Volatility behavior of exchange rate future contracts

The increasing globalization of economies and the concurrent increase in the risk of currency exposure has stimulated the development of new instruments to allow both investors and traders to hedge their currency risk. The expansion of these derivatives, however, has raised some concerns. This paper studies the determinants of the dynamics of exchange rate future contracts as a means to identify the sources of such concerns. By using a mean-exponential generalized autoregressive conditional heteroskedasticity (M-EGARCH) model for five different future contract lengths and six developed economies, it is found that an M-EGARCH(1,1) effectively describes the exchange rate futures' daily dynamic. Sign, size, and persistence effects on the volatility of future contracts are all significant, thus providing important information to both policy makers and market participants.     

The Optimal Choice for Lenders Facing Defaults: Short Sale,Foreclose, or REO

When mortgage borrowers default and have no desire or ability to keep their property, then loss mitigation involves a sale of the property via one of the following options: (1) the lender allows pre-foreclosure “short sale” by the borrower, (2) the lender institutes the foreclosure process under a notice of default and the property is sold during the process by the borrower, and (3) the lender forecloses on the property, takes title, and sells the property in the market as real estate owned (REO). Sale of the property in the above three options is conducted by a motivated seller, either the owner or the lender, who desires to sell the property as quickly as possible. Thus, relative to a no-default sale, the house is most likely to be sold at a discounted price. It is generally expected that the discount would be lower in the case of a “short sale.” This option, however, may result in a longer marketing time, thus a higher total loss, than the other two options. We developed a model that allows simultaneous estimation of price and time-on-market effects of “short sales,” foreclosures, and REO options. We find that the short-sale option has the lowest-price discount, but significantly higher costs associated with marketing time. The pattern of price discount and marketing time reverses as we move to a sale while in the process of foreclosure and to a sale with an REO status.     

Asset Write‐downs: Evidence from 2001–2008

Accounting for asset write‐downs has received substantial media attention throughout the Global Financial Crisis and has been the subject of academic debate and numerous accounting regulations during the past three decades. This study provides evidence of the magnitude and frequency of quarterly asset write‐down activities for a sample of US firms between 2001 and 2008 and examines whether reported asset write‐downs mirror market and economic indicators during the sample period.     

Spatial collisions and discordant temporalities: everyday life between camp and checkpoint

How do we make sense of the colonial subject that is neither in revolt nor in open crisis? How do people reproduce their lives, fashion routines, etch out some meaning when the political is evacuated, when time is on hold? These questions loom over a contemporary disjuncture in Palestine, marked in part by the splintering and opening up of the field of subjective bonds, attachments and associations to new modalities of production, less circumscribed by previous normative parameters and engendering a host of complexities and ambivalences in politico-social relationalities. Yet most scholarship on Palestine remains caught up in reductive binaries of violence versus resistance and heavily reliant on rigid and aggregated categories, the bulk of it unable to capture entire assemblages of action, subjective dissonance, productive ambiguities and contingent vitalities that inflect so much of contemporary quotidian life. The refugee in particular has emerged as a destabilizing figure, capable of subversively using the spatio-temporality of the camp as the very resource through which to disturb ascribed categorizations. Reading the paradoxical multiplicity of actions that refugees — women, children and the elderly — perform in the space between Qalandia camp and its checkpoint provides an insight into some of what defines contemporary refugee subjectivities — flexibility, a readiness to take risks, an ability to maneuver through different temporal orders and instrumentalize the spatial fragmentation. These subjects, traversing and negotiating liminality in everyday life, point to lived and bodied affirmations of presence and visibility that cannot be understood through frameworks of recognition and rights.     

The square-root law,uncertainty and international reserves under alternative regimes: Canadian experience, 1950–1976

A transactions-precautionary model of demand for international reserves is developed and tested against Canadian data. The results indicate that: (i) the demand for reserves is characterized by economies of scale with respect to the volume of transactions that are invariant to the exchange rate regime, but (ii) structural change took the form of a relatively larger responsiveness of reserves holdings under fixed rates to a measure of permanent variability in transactions.     

Foreign Direct Investment,Financial Development and Their Impact on the GDP Growth in Low-income Countries

ABSTRACT

This essay empirically studies the effects and causal links between foreign direct investment (FDI), financial development (FD) and economic growth. The sample consists of the main economies of low-income countries and the study covers the period 1990–2015. The results of the estimate show that, under certain specific economic conditions, FDI affects positively the level of long-term economic growth; it thus makes it possible to improve the economic situation of these countries. Using Johansen’s cointegration technique, the results find that FD; FDI and GDP growth are cointegrated, that shows the pursuit of the long-term equilibrium relationship between them. The error correction model confirms the existence of a double causal relationship between FDI and GDP growth, and between FD and FDI and between GDP growth and FD.     

Agent Change and Seller Bargaining Power: A Case of Principal Agent Problem in the Housing Market

When a seller hires an agent to sell his/her property, a successful outcome depends on the list price, marketing time, unobserved relative bargaining power of the buyers and sellers, and the effort levels of the seller and the seller’s agent. A divergence with respect to the list/transaction prices and the expected effort levels between seller and agent will create a principal-agent interest conflict. This conflict in some cases results in an agent change before the house is sold. The change will reduce the relative bargaining power of the seller, affecting the observed marketing time and transaction price. This study estimates the effects of an agent change on marketing time and transaction price after controlling for degree of overpricing, list-price revisions, marketing time, and endogenous selection bias. Our results show that: (1) on average, an agent change increases the marketing time by about 3 months and adversely affects the transaction price by about 2.7 %. Furthermore, we found that an agent change before the expiration of the listing contract, compared to that of after the expiration, has a smaller effect on the marketing time (2.3 vs. 3.8 months) and has a smaller transaction price discount (2.1 % vs. 4.2 %).     

Long-run relationship between the unemployment rate and the current account balance in the United States: An empirical analysis

Portuguese Economic Journal - In recent years, political rhetoric implying international trade hinder employment has gained momentum. We argue that the dynamics between the unemployment rate and...