reevaluation of the employment impact of the 1996 summer olympic games using empirical methods published more recently than our earlier analysis found in this journal we continue to find a statistically significant and substantial employment impact of the 1996 summer olympic games in atlanta post olympics versus pre olympics employment gains in counties affected by the olympics exceeded employment gains in the rest of the counties in georgia by 11 by the end of 2000 in addition olympics affected counties in the metro atlanta area experienced employment gains relative to other major southern metropolitan statistical areas of roughly 5 these results stand up to robustness and falsification tests

taking stock monetary policy transmission to equity markets this paper analyses the effects of u s monetary policy on stock markets we present evidence that individual stocks react in a highly heterogeneous fashion to u s monetary policy shocks and relate this heterogeneity to financial constraints and tobin s q first we show that there are strong industry specific effects of u s monetary policy second we also find that for the 500 individual stocks comprising the s p500 the firms with low cash flows small size poor credit ratings low debt to capital ratios high price earnings ratios or a high tobin s q are affected significantly more by monetary policy

durations of non default free securities a bond subject to default risk trades at a higher interest rate than a comparable default free bond in order to compensate investors for expected loss resulting from reduced or delayed promised payments the difference between the yields to maturity on the two bonds is called the default yield premium bonds with the same default yield premium however may differ in regard to the timing of their reductions in payment each time pattern of cash payments translates into a different duration value for a given stochastic process of default free interest rates failure to take this time pattern into account when computing durations of nondefault free bonds will result in misspecification of risk exposure for instance the duration of a bond that defaults on the first coupon will differ from the duration of a bond that defaults on the last payment even if both bonds have the same default yield premium and initial maturity early defaulters will have durations that are consistently longer than their simple unadjusted macaulay durations while later defaulters will have consistently shorter durations furthermore the error from not taking the stochastic process of default into account will be larger the greater the default yield premium more common than outright default is the situation where the issuer delays coupon and principal payments but eventually pays them in full some time after default all defaultadjusted durations for these bonds will exceed their corresponding unadjusted durations with the size of the adjustment increasing with term to maturity and exceeding the length of the delay in payments

asymmetric effects of federal funds target rate changes on s p100 stock returns volatilities and correlations we study the effects of fomc announcements of federal funds target rate decisions on individual stock returns volatilities and correlations at the intraday level for all three characteristics we find that the stock market responds differently to positive and negative target rate surprises first the average response to positive surprises that is bad news for stocks is larger second in case of bad news the mere occurrence of a surprise matters most whereas for good news its magnitude is more important these new insights are possible due to the use of high frequency intraday data

price formation and liquidity in the u s treasury market the response to public information the arrival of public information in the u s treasury market sets off a two stage adjustment process for prices trading volume and bid ask spreads in a brief first stage the release of a major macroeconomic announcement induces a sharp and nearly instantaneous price change with a reduction in trading volume demonstrating that price reactions to public information do not require trading the spread widens dramatically at announcement evidently driven by inventory control concerns in a prolonged second stage trading volume surges price volatility persists and spreads remain moderately wide as investors trade to reconcile residual differences in their private views how do financial markets form prices and provide liquidity when information arrives efforts to address this issue have led to an extensive microstructure literature on equity markets and to a lesser extent on the foreign exchange fx market relatively little work has focused on the u s treasury market however in spite of its importance in its own right and the advantages it offers as an alternative testing ground for microstructure hypotheses

homes and castles should we care about idiosyncratic risk we consider a novel set of data comprising every transaction in the netherlands housing market between 1995 and 2011 and take a closer look at the idiosyncratic risk as it played out in those years shiller and weiss 1999 proposed a home equity insurance policy that eliminates systematic risk we use their insurance scheme as an analytical tool to add detail to the comovement of individual transactions and the market we are particularly interested in the policy s loss coverage efficiency and payout probability at best protection against market risk is only around the half way mark to risk elimination

the composition and impact of stakeholders agendas on us ethanol production this paper aims to identify the macro environmental dimensions under which journalists scientists and policy makers have framed the liquid biofuels in the us over time the number of publications concerning liquid biofuels from mass media scientific community and government with ethanol production are correlated seeking for causality between ethanol production and those stakeholders agendas text mining techniques were used to explore 2016 mass media news sources 455 scientific papers and 854 government documents published between 1997 and 2006 granger causality tests were performed to analyse the causality concerning stakeholders agendas the results indicate that scientists emphasise environmental agronomic and technological matters while journalists are more interested in covering economic environmental geopolitical and political issues although policies on this subject appear to be more in line with science the trend analysis indicates that the mass media are gaining prominence amongst policy makers the causation analysis suggests that ethanol production and public policy present a bi directional causality at t 2 time lag at t 1 time lag ethanol production precedes the publication of scientific documents which present a bi directional causality with public policy on ethanol and precedes the mass media news in conclusion ethanol production precedes the presence of liquid biofuels on the agendas of scientists journalists and policy makers

