, the higher is the nominal interest rate.