how investible is bitcoin analyzing the liquidity and transaction costs of bitcoin markets abstract we examine the investibility of bitcoin by exploring the trading dynamics and market microstructure of bitcoin on three us cryptocurrency exchanges using high frequency intraday data of individual trades and quotes although all exchanges offer continuous trading we find that the highest trading activity highest volatility and lowest spreads coincide with us market trading hours suggesting that most trades are non algorithmic and executed by retail investors we further find that average quoted and effective spreads for bitcoin are lower than spreads on major equity exchanges implying that bitcoin is highly investible for retail size transactions

minimum variance hedging of bitcoin inverse futures we formulate an optimal hedging problem of bitcoin inverse futures under the minimum variance framework we obtain the optimal hedging strategy in closed forms for both short and long hedges and co

the inexorable and mysterious tradeoff between inflation and unemployment this paper discusses the short run tradeoff between inflation and unemployment although this tradeoff remains a necessary building block of business cycle theory economists have yet to provide a completely satisfactory explanation for it according to the consensus view among central bankers and monetary economists a contractionary monetary shock raises unemployment at least temporarily and leads to a delayed and gradual fall in inflation standard dynamic models of price adjustment however cannot explain this pattern of responses reconciling the consensus view about the effects of monetary policy with models of price adjustment remains an outstanding puzzle for business cycle theorists several years ago i gave myself a peculiar assignment i decided to try to summarise all of economics in ten simply stated principles the purpose of this task was to introduce students to the economic way of thinking in the first chapter of my textbook principles of economics i figured if god could boil all of moral philosophy down to ten commandments i should be able to do much the same with economic science most of the ten principles i chose were microeconomic and hard to argue with they involved the importance of tradeoffs marginal analysis the benefits of trade market efficiency market failure and so on i allocated the last three principles to macroeconomics the first of these was a country s standard of living depends on its ability to produce goods and services which i viewed as the foundation of all growth theory the second was prices rise when the government prints too much money which i took to be the essence of classical monetary theory the last of my ten principles is the subject of today s lecture society faces a short run tradeoff between inflation and unemployment perhaps not surprisingly this statement turned out to be controversial when my publisher sent out the manuscript for review a few readers objected

detecting periodically collapsing bubbles a markov switching unit root test this paper addresses the problem of testing for the presence of a stochastic bubble in a time series in the case that the bubble is periodically collapsing so that the asset price keeps returning to the level implied by the market fundamentals as this is essentially a problem of identifying the collapsing periods from the expanding ones we propose using a generalization of the dickey fuller test procedure which makes use of the class of markov regime switching models the potential of the new methodology is illustrated via simulation and an empirical example is given copyright 1999 john wiley sons ltd

foreign direct investment in mexico a cointegration analysis this article addresses the important question of whether foreign direct investment enhances economic growth and labour productivity in mexico both from a theoretical and empirical perspective after briefly reviewing the mexican experience with net fdi inflows during the 1990s the article presents a simple endogenous growth model which explicitly incorporates any positive negative externalities generated by additions to the foreign capital stock using cointegration analysis the article estimates a dynamic labour productivity function for the 1960 95 period that includes the impact of the growth rate in the stocks of both private and foreign capital as opposed to the flows and the economically active population eap rather than the rate of population growth the error correction model ecm estimates suggest that increases in both private ad lagged foreign investment spending as well as the rate of growth in exports have a positive and economically significant effect on the rate of labour pr

foreign investment and spillover efficiency in an underdeveloped economy evidence from the mexican manufacturing industry abstract in this paper we consider the question whether differences in technical efficiency of mexican plants in part derive from spillover efficiency associated with foreign direct investment we use labour productivity as a measure of technical efficiency and relate this to capital intensity labour quality and scale of production we measure the degree of competition by different concentration indices and the final factor determining efficiency is the presence of foreign subsidiaries if there is a positive relation between efficiency of domestic plants and the foreign participation of various industries we conclude that there is a spillover of technical efficiency the empirical evidence from the study indicates that this is the case

