do macroforecasters herd we show that typical tests of whether forecasters herd will falsely indicate herding behaviour for a variety of types of behaviour and forecasting environments that give rise to disagreement amongst forecasters we establish that forecasters will appear to herd if di erences between them reject noise as opposed to private information or if they arise from informational rigidities noise can have a behavioural interpretation and if so will depend on the behavioural model under consideration an application of the herding tests to us quarterly survey forecasts of inflation and output growth data 1981 2013 does not support herding behaviour

causes of the forward bias non rational expectations versus risk premia the sources of the systematic forward bias in the foreign exchange market are sought a theoretical framework based on some well known international parity conditions is developed in order to derive testable hypotheses these are a only risk premia account for the observed deviations between forward and future sport rate c anticipated real exchange rate changes explain part of the bias the provided evidence is not consistent with any of these hypotheses which in turn implies that part of the bias may be due to non rational expectations

methodical madness technical analysis and the irrationality of exchange rate forecasts substantial empirical research documents that exchange rate forecasts are not formed rationally this paper identifies a common technical trading signal the head and shoulders pattern as a potential source of departures from rationality in exchange rate forecasts forecasts based on this pattern are evaluated for daily dollar exchange rates over 1973 to 1994 using two criteria for rationality profitability and efficiency resulting profits replicable in real time are tested for statistical significance using a bootstrap technique we find that the rule is profitable but not efficient since it is dominated by simpler trading rules

uncertainty risk and the financial crisis of 2008 the distinction between uncertainty and risk originally drawn by frank knight and john maynard keynes in the 1920s remains fundamentally important today in the presence of uncertainty market actors and economic policy makers substitute other methods of decision making for rational calculation specifically actors decisions are rooted in social conventions drawing from innovations in financial markets and deliberations among top american monetary authorities in the years before the 2008 crisis we show how economic actors and policy makers live in worlds of risk and uncertainty in that world social conventions deserve much greater attention than conventional ipe analyses accords them such conventions must be part of our toolkit as we seek to understand the preferences and strategies of economic and political actors

rational expectations as long run equilibria tests for indian securities abstract it is recommended that the standard bias test for muth rational expectations should be augmented in the form of a dynamic model amongst other advantages this approach permits the researcher to test unbiasedness as a long run equilibrium of the underlying dynamic adjustment process relating expectations to realizations the approach is applied to a new data set on traders expectations in the madras stock exchange although bias is generally found in the short run the long run equilibrium is consistent with rational expectations in about half the cases studied significant steady state biases are indicated for the remainder

fomc forecasts and monetary policy deliberations this paper investigates the influence of the economic forecasts of federal open market committee fomc members on the committee s policy deliberations and finds evidence that the policy preferences of only the voting federal reserve bank presidents are influenced by other members forecasts

strategic behavior of federal open market committee board members evidence from members forecasts abstract in this paper we use panel data to test whether federal open market committee fomc board members forecasts are rational rationality is rejected in the sense that forecasts by members are heavily dependent on previous own forecasts and last consensus made in fomc furthermore we reveal the strategic behavior of fomc board members forecasts by governors who always have voting rights agree much with the previous consensus of fomc members forecasts in contrast non governors who rotate voting rights exaggerate their forecasts they aggressively deviate their forecasts from previous consensus the former is herding behavior and the latter is anti herding behavior our results imply that individual members behave strategically governors want to present policy consistent forecasts to the congress and non governors utilize their forecasts to influence decision making in fomc

measuring the accuracy of federal reserve forecasts markets across the world pay enormous attention to every economic forecast made by federal reserve governors particularly those from the chair this article develops a new way that the academic literature can assess the accuracy of these federal reserve forecasts in particular our proposed method allows for both general and specific predictions to be assessed while also accounting for the macroeconomic volatility that prevails at the time of the forecast to develop this measure we expand upon a methodology proposed by the wall street journal to score the accuracy of forecasts made by the fed our results show that alan greenspan was consistently the most accurate forecaster among fed governors while the most recent chair in our sample janet yellen has performed relatively poorly more generally we find that the chairs have become less accurate over time with their forecasts and have also tended to make fewer specific predictions

