the role of price and nonprice factors in predicting australia s trade performance this article investigates the role of price and nonprice factors in predicting australia s trade performance results broadly suggest that australia s trade performance is largely explained by the

the trade effects of antidumping duties evidence from the 2004 eu enlargement abstract this paper exploits the 2004 eu enlargement as a natural experiment to estimate the effects of antidumping ad duties on import prices and quantities the automatic extension of eu ad policy to new member states following their accession is exogenous to new members trade shocks using this source of variation the paper shows that on average ad duties raise producer prices of targeted exporters however import prices from countries with non market economy status nmes notably china remain unchanged while quantities fall more strongly this is in line with expectations as the eu applies special rules to nmes countries the trade dampening effects of ad duties persist over time moreover the duties appear to induce exporters from non targeted countries to increase their prices

anti dumping duty circumvention through trade rerouting evidence from chinese exporters we study the evasion of us anti dumping duties by some chinese exporters through trade rerouting via third countries or regions using detailed monthly trade data reported by china and the us customs during the period of 2002 06 we find that us anti dumping actions against china lead to a stronger positive correlation between us imports from third countries and chinese exports to the same third countries such a positive correlation is more pronounced for the products subject to anti dumping duties treatment groups than similar products not subject to these duties control groups the evidence is stronger for less differentiated products whose certificates of origins are easier to be modified and is stronger for third countries where the rerouting cost is low these findings are consistent with a trade rerouting story rather than a simple story of trade diversion i e increase in some third countries imports from china and trade deflection i e increase in some third country exports to the us we also rule out other alternative stories consider prior production in third countries and concurrent anti dumping actions against china or third countries pay a particular attention to the many zero trade flows in the monthly level data and check the robustness to using an alternative control group and quarterly data etc

the valuation of options on yields abstract many contingent claims incorporate options on yield levels i derive closed form expressions for european yield option prices using a general equilibrium model in which the underlying yield is the relevant state variable the properties of these options differ markedly from those of conventional options on traded assets for example yield call values can be less than their intrinsic value and can be decreasing functions of the underlying yield these features have important hedging implications i examine the empirical implications of the model using price data for the 13 week t bill options traded on the chicago board options exchange

intra industry trade between the industrial countries and the developing world abstract intra industry trade in manufactures between the industrial countries and the developing world is far from negligible and it cannot be explained away by the level of aggregation used our results indicate a complementarity between the heckscher ohlin family of explanations of trade between countries and the observed intra industry trade in manufactures between the industrial countries and the developing world further both natural and artificial barriers to trade seems to encourage such intra industry trade but this should provide little consolation to protection lobbies as the cost reductions implied by the intra industry trade adjustments will have high if they were to compensate for the welfare losses resulting from barriers to trade

computing the constant elasticity of variance option pricing formula this paper expresses the constant elasticity of variance option pricing formula in terms of the noncentral chi square distribution this allows the application of well known approximation formulas and the derivation of a whole class of closed form solutions in addition a simple and efficient algorithm for computing this distribution is presented this paper shows that the constant elasticity of variance cev formula can be expressed as a function of the noncentral chi square distribution a simple and efficient algorithm for computing this distribution is presented approximations to this distribution can be used to estimate accurately the cev formula when the computation of the exact solution is problematic section i discusses theories and some evidence on the association between volatility and price level section ii presents the particular kind of relationship assumed by the cev model and reviews empirical evidence on the model section iii shows that the cev formula can be expressed in terms of the noncentral chisquare distribution a simple algorithm for computing this distribution is derived in section iv section v presents some special closed form solutions to this distribution finally section vi shows that an approximation to the cev formula can be used when the exact solution converges slowly i relationship between volatility and price level several theoretical arguments imply an association between stock price and volatility geske 11 black 3 and christie 5 consider the effects of financial leverage on the variance of the stock an increase in the stock price reduces the debt equity ratio of the firm and therefore reduces the variance of the stock s returns black hypothesizes that price changes may also affect volatility through their impact on operating leverage in addition he proposes a reverse causal relationship whereby an increase in the volatility of stocks causes prices to fall in rubinstein s 171 displaced diffusion model the relation between price and volatility of returns depends on the firm s asset mix and debt equity ratio empirical evidence supports the hypothesis that volatility changes with stock price schmalensee and trippi 19 examining just over a year of weekly data on six stocks find a strong negative relationship between stock price changes and changes in implied volatility black 3 using over ten years of data on thirty stocks finds that a given proportional increase decrease in stock price is