generalising interest rate duration with directional derivatives direction x and applications conventional or fisher weil duration is an ordinary derivative that measures the response of portfolio value to marginal parallel shifts in the term structure while other proposed measures are generally specific to particular interest rate processes in this paper we show that portfolio responses to arbitrary shifts in the term structure may be handled by the use of frechet or directional derivatives presenting a simple algorithm for the directional derivative of a fixed interest portfolio viewed as a set of cash flows for a given portfolio one can locate the most sensitive areas along the term structure by computing a function or profile direction x that gives the term structure movement to which the portfolio is most exposed immunisation techniques can be based on choosing ancillary assets that ensure that the portfolio directional derivative is zero or as close to zero as possible this generalises approaches based on factor models of the term structure the analysis is applied to both continuous and discrete time

how does a new sports stadium affect housing values the case of fedex field this study investigates how the construction of a sports stadium affects residential housing values hedonic analyses are conducted to assess the price differentials between housing units in close proximity to fedex field home of the washington redskins and comparable units away from it using a difference in difference approach the study finds that properties near fedex field sold at a discount however this price differential was narrowed after the completion of the stadium contrary to neighborhood activists concern that sports venues adversely affect property values the findings of this study indicate that a new stadium improves housing values in the surrounding area

simultaneous monetary policy announcements and international stock markets response an intraday analysis abstract this paper investigates the return and volatility response of major european and us equity indices to monetary policy surprises by utilizing extensive intraday data on 5 min price quotes along with a comprehensive dataset on monetary policy decisions and macroeconomic news announcements the results indicate that the monetary policy decisions generally exert immediate and significant influence on stock index returns and volatilities in both european and the us markets the findings also show that press conferences held by the european central bank ecb that follow monetary policy decisions on the same day have a clear impact on european index return volatilities this implies that they convey additional important information to market participants overall our analysis suggests that the use of high frequency data is critical to separate the effect of monetary policy actions from those of macroeconomic news announcements on stock index returns and volatilities

renewable energy policy alternatives for the future the united states has been subsidizing ethanol since 1978 in the last decade a subsidy has been added for biodiesel the ethanol subsidy has ranged from 40 to 60 cents per gallon over the entire time period tyner and taheripour 2007 the ethanol subsidy is currently 51 cents per gallon and the biodiesel subsidy is 50 cents for biodiesel made from recycled materials such as cooking grease or tallow and 1 per gallon for biodiesel made from oilseed crops such as soybeans over the years the objectives for biofuel subsidies have included in

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

the performance of alternative interest rate risk measures and immunization strategies under a heath jarrow morton framework using a monte carlo simulation this study addresses the question of how traditional risk measures and immunization strategies perform when the term structure evolves in a heath jarrow morton 1992 manner the results suggest that for immunization purposes im munization strategies and portfolio formation strategies are more important than interest rate risk measures the performance of immunization strategies depends more on the transaction costs and the holding period than on the risk measures moreover the immu nization performance of bullet and barbell portfolios is not very sensitive to interest rate risk measures

mass media and public policy abstract if more informed voters receive favorable policies then mass media should influence policy because it provides most of the information people use in voting this paper uses a simple model to analyze the effect of mass media provision of news on a number of policy issues redistribution the size of the government sector rents and corruption the effectiveness of lobby groups and political business cycles it is easy to deal with such a wide range of issues because existing models of political competition often include informed and uniformed voters modelling mass media simply endogenizes who is informed and who is not the paper also discusses empirical evidence and point to areas for future research

using stochastic frontier models to mitigate omitted variable bias in hedonic pricing models a case study for air quality in bogota colombia hedonic pricing models use property value differentials to value changes in environmental quality if unmeasured quality attributes of residential properties are correlated with an environmental quality measure of interest conventional methods for estimating implicit prices will be biased because many unmeasured quality measures tend to be asymmetrically distributed across properties it may be possible to mitigate this bias by estimating a heteroskedastic frontier regression model this approach is demonstrated for a hedonic price function that values air quality in bogota colombia