explanations of the inconsistencies in survey respondents forecasts a comparison of the point forecasts and the probability distributions of inflation and output growth made by individual respondents to the us survey of professional forecasters indicates that the two sets of forecasts are sometimes inconsistent we evaluate a number of possible explanations and find that not all forecasters update their histogram forecasts as new information arrives this is supported by the finding that the point forecasts are more accurate than the histograms in terms of first moment prediction c 2009 elsevier b v all rights reserved

differential interpretation in the survey of professional forecasters in this paper i estimate a simple bayesian learning model to expectations data from the survey of professional forecasters i reformulate the model in terms of forecast revisions which allows one to abstract from differences in priors and to focus the analysis on the relationship between news and revisions the empirical analysis shows that there is significant heterogeneity in the interpretation of news among forecasters in particular at longer horizons while it decreases closer to the forecast target date the results also indicate a positive relationship between prior sentiment and interpretation of the signal in the sense that relatively optimistic pessimistic forecasters are likely to believe that the signal under over estimates the future realization and assign it a low high weight in the forecast revision

forecast dispersion dissenting votes and monetary policy preferences of fomc members the role of individual career characteristics and political aspects using data from 1992 to 2001 we study the impact of members economic forecasts on the probability of casting dissenting votes in the federal open market committee fomc employing standard ordered probit techniques we find that higher individual inflation and real gdp growth forecasts relative to the committee s median significantly increase the probability of dissenting in favor of tighter monetary policy whereas higher individual unemployment rate forecasts significantly decrease it using interaction models we find that fomc members with longer careers in government industry academia non governmental organizations ngos or on the staff of the board of governors are more focused on output stabilization while fomc members with longer careers in the financial sector or on the staffs of regional federal reserve banks are more focused on inflation stabilization we also find evidence that politics matters with republican appointees being much more focused on inflation stabilization than democratic appointees moreover during the entire clinton administration natural monetary policy preferences of bank presidents and board members for inflation and output stabilization were more pronounced than under periods covering the administrations of both george h w bush and george w bush respectively

predictability in financial markets what do survey expectations tell us abstract there is widespread evidence of excess return predictability in financial markets for the foreign exchange market a number of studies have documented that the predictability of excess returns is closely related to the predictability of expectational errors of excess returns in this paper we investigate the link between the predictability of excess returns and expectational errors in a much broader set of financial markets using data on survey expectations of market participants in the stock market the foreign exchange market the bond market and money markets in various countries the results are striking first in markets where there is significant excess return predictability expectational errors of excess returns are predictable as well with the same sign and often even with similar magnitude this is the case for foreign exchange stock and bond markets second in the only market where excess returns are generally not predictable the money market expectational errors are not predictable either these findings suggest that an explanation for the predictability of excess returns must be closely linked to an explanation for the predictability of expectational errors

a new data set on monetary policy the economic forecasts of individual members of the fomc this paper describes a new data set of the forecasts of output growth inflation and unemployment prepared by individual members of the federal open market committee the paper discusses the scope of the data set possibilities for extending it and some potential uses it offers a preliminary examination of some of the cross sectional features of the data

a note on exchange rate expectations and nominal interest differentials a test of the fisher hypothesis this note tests the hypothesis that nominal interest differentials between similar assets denominated in different currencies can be explained entirely by the expected change in the exchange rate over the holding period this proposition often called the fisher open hypothesis or the hypothesis of perfect asset substitutability has been a major component of recent theories of exchange rate determination and has important implications for monetary policy 1 the fisher hypothesis differs from the covered interest parity theorem enunciated by keynes 11 while covered interest parity equates the nominal interest differential between financial centers to a known premium or discount on forward foreign exchange and is thus in principle riskless fisher parity involves risk in an essential way the two conditions are equivalent only when forward exchange rates equal expected future spot rates recent theoretical work for example that of grauer litzenberger and stehle 8 kouri 12 and frankel 6 shows that this need not be the case when market participants are risk averse thus while covered interest parity must always hold exactly in an informationally efficient asset market with no transactions costs fisher parity need not nominal interest differentials may reflect risk premia in addition to expected exchange rate movements 2 it should be emphasized at the outset that the tests conducted in this paper are really joint tests of the fisher hypothesis and a weak form of foreign exchange market informational efficiency levich 14 has argued that tests of market efficiency are always joint tests involving some hypothesized structure of normal equilibrium returns below we assume informational efficiency and instead test fisher s hypothesized arbitrage condition that nominal interest differentials equal expected percentage changes in exchange rates