exchange rate pass through exchange rate volatility and exchange rate disconnect abstract this paper explores the hypothesis that high volatility of real and nominal exchange rates may be due to the fact that local currency pricing eliminates the pass through from changes in exchange rates to consumer prices exchange rates may be highly volatile because in a sense they have little effect on macroeconomic variables the paper shows the ingredients necessary to construct such an explanation for exchange rate volatility in addition to the presence of local currency pricing we need a incomplete international financial markets b a structure of international pricing and product distribution such that wealth effects of exchange rate changes are minimized and c stochastic deviations from uncovered interest rate parity together it is shown that these elements can produce exchange rate volatility that is much higher than shocks to economic fundamentals and disconnected from the rest of the economy in the sense that the volatility of all other macroeconomic aggregates are of the same order as that of fundamentals

the swedish banking crisis roots and consequences the article analyses the swedish banking crisis in the early 1990s newly deregulated credit markets after 1985 stimulated a competitive process between financial institutions where expansion was given priority combined with an expansive macro policy this contributed to an asset price boom the subsequent crisis resulted from a highly leveraged private sector being simultaneously hit by three major exogenous events a shift in monetary policy with an increase in pre tax interest rates a tax reform that increased after tax interest rates and the erm crisis combined with some overinvestment in commercial property high real interest rates contributed to breaking the boom in real estate prices and triggering a downward price spiral resulting in bankruptcies and massive credit losses the government rescued the banking system by issuing a general guarantee of bank obligations the total direct cost to the taxpayer of the salvage has been estimated at around 2 per cent of gdp copyright 1999 by oxford university press

globalisation and unequalisation what can be learned from value chain analysis although many have gained from the process of globalisation there remains a stubbornly large number of people living in absolute poverty and a rise in inequality within and between countries the issue is thus not whether to participate in the global economy but how to do so in a manner which provides for sustainable and equitable income growth this study shows how value chain analysis can be used to chart the growing disjuncture between global economic activity and global income distribution and to provide causal explanations for this outcome in so doing value chain analysis provides valuable insights into policy formulation and implementation

the subcontracting behavior of single vs multiplant enterprises in us manufacturing implications for economic development abstract in this paper we explore the factors shaping the production subcontracting make buy decisions of managers in the plants of both small and large firms in 21 industries that constitute the us metalworking and machinery manufacturing sector descriptive and multivariate statistical analyses of original survey data collected in 1986 1987 lead us to infer that a regional economic development strategy that promotes those manufacturing firms with a single relatively large plant making a diverse range of products and having close ties to customers but limited internal machining capacity has the greatest potential for generating local backward linkages in this respect we find empirical if nuanced support for certain normative aspects of the industrial district or networking approach to economic development policy

can cryptocurrencies be a safe haven a tail risk perspective analysis abstractcryptocurrencies are one of the most promising financial innovations of the last decade different from major stock indices and the commodities of gold and crude oil the cryptocurrencies e

clusters entrepreneurial ecosystem co creation and appropriability a conceptual framework extant literature on clusters underplays the role of entrepreneurs and entrepreneurial management in creating and co creating organizations markets and supporting ecosystems we employ transaction costs resource knowledge capabilities and power control based theories to provide a comparative static governance based perspective on clusters we embed this into a more general co evolutionary entrepreneurial theory of the emergence evolution and co evolution of markets ecosystems and clusters we suggest that clusters can involve advantages that help engender superior appropriation of co created value as compared to alternatives entrepreneurial managers faced with a degree of choice will help co create clusters and be part of them for as long as they can appropriate more value in this way than through alternatives

on the value of virtual currencies nous construisons un modele d analyse pour cerner les facteurs qui influent sur le taux de change des monnaies virtuelles trois elements importent tout d abord l utilisation actuelle d une monnaie virtuelle comme moyen de paiement ensuite la decision d investisseurs prospectifs d acheter de la monnaie virtuelle et de controler ainsi l offre de ce type de monnaie enfin les facteurs qui determineront ensemble l adoption d une monnaie virtuelle par les consommateurs et son acceptation par les commercants

