the performance of agricultural market advisory services in corn and soybeans the purpose of this article is to evaluate the performance of market advisory services for the 1995 2003 corn and soybean crops a new database from the agricultural market advisory services agmas project is used in the evaluation this database should not be subject to survivorship and hindsight biases overall the results provide little evidence that advisory services as a group outperform market benchmarks particularly after considering risk the evidence is more positive versus the farmer benchmarks even after taking risk into account results also suggest that it is difficult to predict the pricing performance of advisory services across crop years

the limits of pension privatization lessons from argentine experience summary the paper studies the operation of the mixed pension system established in argentina in 1994 it points to the limitations that the new system has encountered to achieve some of the most important objectives of pension policy and pension reform the analysis looks at the mechanisms affecting pension system performance with particular attention to the way in which the new pension rules have interacted with the local macroeconomic social and political context the empirical analysis of this experience is oriented to provide lessons for argentina s future reforms as well as for many latin american countries with similar pension arrangements

management ownership and market valuation an empirical analysis we investigate the relationship between management ownership and market valuation of the firm as measured by tobin s q in a 1980 cross section of 371 fortune 500 firms we find evidence of a significant nonmonotonic relationship tobin s q first increases then declines and finally rises slightly as ownership by the board of directors rises for older firms there is evidence that q is lower when the firm is run by a member of the founding family than when it is run by an officer unrelated to the founder

the effects of incentive compensation contracts on the risk and return performance of commodity trading advisors this paper shows that commodity trading advisors ctas investment performance may be partially explained by their incentive compensation contracts contracts include base incentive and asset parameters the relationships between contract parameters and performance are theoretically indeterminate but are examined here empirically results indicate that incentive parameters are positively related to return means and standard deviations the dollar amounts of assets ctas manage are negatively related to return means and standard deviations supporting elton et al s 1987 1989 finding that cta performance falls after public offerings of commodity funds intuitively since dollar fees are a function of assets at the higher asset and fee levels achieved through commodity fund offerings ctas may safeguard assets and fees by pursuing less risky investment strategies

the choice of equity selling mechanisms abstract this paper examines the impact of information asymmetry and monitoring of managers on the choice between public offerings and private placements three key findings emerge first private placement firms have higher information asymmetry than public offering firms second private placement investors do not engage in more monitoring than public offering investors finally discounts for private placements sold to managers are higher than discounts for private placements in which managers do not participate the final two findings cast doubts on the widely held view that private placements are motivated by a demand for enhanced monitoring

two stage residual inclusion estimation addressing endogeneity in health econometric modeling the paper focuses on two estimation methods that have been widely used to address endogeneity in empirical research in health economics and health services research two stage predictor substitution 2sps and two stage residual inclusion 2sri 2sps is the rote extension to nonlinear models of the popular linear two stage least squares estimator the 2sri estimator is similar except that in the second stage regression the endogenous variables are not replaced by first stage predictors instead first stage residuals are included as additional regressors in a generic parametric framework we show that 2sri is consistent and 2sps is not results from a simulation study and an illustrative example also recommend against 2sps and favor 2sri our findings are important given that there are many prominent examples of the application of inconsistent 2sps in the recent literature this study can be used as a guide by future researchers in health economics who are confronted with endogeneity in their empirical work

the weak form efficiency of the london metal exchange filter techniques are used to test for dependency and weak form efficiency on the london metal exchange they are applied to daily cash and futures prices for copper lead tin and zinc for the period 1972 1982 the results are adjusted for the bias in filter tests caused by the upward trend of prices an exact test statistic is derived doubts are raised however about its reliability the results show strong evidence of inefficiency for copper weaker but positive evidence for lead and zinc and no evidence at all for tin