corporate social responsibility theories mapping the territory the corporate social responsibility csr field presents not only a landscape of theories but also a proliferation of approaches which are controversial complex and unclear this article tries to clarify the sit uation mapping the territory by classifying the main csr theories and related approaches in four groups 1 instrumental theories in which the corporation is seen as only an instrument for wealth creation and its social activities are only a means to achieve economic results 2 political theories which concern themselves with the power of corporations in society and a responsible use of this power in the political arena 3 integrative theories in which the corporation is focused on the satisfaction of social demands and 4 ethical theories based on ethical responsibilities of corporations to society in practice each csr theory presents four dimensions related to profits political performance social demands and ethical values the findings suggest the necessity to develop a new theory on the business and society relationship which should integrate these four dimensions

disagreement and learning dynamic patterns of trade we study volume dynamics when there are disagreements among investors for that purpose we develop a dynamic model in which differences in the interpretation of public information lead to trade we obtain a simple linear equilibrium in closed form in which risk averse agents take into account future trading opportunities when solving for their optimal portfolio allocation using this framework we then study what restrictions on the disagreement process are needed to generate empirically observed patterns in volume and prices we show that having infrequent but major disagreements leads to autocorrelation in volume and correlation between volume and absolute price changes when agents disagree on past news but agree on the interpretation of current news there is learning and the convergence of agents opinions leads to trade

the impact of macroeconomic news on quote adjustments noise and informational volatility we study the impact of the arrival of macroeconomic news on the informational and noise driven components in high frequency quote processes and their conditional variances bid and ask returns are decomposed into a common efficient return factor and two market side specific components capturing market microstructure effects the corresponding variance components reflect information driven and noise induced volatilities we find that all volatility components reveal distinct dynamics and are positively influenced by news the proportion of noise induced variances is highest before announcements and significantly declines thereafter moreover news affected responses in all volatility components are influenced by order flow imbalances

are heterogeneous fomc forecasts consistent with the fed s monetary policy abstract yes they are we find that although there is a surprisingly high dispersion of individual forecasts and some dissent on the federal funds target the fomc s individual behavior is well described by a taylor type rule

using survey data to test standard propositions regarding exchange rate expectations survey data provide a measure of exchange rate expectations superior to the forward rate in that no risk premium interferes we estimate extrapolative adaptive and regressive models of expectations static or random walk expectations and bandwagon expectations are rejected current appreciation generates the expectation of future depreciation because variables other than the contemporaneous spot rate receive weight in comparing expectations to the process governing the spot rate we find statistically significant bias no variable is as ubiquitous in international financial theory and yet as elusive empirically as investors expectations regarding exchange rates in the past expectations have been modeled in an ad hoc way often by using the forward exchange rate there is however a serious problem with using the forward discount as the measure of the expected change in the exchange rate in that the two may not be equal the gap that may separate the forward discount and expected depreciation is generally interpreted as a risk premium most of the large empirical literature testing the unbiasedness of the forward exchange rate for example has found it necessary either arbitrarily to assume away the existence of the risk premium if the aim

