Co-movement in Stock Prices in Emerging Economies: The Case of the Caricom Region

The Grand Anse Declaration of 1989 recognised the need for financial integration within the emerging economies that comprise the CARICOM region, as a way of furthering the wider process of economic integration and, indeed, economic development in that region. Using co-movement as a measure of financial integration, this paper investigates the co-movement in stock prices among the Barbados, the Jamaica and the Trinidad and Tobago Stock Exchanges, the three major exchanges within the CARICOM region. It also examines how integrated these exchanges are with the New York Stock Exchange. The GARCH-Copula methodology and, to a lesser extent, estimated correlation coefficients, are used to attain this objective. There appears to be co-movement in stock prices and returns within the CARICOM stock markets and significant dependence structures between the returns of the three CARICOM stock markets. However, there is considerably less evidence of integration between the CARICOM markets and the New York Stock Exchange.     

Predicting Household Poverty: A Methodological Note with a Kenyan Example

Household surveys provide data that is used for identifying and measuring the poverty status of households and individuals. However, carrying out such surveys is expensive, especially in poor developing countries. Thus it is important to make maximum use of the available survey data in developing countries, especially in sub‐Saharan Africa, where such data are expensive to collect and analyse. This paper develops a simple method for using poverty indices derived from survey data for a given year, to predict poverty rates for subsequent periods without having to conduct a new household survey. We illustrate the workings of the method with data from Kenyan household surveys for 1994 and 1997.     

THE BUS INDUSTRY: FRANCHISE AND THE LOSS OF FREEDOM

Political pressure exists for the bus industry to be brought under local authority control by means of 'Quality Contracts.'These would take away from management the freedom for marketing, and especially for marketing by price, that was returned to them by the 'deregulation' of 1985. The proposed franchises would return the industry to the 'bad old days' and prevent its continued improvement through market forces from taking place. The Department of Transport considered the idea of franchises in 1985, but concluded that it would merely lead to monopoly power.     

Gender and Piece Rates, Commissions, and Bonuses

Previous work shows that establishments with higher proportions of women are more likely to use piece rates but that individual women are less likely to receive performance pay. We present a model in which lower expected tenure and labor force attachment are positively associated with piece rates but are negatively associated with other forms of performance pay. Analysis of the National Longitudinal Survey of Youth (NLSY) confirms that women are more likely to be paid piece rates and simultaneously less likely to be paid commissions and bonuses.     

The Local Whittle Estimator of Long-Memory Stochastic Volatility

We propose a new semiparametric estimator of the degree of persistencein volatility for long memory stochastic volatility (LMSV) models.The estimator uses the periodogram of the log squared returnsin a local Whittle criterion which explicitly accounts for thenoise term in the LMSV model. Finite-sample and asymptotic standarderrors for the estimator are provided. An extensive simulationstudy reveals that the local Whittle estimator is much lessbiased and that the finite-sample standard errors yield moreaccurate confidence intervals than the widely-used GPH estimator.The estimator is also found to be robust against possible leverageeffects. In an empirical analysis of the daily Deutsche Mark/USDollar exchange rate, the new estimator indicates stronger persistencein volatility than the GPH estimator, provided that a largenumber of frequencies is used.     

Intertemporal Substitution and Terms-of-Trade Shocks

The paper examines the relationship between transitory terms‐of‐trade shocks and private saving. Using a model allowing for nonseparability between the consumption of tradables and nontradables, the paper estimates the intertemporal elasticity of substitution while accounting for the intratemporal elasticity of substitution between the consumption of tradables and nontradables. Empirical analysis of data for five industrial countries indicates that in response to transitory terms‐of‐trade shocks, intertemporal substitution of consumption and intratemporal substitution of consumption between tradables and nontradables both have large effects on private saving.     

TAX COMPETITION

In the modern world, capital enterprise and skilled labour are increasingly mobile, and naturally attracted to countries with low taxes. Indeed tax competition can be healthy, and far preferable to a 'tax collectors' cartel.' The right of the fiscally oppressed to move themselves and their capital elsewhere is a great defender of economic freedom.     

Information styles of marketing and R&D personnel during technological product innovation projects

Abstract The research question in the present article can be phrased in the following way: what are the elements which influence the perception of the utility of information received from another function? A field study research has been conducted in 40 Belgian companies. In each company, we have studied two on-going innovation projects (one planning project, one development project). Crossfunctional communication behaviours at the R&D/marketing interface have been measured by means of mailed structured questionnaires. Three-hundred and eighty-six questionnaires have been returned. The data analyses show that there are four underlying information dimensions, i.e. the perceived relevance, the perceived comprehensibility, the perceived novelty and the perceived credibility of information. We also discuss some contingency variables (function of the message receiver, stage in the innovation process) that might moderate the impact of these dimensions. It will be shown that the interaction between source and receiver has a significant impact on the perceived credibility, the perceived comprehensibility and the perceived novelty of the received information.     

Optimal immigration, education and growth in the long run

The paper extends Manning's model on education and balanced growth to include labour immigration. Each immigration unit is assumed to consist of one skilled worker and some unskilled members. The optimal immigration policy which maximizes the per capita steady-state consumption of the host country is derived. We show that optimal immigration policy can reduce the steady-state skilled labour ratio. More interesting still, contrary to the widespread belief that immigration of skilled workers hurts local skilled workers, it is the unskilled local workers whose interests are threatened by optimal immigration policy.