the separation of ownership and control in the theory of the firm a reappraisal abstract managerialists argue that today s large corporations are either owner or manager controlled this classification is based upon an ex post analysis of shareholdings if no cohesive group of shareholders possesses more than a fixed percentage of shares the conclusion is that owners do not have control which is assumed to pass to managers this paper counters this approach arguing 1 causality runs from control to observed shareholdings and 2 the observed holdings generally suffice to give a subset of owners control in so doing the paper also confronts and rejects the neoclassical approach

the boundaries of multinational enterprises and the theory of international trade this paper begins with a review of empirical evidence on multinational firms conceptual underpinnings of a theory are developed relying in particular on the notion of knowledge capital as a mobile joint input into geographically separated production facilities this idea is embedded in a simple two country general equilibrium model that supports multinational production in equilibrium under conditions consistent with the empirical evidence the final section examines internalization and shows why certain properties of knowledge capital also imply a preference for transferring technologies internally within the firm rather than through arm s length markets

monetary policy transmission in the euro area new evidence from micro data on firms and banks this paper presents an overview of the results of a research project on monetary transmission pursued by the eurosystem which has analysed micro data on firms and banks in several countries of the euro area in great detail there is strong empirical support for an interest rate channel working through firm investment furthermore a credit channel can be identified with firm micro data on the bank side there is evidence that lending reacts differently to monetary policy according to bank balance sheet characteristics in particular banks that have a less liquid asset composition show a stronger loan supply response this finding may be due to banks drawing on their liquid assets to cushion the effects of monetary policy on their loan portfolio which is in line with the existence of close relationships between banks and their loan customers

subcontracting in italian industry labour division firm growth and the north south divide giunta a nifo a et scalera d subcontracting in italian industry labour division firm growth and the north south divide regional studies the aim of this paper is to investigate the impact of subcontracting on italian manufacturing firms growth in the second half of the 1990s the main results are 1 producing as subcontractors does not penalize firms but can be a positive determinant of growth especially when coupled with the propensity to innovate 2 since a non linear relationship between growth and subcontracting emerges an organizational mode not fully specialized in either subcontracting activity or direct sales may be optimal and 3 the deep dualism of the italian industrial structure is confirmed as southern subcontractors show poorer performances and slower growth giunta a nifo a and scalera d 90 1 2 3

testing for bubbles in exchange markets a case of sparkling rates this paper investigates the possibility that the observed deviations of major bilateral exchange rates from values implied by market fundamentals are a consequence of rational asset market bubbles when a new econometric methodology for detecting asset market bubbles is used the joint hypothesis of no bubbles and stable autoregressive processes for relative money supplies and real incomes is rejected for the dollar deutsche mark and dollar pound ratesusing monthly data over the period 1973 82 additional tests for coefficient stability and for lack of cointegration between exchange rates and market fundamentals suggest that the bubble findings must be interpreted with care

the inefficiency of bitcoin bitcoin has received much attention in the media and by investors in recent years although there remains scepticism and a lack of understanding of this cryptocurrency we add to the literature on bitcoin by studying the market efficiency of bitcoin through a battery of robust tests evidence reveals that returns are significantly inefficient over our full sample but when we split our sample into two subsample periods we find that some tests indicate that bitcoin is efficient in the latter period therefore we conclude that bitcoin in an inefficient market but may be in the process of moving towards an efficient market

econometric modelling in the presence of evolutionary change a methodology is offered which can be used to construct an econometric model in the presence of structural change of an evolutionary type the theoretical basis for such modelling is drawn from the self organisation approach and operationalised in the context of the logistic diffusion growth model the latter is augmented to allow for the impact of exogenous effects upon both the diffusion rate and boundary limit we show how the hypothesis of augmented logistic diffusion can be falsified using econometric methods an illustrative case study is used namely the growth and decline of australian building society deposits with the aid of this example it is shown how the approach could be of use to both economic forecasters and regulators in conditions of structural change where conventional econometric methods are often inappropriate jel classification c51 c53 e42 e47 g18 o31

