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Articles 1 - 30 of 31
Full-Text Articles in Economics
Central Bank Of Nigeria Annual Report And Statement Of Accounts For The Year Ended 31st December 2007, Central Bank Of Nigeria
Central Bank Of Nigeria Annual Report And Statement Of Accounts For The Year Ended 31st December 2007, Central Bank Of Nigeria
CBN Annual Report
In 2007, the Central Bank of Nigeria (CBN) faced significant challenges in monetary management due to statutory allocations to government tiers, autonomous foreign exchange inflows, and pre-election spending. These challenges were addressed through Open Market Operations (OMO), issuance of treasury securities, standing facilities, and foreign exchange swaps. The introduction of the monetary policy rate (MPR) in December 2006 moderated inter-bank rates, encouraged trading, and improved the transmission of monetary policy actions. The Bank intensified its non-regular management activities to ensure the Policy Support Instrument (PSI) target was met. The financial system at end-2007 comprised the CBN, the Nigeria Deposit Insurance …
Direction-Of-Change Forecasts Based On Conditional Variance, Skewness And Kurtosis Dynamics: International Evidence, Peter F. Christoffersen, Francis X. Diebold, Roberto S. Mariano, Anthony S. Tay, Yiu Kuen Tse
Direction-Of-Change Forecasts Based On Conditional Variance, Skewness And Kurtosis Dynamics: International Evidence, Peter F. Christoffersen, Francis X. Diebold, Roberto S. Mariano, Anthony S. Tay, Yiu Kuen Tse
Research Collection School Of Economics
Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced sign forecastability, be used to produce direction-of change forecasts useful for market timing. We attempt to do so in an international sample of developed equity markets, with some success, as assessed by formal probability forecast scoring rules such as the Brier score. An important ingredient is our conditioning not only on conditional mean and variance information, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts.
Sv Mixture Models With Application To S&P 500 Index Returns, Garland B. Durham
Sv Mixture Models With Application To S&P 500 Index Returns, Garland B. Durham
Finance
Understanding both the dynamics of volatility and the shape of the distribution of returns conditional on the volatility state is important for many financial applications. A simple single-factor stochastic volatility model appears to be sufficient to capture most of the dynamics. It is the shape of the conditional distribution that is the problem. This paper examines the idea of modeling this distribution as a discrete mixture of normals. The flexibility of this class of distributions provides a transparent look into the tails of the returns distribution. Model diagnostics suggest that the model, SV-mix, does a good job of capturing the …
On The Use Of Size Premiums, Arithmetic Or Geometric Average Returns, And Liquidity Premiums In Determining Discount Rates, Hal B. Heaton
On The Use Of Size Premiums, Arithmetic Or Geometric Average Returns, And Liquidity Premiums In Determining Discount Rates, Hal B. Heaton
Faculty Publications
In recent court cases, a number of technical issues have arisen in determining appropriate discount rates for use in the discounted cash flow approach to valuation. This article examines three issues, reviews the literature about the issues, and summarizes the key considerations.
On The Segmentation Of Markets, Nicolas Laurent Jacquet, Serene Tan
On The Segmentation Of Markets, Nicolas Laurent Jacquet, Serene Tan
Research Collection School Of Economics
This paper endogenizes the market structure of an economy with heterogeneous agents who want to form bilateral matches in the presence of search frictions and when utility is nontransferable. There exist infinitely many marketplaces, and each agent chooses which marketplace to be in: agents get to choose not only whom to match with but also whom they meet with. Perfect segmentation is obtained in equilibrium, where agents match with the first person they meet. All equilibria have the same matching pattern. Although perfect assortative matching is not obtained in equilibrium, the degree of assortativeness is greater than in standard models.
The Shift From Defined Benefit Pensions To 401(K) Plans And The Pension Assets Of The Baby Boom Cohort, James Poterba, Steven Venti, David A. Wise
The Shift From Defined Benefit Pensions To 401(K) Plans And The Pension Assets Of The Baby Boom Cohort, James Poterba, Steven Venti, David A. Wise
Dartmouth Scholarship
The rise of 401(k) plans and the decline of defined benefit plans will have an important effect on the wealth of future retirees. Changing demographic structure also will affect the aggregate stock of retirement wealth. We project the stock of assets held in retirement plans and the average retirement saving of retirees through 2040. Our projections show large increases in wealth at retirement, especially if the returns on corporate equities are comparable with historical returns. Retirement wealth will grow, however, even if equity returns fall substantially below their historical level.