impact of pension privatization on foreign direct investment summary we explore the causal effect of market oriented pension reform on net foreign direct investment fdi inflows in latin america and among the transitional economies of eastern europe and central asia both of which have experienced waves of pension privatization and fdi over the last two decades with our balanced panel of 42 countries over the 1991 2006 period we implement fixed effects models controlling for the decision to enact full or partial privatization of the public pension system and several other covariates whose choice is informed by the rich empirical literature on fdi our econometric results indicate that pension privatization triggers a significant increase in net fdi inflows and that the effect does not wane over time we estimate that full privatization increases fdi as a percentage of gdp by about 57 ceteris paribus

ideas versus resources explaining the flat tax and pension privatization revolutions in eastern europe and the former soviet union this article examines the rapid spread of pension privatization and the flat tax in former communist countries to understand why new policy ideas take hold and to elucidate the role played by mater

output effects of government purchases the theoretical analysis focuses on the distinction between temporary and permanent movements in government purchases under plausible conditions the temporary case involves an output response that is positive less than one to one with the change in government purchases and larger than that generated by an equal sized but permanent shift in purchase the equilibrium real rate of return rise in the temporary case but changes little in the permanent one defense purchases are divided empirically into permanent and temporary components by considering the role of temporary wars no temporary shifts in nondefense purchases were isolated empirical results verify an expansionary output effect for temporary purchases that exceeds that of permanent purchases the results for some other expectational hypotheses are found to be generally supportive of the theory

the persistence of risk adjusted mutual fund performance the authors examine predictability for stock mutual funds using risk adjusted returns they find that past performance is predictive of future risk adjusted performance applying modern portfolio theory techniques to past data improves selection and allows the authors to construct a portfolio of funds that significantly outperforms a rule based on past rank alone in addition they can form a combination of actively managed portfolios with the same risk as a portfolio of index funds but with higher mean return the portfolios selected have small but statistically significant positive risk adjusted returns during a period where mutual funds in general had negative risk adjusted returns copyright 1996 by university of chicago press

new public offerings information and investor rationality the case of publicly offered commodity funds publicly traded commodity funds have been poor investment vehicles yet new funds are a fast growing part of the investment scene in this article the authors show that the information provided to investors is significantly biased upward and that true performance cannot be determined by the information most investors see thus investment in commodity funds given the information set is rational while the authors limit the study to commodity funds the same should hold for other limited partnerships such as real estate oil and gas copyright 1989 by the university of chicago

new evidence on the structure of production real and austrian business cycle theory and the financial instability hypothesis abstract this article develops the relationships among real business cycle rbc theory austrian business cycle abc theory and minsky s financial instability hypothesis fih in rbc models recessions are caused on the supply side by random technology shocks which are independent of monetary policy however in abc models credit expansion results in negative productivity shocks as the marginal return on investment is lowered and the production structure is extended by commitment to more capital intensive activities thus abc theory helps resolve several problems with rbc theory the fih describes a process of endogenous overleveraging which unsustainably overvalues assets and exposes the financial sector to greater risk this paper argues that the overleveraging described by the fih is compatible with the unsustainable expansion of production described in abc theory and further argues that credit expansion would both provide additional funds to finance overleveraging as well as encourage the process by making it cheaper with lower interest rates

labor disputes and the economics of firm geography a study of domestic investment in india abstract acrimonious relations between employers and employees in developing countries have often been cited as impediments to progress this article considers various measures of labor disputes and investigates whether these have detrimental effects on the location choice of new domestic investment across the various states of india conventional wisdom holds that an increase in measures such as the number of strikes the number of man days lost in work stoppages and the percentage of unionized workers would hinder the location of new projects using panel data and a fixed effects methodology that controls for the effect of state specific unobservables we find significant evidence that this is indeed the case in india furthermore disaggregation by industrial classifications shows that although labor disputes continue to exert negative effects location choices are also conditioned on factors such as proximity to raw materials and minerals

two sided expropriation and international equity contracts abstract the paper considers a model in which investors in two symmetrical countries can trade equity claims on their endowments the governments of the two countries expropriate the foreign owned securities if doing so raises domestic welfare in spite of the possibility of expropriation agents may still choose to hold completely pooled portfolios depending on preferences in the two countries increases in the level of domestic output can increase or decrease the probability of expropriation in the equilibria we consider agents hold too much foreign equity a reduction in foreign investment raises welfare by reducing the probability of expropriation