the governance of networks and economic power the nature and impact of subcontracting relationships current debate on networking focuses on network structures and firm strategies in this perspective theoretical analysis has been concerned with allocative issues this essay proposes a different interpretation starting from the existing theoretical framework we emphasise the nature and the implications of different types of networks with respect to socio economic development from a distributional point of view within this context we develop the analysis of subcontracting starting from the concept of economic power we then provide an analysis of governance in production by considering the attitudes and the nature of the actors involved the externalisation of activities by large transnationals which characterises current corporate restructuring is often related to the search for greater flexibility but also for greater power over governments labour and subcontractors differently networks based on the mutual dependence of actors which are not necessarily built around a large firm could under particular conditions reach large production scales or more complex scopes without breaking the links with territorial systems thus including local objectives in the strategic decision making process our conclusion is that the impact of subcontracting networks varies enormously this is crucial to an understanding of future trends and possibilities not least firms and public policy agencies need to understand the implications of different forms of subcontracting network and how those forms actually differ in practice

on the predictive power of arji volatility forecasts for bitcoin motivated by the recent literature on cryptocurrency volatility dynamics this paper adopts the arji garch egarch and cgarch models to explore their capabilities to make out of sample volatility

crypto currencies an introduction to not so funny moneys we introduce the distributed ledger blockchain technology of crypto currencies we examine the monetary attributes of crypto currencies and describe some of the reasons they have been adopted the paper discusses the mechanics of bitcoin the original crypto currency to illustrate the fundamental elements of decentralized crypto currencies we then provide a high level summary of the implications of crypto currencies for consumers financial systems and for monetary and regulatory authorities we argue that crypto currencies are unlikely to supplant traditional fiat currencies and we anticipate an enduring role for financial intermediaries in facilitating credit

mutual productivity spillovers between foreign and local firms in china the existing literature treats advanced technology sourcing as the only cause of reverse productivity spillovers from local to foreign firms and implies that mutual spillovers between foreign and local firms can only happen in the developed world this paper argues that the diffusion of indigenous technology and local knowledge helps the productivity enhancement of multinationals so that there can be mutual spillovers even in a developing country the results from a large sample firm level econometric analysis and a comparative case study of seven companies in chinese manufacturing support this new argument as mutual spillovers are identified between local chinese firms and overseas chinese or oecd invested firms

on the inefficiency of bitcoin abstract urquhart 2016 investigated the market efficiency of bitcoin by means of five different tests on bitcoin returns it was concluded that the bitcoin returns do not satisfy the efficient market hypothesis we show here that a simple power transformation of the bitcoin returns do satisfy the hypothesis through the use of eight different tests the transformation used does not lead to any loss of information

some stylized facts of the cryptocurrency market abstractwe examine the stylized facts of eight forms of cryptocurrencies representing almost 70 of cryptocurrency market capitalization in particular the empirical results show that 1 there ex

a technique for obtaining improved proxy estimates of minimum optimal scale in the field of industrial organization the concept of economies of scale is of fundamental importance large minimum optimum scale mos 1 and significant unit cost reduction up to mos size together suggest the possibility of high industry concentration and significant barriers to entry 2 however a recent paper in this review caves shirazi and porter 1975 has pointed to the severe difficulties encountered by students of industrial organization in empirical analyses of these relationships the chief problem is that objective measures of mos i e engineering estimates 3 and of the cost disadvantage of suboptimal scale production are available for only a small minority of all u s manufacturing industries at say the 4 digit level since there are more than 400 such industries it is most unlikely that there ever will be much change in this situation this means that in large scale cross section statistical analyses various proxies for scale economy influences must be used this is also the case in other fields of economics in which the influence of industrial organization has been recently felt in the investigation of sectoral patterns of direct foreign investment and the commodity composition of international trade for example unfortunately little has been achieved in terms of the development of reliable proxies for scale economies or minimum optimal scale this relative poverty in the data seriously jeopardizes the empirical analyses undertaken in all the above mentioned fields the present paper is a first step at overcoming this deficiency it offers a critical analysis of the proxies currently in vogue and it suggests an alternative technique for generating estimates of mos that appear to be substantially superior to them

exchange rate pass through abstract the resilience of trade balances of the major industrialized economies to changes in their exchange rates has evoked interest in the exchange rate pass through relationship so far there has not been a comprehensive survey of this literature the paper aims to fill this gap in two ways first it pieces together the theoretical literature on exchange rate pass through second it provides a critical survey of the empirical literature on exchange rate pass through emphasis is placed on the data and methodology employed in previous work this is done in order to guide future work in this growing area of research