On The Segmentation Of Markets, Nicolas L. Jacquet, Serene Tan
On The Segmentation Of Markets, Nicolas L. Jacquet, Serene Tan
Research Collection School Of Economics
This paper endogenizes the market structure of an economy with heterogeneous agents who want to form bilateral matches in the presence of search frictions and when utility is nontransferable. There exist infinitely many marketplaces, and each agent chooses which marketplace to be in: agents get to choose not only whom to match with but also whom they meet with. Perfect segmentation is obtained in equilibrium, where agents match with the first person they meet. All equilibria have the same matching pattern. Although perfect assortative matching is not obtained in equilibrium, the degree of assortativeness is greater than in standard models.
Naked And Covered In Monte Carlo: A Reappraisal Of Option Taxation, Eric D. Chason
Naked And Covered In Monte Carlo: A Reappraisal Of Option Taxation, Eric D. Chason
Faculty Publications
The market for equity options and related derivatives is staggering, covering trillions of dollars worth of assets. As a result, the taxation of these instruments is inherently important. Moreover, the importance is made even more acute by the use of options in creating more complex transactions and in avoiding taxes. Consider an equity call option, which entitles, but does not obligate, its holder to buy stock at a set price at a set time in the future. Option theory gives us a way to break the option down into more fundamental units. For example, an equity call option over 10,000 …
Direction-Of-Change Forecasts For Asian Equity Markets Based On Conditional Variance, Skewness And Kurtosis Dynamics: International Evidence, Peter F. Christoffersen, Francis X. Diebold, Robert S. Mariano, Anthony S. Tay, Yiu Kuen Tse
Direction-Of-Change Forecasts For Asian Equity Markets Based On Conditional Variance, Skewness And Kurtosis Dynamics: International Evidence, Peter F. Christoffersen, Francis X. Diebold, Robert S. Mariano, Anthony S. Tay, Yiu Kuen Tse
Research Collection School Of Economics
Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced sign forecastability, be used to produce direction-of change forecasts useful for market timing. We attempt to do so in an international sample of developed equity markets, with some success, as assessed by formal probability forecast scoring rules such as the Brier score. An important ingredient is our conditioning not only on conditional mean and variance information, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts.
Financial Liberalization And Monetary Policy Cooperation In East Asia, Hwee Kwan Chow, Peter N. Kriz, Roberto S. Mariano, Augustine H. H. Tan
Financial Liberalization And Monetary Policy Cooperation In East Asia, Hwee Kwan Chow, Peter N. Kriz, Roberto S. Mariano, Augustine H. H. Tan
Research Collection School Of Economics
As the countries in East Asia embark on financial liberalization, a key issue that confronts policymakers is the greater complexity of risks that is injected into the financial system. In particular, capital account liberalization may potentially increase the vulnerability of individual countries to external financial shocks. This paper advocates the optimally cascading of financial liberalization that is consistent across three dimensions: extent of domestic financial liberalization; the degree of exchange rate flexibility; and the scope of capital account liberalization. Unless the process of liberalization is properly managed, it could provoke destabilizing capital flows and lead to volatile exchange rates. Smooth …
Global And Regional Sources Of Risk In Equity Markets: Evidence From Factor Models With Time-Varying Conditional Skewness, Aamir R. Hashmi, Anthony S. Tay
Global And Regional Sources Of Risk In Equity Markets: Evidence From Factor Models With Time-Varying Conditional Skewness, Aamir R. Hashmi, Anthony S. Tay
Research Collection School Of Economics
We examine the influence of global and regional factors on the conditional distribution of stock returns from six Asian markets, using factor models in which unexpected returns comprise global, regional and local shocks. The models allow for conditional heteroskedasticity and time-varying conditional skewness, and are used to measure mean, variance, and skewness spillovers. We find that incorporating time-varying conditional skewness improves the fit of our spillover models, and can alter measurements of variance spillovers. However, time-varying conditional skewness is mostly a local phenomenon; with exceptions, there is little spillover in skewness from global and regional factors.