pre announcement effects news effects and volatility monetary policy and the stock market abstract i examine pre announcement and news effects on the stock market in the context of public disclosure of monetary policy decisions the results suggest that the stock market tends to be relatively quiet conditional volatility is abnormally low on days preceding regularly scheduled policy announcements although this calming effect is routinely reported in anecdotal press accounts it is statistically significant only over the past four to five years a result that i attribute to changes in the federal reserve s disclosure practices in early 1994 the paper also looks at how the actual interest rate decisions of policy makers affect stock market volatility the element of surprise in such decisions tends to boost stock market volatility significantly in the short run and positive surprises higher than expected values of the target federal funds rate tend to have a larger effect on volatility than negative surprises the implications of the results for broader issues in the finance and economics literatures are also discussed

deutsche mark dollar volatility intraday activity patterns macroeconomic announcements and longer run dependencies this paper provides a detailed characterization of the volatility in the deutsche mark dollar foreign exchange market using an annual sample of five minute returns the approach captures the intraday activity patterns the macroeconomic announcements and the volatility persistence arch known from daily returns the different features are separately quantified and shown to account for a substantial fraction of return variability both at the intraday and daily level the implications of the results for the interpretation of the fundamental driving forces behind the volatility process is also discussed the efficient market hypothesis contends that financial asset prices provide rational assessments of fundamental values and future payoffs by implication price changes should reflect the arrival and processing of all relevant new information however the proportion of return variability that can be ascribed to public news announcements is low for example cutler poterba and summers 1989 find that even the largest daily price changes in the stock market generally cannot be associated with any significant economic news 1 moreover proxies for the flow of public information e g the number of news items released by reuter s news service berry and hiowe 1994 or dow jones company mitchell and mulherin 1994 explain little of the overall variation thus if private information is ruled out proponents of rational price formation have to assert the existence of important news items

a contingent claims analysis of the interest rate risk characteristics of corporate liabilities abstract this paper provides a contingent claims analysis of the interest rate risk characteristics of corporate liabilities by identifying merton s 1973 option pricing model with vasicek s 1977 mean reverting term structure model only a non zero positive range of duration values for the firms assets is shown to be consistent with the previous empirical evidence on the interest rate sensitivity of corporate stocks and bonds chance s 1990 duration measure is shown to be biased downward under empirically realistic conditions theoretical conditions are derived under which the duration of a default prone zero coupon bond can be either higher or lower than the duration of the corresponding default free bond the duration of the default prone bond of a firm with high low interest rate sensitive assets is shown to be an increasing decreasing function of the bond s default risk

communication by central bank committee members different strategies same effectiveness the paper assesses the communication strategies of the federal reserve the bank of england and the european central bank and their effectiveness we find that the effectiveness of communication is not independent from the decision making process the paper shows that the federal reserve has been pursuing a highly individualistic communication strategy amid a collegial approach to decision making while the bank of england is using a collegial communication strategy and highly individualistic decision making the european central bank ecb has chosen a collegial approach both in its communication and in its decision making assessing these strategies we find that predictability of policy decisions and the responsiveness of financial markets to communication are equally good for the federal reserve and the ecb this suggests that there may not be a single best approach to designing a central bank communication strategy

patterns of attention to renewable energy in the british farming press from 1980 to 2013 abstract the farming sector is a major actor in developing renewable energy providing sites feedstock and investment media coverage can both drive and reflect levels of interest in renewable energy and affect policy support and farmer decision making about deployment this paper presents a content analysis of attention to renewable energy in the british farming press from 1980 to 2013 identifying the topics which sparked sustained media interest cycles of increased attention to specific types of renewable energy are made evident through quantification of article frequencies and qualitative analysis of content the findings contribute to the explanation of the role of information in the diffusion of renewable energy wind energy and liquid biofuels have received the most attention with multiple attention cycles whereas photovoltaics and anaerobic digestion have received focused attention only in recent years policy changes particularly support measures emerge as the most important driver of media attention although public controversies particularly in relation to wind energy lead to longer periods of attention attention typically increases when opportunities in renewable energy emerge and then quickly shifts to a longer stage of focused attention in which opportunities problems and solutions are explored and advice is offered before attention declines the media thus clearly play a role in informing farmers about opportunities arising in relation to renewable energy technology and policy developments but are less helpful in providing on going and consistent information about recurrent and more complex problems thus the farming press appears likely to have the strongest impact on early adopters of renewable technologies but is unlikely to contribute to diffusion at later stages when potential adopters are less willing to bear uncertainties