understanding risk of bubbles in cryptocurrencies abstract as cryptocurrencies emerged only recently they are subject to only very limited financial regulations in this paper we study which variables can predict bubbles in the prices of eight major cryptocurrencies focusing on uncertainty measures as predictors we detect multiple bubble periods for all eight cryptocurrencies particularly in 2017 and early 2018 we find that higher volatility trading volume and transactions are positively associated with the presence of bubbles across cryptocurrencies regarding the uncertainty variables the vix index consistently demonstrates negative relationships with bubble occurrence while the epu index mostly exhibits positive associations with bubbles these results may assist authorities in designing appropriate regulations

externalities from foreign direct investment in the mexican retailing sector this contribution to the discussion on the impact of foreign direct investment in developing countries is based on an empirical study of the consequences of transnational corporations presence in the mexican retailing sector particularly wal mart first it is shown that the arrival of foreign firms accelerates the modernisation but has a negative impact on local firms performance as well as local worker remuneration as a result of the growing competitive pressure in the sector second the changes that occurred in supply chain governance and the tremendous increase of imports initiated by wal mart are described and some probable implications for local suppliers are suggested

sovereign risk and the bank lending channel in europe abstract the main purpose of this article is to analyze how sovereign risk influences the loan supply reaction of banks to monetary policy through the bank lending channel additionally we aim to test whether this reaction differs in easy and tight monetary regimes using a sample of 3125 banks from the euro zone between 1999 and 2012 we find that sovereign risk plays an important role in determining loan supply from banks during tight monetary regimes banks in higher sovereign risk countries reduce lending more during tight regimes however we find little evidence to support any relationship between sovereign risk and loan supply reaction to monetary policy expansions these results are very interesting for the way monetary policy is conducted in europe banking union banking system strength and the budget control of governments would be necessary measures to reduce the heterogeneous transmission of the monetary policy in the euro zone

the cross country impact of ecb policies asymmetries in asymmetries out abstract since its inception the adequacy of the eurozone to be an optimal currency area has been questioned and along with it the homogeneous transmission and impact of the monetary impulses across the member countries we provide a comprehensive assessment of the transmission mechanism s functioning its symmetry impact on target variables and evolution addressing all the questions which have remained unanswered in the previous literature while adding evidence on the impact of non standard policy measures we do so by adopting a bayesian time varying parameters favar model that fixes the flaws present in past research the empirical analysis shows that the occurrence of the two crises significantly altered policy transmission with both the interest rate and credit channel being consistently affected it also shows that while they provided effective stimuli to the economies the unconventional measures implemented were not able to fix those asymmetries policy wise our findings suggest that authorities must push towards consistent innovation on the fiscal side while gaining more confidence with regards to the new monetary toolkit

industry institutions social capital and firm participation in industrial development industry institutions and trade associations represent the collective interests of an industry s constituent firms and play a prominent role in industrial development yet the strength and efficacy of industry institutions to promote these collective interests depends upon the active support and participation of member firms this is essentially a collective action problem by aligning olson s 1971 logics of collective action framework with nahapiet and ghoshal s 1998 dimensions of social capital this article uses survey data from 381 firms from across five uk manufacturing sectors to explore the factors that affect the propensity for firms to participate in industry institution led initiatives the results suggest the propensity of firms participating in collective activities rises where shared interests emerge although the over riding factor is the extent to which firms perceive their own ability to influence and shape the direction of such activities the logic of influence

multi scalar localization and capability transference exploring embeddedness in the asian retail expansion of tesco wood s coe n m and wrigley n multi scalar localization and capability transference exploring embeddedness in the asian retail expansion of tesco regional studies this paper revisits the firm in the region and the region in the firm dichotomy through the case of tesco s retail expansion in asia it focuses on the tension between the transference of proven key capabilities to the host economies tesco has entered and strategic localization primarily for customer facing corporate culture regulatory and institutional reasons it is demonstrated how the retailer has pursued a multi scalar adaptive approach that goes beyond any standardized localized dichotomy to respond to differences between and within national markets in the process this paper provides evidence of genuine two way knowledge flow between the home market and subsidiaries between subsidiaries themselves and of subsidiaries granted autonomy and the ability to flex their strategies