a damped diffusion framework for financial modeling and closed form maximum likelihood estimation abstract asset price bubbles can arise unintentionally when one uses continuous time diffusion processes to model financial quantities we propose a flexible damped diffusion framework that is able to break many types of bubbles and preserve the martingale pricing approach damping can be done on either the diffusion or drift function oftentimes certain solutions to the valuation pde can be ruled out by requiring the solution to be a limit of martingale prices for damped diffusion models monte carlo study shows that with finite time series length maximum likelihood estimation often fails to detect the damped diffusion function while fabricates nonlinear drift function an alternative method based on ait sahalia s specification test on parametric models is proposed

leverage effect volatility feedback and self exciting market disruptions equity index volatility variation and its interaction with the index return can come from three distinct channels first index volatility increases with the market s aggregate financial leverage second positive shocks to systematic risk increase the cost of capital and reduce the valuation of future cash flows generating a negative correlation between the index return and its volatility regardless of financial leverage finally large negative market disruptions show self exciting behaviors this article proposes a model that incorporates all three channels and examines their relative contribution to index option pricing and stock option pricing for different types of companies

displaced diffusion option pricing this paper develops a new option pricing formula that pushes the underlying source of risk back to the risk of individual assets of the firm the formula simultaneously encompasses differential riskiness of the assets of the firm their relative weights in determining the value of the firm the effects of firm debt and the effects of a dividend policy with both constant and random components although this setting considerably generalizes the black scholes 1 analysis it nonetheless produces a formula via riskless arbitrage arguments that given estimated inputs is as easy to use as the black scholes formula

endogenous timing in duopoly games stackelberg or cournot equilibria abstract simultaneous versus sequential play is studied in an extended game in a preplay stage players decide whether to select actions in the basic game at the first opportunity or to wait until observing their rivals first period actions in one extended game players first decide when to select actions without committing to actions in the basic game the equilibrium has a simultaneous play subgame unless payoffs in a sequential play subgame pareto dominate those payoffs in another extended game deciding to select at the first turn requires committing to an action both sequential play outcomes are the equilibria only in undominated strategies

horizontal and vertical intra industry trade in australian manufacturing does trade liberalization have any impact this paper contributes to the literature on intra industry trade iit by disentangling such trade into horizontally and vertically differentiated products and investigating their determinants in the context of trade liberalization in australia iit in australian manufacturing has increased following trade liberalization in 1980s and is increasingly dominated by vertically differentiated products industry level evidence confirms that the failure to segregate iit into horizontally and vertically differentiated products produces misleading results as their determinants differ also structural changes brought about by the policy liberalization appear to have an impact on total as well vertical iit

anti dumping what are the numbers to discuss at doha while tariff barriers have decreased worldwide through various gatt rounds anti dumping has surged to play a crucial role as the most important non tariff barrier after much debate and opposition anti dumping is on the agenda of the doha round of multilateral trade negotiations and it is one of the most important issues especially for developing countries as they are the main targets of this policy instrument with this prospect it is important to assess the relevance of anti dumping not only by focusing on traditional users but by analysing the experience of new users which are now major players in the field this paper improves upon existing studies by providing a comprehensive assessment on the use of anti dumping first data on the time pattern of worldwide implementations of anti dumping laws are presented this time profile shows interesting relationships with legal developments in gatt and wto dispositions second usual sources of data are complemented with various other sources this allows the inclusion of recent heavy users like china russia taiwan and ukraine which are ignored in similar studies but important for their trade volumes this enlarged and updated dataset shows that new users are even more important than previously thought with implications for the doha negotiations

does antidumping use contribute to trade liberalization in developing countries some supporters of antidumping have argued that this procedure serves as a kind of safety valve for protectionist pressure in this paper we investigate whether there is empirical evidence that the use of antidumping actions has contributed to ongoing tariff reductions over the period 1988 to 2004 in a sample of 23 developing countries some of which have become aggressive users of antidumping in recent years the evidence is not supportive of the safety valve argument for these countries instead evidence suggests that past use of antidumping may have led to less rather than more trade liberalization

the use of unit values to discriminate between price and quality competition this paper proposes using the unit value of exports to discriminate between markets in which the quantity traded depends more on price competition and those markets in which the quantity traded depends more on non price competition the unit value of the exports is a measure available at practically all levels of disaggregation this measure thus enables us to judge competitiveness for broad industries as well as to trace its sources and structures in narrowly defined product markets the author proposes an easy way to discriminate between industries in which low unit values signal low costs and those industries in which high unit values signal high quality or highly processed goods and he applies this concept of revealed price elasticity revelast to the german economy copyright 1997 by oxford university press