immunization strategies for funding multiple liabilities a number of recent papers have shown that it is possible for an investor to immunize a portfolio of default and option free coupon bonds so that the return realized over a given planning period will never be less than that promised at the time the bonds were purchased in this way a future fixed dollar liability may be discharged with certainty by acquiring an asset portfolio with a market value equal to the present value of the liability and setting its appropriate duration equal to the time remaining to the date of discharge 1 however most investors have more than one liability to discharge in his seminal article in 1952 f m redington showed that a stream of liabilities may be immunized if an asset portfolio having the same present value as the liabilities is selected so that 1 its duration is equal to the duration of the liabilities and

durations for portfolios of bonds priced on different term structures abstract this paper develops the duration of a portfolio of bonds that trade on different term structures because of say differences in credit quality such portfolios are widely held by investors in contrast to the duration of a portfolio of bonds priced on the same term structure the duration of a portfolio of bonds priced on different term structures is shown to be a function of the future values of the composite securities at the portfolio duration date rather than their present values portfolio duration expressions for such portfolios are derived for alternative assumptions about the stochastic process driving movements in interest rates across securities it is also shown that portfolio durations based on present value weights are a special case of those based on future value weights

announcements and the effectiveness of monetary policy a view from the us prime rate abstract until 1994 the us prime rate was said to be sticky because of its irresponsiveness to short term interest rates after the fed started the practice of announcing its intended funds rate in 1994 however the prime rate has come to react immediately to shifts in the target rate this paper attempts to explain how the fed s policy announcements changed the behavior of the prime rate by using a simple menu cost model it shows that an increase in the expected duration of funds rate targets was essential to the improvement in the target rate pass through

an investigation of transactions data for nyse stocks using transactions data the behavior of returns and characteristics of trades at the micro level is examined a minute by minute market return series is formed and tested for normality and autocorrelation evidence of differences in return distributions is found among overnight trades trades during the first 30 minutes following the market opening trades at the close and trades during the remainder of the day the latter distribution is found to be normal unusually high returns and standard deviations of returns are found at the beginning and the end of the trading day when the beginningand end of the day effects are omitted autocorrelation in the market return series is reduced substantially a number of patterns in trading are reported this paper empirically investigates the nature of the return generating process and the characteristics of trade size price changes trading frequency and trading interval at the level of individual trades for a large sample of nyse stocks previous studies of market indices have used daily weekly or monthly

investor sentiment and the stock market s reaction to monetary policy this paper shows that monetary policy decisions have a significant effect on investor sentiment the effect of monetary news on sentiment depends on market conditions bull versus bear market we also find that monetary policy actions in bear market periods have a larger effect on stocks that are more sensitive to changes in investor sentiment and credit market conditions overall the results show that investor sentiment plays a significant role in the effect of monetary policy on the stock market

monetary policy surprises and interest rates evidence from the fed funds futures market abstract this paper estimates the impact of monetary policy actions on bill note and bond yields using data from the futures market for federal funds to separate changes in the target funds rate into anticipated and unanticipated components interest rates response to anticipated target rate changes is small while their response to unanticipated changes is large and highly significant these responses are generally consistent with the expectations hypothesis of the term structure surprise target rate changes have little effect on expectations of future actions however which helps to explain the lack of empirical support for the expectations hypothesis at the short end of the yield curve

macroeconomic cycles and the stock market s reaction to monetary policy abstract this paper examines cyclical variation in the effect of fed policy on the stock market we find a much stronger response of stock returns to unexpected changes in the federal funds target rate in recession and in tight credit market conditions using firm level data we also show that firms that face financial constraints are more affected by monetary shocks in tight credit conditions than the relatively unconstrained firms overall the results are consistent with the credit channel of monetary policy transmission

spillover effects of human service facilities in a racially segmented housing market abstract previous studies of human service facility spillovers on residential property values have been inconclusive and have failed to take into account the effects of racial segmentation of housing markets likewise studies of racial discrimination in urban housing markets and price differentials between white and nonwhite areas of the city have failed to consider the impacts of service facilities on prices this study develops an hedonic price model of housing services in a racially segmented housing market which considers a variety of human service facilities and their spillover effects model results for oakland california in 1976 indicate that facilities significantly affect housing prices both positively and negatively and that these effects vary by racial submarket implications of these findings for the interpretation of past discrimination studies facility impact studies and social policy are considered