crypto currency bubbles an application of the phillips shi yu 2013 methodology on mt gox bitcoin prices the creation of bitcoin heralded the arrival of digital or crypto currency and has been regarded as a phenomenon since its introduction it has experienced a meteoric rise in price and rapid growth accompanied by huge volatility swings and also attracted plenty of controversies which even involved law enforcement agencies hence claims abound that bitcoin has been characterized by bubbles ready to burst any time e g the recent collapse of bitcoin s biggest exchange mt gox this has earned plenty of coverage in the media but surprisingly not in the academic literature we therefore fill this knowledge gap we conduct an econometric investigation of the existence of bubbles in the bitcoin market based on a recently developed technique that is robust in detecting bubbles that of phillips et al 2013a over the period 2010 2014 we detected a number of short lived bubbles most importantly we found three huge bubbles in the latter part of the period 2011 2013 lasting from 66 to 106 days with the

the economic consequences of euro area macro modelling shortcuts should euro area economies be modelled in an aggregate area wide fashion or in a disaggregate multi country one this article tackles that question from both statistical and economic viewpoint from a statistical viewpoint aggregation bias criteria are found to signal that the degree of structural heterogeneity among euro area economies is such that the loss of information entailed by an aggregate modelling approach may be far from trifling from an economic viewpoint we investigate the following issue are those statistically detectable heterogeneities of any practical relevance when it comes to supporting monetary policy decision making to provide an answer to this question we compute simple optimal monetary policy reaction functions on the basis of either an aggregate model or a disaggregate one and compare the associated welfare losses the results suggest that the welfare under performance of an area wide model based rule is not only nonnegligible but also robust with respect to a number of

pitfalls in testing for explosive bubbles in asset prices a number of studies e g robert j shiller 1981 olivier j blanchard and mark watson 1982 kenneth d west 1988 have argued that dividend and stock price data are not consistent with the market fundamentals hypothesis in which prices are given by the present discounted values of expected dividends these results have often been construed as evidence for the existence of bubbles or fads related arguments have been made with respect to gold bonds and foreign exchange a major problem with such arguments e g james hamilton and charles whiteman 1985 is that apparent evidence for bubbles can be reinterpreted in terms of market fundamentals that are unobserved by the researcher behzad t diba and herschel i grossman 1984 1988b and hamilton and whiteman 1985 have recommended the alternative strategy of testing for rational bubbles by investigating the stationarity properties of asset prices and observable fundamentals 1 in essence the argument for equities is that if stock prices are not more explosive than dividends then it can be concluded that rational bubbles are not present since they would generate an explosive component to stock prices 2 using unit root tests autocorrelation patterns and cointegration tests to implement this procedure diba and grossman 1988b p 529 state that the analysis supports the conclusion that stock prices do not contain explosive rational bubbles this paper shows that the above battery of tests is in fact unable to detect an important class of rational bubbles the point is demonstrated by constructing rational bubbles that appear to be stationary when unitroot tests are applied even though they are explosive in the relevant sense simulations show that when such bubbles are present stock prices will not appear to be more explosive than dividends on the basis of these tests even though the bubbles are substantial in magnitude and volatility the presence of rational bubbles in actual stock prices thus remains an open question

new macroeconomic evidence on monetary policy transmission in the euro area this paper presents some new macroeconomic evidence on the transmission mechanism of monetary policy in the euro area the evidence is drawn from a number of collaborative research projects undertaken by the ecb and the national central banks ncbs of the euro area and utilises a variety of national and euro area aggregate var and structural macroeconomic models a qualitatively similar pattern of results following a monetary policy shock is observed across models with the maximum output effect typically occurring after 1 2 years price effects are somewhat slower to materialise and are more persistent according to both sets of results investment is the main domestic contributor to the drop in real gdp this contrasts with findings for the us where consumption plays a dominant role in the transmission process in addition if it assumed that the exchange rate moves in line with an uncovered interest parity uip condition the short run output and price effects are largely driven by this channel in the structural macroeconomic models jel classifications c50 c52 e52 e17 e5