pricing and static hedging of american style options under the jump to default extended cev model abstract this paper prices and hedges american style options through the static hedge approach shp proposed by chung and shih 2009 and extends the literature in two directions first the shp approach is generalized to the jump to default extended cev jdcev model of carr and linetsky 2006 and plain vanilla american style options on defaultable equity are priced the robustness and efficiency of the proposed pricing solutions are compared with the optimal stopping approach offered by nunes 2009 under both the jdcev framework and the nested constant elasticity of variance cev model of cox 1975 using different elasticity parameter values second the early exercise boundary near expiration is derived under the jdcev model

trade deflection and trade depression this is the first paper to empirically examine whether a country s use of an import restricting trade policy distorts a foreign country s exports to third markets we first develop a theoretical model of worldwide trade in which the imposition of antidumping and safeguard taris or trade remedies by one country causes significant distortions in world trade flows we then empirically test this model by investigating the eect of the united states use of such import restrictions on japanese exports of roughly 4800 products into 37 countries between 1992 and 2001 our estimation yields evidence that us restrictions both deflect and depress japanese export flows to third countries imposition of a us antidumping measure against japan deflects trade as the average antidumping duty on japanese exports leads to a 5 7 increase in japanese exports of the same product to the average third country market the imposition of a us antidumping measure against a third country depresses trade as the average us duty imposed on a third country leads to a 5 19 decrease in japanese exports of that same product to the average third country s market we also document the substantial variation in trade deflection and trade depression across dierent importing countries and exported products

static hedging and pricing american knock in put options abstract this paper extends the static hedging portfolio shp approach of derman et al 1995 carr et al 1998 to price and hedge american knock in put options under the black scholes model and the constant elasticity of variance cev model we use standard european calls puts to construct the shps for american up and in down and in puts we also use theta matching condition to improve the performance of the shp approach numerical results indicate that the hedging effectiveness of a bi monthly shp is far less risky than that of a delta hedging portfolio with daily rebalance the numerical accuracy of the proposed method is comparable to the trinomial tree methods of ritchken 1995 boyle and tian 1999 furthermore the recalculation time the term is explained in section 1 of the option prices is much easier and quicker than the tree method when the stock price and or time to maturity are changed

approximate arbitrage free option pricing under the sabr model abstract the stochastic alpha beta rho sabr model introduced by hagan et al 2002 provides a popular vehicle to model the implied volatilities in the interest rate and foreign exchange markets to exclude arbitrage opportunities we need to specify an absorbing boundary at zero for this model which the existing analytical approaches to pricing derivatives under the sabr model typically ignore this paper develops closed form approximations to the prices of vanilla options to incorporate the effect of such a boundary condition different from the traditional normal distribution based approximations our method stems from an expansion around a one dimensional bessel process extensive numerical experiments demonstrate its accuracy and efficiency furthermore the explicit expression yielded from our method is appealing from the practical perspective because it can lead to fast calibration pricing and hedging

import protection business cycles and exchange rates evidence from the great recession this research estimates the impact of macroeconomic fluctuations on import protection policies over 1988 q1 2010 q4 for five industrialized economies the united states european union australia canada and south korea there is evidence of a strong countercyclical trade policy response in the pre great recession period of 1988 q1 2008 q3 during which increases in domestic unemployment rates real appreciations in bilateral exchange rates and declines in the gdp growth rates of bilateral trading partners led to substantial increases in new temporary trade barriers it then applies this pre great recession empirical model to realized macroeconomic data from 2008 q4 2010 q4 and find it predicts a surge of new import protection during the great recession e g for the us and eu the model predicts new trade barriers would cover an additional 15 percentage points of nonoil imports well above the baseline level of 2 3 percent of import coverage immediately preceding the crisis finally the research examines why the realized trade policy response differed from model predictions while exchange rate movements played an important role in limiting new import protection during the great recession there is also evidence of one particularly important change in trade policy responsiveness i e in this period governments refrained from imposing new temporary trade barriers against foreign trading partners experiencing their own weak or negative economic growth

the chilling trade effects of antidumping proliferation advocates of antidumping ad laws downplay their negative effects by arguing that the trade flows that are subject to ad are small and their distortions negligible but while the adverse effect of ad on product level trade has long been established the question remains whether there are trade effects at the aggregate level the recent proliferation wave of ad laws and their use provides us with a unique policy change to estimate the true trade effects of adopting and enforcing ad laws for this purpose we estimate the effect of ad on bilateral trade flows between the new adopters of ad laws and their trade partners using a gravity model of annual observations 1980 2000 our estimates show that ad has trade chilling effects on aggregate import volumes but the impacts are heterogeneous across sectors we find that new tough users experience a chilling of their aggregate imports of 14 billion us a year or 5 9 as a result of ad measures for some countries like mexico and india the dampening effects of ad laws on trade flows are found to substantially offset the increase in trade volumes derived from trade liberalization