the real interest rate and aggregate supply abstract this paper analyzes the effects of the anticipated real interest rate on aggregate supply variables in a model where time to produce and variable capital utilization play a crucial role the potential importance of the present mechanism for business cycle theory lies in its ability to generate positive co movements of employment capital utilization labor productivity output and investment these variables are predicted to be affected negatively by the real interest rate reduced forms for output and employment are derived and tested with canadian data taking estimates of the real interest rate prevailing in the united states as the relevant exogenous price

returns to individual traders in agricultural futures markets skill or luck using individual trader data from the commodity futures trading commission s cftc large trader reporting system ltrs for the period january 2000 to september 2009 this article investigates whether noncommercial traders in the corn live cattle and coffee futures markets persist in making profits two out of sample measures of skill a winner and a loser ranking test and a top and a bottom decile test are used to analyse the ability of traders to consistently perform well at monthly quarterly and annual time horizons the findings identify significant persistence in rankings traders in the top half of the profit distribution in a time period tend to stay in the top half in the next period differences in magnitude of profitability between the top and bottom deciles also provide support that persistent skill exists among the top 10 of traders detailed examination of annual rankings for those traders who were most continuously in the markets further reveals persistence in profits for a smaller s

international market correlation and volatility international correlations for stocks and bonds fluctuate widely over time as previous studies have found volatility appears to be contagious across markets in addition international correlation increases in periods of high market volatility although the correlation of individual foreign stock markets with the u s stock market has generally increased slightly over the past 37 years it has not increased during the past 10 years similarly the international correlation of bond markets increased in the early 1980s but it has had no discernible trend in the past 10 years the fairly low levels of international correlation among stocks or bonds suggests that national factors still strongly affect local asset prices the link between correlation and market volatility is bad news for global money managers because when the domestic market is subject to a strong negative shock is when the benefits of international risk diversification are needed most

professionally managed publicly traded commodity funds investment in professionally managed publicly traded commodity funds has grown rapidly in recent years this is the first comprehensive study of the performance of these funds it is found that randomly selected funds offer neither an attractive alternative to bonds nor a profitable addition to a portfolio of stocks and bonds furthermore past performance of these funds offers very little information about future performance the findings may be explained by the large transactions costs incurred by these funds and their primary reliance on technical analysis copyright 1987 by the university of chicago

marketmaker behavior in an auction market an analysis of scalpers in futures markets this paper focuses on the role of scalpers as marketmakers in the competitive auction of futures exchanges we use transactions data of a representative scalper to identify the source of scalper earnings we find that scalpers provide liquidity services to incoming market orders thereby facilitating commercial hedging scalper earnings are positively related to the bid asked spread and negatively related to the length of time a position is held futures trading is organized as an auction market with buyers and sellers confronting each other directly in a trading pit or ring on an exchange floor bids and offers are represented in the pit by open outcry trades are consummated throughout a trading session which usually last 4 to 6 hours whenever a bid is hit or an offer lifted by some other agent on the floor participants in futures markets include hedgers and speculators whose orders are called in and are represented by floor brokers in the pit in addition floor traders participate by bidding and offering for their own account some floor traders fall into the category of short term speculators day traders who prefer to trade for themselves rather than execute orders through a floor broker a somewhat more specialized group of floor traders are known as scalpers they are essentially marketmakers who quote bids and offers against which market orders can be executed they do not have an affirmative obligation to provide liquidity by quoting bids and offers but do so in the expectation of earning a return this paper examines the activities of scalpers on futures exchanges in order to identify the role of marketmakers in a freely competitive auction we focus on the nature of scalper decision making as well as on the contribution of scalpers to economic welfare one of our main concerns is with the source of a scalper s