the carry trade and fundamentals nothing to fear but feer itself the carry trade is the investment strategy of going long in high yield target currencies and short in low yield funding currencies recently this nave trade has seen very high returns for long periods followed by large crash losses after large depreciations of the target currencies based on low sharpe ratios and negative skew these trades could appear unattractive even when diversied across many currencies but more sophisticated conditional trading strategies exhibit more favorable payos we apply novel within economics binary outcome classication tests to show that our directional trading forecasts are informa tive and out of sample loss function analysis to examine trading performance the critical conditioning variable we argue is the fundamental equilibrium exchange rate feer expected returns are lower all else equal when the target currency is overvalued like traders researchers should incorporate this information when evaluating trading strategies when we do so some questions are resolved negative skewness is purged and market volatility vix is uncorrelated with returns other puzzles remain the more sophisticated strategy has a very high sharpe ratio suggesting market ineciency

exchange rate expectations and functional misspecification the authors employ the cooley prescott adaptive model to examine for functional misspecification in three commonly used exchange rate expectation models they also test for heterogeneity among forecasts the authors find no serious misspecification problem but some heterogeneity in expectations these test results are confirmed by various other regression specification tests copyright 1994 by mit press

international interest rate linkages and the exchange rate regime abstract return differentials between instruments denominated in canadian dollars and instruments denominated in american dollars are investigated the study compares the properties of return differentials in the period of fixed exchange rates during the 1960s and in the period of flexible exchange rates during the 1970s and 1980s both real and nominal return differentials are investigated the results indicate that the change in exchange rate regime is not associated with a change in the average level of ex post return differentials between canada and the united states models which predict ex ante return differentials from available information in a rational expectations framework show a surprisingly large amount of structural stability across the regime change the major impact of the flexible exchange rate regime is on the variance of ex post return differentials and not on the average level of ex post or ex ante return differentials jel e42 e58 g15

asset prices and trading volume in a beauty contest speculators buy an asset hoping to sell it later to investors with higher private valuations if agents are uncertain about the distribution of private valuations and about the beliefs of others about this distribution a beauty contest with an infinite hierarchy of beliefs arises under harsanyi s assumption of a common prior the infinite beliefs hierarchy is readily solved using bayes law this paper shows that common knowledge of the beliefs formation rule mapping the private valuation of each agent into his first order belief also simplifies the beliefs hierarchy while allowing for disagreement among agents we analyse the resulting speculation in a stylized asset market several statistics computed only from readily observable quote return and volume data are evaluated in terms of their power to discriminate between genuine disagreement and the harsanyian case only statistics that relate volume and volatility or volume and changes in best offers have the necessary discriminatory power

inflation and its unpredictability theory and empirical evidence the effect of inflation on its unpredictability is theoretically ambiguous arthur m okun 1971 and milton friedman 1977 suggest that the effect is positive however a negative effect may exist if higher inflation induces the relevant economic agents to invest more in generating accurate predictions this paper provides a theoretical model to analyze these opposing arguments and specifies the conditions under which a positive effect exists new survey data regarding inflationary expectations in israel are used to empirically examine the model the data which allow single hypothesis testing of the relationship reveal a positive effect only in periods of high inflation indicating a possible threshold effect copyright 1993 by ohio state university press

corporate social responsibility practices in developing and transitional countries botswana and malawi this research empirically investigated the csr practices of 84 botswana and malawi organizations the findings revealed that the extent and type of csr practices in these countries did not significantly differ from that proposed by a u s model of csr nor did they significantly differ between botswana and malawi there were however differences between the sampled organizations that clustered into a stakeholder perspective and traditional capitalist model groups in the latter group the board of directors owners and shareholders were important stakeholders that appeared to be restricting extended stakeholder csr activities in the malawi and botswana organizations the sampled managers recognized the economic benefits of csr practices and were not at odds with social objectives

on the consistency of short run and long run exchange rate expectations abstract this paper examines whether short term exchange rate expectations overreact by comparing them with long term expectations we develop a set of nonlinear restrictions linking expectations at different forecast horizons the restrictions impose consistency a property weaker than rationality we use exchange rate survey data to measure expectations and then test whether consistency holds the data show that a current positive exchange rate shock leads investors to expect a higher long run future spot rate when iterating forward their short term expectations than when thinking directly about the long run in this sense short horizon expectations may overreact to current exchange rate changes