changes of numeraire for pricing futures forwards and options a change of numeraire argument is used to derive a general option parity or equivalence result relating american call and put prices and to obtain new expressions for futures and forward prices the general parity result unifies and extends a number of existing results the new futures and forward pricing formulas are often simpler to compute in multifactor models than existing alternatives we also extend previous work by deriving a general formula relating exchange options to ordinary call options a number of applications to diffusion models including stochastic volatility stochastic interest rate and stochastic dividend rate models and jump diffusion models are examined a self financing portfolio is called a numeraire if security prices measured in units of this portfolio admit an equivalent martingale measure the most commonly used numeraire is the reinvested short rate process the corresponding equivalent martingale measure is the risk neutral measure geman el karoui and rochet 1995 show that other numeraires can simplify many asset pricing problems in this article we build on their results and using the reinvested asset price as the numeraire unify and extend the literature on option parity or equivalence results relating american call and put prices for asset and futures options the same numeraire change is used to obtain new pricing formulas for futures and forwards that are often simpler to compute in multifactor models finally we use a numeraire change to simplify exchange option pricing extending a similar result in geman el karoui and rochet to dividend paying assets the change of numeraire method is most intuitive in the context of foreign currency derivative securities as discussed by grabbe 1983 an american call option to buy 1 dm with dollar price process s for k dollars is equivalent to an american put option to sell k dollars with dm price process k s for a strike price of 1 dm the dollar price of the call must therefore equal the product of the current exchange rate s0 and the dm price of the put the call price is computed using the dollar value of a u s i am grateful to kerry back the editor and costis skiadas for their many helpful suggestions thanks also to peter demarzo matt jackson naveen khanna david marshall robert mcdonald jim moser phyllis payette and an anonymous referee for their comments this article subsumes schroder 1992

intraindustry trade sources and effects on protection this paper provides an empirical analysis of the determinants of intraindustry trade we demonstrate that two way trade flows occur where conditions are favorable to international specialization consistent with the stigler williamson analysis of the division of labor the results are inconsistent with the prevailing product differentiationcum scale economies model of intraindustry trade in addition we show that intraindustry trade has a significant impact on protectionist pressures exports of closely related products have the effect of mitigating the tariff raising effects that imports would otherwise exert

import dynamics and demands for protection what kinds of changes in foreign competition lead domestic industries to seek import protection to address this question this paper uses detailed monthly u s import data to investigate changes in import composition during a 24 month window immediately preceding the filing of a petition for protection a decomposition methodology allows a comparison of imports from two groups of countries supplying the same product those that are named in the petition and those that are not the same decomposition can be applied to products quite similar to the imports in question but not subject to a petition the results suggest that industries typically seek protection when faced with a specific pattern of shocks first a persistent positive relative supply shock favors imports from named countries second a negative demand shock hits imports from all sources just prior to domestic industries petition for protection the relative supply shock is a broad one it applies both to named commodities and to the comparison product group the import demand shock by contrast is narrow hitting only named products the latter shock is also large import growth over the two year window is 15 percentage points lower in named products than in reference products with most of this gap arising in the final two quarters before the petition the negative import demand shock appears to be a key event in the run up to the filing of a petition it has been missed by previous studies using more aggregated data

the first review of european union antidumping reviews the literature on antidumping ad has documented various aspects of this protectionist tool however a peculiar feature of ad has not received much attention these measures are endogenous to the behaviour of the exporting firms which can adjust the dumping margin by changing their export price and ask the authority to amend the ad measures accordingly the objective of this paper is to fill part of this gap in the literature by analysing the ad reviews conducted by the european union for affirmative petitions initiated in 1980 2009 to this end a novel data set of all such reviews has been assembled summary statistics reveal that more than a third of all petitions concluded with the imposition of ad measures are reviewed at least once before their expiration and most reviews lead to lower ad duties although almost 20 per cent of the firms investigated through interim reviews see their duties increase there are significant differences in the outcome of the reviews depending on the party requesting them i e reviews lodged by european producers are less likely to lead to lower duties these conclusions are confirmed by the econometric analysis which also shows that chinese firms see their duties reduced significantly less than those of firms from other countries