beating the foreign exchange market filter rule profits found in foreign exchange markets in the early days of the current managed float persist in later periods as shown by statistical tests developed and implemented here the test is consistent with but independent of a wide variety of asset pricing models the profits found cannot be explained by risk if risk premia are constant over time inclusion of the home foreign interest rate differential in computing profits has little effect on the comparison of filter returns to those of buy and hold in the early years of the generalized managed floating that began in march 1973 filter rule profits in excess of buy and hold were found for many countries logue sweeney and willett 18 dooley and shafer 6 cornell and dietrich 5 it was unclear however whether such profits indicated inefficiencies first it was not clear that risk was adequately handled in such tests and often risk was ignored second there was no evidence such profits would be available postsample and third there was no statistical test of the significance of these profits this paper uses the logic of risk return tradeoffs to analyze the role of risk in such tests and illustrates the logic in a discussion using the sharpe lintner capital asset pricing model capm although a breeden consumption based capm a merton intertemporal capm or an arbitrage pricing model apm could easily be used the paper develops a test of statistical significance appropriate to foreign exchange markets section i analyzing the rate of return on foreign exchange speculation less the foreign domestic interest rate differential the test explicitly assumes that risk premia are constant over the sample the excess rates of return observable in using filters in going from a risk free dollar asset to a risk free deutsche mark dm asset persist into the 1980 s section ii and this is true even when taking account of transactions costs it turns out that these results for the dm case do not depend very much on the interestrate differential but primarily on exchange rate behavior this is useful to know because it is often quite difficult to find matching interest rate data of high quality for a sample of nine other currencies using only exchange rates section iii shows that the excess returns made in the first 610 days of the float persist in the next 1 220 days into the 1980 s dooley and shafer 7 find similar persistence in experiments that do not use buy and hold and have no significance tests when filter rule profits have been found in spot exchange markets it has often been argued that the profits are due to risk this paper uses the capm to analyze rates of return both to buy and hold and to filter strategies it turns out that the claremont mckenna college and claremont graduate school arthur d warga douglas joines and thomas d willett offered helpful comments and ning ning koo provided research assistance

the reverse lbo decision and firm performance theory and evidence we investigate the transition from private to public ownership of companies that had previously been subject to leveraged buyouts lbos we show that the information asymmetry problem firms face when they go to public markets for equity as well as behavioral and debt overhang effects will produce a pattern in which superior performance before an offering should be expected with disappointing performance subsequently we find empirical evidence of this phenomenon by studying 62 reverse lbos that went public between 1983 and 1987 the market appears to anticipate this pattern in 1991 56 leveraged buyouts lbos returned to the public equity markets part of a broader phenomenon in which a large fraction of lbos go public again hence becoming reverse lbos kaplan 1991 reports that 45 percent of a sample of large lbos completed between 1979 and 1986 later returned to public ownership moreover reverse lbos tend to be larger than the average initial public offering ipo 1 in sum transitions from the lbo form to public ownership have become a widespread and economically significant phenomenon we find strong evidence that the return to public ownership of reverse lbos coincides with a peak in their operating performance their operating income as a percentage of total assets grew by about seven percentage points in the preoffering year comparison firms in the same industries show a slight decline in the same performance measure moreover in the preoffering year reverse lbos outperform continuing lbos in the year after the

changes in the cyclical pattern of real wages evidence from nine countries 1955 80 monetary policy in the united kingdom the monetarist vice has gripped the economy even longer and similar deflationary policies have been in effect in other western economies interestingly enough these policies were instituted in the context of a prolonged period of economic decline annual average rates of growth of gross domestic product for nine oecd countries fell from 6 8 to 5 o to 2 6 over the periods i955 66 i966 73 and i973 79 2 similarly unemployment has risen dramatically in the last io years the causes of slow growth and high unemployment are undoubtedly various however it is clear that restrictive macroeconomic policy has played an important role that is the recent situation is at least in part attributable to a deliberate effort to induce an economic slump the task of systematically examining the origins and motivations of this policy still awaits us however this paper presents an account of a general development in the pattern of real wages over the business cycle which is a plausible determinant of current policy the evidence indicates that short run cyclical movements in output no longer exert a determinate influence on real wage growth a development which may have been the impetus for long term deflation this account is based on an econometric study of nine countries over the period i955 80 the study has three noteworthy econometric features the first is that data from the nine countries are combined in a pooled model with homogeneous coefficients the use of a cross national sample ensures against the attribution of general theoretical status to particular empirical findings from a single country 3 second the units of observation are business cycle turning