market efficiency and cointegration an application to the sterling and deutschemark exchange markets abstract the assumption that the foreign exchange market is efficient that is that agents are risk neutral and use all available information rationally so that the forward exchange rate is an unbiased predictor of the future spot rate is a property often imposed in theoretical international macroeconomic models although a vast empirical literature has evolved to test market efficiency we use recent developments in the theory of cointegration to provide new methods of testing several aspects of foreign exchange market efficiency we ffind evidence inconsistent with market efficiency for both germany and the united kingdom

are foreign exchange forecasts rational an empirical note abstract this paper uses survey data drawn from a high inflation economy israel to directly test the rationality of foreign exchange forecasts the empirical evidence indicates that exchange rate expectations are not rational in the muthian sense

on the internal consistency of short term medium term and long term oil price forecasts we derive internal consistency restrictions on short medium and long term oil price forecasts we then analyse whether oil price forecasts extracted from the survey of professional forecasters spf conducted by the european central bank ecb satisfy these internal consistency restrictions we find that neither short term forecasts are consistent with medium term forecasts nor that medium term forecasts are consistent with long term forecasts using a more complex expectation formation structure featuring a distributed lag structure however we find stronger evidence of internal consistency of medium term forecasts with long term forecasts

what can survey forecasts tell us about information rigidities a lot we derive common and conflicting predictions from models in which agents face information constraints and then assess their validity using surveys of consumers firms central bankers and professional forecasters we document that mean forecasts fail to completely adjust on impact to shocks leading to statistically and economically significant deviations from the null of full information the dynamics of forecast errors after shocks are consistent with the predictions of models with information rigidities the conditional responses of forecast errors and disagreement among agents can also be used to differentiate between some of the most prominent models of information rigidities

role of multiple stakeholders and the critical success factor theory for the sustainable supplier selection process abstract the concept of sustainability has become an essential theme for many industries and organisations due to a heightened sensitivity towards environmental protection and social responsibility at the same time firms still need to achieve economic viability and retain their competitive advantage because suppliers are the first entity and the initial source of any supply chain organisations should select their suppliers by a careful evaluation of their critical success factors csf achieving a successful sustainable supply chain management sscm strategy requires a firm to consider its stakeholders views based on the csf theory and by considering the multi stakeholders view in a sustainability perspective this work provides a decision support system for the sustainable supplier selection sss problem in a real world textile industry located in the emerging economy of india through a three phase methodology this study examines indian suppliers by considering the sustainability views of various stakeholders including employees customers researchers shareholders and a government environmental officer the csf priorities show that the first four influential csfs are categorized as social concerns i e maintaining long term relationships and alliances stakeholder empowerment equity labour sources and individual human rights the fifth factor is an environmental issue i e production of polluting agents among the five suppliers being evaluated in this work supplier 4 receives the top ranking specifically the results show that the supplier rankings are highly influenced by csf s social dimensions hence to validate the influence of csf s social dimensions in relation to the sss process a sensitivity analysis has been done by varying the respective weights the study concludes with the relevant managerial implications and limitations

rationality and seasonality evidence from inflation forecasts abstract we examine the seasonal pattern in expectations using a unique israeli survey of quarterly inflation forecasts rationality is rejected with respect to trivial information about calendar quarter seasonal bias is strongest at shorter horizons and in a low inflation environment

tests of rational expectations and no risk premium in forward exchange markets abstract this paper tests the simple efficiency hypothesis i e that traders have rational expectations and charge no risk premium in the forward exchange market it uses a statistical procedure which is consistent under a large class of heteroscedasticity and a set of data which takes into account the institutional features of the forward exchange market the results show that this procedure leads to stronger rejections of the simple efficiency hypothesis than do procedures using the standard assumption of homoscedasticity

inefficiency of foreign exchange markets and expectations survey evidence in recent years the finding of a bias has cast doubts on the efficiency of the forward exchange market a large survey of exchange rate expectations in the danish market shows that this inefficiency is mainly due to risk aversion in the market the results contradict the findings of surveys of us and uk forward exchange markets where contribution from biased expectations has been large