economic reforms in india since 1991 has gradualism worked opinions on the causes of india s growth deceleration vary world economic growth was slower in the second half of the 1990s and that would have had some dampening effect but india s dependence on the world economy is not large enough for this to account for the slowdown critics of liberalization have blamed the slowdown on the effect of trade policy reforms on domestic industry however the opposite view is that the slowdown is due not to the effects of reforms but rather to the failure to implement the reforms effectively this in turn is often attributed to india s gradualist approach to reform which has meant a frustratingly slow pace of implementation however even a gradualist pace should be able to achieve significant policy changes over ten years this paper examines india s experience with gradualist reforms from this perspective

vertical and horizontal intra industry trade a cross industry analysis for the united kingdom a large theoretical literature has emerged directed at explaining the presence of intra industry trade iit one of the distinctions which comes out of these models is that between horizontal iit where goods are differentiated by attributes and vertical iit where goods are differentiated by quality in this paper horizontal and vertical iit in u k trade are disentangled using a unit value dispersion criterion and a range of industry characteristics the paper not only points up the relative importance of vertical and horizontal iit in the united kingdom it also demonstrates how a failure to separate them out can impact on the interpretation of empirical results copyright 1995 by royal economic society

wto tariff commitments and temporary protection complements or substitutes abstract there is a long held notion in the trade policy literature that traditional tariff instruments and temporary protection tp measures are substitutes despite this prediction there is only mixed empirical evidence for a link between tariff reductions and the usage pattern of antidumping safeguard and countervailing duties based on recent theoretical advances i argue in this paper that the relevant trade policy margin for implementing tp measures is instead tariff overhangs the difference between wto bound and applied tariffs lower tariff overhangs constrain countries to raise their mfn applied rates without legal repercussions independent of past tariff changes using detailed sectoral data for a sample of 30 wto member countries during the period 1996 2014 i find strong evidence for an inverse link between tariff overhangs and tp activity this result implies that tariff overhangs and tp measures are substitutes vindicating the importance of existing tariff commitments as a key determinant of alternative protection instruments

pricing and hedging path dependent options under the cev process much of the work on path dependent options assumes that the underlying asset price follows geometric brownian motion with constant volatility this paper uses a more general assumption for the asset price process that provides a better fit to the empirical observations we use the so called constant elasticity of variance cev diffusion model where the volatility is a function of the underlying asset price we derive analytical formulae for the prices of important types of path dependent options under this assumption we demonstrate that the prices of options which depend on extrema such as barrier and lookback options can be much more sensitive to the specification of the underlying price process than standard call and put options and show that a financial institution that uses the standard geometric brownian motion assumption is exposed to significant pricing and hedging errors when dealing in path dependent options

trade barriers multinational involvement and intra industry trade panel data evidence from india the article analyses the effects of trade barriers and multinationals on the intensity of intra industry trade iit in a panel of indian manufacturing industries from 1988 to 1999 we find that the intensity of iit increases with the reduction of trade barriers this is expected as greater competition from imports leads individual plants in the domestic industry to specialize in the manufacturing of unique varieties the analysis suggests that horizontal market seeking multinational activities in the domestic industries exert a negative influence on iit this is consistent with the view that horizontal multinationals displace exports to the host country at the same time our results indicate that iit will be stimulated to the extent that the entry of multinationals induces intra industry specialization we also analyse the role of product differentiation and plant level scale economies in determining iit

endogenous sequencing of firm decisions abstract when firms are symmetrically informed a stackelberg leader prefers to be leader rather than a cournot duopolist however when the leader has superior information about demand the leader may earn lower ex ante profits than it would earn if it was choosing quantities simultaneously with the follower in this paper i give the firm with superior information the option of delaying its quantity decision until the decision period of the less informed firm so that decisions are made simultaneously surprisingly in the unique stable outcome the informed firm moves first regardless of its private information journal of economic literature classification numbers c72 c73 d82 l10

systematic equity based credit risk a cev model with jump to default we use equity as the traded primitive for a detailed analysis of systematic default risk default is parsimoniously represented by equity value hitting the zero barrier so that unlike in reduced form models the explicit linkage to the firm s capital structure is preserved but unlike in structural models restrictive assumptions on the structure are avoided default risk is either jump like or diffusive the equity price can jump to default in line with recent empirical evidence on the jump to default risk price we highlight how reasonable choices of the pricing kernel can imply remarkable differences in the equity price dependent status between the objective default intensity and the risk neutral intensity as equity returns experience negative diffusive shocks their cev type local variance increases and boosts the objective and risk neutral probabilities of diffusive default a parsimonious version of our general model simultaneously enables analytical credit risk management and analytical pricing of credit sensitive instruments easy cross asset hedging ensues