efficient asset portfolios and the theory of normal backwardation a comment in a recent paper carter rausser and schmitz 1983 hereafter crs argue that previous studies of the risk premium on agricultural commodity futures contracts used incorrect proxies for the market index and consequently mismeasured the equilibrium risk premium on those contracts crs show that when an alternative market index is used to measure systematic risk the required risk premium is positive and of economically significant magnitude this result contradicts that of dusak 1973 and supports the notion of a generalized keynesian theory of normal backwardation the purpose of this comment is to argue that the market index constructed by crs is inappropriate and that their empirical results stem directly from the use of this index

the evolution of buyout pricing and financial structure in the 1980s we examine changes in the pricing and financial structure of large management buyouts in the 1980s over time 1 buyout price to cash flow ratios rose in absolute terms particularly in deals financed using public junk bonds 2 required bank principal repayments accelerated leading to sharply lower ratios of cash flow to total debt obligations 3 private subordinated and bank debt were replaced by public junk debt and 4 management teams and dealmakers took more money out of transactions up front these patterns are consistent with an overheating phenomenon in the buyout market preliminary post buyout evidence lends some support to this interpretation

do private equity returns result from wealth transfers and short termism evidence from a comprehensive sample of large buyouts we test whether the well documented high returns of private equity sponsors result from wealth transfers from other financial claimants and counterparties and from a focus on short term profits at the expense of long term value debt investors who finance buyouts as well as buyers of private equity portfolio companies represent the two potential sources of wealth transfers however we find that on average public companies benefit when they buy financial sponsors portfolio companies experiencing positive abnormal returns upon the announcement of the acquisition and long run posttransaction abnormal returns indistinguishable from zero we further find that large portfolio company payouts to private equity on average have no relation to future portfolio company distress suggesting that debt investors are not suffering systematic wealth losses either however we find some evidence of wealth transfers from both strategic buyers and debt investors in some special situations finally we find that portf

diversification benefits and persistence of us based global bond funds abstract this paper examines diversification benefits and performance persistence of 188 us based global bond funds that survived and were defunct during the period of 1993 2004 consistent with managed fund literature global funds underperform broad based benchmark indexes however the underperformance is less than the funds expense ratio the results using both simple and time varying frameworks suggest that global funds provide higher total return and comparable risk adjusted return to domestic bond funds for us investors specializing in domestic bond funds global funds can enhance return by 0 5 1 per year without increasing risk global funds also provide incremental diversification benefits to equity fund investors the funds exhibit short run performance persistence but this is difficult for investors to exploit especially in long run global funds show no return seasonality during the sample period on a risk adjusted basis larger and newer funds and funds with long maturity and low expense ratio perform well

luck versus forecast ability determinants of trader performance in futures markets statistical techniques are used to demonstrate that the fortunes of individual futures traders are determined by luck not forecast ability even though a large number of traders appear to exhibit significantly superior forecast ability the investigation strongly supports three conclusions there are fewer participants with significantly superior skill than expected if participants trade randomly there are more traders exhibiting no skill than expected if participants trade randomly and forecast ability is not correlated over time superior forecasters in the early period are only average forecasters in the later period therefore it is luck that determines trader performance copyright 1991 by university of chicago press