differential interpretation of information in inflation forecasts we test the hypothesis associated with a standard assumption in the theoretical literature on learning that economic agents interpret information identically we use a data set based on a survey o

expectations and learning in iowa we study the rationality of learning and the biases in expectations in the iowa experimental markets using novel tests developed in bossaerts p 1996 martingale restrictions on equilibrium security prices under rational expectations and consistent beliefs caltech working paper bossaerts p 1997 the dynamics of equity prices in fallible markets caltech working paper learning in the iowa winner take all markets is found to be in accordance with the rules of conditional probability bayes law hence participants correctly update their beliefs using the available information there is evidence however that beliefs do not satisfy the restrictions of rational expectations that they reflect the factual distribution of outcomes

are foreign exchange forecasts rational new evidence from survey data abstract tests of rationality in foreign exchange markets have been inconclusive because of disagreement over the relevant asset pricing model this paper uses a newly available set of data on foreign exchange expectations to directly test the rationality of four foreign currency markets overall the results reject the rational expectations hypothesis

the strategy of professional forecasting we develop and compare two theories of professional forecasters strategic behavior the first theory reputational cheap talk posits that forecasters endeavor to convince the market that they are well informed the market evaluates their forecasting talent on the basis of the forecasts and the realized state if the market expects forecasters to report their posterior expectations honestly then forecasts are shaded toward the prior mean with correct market expectations equilibrium forecasts are imprecise but not shaded the second theory posits that forecasters compete in a forecasting contest with pre specified rules in a winner take all contest equilibrium forecasts are excessively differentiated

the role of media for inflation forecast disagreement of households and professional forecasters this paper investigates the effects of media coverage about consumer price inflation on inflation forecast disagreement of german households and professional forecasters we adopt a bayesian learning model in which media coverage of inflation affects forecast disagreement by influencing information sets as well as predictor choice our empirical results show that disagreement of households depends on the heterogeneity of story content and on the reporting intensity especially of news on rising inflation disagreement of professional forecasters does not depend on media coverage with respect to the influence of macroeconomic variables we provide evidence that disagreement of professional forecasters primarily depends on the inflation rate and on inflation volatility the response of households to inflation is much less pronounced

rationality of survey data and tests for market efficiency in the foreign exchange markets abstract this paper tests the rational expectations hypothesis reh and the market efficiency hypothesis meh in the foreign exchange markets using survey data on expectations our results show that the spot exchange rates expected exchange rates and the forward rates all follow a random walk process hence the cointegration theory is employed to test the reh and meh all the test statistics support the reh but fail to support the meh we use survey data on expectations to identify the causes behind this failure of the meh jel f31 g14

do fomc members herd abstract we show that growth and unemployment forecasts submitted by individual fomc members do not exhibit herding behavior while the inflation forecasts show strong evidence of anti herding interestingly anti herding is more important for non voting members than for voters

further evidence on exchange rate expectations abstract this paper considers a previously unexploited survey data set of exchange rate expectations which allows us to focus on differences between ems and dollar exchange rates we corroborate the earlier finding in the literature that exchange rate forecasts are not rational and that agents do not use all available information efficiently although extrapolative and adaptive expectations formation mechanisms describe non ems exchange rate expectations to a certain extent ems exchange rates forecasts seem to follow long run fundamentals more closely and would suggest that agents believe that ems exchange rate expectations undershoot their long run equilibrium values jel f31

