Problems of Bank Lending in Bulgaria: Information Asymmetry and Institutional Learning

MOCT-MOST: Economic Policy in Transitional Economies -     

On inferring standard deviations from path dependent options

Path dependent option prices are employed to derive implied standard deviations of the underlying security price process without recourse to numerical procedures. We empirically illustrate our methodology by inferring the volatility of gold prices.     

The impact of the foreign corrupt practices act on us exports

In 1977 the Foreign Corrupt Practices Act (FCPA) was enacted to penalize US firms and their employees for paying bribes to foreign government officials. If bribe payments influence the awarding of contracts and the FCPA regulation differentially affects US exporters compared to foreign competitors, then US exporters' bribe-paying ability and market share would be expected to decline. This study provides empirical evidence that the FCPA had a negative effect on US exports to non-Latin American countries but not to bribery prone ones in Latin America.     

Efficiency in the gold market — a note

This paper investigates the efficiency of the gold market with respect to the information contained in sequences of successive price changes. Tests for serial correlation and modelling the changes as first-order Markov processes indicate some short-term dependence. While there is no reason to believe outsiders can profit from knowledge of these relationships, insiders might, though this is not certain. In addition, the application of a market model to monthly returns for the period 1974–1977 results in the finding that gold's ‘alpha’ and ‘beta’ were positive, but not significantly different from zero.     

International Banking Centers, Geography, and Foreign Banks

This essay reviews much of the recent literature on international financial centers from both economics and geography and critiques the thesis of an "end of geography." Banks have dispersed from traditional centers those activities involving frequent routine, standardized, and small-scale transactions. At the same time, the banks have kept in the international financial centers those activities involving innovative, customized, and large-scale transactions. In all of this, place still matters, but different places matter for different activities. Finally, foreign banks make their greatest contribution to their host center when the presence of foreign banks enhances domestic competition and innovation. The innovation that the rivalry between institutions induces makes the environment in international financial centers a turbulent one.     

The effect of exchange trading of gold options on the volatility of the underlying asset

On April 2, 1981 the European Options Exchange introduced options on gold. Data for the period immediately before and after is consistent with the effect being to reduce the daily price volatility of the underlying asset.     

Seasonality in asset returns: Evidence from the gold market

In this paper we test monthly mean daily returns to gold over the period January 1975 to December 1984 against three definitions of seasonality. Weak evidence exists for seasonality under the second of the three definitions. However, this is not prima facie evidence of market inefficiency, as the pattern is consistent with seasonality in Eurodollar interest rates reported by other authors. Differences in the time pattern of returns between on- and off-shore rates raises further questions.