profit shifting and trade agreements in imperfectly competitive markets profit shifting and trade agreements in imperfectly competitive markets do new rationales for trade agreements arise once imperfectly competitive markets are allowed we consider several trade models that feature imperfectly competitive markets and argue that the basic rationale for a trade agreement is in fact the same rationale that arises in perfectly competitive markets in all of the models that we consider and whether or not governments have political economic objectives the only rationale for a trade agreement is to remedy the inefficient terms of trade driven restrictions in trade volume we also show that the principles of reciprocity and nondiscrimination continue to be efficiency enhancing in these settings

further results on the constant elasticity of variance call option pricing model the black scholes 4 call option model is a member of the class of constant elasticity of variance call option models proposed by cox 6 while the black scholes model assumes that the volatility or instantaneous variance of return is constant through time the other members of the class allow the volatility to change with the stock price this property is of interest because empirical evidence suggests that returns to common stock are heteroscedastic and also that volatilities implied from the black scholes model and market prices of call options are not constant

pricing options on scalar diffusions an eigenfunction expansion approach this paper develops an eigenfunction expansion approach to pricing options on scalar diffusion processes all contingent claims are unbundled into portfolios of primitive securities calledeigensecurities eigensecurities are eigenvectors eigenfunctions of the pricing operator present value operator all computational work is at the stage of finding eigenvalues and eigenfunctions of the pricing operator the pricing is then immediate by the linearity of the pricing operator and the eigenvector property of eigensecurities to illustrate the computational power of the method we develop two applications pricing vanilla single and double barrier options under the constant elasticity of variance cev process and interest rate knock out options in the cox ingersoll ross cir term structure model

asymmetric information acquisition and behavior in role choice models an endogenously generated signaling game the authors employ a static homogeneous good duopoly model wherein firms can choose to produce in one of two periods the model allows agents to acquire information and then traces the impact of the information pattern on subsequent production behavior asymmetric information acquisition leads to a unique production role choice pattern the informed uninformed firm chooses to assume the leader s follower s role moreover if information is costly the typical equilibrium involves only one firm acquiring information thus identical firms with identical opportunities choose to become asymmetrically informed and produce sequentially this is the unique refined equilibrium outcome copyright 1994 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

preferential trade agreements and antidumping protection abstract are preferential trade agreements ptas stumbling blocks or building blocks towards multilateral trade liberalization we address this question by investigating the effects of the negotiation and implementation of ptas on the use of antidumping ad i e the most common form of contingent trade protection by member countries against non members as there has been a concurrent surge in regionalism and ad activity since the 1990s theoretically derived empirical predictions are supported by the empirical analysis based on the 15 most intense users of ad the results demonstrate that both the negotiation and the implementation of ptas lead to fewer ad measures against non member countries except for members of customs union agreements in force facing large import surges from non members thus our results highlight a building block effect of ptas on multilateral trade cooperation when it comes to ad protection

national treatment at the wto the roles of product and country heterogeneity this paper analyzes the world trade organization s wto s national treatment nt clause in a two country model where quality of goods and or market size are heterogenous across countries when market size is symmetric across countries a reciprocal nt agreement i benefits the high quality country ii hurts the low quality country and iii delivers higher aggregate world welfare however such an agreement can arise in equilibrium if the high quality country s market is relatively bigger and the quality gap between goods is small i e goods are sufficiently alike the qualitative nature of these results does not change when quality is endogenously determined

does the quality of political institutions affect intra industry trade within trade blocs the asean perspective there has been a renewed resolve for deeper integration and cooperation within asean intra industry trade iit is often viewed as a way of achieving economic as well as political integration thi

the analysis of causality in escape clause cases under section 201 of the trade act of 1974 the so called escape clause a domestic industry that is seriously injured can obtain temporary relief if imports are the substantial cause of such injury this paper develops a methodology to determine the change in a domestic industry s production as a result of changes in import supply demand and domestic supply and so determine whether or not an industry is entitled to section 201 relief this methodology is illustrated by application to two recent section 201 investigations wood shakes and shingles and nonrubber footwear copyright 1988 by blackwell publishing ltd

model free hedge ratios and scale invariant models a price process is scale invariant if and only if the returns distribution is independent of the price measurement scale we show that most stochastic processes used for pricing options on financial assets have this property and that many models not previously recognised as scale invariant are indeed so we also prove that price hedge ratios for a wide class of contingent claims under a wide class of pricing models are model free in particular previous results on model free price hedge ratios of vanilla options based on scale invariant models are extended to any contingent claim with homogeneous pay off including complex path dependent options however model free hedge ratios only have the minimum variance property in scale invariant stochastic volatility models when price volatility correlation is zero in other stochastic volatility models and in scale invariant local volatility models model free hedge ratios are not minimum variance ratios and our empirical results demonstrate that they are less efficient than minimum variance hedge ratios