capital controls and foreign direct investment abstract this paper examines the effect of three types of capital control policies on fdi a the existence of multiple exchange rates b restrictions on capital account and c restrictions on the repatriation of export proceeds we find that the impact of capital controls on fdi varies by region and has changed over time in the 1970s and 1980s none of the policies had a significant impact on fdi in the 1990s all three were significant furthermore capital controls have no effect on fdi to sub saharan africa and the middle east but affects fdi to east asia and latin america adversely

the anticipated real interest rate capital utilization and the cyclical pattern of real wages abstract this paper develops a channel through which increases in anticipated real interest rates can be expansionary for current aggregate labor demand and current output supply the key feature of the model is the introduction of a user cost of capital utilization which confronts the firm with the intertemporal problem of the optimal choices of capital utilization and depreciation the resulting variation in capital utilization and capital services in response to fluctuations in the real rate of interest shifts the marginal product of labor and thus the demand for labor at the same time and in the same direction that lucas rapping real interest rate effects operate on labor supply the complete model places no a priori restrictions on the cyclical pattern of real wages thus avoiding the countercyclical real wage prediction made by keynes and various classical writers that is rejected by the data estimates of a labor demand schedule for the annual u s data reveal a significantly positive real interest rate effect

the behaviour of futures prices over time 1985 the behaviour of futures prices over time applied economics vol 17 no 4 pp 713 734

host country reforms and fdi inflows how much difference do they make summary this study examines the effects of various policies on foreign direct investment fdi flows from the perspective of the eclectic theory of international investment and hence the advantages of foreign ownership host country location and internationalization host country policies can influence fdi flows primarily through their influence on the advantages of location in the host country pooled cross section and time series data for 49 less developed countries ldcs over 1970 95 are used to examine the effects of several different types of policy institutional variables including corporate tax rates tariff rates the degree of openness to international capital flows exchange rate distortions contract enforcement nationalization risk bureaucratic delay and corruption a multivariate analysis of the effects on fdi flows of each type of policy with and without controls for other relevant determinants is conducted two different sources of fdi data are employed as well as two different measures of capital controls although there are methodological problems in estimation and especially collinearity problems and relatively severe availability constraints for some of the relevant measures the results demonstrate the relevance and importance for fdi flows of many of the policy institutional variables under study they also indicate that the results from panel methods yield results that differ rather significantly from those obtained from pure cross section analysis because of complementarity between the various elements of a healthy investment climate the effects of some policy reforms estimated from models which do not control for changes in other policies may overstate the effectiveness of individual policy reforms

capital market liberalization economic growth and instability summary this paper reviews briefly the arguments for capital market liberalization and identifies their theoretical and empirical weaknesses this provides the foundations for the argument for intervention in short term capital flows the paper concludes with a brief discussion of the various ways in which such interventions may be implemented 2000 elsevier science ltd all rights reserved

assessing the impact of management buyouts on economic efficiency plant level evidence from the united kingdom we assess the total factor productivity of 35 752 manufacturing establishments before and after management buyouts mbos mbo plants are less productive than comparable plants before the transfer of ownership they experience a substantial increase in productivity after a buyout which appears to be due to measures undertaken by new owners to reduce the labor intensity of production via outsourcing of intermediate goods and materials these findings which are pervasive across industries imply that mbos reduce agency costs and enhance economic efficiency our evidence is consistent with jovanovic and rousseau 2002 who suggest that ownership changes shift resources to more efficient uses and to better managers

partial privatization and firm performance most privatization programs begin with a period of partial privatization in which only non controlling shares of firms are sold on the stock market since management control is not transferred to private owners it is widely contended that partial privatization has little impact this perspective ignores the role that the stock market can play in monitoring and rewarding managerial performance even when the government remains the controlling owner using data on indian state owned enterprises we find that partial privatization has a positive impact on profitability productivity and investment widespread privatization in recent decades has generated a large empirical literature concerning the effect of ownership on firm performance most studies find that privatization has a positive impact on the profitability and efficiency of firms see megginson and netter 2001 for a recent survey 1 the firms in these studies have had a majority of their assets privatized and control rights have been transferred from the government to private owners surprisingly little is known about the effect of partial privatization where the government remains the controlling owner this paper seeks to address this gap in the literature by investigating whether the performance of state owned enterprises in india is affected by the sale of non controlling equity stakes on the stock market