Crédito Y Confianza: Los Impactos Socioeconómicos De Fondo Esperanza En Temuco Y Padre Las Casas, Rebecca Berwick
Crédito Y Confianza: Los Impactos Socioeconómicos De Fondo Esperanza En Temuco Y Padre Las Casas, Rebecca Berwick
Independent Study Project (ISP) Collection
Microcredit is not a 21st century phenomenon, but it has gained remarkable momentum recently, with the awarding of the 2006 Nobel Peace Prize to the founder of the Grameen Bank of Bangladesh. Fondo Esperanza saw a need for such facilitated access to small loans around Chile. Though Chile is often viewed as a model for Latin American macroeconomic success, it maintains one of the worst distributions of wealth in the world. Much of Chile’s disadvantaged people attempt to make a living through the operation of micro-businesses. In my research, I explored Fondo Esperanza’s operations in Temuco: its organizational structure and …
Asian Currency Baskets: A Useful Surveillance Tool?, Charles Adams, Hwee Kwan Chow
Asian Currency Baskets: A Useful Surveillance Tool?, Charles Adams, Hwee Kwan Chow
Research Collection School Of Economics
This paper considers whether an intra-regional currency basket and the associated divergence indicators could play a useful role in official exchange rate surveillance. Recently, proponents of an Asian currency basket have referred to the role the European Currency Unit played in constructing exchange rate divergence indicators as evidence of the usefulness of intra-regional currency baskets for exchange rate monitoring. The paper shows that such indicators have a number of features that can lead to them obscuring underlying changes in exchange rates and that the signals they emit will often be difficult to interpret. In addition, the use of regional currency …
Global Current Account Imbalances: American Fiscal Policy Versus East Asian Savings, Menzie David Chinn, Hiro Ito
Global Current Account Imbalances: American Fiscal Policy Versus East Asian Savings, Menzie David Chinn, Hiro Ito
Economics Faculty Publications and Presentations
We consider the origins of global current account imbalances. We first discuss how the expansion of the US current account deficit and the decrease in global real interest rates can be reconciled with the widespread view that American expansionary fiscal policy is partly the source of current trends. We then investigate empirically the medium-term determinants of the current account using a model that controls for factors related to institutional development. In addition to the conventional macroeconomic factors, we examine a series of environmental factors, including the degree of financial openness and the extent of legal development. We find that for …
Productivity Effects On Mexican Manufacturing Employment Before And After Nafta, Andre V. Mollick, Rene Cabral
Productivity Effects On Mexican Manufacturing Employment Before And After Nafta, Andre V. Mollick, Rene Cabral
Economics and Finance Faculty Publications and Presentations
A vast literature employs vector autoregressions (VAR) methods in order to capture whether innovations in productivity lead to increases or decreases in employment for U.S. manufacturing. Studying 25 Mexican manufacturing industries with annual data from 1984 to 2000, we examine labour productivity (value added per employee) and total factor productivity (TFP) effects on Mexican manufacturing employment. We find that productivity measures vary considerably in Mexico. Making use of panel data methods that control for sector specific effects, the business cycle and real wages, interesting results emerge. First, there are strong positive impacts of TFP (without and with human capital) on …
Aesthetics As A Foundation For Business Activity, John Dobson
Aesthetics As A Foundation For Business Activity, John Dobson
Finance
This paper identifies the ultimate justification for business activity as an aesthetic justification. Aesthetics, loosely defined as the appreciation of beauty, subsumes both ethics and economics within an holistic justificatory mechanism for business decisions.Five essential qualities of aesthetic judgment are identified: disinterest, subjectivity, inclusivity, contemplativity, and internality. The quality of aesthetic judgment, exercised by the individual through the organization, will determine the extent to which business activity enhances quality of life.
Applying Virtue Ethics To Business: The Agent-Based Approach, John Dobson
Applying Virtue Ethics To Business: The Agent-Based Approach, John Dobson
Finance
No abstract provided.
Selected Lid Projects In New England, New England Environmental Finance Center
Selected Lid Projects In New England, New England Environmental Finance Center
Planning
Examples of low impact development (LID) projects in each state in New England.