industry rent seeking and the filing of unfair trade complaints abstract this paper adopts a rent seeking framework to explain the incidence of antidumping and countervailing duty complaints brought to the u s international trade commission and the department of commerce tobit analysis on all 3 digit sic industries is employed to examine the relationship between the frequency of unfair trade complaints and such factors as industry concentration unionization capital intensity and levels and or changes in employment price cost margins and import penetration large capital intensive industries particularly those facing employment losses and rising import shares are found to be most likely to file complaints protection of quasi rents accruing to capital and labor rather than protection of monopoly returns appears to be the primary impetus behind the filing of unfair trade complaints

imports as a threat to cartel stability abstract it is an old story that increased imports may have competitive effects on a domestic market the usual effect is felt through a reduction in demand for the products of the domestic industry what is more subtle is the effect that imports in particular an unexpected surge in imports from a new source country may have on the stability of a domestic cartel and more generally on the conduct of a domestic oligopoly implying a further competitive influence of international trade this paper discusses the issue in the context of several models and presents some relevant evidence from a recent case brought before the u s international trade commission

antidumping and retaliation threats abstract we propose and test two ways in which retaliation threats may dampen the antidumping ad activity we observe first the threat of retaliatory ad actions may make a domestic industry less likely to name a foreign import source in an ad petition second the prospect of a gatt wto trade dispute may make government agencies less likely to rule positive in their ad decision using a nested logit framework we find evidence that both retaliation threats substantially affect us ad activity from 1980 through 1998

intra industry specialization in a multi country and multi industry framework the paper tests alternative hypotheses as to the factors determining the extent of intra industry trade defined as the share of this trade in total trade in a multi country and multi industry framework the empirical results show that the extent of intra industry trade in a particular industry between any two countries depends on the characteristics of the industry and the countries concerned the explanatory power of the regressions for the entire group of countries exporting manufactured goods as well as for trade among the developed countries is relatively high and practically all the hypotheses concerning the impact of industry trade are supported by the empirical results lower coefficients of determination have been obtained for trade between developed and developing countries and for trade among developing countries but the estimates generally support the hypotheses put forward in the paper in these cases also

the valuation of options on coupon bonds abstract we derive simple closed form expressions for european options on coupon bonds using the general equilibrium term structure framework of cox ingersoll and ross the properties of these options are very different from those implied by the black scholes model for example bond call and put values can move in the same direction as the value of the underlying bond changes this has important implications for hedging interest rate risk with bond options furthermore bond option values can be decreasing functions of interest rate volatility as well as their time to expiration we also examine the properties of american bond options

the returns from rent seeking campaign contributions firm subsidies and the byrd amendment this is the first empirical study to examine congressional support of a new law that distributes antidumping duties to protected firms because the law produces a transparent measure of how much each firm was rewarded for its efforts to secure the bill s passage it provides researchers with a unique opportunity to study the link between the expected financial returns to firms campaign contributions and congressional behaviour our results indicate that campaign contributions from beneficiaries increased the likelihood that lawmakers would sponsor the law while contributions from the law s beneficiaries increased with the rewards they expected to receive ceci est la premiere etude empirique examinant le support par le congres americain d une nouvelle loi qui distribue les droits anti dumping collectes aux entreprises protegees parce que la loi produit une mesure transparente de la recompense versee a une entreprise pour ses efforts de lobbying afin de s assurer que la loi est mise en vigueur cela permet aux chercheurs d etudier le lien entre les rendements financiers anticipes pour les entreprises leurs contributions aux campagnes electorales et les actions du congres les resultats indiquent que les contributions aux campagnes electorales en provenance des beneficiaires potentiels accroissent la probabilite que les legislateurs vont supporter la loi et que les contributions en provenance des beneficiaires de la loi s accroissent a proportion que la taille de la recompense anticipee s accroit

pricing and static hedging of american style knock in options on defaultable stocks abstract this paper applies the static hedge portfolio approach shp of chung et al 2013 in two new directions first the shp approach is generalized from the constant elasticity of variance cev model of cox 1975 to the jump to default extended cev jdcev framework of carr and linetsky 2006 for this purpose the recovery value of the american style down and in put is hedged through the one attached to a european style plain vanilla contract whereas for an up and in put it is necessary to use the recovery component of the corresponding european style up and in option second the shp methodology is adapted from single to double barrier american style knock in options by matching the value of the hedging portfolio along both lower and upper barriers finally and to benchmark the accuracy of the novel shp pricing solutions the optimal stopping approach of nunes 2009 is also extended to price american style double knock in options under the jdcev framework such extension highlights the relevant credit derivative component embedded in american style knock in equity puts

