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.     

An analysis of the effect of mandatory adoption of IAS/IFRS on earnings management

This paper examines whether mandatory adoption of international accounting standards, IAS/IFRS, by French companies is associated with lower earnings management. In addition, the impact of six factors that may be related to earnings management level are also considered: the independence and the efficiency of the board of directors, the separation of roles of CEO and Chairman of the board, the existence of an independent audit committee, the existence of block shareholders, the quality of the external audit and the listing on foreign financial markets.Based on a sample of 353 French listed groups relating to the period 2003–2006, our results show that the mandatory adoption of IAS/IFRS is associated with a reduction in the earnings management level. In addition, the independence and the efficiency of the board of directors, the existence of an independent audit committee, the existence of block shareholders, the quality of the external audit and the listing on foreign financial markets are important factors for enforcement of IAS/IFRS in France. Mandatory adoption of IAS/IFRS has decreased earnings management level for companies with good corporate governance and those that depend on foreign financial markets.     

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.     

Who Moves the Asia-Pacific Stock Markets—US or Japan? Empirical Evidence Based on the Theory of Cointegration

This study examines the recent debacle of the Asian-Pacific stock markets by utilizing the theory of cointegration to investigate which developing markets are moved by the markets of Japan and the United States. The empirical evidence suggests that some countries are dominated by the US, some are dominated by Japan, and the remaining countries are dominated by neither during the time period investigated. The appropriate error correction model is estimated and is used to perform out-of-sample forecasting.     

Edge Cities and the Viability of Metropolitan Economies: Contributions to Flexibility and External Linkages by New Urban Service Environments

Economists have had little to say concerning the impact of Edge Cities in metropolitan complexes, much less about how they relate to the economy in general. The present paper is aimed at those concerns. It begins with a general overview of the Edge City concept as put forward by Joel Garreau. Following that it discusses metropolitan change in a pre-Edge City format. It then considers Edge Cities in the context of growth poles and discusses their role in providing economic linkages that facilitate change. The intent is to provide a better understanding of the impact of Edge Cities upon host metropolitan areas and the economy at large.     

On non-linear tariff schedules

A non-linear tariff is one in which the total tariff paid by an individual is not proportional to the amount he imports. In this paper, we analyze optimal non-linear tariffs set by a welfare-maximizing government subject to a revenue constraint. The optimal schedule consists of a two-part tariff over an initial range of imports, and a continuous schedule for further imports that satisfies a modified Ramsey rule.