the institutional environment for infrastructure investment the empirical evidence that links political institutions to economic outcomes has grown dramatically in recent years however virtually all of this analysis is undertaken using data from the past three decades this paper extends this empirical framework by performing a two century long historical analysis of the determinants of infrastructure investment in a panel of over 100 countries the results demonstrate that political environments that limit the feasibility of policy change are an important determinant of investment in infrastructure copyright 2002 oxford university press

the employment real wage relationship an international study the neoclassical and keynesian theories of employment both predict an inverse relationship between employment and real wages in the short run the observed correlation between employment and real wages however has usually failed to conform to this prediction dunlop 1938 and tarshis 1939 reported a positive correlation between real and money wages which given procyclical movement of money wages was interpreted as evidence against the theoretical prediction the statistical significance of these results was however challenged by ruggles 1940 and tobin 1948 more recent studies by kuh 1966 and bodkin 1969 failed to detect a significant relationship between real wages and employment these findings stimulated a series of contributions by solow and stiglitz 1968 barro and grossman 1971 1976 and others developing alternative models not apparently refuted by the evidence barro and grossman recast macro theory under the assumption that markets did not clear modigliani 1977 argued that the observed relationship between employment and real wages could be accounted for in an oligopolistic model of firm behavior thus both the competitive and equilibrium assumptions of the classical model were diagnosed as the sources of its apparent empirical refutation

a test of futures market disequilibrium using twelve different technical trading systems trading of twelve technical system is simulated for a portfolio of twelve commodities from 1978 to 1984 in order to test for market disequilibrium results differ substantially by trading system seven systems produced significant gross returns four of the twelve trading sytems produced significant net returns and significant risk adjusted returns these results show that disequilibrium models are a better description of short run futures price movements than the random walk model they also suggest that there may be additional causes of disequilibrium beyond transaction costs and risk aversion

supply response of thailand s rice to the price of biofuel crops 3 4 abstract the increasing cost of rice production and the increasing price of energy crops in thailand both abetted by the energy crisis in the last 4 years made the rice farmers decide to switch to energy crops in the long term this could reduce thai rice production this paper mainly examines the supply of rice production in response to the changes in biofuel crops price and other related factors the study forecasts a negative response in rice supply to the change in biofuel crops price as well as in the cost of chemical fertilizers in contrast the price of rice irrigated area public rice research budget and mechanization are positive significant factors affecting rice supply the price policy would distort the market mechanism which would reduce the competitiveness of thai rice in the world market the findings suggest that the government should apply non price policies in order to increase rice supply and reduce its cost of production further development of the irrigation system and increasing support to research and development on rice genetic improvement are recommended keywords supply response rice production biofuel crops

are moving average trading rules profitable evidence from the european stock markets this article examines the profitability of several simple technical trading rules for 16 european stock markets over the 1990 to 2006 period our results indicate that increasing moving average rules indeed have predictive power being able to discern recurring price patterns for profitable trading even after accounting for the effects of data snooping bias to assess the profitability of different technical trading rules and strategies we adopt the white s 2000 reality check rc test that quantifies the data snooping bias and adjusts for its effects our empirical results also support the hypothesis that technical trading rules can outperform the buy and hold strategy after accounting for transaction costs

time varying return and risk in the corporate bond market this paper examines the pricing of exchange traded long term corporate bond portfolios observable instruments measuring the term structure of interest rates levels of bond and stock prices and a january dummy are found to predict excess returns on corporate bonds an intertemporal asset pricing model with changing expectations and unobservable factors is then estimated for the predictable excess returns using hansen s generalized method of moments the results show that a multibeta linear time varying model of con ditional expected returns with constant betas can successfully value corporate bonds spe cifically the tests indicate the presence of two time varying hedge portfolios the data however support a single latent variable specification when all january observations are excluded this result suggests the existence of a strong january seasonal in one of the latent variables