what explains the proliferation of antidumping laws a recent phenomenon is the rapid spread of antidumping ad laws mainly amongst developing countries i e china india mexico between 1980 and 2003 the number of countries in the world with an ad law more than doubled going from 36 to 97 countries this proliferation of trade protection laws amongst developing countries is likely to have substantial implications for trade as recently shown by vandenbussche and zanardi 2007 the purpose of this paper is to use a duration analysis to investigate the determinants leading a country to adopt an ad law we also analyze the related question of what explains the heterogeneity between countries that can be observed in terms of the time between adoption and their first use of the ad law we find strong evidence that retaliatory motives are at the heart of the proliferation decision as countries that were targeted by ad actions of traditioal users in the past i e us eu are much more likely to adopt an ad law also our evidence suggests that past trade liberalization substantially increases the probability of a country to adopt an ad law in addition we find that the size of the chemicals sector and the extent of steel imports are positively correlated with the probability to adopt the amount of inward fdi on the other hand has a clear negative effect on the probability to adopt while short term macroeconomic factors like gdp growth and exchange rate volatility seem to matter less for adoption asymmetric regional shocks and the development level of a country seem to raise the probability of starting to use an ad law our results are robust to several specifications of duration models

pricing american options under the constant elasticity of variance model and subject to bankruptcy this paper proposes an alternative characterization of the early exercise premium that is valid for any markovian and diffusion underlying price process as well as for any parameterization of the exercise boundary this new representation is shown to provide the best pricing alternative available in the literature for medium and long term american option contracts under the constant elasticity of variance model moreover the proposed pricing methodology is also extended easily to the valuation of american options on defaultable equity and possesses appropriate asymptotic properties

preferential trade agreements and multilateral tariff cooperation are preferential trade agreements ptas building or stumbling blocks for multilateral trade liberalization i address this question in an infinitely repeated tariff game between three countries engaged in intraindustry trade under oligopoly the central result is that when countries are symmetric a free trade agreement fta undermines multilateral tariff cooperation by adversely affecting the cooperation incentive of the nonmember whereas a customs union cu does so via its effect on the cooperation incentives of members however when countries are asymmetric with respect to either market size or cost there exist circumstances where ptas facilitate multilateral tariff cooperation

pricing interest rate derivatives a general approach the relationship between affine stochastic processes and bond pricing equations in exponential term structure models has been well established we connect this result to the pricing of interest rate derivatives if the term structure model is exponential affine then there is a linkage between the bond pricing solution and the prices of many widely traded interest rate derivative securities our results apply to m factor processes with n diffusions and l jump processes the pricing solutions require at most a single numerical integral making the model easy to implement we discuss many options that yield solutions using the methods of the article

the valuation of american options for a class of diffusion processes we present an integral equation approach for the valuation of american style derivatives when the underlying asset price follows a general diffusion process and the interest rate is stochastic our contribution is fourfold first we show that the exercise region is determined by a single exercise boundary under very general conditions on the interest rate and the dividend yield second based on this result we derive a recursive integral equation for the exercise boundary and provide a parametric representation of the american option price third we apply the results to models with stochastic volatility or stochastic interest rate and to american bond options in one factor models for the cases studied explicit parametric valuation formulas are obtained finally we extend results on american capped options to general diffusion prices numerical schemes based on approximations of the optimal stopping time such as approximations based on a lower bound or on a combination of lower and upper bounds are shown to be valid in this context

antidumping cases in the us chemical industry a panel data approach factors motivating the decision to file an antidumping petition are analyzed with data from 1976 88 for the u s chemical industry the incidence of antidumping filings is related to disaggregate levels of and changes in macroeconomic variables in a count model framework import penetration number of employees price cost margins the chemical production index and dumping margins all significantly influence the filing decision while average wages the capital to shipments ratio and the new capital expenditures to shipments ratio do not there is also evidence that antidumping filings increased significantly following implementation of the trade agreements act of 1979 copyright 1994 by blackwell publishing ltd

a cross section analysis of intra industry trade in the u k abstract in this paper the inter industry patterns of intra industry trade in the united kingdom are explored a cross section econometric model is explained and estimated for the year 1977 two samples of 37 and 68 observations are tested using a variety of proxies for features of market structure including market concentration product differentiation and cost conditions the results suggest that a significant proportion of the inter industry variation in intra industry trade can be explained by the model