Are You Sure You're Saving Enough For Retirement?, Jonathan Skinner
Are You Sure You're Saving Enough For Retirement?, Jonathan Skinner
Dartmouth Scholarship
Many view the soon-to-retire Baby Boomers as woefully unprepared for their golden years, while other economists have taken a more sanguine view of American levels of saving. And if Americans are failures at saving enough for retirement, why are some retirees so happy? The seemingly simple question of "Am I saving enough for retirement?" is apparently not so simple at all. Instead, it touches on a variety of deeper issues in economics, psychology, and health policy. I use the program ESPlanner to present life-cycle retirement wealth targets for a range of incomes and situations typical of American Economic Association members. …
The Efficiency Of Emerging Stock Markets: Empirical Evidence From The South Asian Region, Arusha V. Cooray, G. Wickramasighe
The Efficiency Of Emerging Stock Markets: Empirical Evidence From The South Asian Region, Arusha V. Cooray, G. Wickramasighe
Faculty of Commerce - Papers (Archive)
This paper examines the efficiency in the stock markets of India, Sri Lanka, Pakistan and Bangladesh. The Augmented Dickey Fuller (ADF-1979, 1981), the Phillips-Perron (PP-1988), the Dicky-Fuller Generalized Least Square (DF-GLS-1996) and Elliot-Rothenberg-Stock (ERS – 1996) tests are used to examine weak form stock market efficiency. Weak form efficiency is supported by the classical unit root tests. However, it is not strongly supported for Bangladesh under the DF-GLS and ERS tests. Cointegration and Granger causality tests are used to examine semi-strong form efficiency. Semi-strong form efficiency is not supported as these tests indicate a high degree of interdependence among the …
Us-Swiss Term Structures And Exchange Rate Dynamics, A. Can Inci
Us-Swiss Term Structures And Exchange Rate Dynamics, A. Can Inci
Finance Department Faculty Journal Articles
In this study, a multi-country nonlinear model is constructed to simultaneously estimate the exchange rate dynamics and the term structure of interest rates in the US and in Switzerland. The model has better empirical performance compared to the earlier well-known affine international models. Risk premiums of bond yields vary between the two countries. The estimated state variables exhibit local characteristics. These conclusions imply the potential advantages of international diversification and demonstrate the Home Bias phenomenon. Exchange rate dynamics estimated by the models account for the Forward Premium Anomaly. Introduction of jump diffusions provides marginal improvement.
Impact Of Country Financial Development On The Firm: International Evidence, A. Can Inci
Impact Of Country Financial Development On The Firm: International Evidence, A. Can Inci
Finance Department Faculty Journal Articles
The impact of financial development of a country on the earnings, capital spending, and stock returns of the firms of that country is the subject of this study. There are two different financial development indices which are utilized. The first is based on Love (2003), and the second is based on Khurana (2006). Using 40 different countries, the causality relationships and cumulative impacts of the lags of earnings and lags of capital spending on subsequent earnings, capital spending, and returns are examined for the financially developed countries and financially non-developed countries. Earnings and capital spending Granger-cause stock returns in financially …
Temporal Aggregation And Risk-Return Relation, Jin Xing, Leping Wang, Jun Yu
Temporal Aggregation And Risk-Return Relation, Jin Xing, Leping Wang, Jun Yu
Research Collection School Of Economics
The function form of a linear intertemporal relation between risk and return is suggested by Merton's [1973. Econometrica 41, 867–887] analytical work for instantaneous returns, whereas empirical studies have examined the nature of this relation using temporally aggregated data, i.e., daily, monthly, quarterly, or even yearly returns. Our paper carefully examines the temporal aggregation effect on the validity of the linear specification of the risk–return relation at discrete horizons, and on its implications on the reliability of the resulting inference about the risk–return relation based on different observation intervals. Surprisingly, we show that, based on the standard Heston's [1993. Review …
Wal-Mart Bank In Mexico: Money To The Masses And The Home-Host Hole, Anna Gelpern
Wal-Mart Bank In Mexico: Money To The Masses And The Home-Host Hole, Anna Gelpern
Georgetown Law Faculty Publications and Other Works
In November 2006 Wal-Mart's Mexican subsidiary received approval to open a bank. The application faced little opposition in Mexico, unlike the company's failed effort to start a bank in the United States. This was partly because in Mexico, Wal-Mart's entry was generally regarded as increasing competition in a historically concentrated banking sector. With over three-quarters of all Mexicans unbanked, the authorities also looked to Wal-Mart to reach the underserved. Along with the promise, Wal-Mart's entry presents a transnational regulatory dilemma with implications beyond Wal-Mart and Mexico. Because it is Wal-Mart's only banking venture, the new institution will have its Mexican …