does foreign exchange intervention matter the portfolio effect until recently there was an unusual degree of consensus among economists that intervention by central banks in the foreign exchange market did not offer an effective or lasting instrument for affecting the exchange rate at least not independently of monetary policy this consensus was largely shared among policymakers and participants in the financial markets as well the 1982 g 7 economic summit at versailles commissioned a study of intervention known as the jurgenson report which found that the effects were small and transitory at most we think that the time is ripe for new statistical testing of the question many policymakers and foreign exchange traders believe that the intervention operations that have taken place since the plaza agreement of september 1985 have had an effect especially when operations are coordinated moreover the theoretical case against the effectiveness of intervention is not as clear as a reading of the economics literature might suggest the academic literature is predicated on the distinction between intervention operations that are sterilized and those that are allowed to affect the money supply we study the intervention operations that actually took place between 1982 and 1988 regardless of whether they were sterilized however we do begin in section i with a review of the issues involved 2 there are two possible channels through which intervention whether sterilized or not can influence the foreign exchange rate the portfolio and the expectations channels intervention can even if sterilized influence exchange rates through the portfolio channel provided foreign and domestic bonds are considered imperfect substitutes in investors portfolios intervention operations that for example increase the current relative supply of mark to dollar assets which private investors are obliged to accept into their portfolios will force a decrease in the relative price of mark assets 3 intervention can also influence exchange rates regardless of whether foreign and domestic bonds are imperfect substitutes through the expectations channel the public information that central banks are intervening in support of a currency or are planning to intervene in the future may under certain conditions cause speculators to expect an increase in the price of that currency in the future speculators react to this information by buying the currency today bringing about the change in the exchange rate today in sections ii and iii we describe the econometric problems that arise in the standard portfolio balance estimation equation we derive an alternative portfolio balance dominguez kennedy school of government harvard university 79 j f kennedy street cambridge ma 02138 frankel department of economics university of california 787 evans hall berkeley ca 94720 we thank three anonymous referees for valuable comments and suggestions julia marsh and julia lowell for research assistance and franz scholl at the bundesbank jean pierre roth at the swiss national bank and officials at the u s treasury and the board of governors of the federal reserve system for making the daily intervention data available 1many of the econometric results finding little or no effect were reported in kenneth s rogoff 1984 and dale w henderson and stephanie sampson 1983 2for authoritative statements see henderson 1984 or maurice obstfeld 1990 3the exchange rate reaction to an increase in the relative supply of outside foreign assets may be reduced if there is an increase in their expected rate of return that induces a corresponding increase in demand

an institutional analysis of corporate social responsibility in kenya there is little doubt that corporate social responsibility csr is now a global concept and a prominent feature of international business with its practice localised and differing across countries despite the growing body of research focussing on csr in developing countries there is dearth research on csr institutionalisation in african countries drawing on institutional theory it this article examines the focus and form of csr practice of companies in kenya it is evident from our findings that the nature and orientation of csr differ across companies with operations only in kenya and those headquartered abroad or with international operations significantly firm related drivers such as public relations and performance as well as global institutional pressures explain the focus and form of csr in kenya this article concludes that for the institutionalisation of csr in kenya attention must be paid to conditions that stifle csr uptake such as lack of government regulations and the government s capacity and commitment to enforce regulation the establishment of functional csr institutions and a vibrant civil society that advance civil regulation ought to be encouraged

using survey data to resolve the exchange risk exposure puzzle evidence from u s multinational firms while in previous literature foreign currency exposure is estimated to be surprisingly small and insignificant we question in this paper the rationality assumption and show that the traditional use of realized exchange rate changes to approximate unexpected currency shocks leads to a strong underestimation of the influence that exchange rates play in determining firm valuations in light of a unique survey data base of individual exchange rate expectations we distinguish between realized and unexpected foreign currency movements and find that half of our sample of 935 u s firms with real operations in foreign countries is significantly exposed to unexpected exchange rate movements in line with previously reported results foreign exchange risk exposure is found to become increasingly perceptible when the return horizon is lengthened the difference between the exposure to realized versus unexpected exchange rate movements is however decreasing when lengthening the horizon suggesting that the more market participants disagree about the future path of currency values the less investors and or managers are likely to use the publicly available forecasts in their pricing and hedging decisions