fdi productivity and financial development this paper examines the effect of foreign direct investment fdi on growth factor accumulation physical and human capital does not seem to be the main channel through which countries benefit f rom fdi instead we f ind that countries with well developed financial markets gain significantly

privatization strategic foreign direct investment and host country welfare recent evidence shows that developing countries and transition economies are increasingly privatizing their public firms and at the same time experiencing rapid growth of inward foreign direct investment fdi we show that there is a two way causality between privatization and greenfield fdi privatization increases the incentive for fdi which in turn increases the incentive for privatization compared to the situation of no fdi the optimal degree of privatization depends on the cost difference of the firms and on the foreign firm s mode of entry

myth and reality of pension reform the latin american evidence abstract starting in 1981 with chile to the end of 2000 10 countries in latin america implemented structural pension reforms totally or partially privatizing their former public systems the latin american models have shaped similar reforms in eastern europe and influenced changes in western europe and the current debate in the united states in 1999 the then chief economist of the world bank nobel laureate joseph stiglitz coauthored with peter orszag a provocative paper examining the myths of the narrowly interpreted reform model sponsored by the bank but without using crucial data from latin america this article contrasts 12 myths of structural pension reforms in that region with data collected from eight countries in the last seven to 20 years confirming and expanding several of orszag and stiglitz s conclusions

international investment location decisions abstract in international location tournaments governments compete for foreign investment with tax and other short run incentives such tournaments can be won if agglomeration economies are sufficiently powerful to overcome investors desire to spread investments as a hedge against risk we focus on manufacturing investments by u s multinationals in the 1980s our econometric results suggest that agglomeration economies are indeed the dominant influence on investor calculations paradoxically short run incentives have limited apparent impact on location choice we conclude that high cost tournament play is unnecessary for countries with good infrastructure development specialized input suppliers and an expanding domestic market

in search of a stylised fact do real wages exhibit a consistent pattern of cyclical variability the paper surveys the studies on the cyclical behaviour of real wages published from the twenties onwards the traditional simple neoclassical model of the labour market suggests that real wages tend to move countercyclically however from a theoretical viewpoint there are few reasons to expect this behaviour once the simple model is extended to account for imperfect competition uncertainty lagged responses or contracting between firms and workers empirical studies give different answers to the problem the contributions reviewed in the paper are arranged roughly in a chronological order the interwar period the postwar pre econometric studies the econometric work using aggregate data the evidence produced on the basis of longitudinal data the analyses of the shock responsiveness of real wages and finally the most recent papers attempting a reconciliation of the somewhat conflicting evidence derived from aggregate and panel data

international diversification through closed end country funds abstract the primary objectives of this paper are to assess the potential of closed end country funds cecfs as vehicles for achieving international diversification at home and to examine the effect of the closed end status of these funds on their investment characteristics the main findings are first cecfs exhibit significant exposure to the u s market factor and act more like u s securities than do their underlying assets second despite these characteristics cecfs retain significant exposure to their local home market factors and provide u s investors with substantial diversification benefits emerging market funds such as brazil mexico and taiwan receive large weights in optimal international portfolios comprised of cecfs implying that these funds can play a unique role in spanning the opportunity set for u s investors third performance evaluations indicate that our sample cecfs generally did not offer significant overseas alphas fourth fund value and net asset value are found to be co integrated for the majority of cecfs from north america and europe but not for those representing the asian emerging markets

the effect of imf programs on labor abstract previous studies find that imf programs have negative effects on income distribution the international monetary fund and latin america economic stabilization and class conflict westview press boulder 1987a world dev 15 1987b 365 world dev 28 2000 1031 no study however has used parametric methods to control for nonrandom selection using a dynamic version of the heckman selection model i study the effect of imf programs on the labor share of income from manufacturing my conclusions are supported by 2 095 observations of 110 countries during 1961 93