Odious, Not Debt, Anna Gelpern
Odious, Not Debt, Anna Gelpern
Georgetown Law Faculty Publications and Other Works
This article argues that the doctrine of Odious Debt, which has enjoyed a revival since the U.S. invasion of Iraq in 2003, frames the problem of odious debt in a way that excludes most of the problematic obligations incurred by twentieth-century despots. Advocacy and academic literature traditionally describe the odious debt problem as one of government contracts with private creditors. Most theories of sovereign debt key off the same relationship. But in the latest crop of cases, including Iraq, Liberia, and Nigeria, private creditors represent a small fraction of the old regime's debts. Most of the creditors are other governments …
Real Estate Mutual Funds: A Style Analysis, Crystal Lin, Kenneth Yung
Real Estate Mutual Funds: A Style Analysis, Crystal Lin, Kenneth Yung
Finance Faculty Publications
We find that the characteristics of real estate related securities are different from those of the general common equities. To help investors understand better the products offered by real estate mutual funds, we develop style descriptors that are specifically created for real estate related securities. Among the universe of real estate securities, we find real estate funds tilt toward large stocks and favor growth moderately over value. Growth managers outperform value mangers in this sector by 1.51% to 2.30% per year. However, there is evidence of shifts in the investment style among the funds. Our results help investors in evaluating …
Modeling Transaction Data Of Trade Direction And Estimation Of Probability Of Informed Trading, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitch Warachka
Modeling Transaction Data Of Trade Direction And Estimation Of Probability Of Informed Trading, Anthony S. Tay, Christopher Ting, Yiu Kuen Tse, Mitch Warachka
Research Collection School Of Economics
This paper implements the Asymmetric AutoregressiveConditional Duration (AACD) model of Bauwens and Giot (2003) to analyzeirregularly spaced transaction data of trade direction, namely buy versus sellorders. We examine the influence of lagged transaction duration, lagged volumeand lagged trade direction on transaction duration and direction. Our resultsare applied to estimate the probability of informed trading (PIN) based on theEasley, Hvidkjaer and O’Hara (2002) framework. Unlike the Easley-Hvidkjaer-O’Hara model, which uses the daily aggregate number of buy and sellorders, the AACD model makes full use of transaction data and allows forinteractions between buy and sell orders.
Realized Daily Variance Of S&P 500 Cash Index: A Revaluation Of Stylized Facts, Shirley Huang, Qianqiu Liu, Jun Yu
Realized Daily Variance Of S&P 500 Cash Index: A Revaluation Of Stylized Facts, Shirley Huang, Qianqiu Liu, Jun Yu
Research Collection School Of Economics
In this paper the realized daily variance is obtained from intraday transaction prices of the S&P 500 cash index over the period from January 1993 to December 2004. When constructing realized daily variance, market microstructure noise is taken into account using a technique proposed by Zhang, Mykland and Ait-Sahalia (2005). The time series properties of realized daily variance are compared with those of variance estimates obtained from parametric GARCH and stochastic volatility models. Unconditional and dynamic properties concerning the realized daily variance are examined, the relationship between realized variance and returns is investigated, and the stylized facts concerning realized daily …
On The Moral Structure Of White-Collar Crime, Mitchell N. Berman
On The Moral Structure Of White-Collar Crime, Mitchell N. Berman
All Faculty Scholarship
No abstract provided.
Private Standards, Public Governance: A New Look At The Financial Accounting Standards Board, William W. Bratton
Private Standards, Public Governance: A New Look At The Financial Accounting Standards Board, William W. Bratton
All Faculty Scholarship
The Financial Accounting Standards Board (the “FASB”) presents a puzzle: How has this private standard setter managed simultaneously (1) to remain independent, (2) to achieve institutional stability and legitimacy, and (3) to operate in a politicized context in the teeth of op-position from its own constituents? This Article looks to governance design to account for this institutional success. The FASB’s founders made a strategic choice to create a regulatory agency that sought independence rather than political responsiveness. The FASB also set out a coherent theory of accounting, the “Conceptual Framework,” to contain and direct its decisions. The Conceptual Framework contributed …