black economic empowerment disclosures by south african listed corporations the influence of ownership and board characteristics this study investigates the extent to which south african listed corporations voluntarily disclose information on black economic empowerment bee in their annual and sustainability reports using a sample of 75 listed corporations from 2003 to 2009 bee is a form of socio economic affirmative action championed by the african national congress anc led government to address historical imbalances in business participation and ownership in south africa we find that block ownership and institutional ownership are negatively associated with the extent of bee disclosures whereas government ownership board diversity age education ethnicity nationality and occupation board size and non executive directors are positively related to the extent of bee disclosures by contrast dual board leadership structure and gender diversity are not significantly associated with bee disclosures our results are robust when controlling for firm level characteristics fixed effects and alternative disclosure proxies our results are largely consistent with the predictions of agency legitimacy resource dependence and stakeholder theories

evaluating the efficiency of the fomc s new economic projections since 2007 fomc policymakers have been publishing detailed numerical projections of macroeconomic series over the next three years by testing whether the revisions to these projections are unpredictable i find that fomc s efficiency is generally accepted for inflation but often rejected for real economic variables notably for the unemployment rate the rejection is due to the strong autocorrelation of revisions which may reflect information rigidity of fomc s unemployment projections the joint efficiency of the entire projection is accepted in most cases

common beliefs and the existence of speculative trade abstract this paper shows that if rationality is not common knowledge the no trade theorem of milgrom and stokey fails to hold we adopt monderer and samet s notion of common p belief and show that when traders entertain doubts about the rationality of other traders arbitrarily large volumes of trade as well as rationality may be common p belief for a large p furthermore rationality and trade may simultaneously be known to arbitrary large but finite degree journal of economic theory classification numbers c70 d82 d84

an evaluation of survey exchange rate forecasts abstract a non parametric test of direction is employed to evaluate the survey forecasts provided by the money market services empirical results suggest that the forecasts are useful for predicting the direction of exchange rate changes the results are consistent with a weaker form of rationality than unbiasedness

equity and tradeoffs in a tax based incomes policy a tax based incomes policy tip is a tax incentive that tries to induce employers and or workers to reduce wage and or price increases it is intended as a complement to the basic anti inflation policy of gradual monetary deceleration and fiscal restraint its purpose is to reduce the capital stock and output loss that would otherwise accompany such a policy see my 1978 1979a articles this article is divided into two sections section i examines the capital stock and output loss under monetary deceleration that is uncomplemented by tip this loss is due primarily to wage growth inertia a central feature of modern capitalist economies such inertia provides not only the rationale for a tip on wage increases but also implies that special effort is required to assure that the design of a complete tip package is fair to labor section ii analyzes the tradeoffs confronting two alternative methods of making tip more equitable to labor profit and or price restraint insurance and a tip on price increases of the largest firms the original tip limited to wage increases at first glance is often perceived as unbalanced and inequitable this section tries to contribute to the development of a balanced equitable tip

volume volatility and the dispersion of beliefs i examine a two period noisy rational expectations model of a futures market and show that the dispersion of expectations about a weighted average of future prices measures both the additional volatility and the additional expected volume of trade associated with noisy information the role played by dispersion helps clarify several stylized facts concerning volume and price behavior specifically dispersion can be a factor contributing to the positive correlation between volume and absolute price changes and the positive correlation between consecutive absolute price changes article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

the fomc versus the staff where can monetary policymakers add value a key issue in monetary policymaking is the appropriate division of labor between the profes sional staff of the central bank and the appointed policymakers lars e o svensson 1999 argues that the appropriate role of a policymaking group such as the federal open market com mittee fomc in the united states is to make judgments about social welfare taking as given the likely outcomes of different policies as esti mated by the staff in this division the staff is relied upon to assess current and prospective economic conditions and to forecast the effects of different policies policymakers only role is to decide which of the various options should be chosen

the discursive dilemma in monetary policy the discursive dilemma implies that the policy decision of a board of policymakers depends on whether the board reaches the decision by voting directly on policy conclusion based procedure or by voting on the premises for the decision premise based procedure we derive results showing when the discursive dilemma may occur both in a general model and in a standard monetary policy model when the board aggregates by majority voting a discursive dilemma can occur if either i the relationship between the premise and the decision is non