property tax revaluation and tax levy growth abstract jurisdiction wide property revaluation like many administrative reforms may have unintended consequences this paper examines one such potential consequence by pooling 18 year time series for each of 39 massachusetts cities 17 of which revalued and 270 massachusetts towns 202 of which revalued we examine the hypothesis that politicians take advantage of the confusion generated by revaluation and raise property taxes by more than they otherwise would have we observe such a response in cities but not in towns and attribute this difference to differences in their governmental structures

intraday jumps and us macroeconomic news announcements this paper applies recent non parametric intraday jump detection procedures to investigate the presence and importance of intraday jumps in us futures markets more importantly the paper investigates the extent to which statistically significant intraday jumps are associated with us macroeconomic news announcements jumps are prevalent large and contribute heavily to total daily price variation approximately one third of jumps correspond to us macroeconomic news announcements with pure announcement effects causing large increases in the absolute sizes of jumps and the informational surprise of the announcement explaining large proportions of the jumps the statistical and economic significance of news related jumps is confirmed by results that show higher volatility persistence predictability of lower frequency returns larger effects on microstructure variables jump clustering and co jumps from these jumps versus non news related jumps although there are some interesting variations across asset classes

monetary policy implementation and the federal funds rate this paper investigates how the implementation of monetary policy affects the dynamics and the volatility of the federal funds rate since the early 1980s the most important changes in the fed s conduct of monetary policy refer to the role of the federal funds rate target and the reserve requirement system we show that the improved communication and transparency regarding the federal funds rate target has significantly increased the fed s influence on the federal funds rate since 1994 by contrast the declining role of required reserves in the u s has contributed to higher federal funds rate volatility our results suggest that the planned introduction of remunerated reserves will further enhance the controllability of the federal funds rate

impact of allowing sunday alcohol sales in georgia on employment and hours differential timing across counties of the removal of restrictions on sunday alcohol sales in the state of georgia is used to determine whether the change had an impact on employment and hours in the beer wine and liquor retail sales industry a triple difference ddd analysis finds significant relative increases in average weekly hours in the treated industry but no significant impact on employment we speculate regarding the forces behind the positive ddd result and conclude that the change in regulation likely lowered profits for affected liquor stores this would explain why store owners were vocal opponents to restriction removal

mass media competition political competition and public policy if better informed voters receive favourable policies then mass media will affect policy because mass media provide most of the information people use in voting this paper models the incentives of the media to deliver news to different groups the increasing returns to scale technology and advertising financing of media firms induce them to provide more news to large groups such as taxpayers and dispersed consumer interests and groups that are valuable to advertisers this news bias alters the tradeoff in political competition and therefore introduces a bias in public policy the paper also discusses the effects of broadcast media replacing newspapers as the main information source about politics the model predicts that this change should raise spending on government programmes used by poor and rural voters

supportive housing and neighborhood property value externalities we analyzed impacts on single fam institutional settings as part of the nationily home prices of eleven small scale supportive wide deinstitutionalization movement housing facilities announced in denver during beginning in the 1970s chronically men 1989 1995 using a difference in differences econo tally ill developmentally and physically dis metric specification we found that these facilities abled non violent produced a positive impact on house prices within offenders recovering 1 001 to 2 000 feet we attributed this effect to coun substance abusers and frail elderly inditervailing externalities building rehabilitation vs viduals have increasingly been domiciled resident behaviors that vary in their spatial extent in small scale facilities located in residen supportive housing facilities were systematically tial neighborhoods this normalization sited in neighborhoods with declining relative of residential environment coupled with prices compared to elsewhere in the census tract on site and on call specialized care is seen this location bias led a conventional econometric as therapeutic bymany policy makers new specification to erroneously estimate a negative property value impact from supportive housing

duration for bonds with default risk abstract does approximating duration estimates by ignoring default risk lead to error in the two major duration applications measuring interest rate price elasticity and immunization we derive a general expression for duration in the presence of default risk based on jonkhart s term structure model on the term structure of interest rates and the risk of default journal of banking and finance 3 253 262 1979 extended to encompass risk aversion the model includes terms for default probabilities and default payoffs in each period as well as for a delay between the occurrence of default and the final default payoff our main conclusion is that practical duration applications involving bonds with default risk must employ duration measures adjusted for default risk

large sport events and unemployment the case of the 2006 soccer world cup in germany this study analyses on the basis of a multivariate analysis ex post the effects on the jobs market of a soccer world cup in this case the 2006 world cup held in germany in addition to three methods already used for other analyses in studies of sporting events an extended difference in difference estimate is used in order to compare the development of the numbers of unemployed in the 12 world cup venues with the development of the numbers of unemployed in 63 other german cities the results demonstrate that in none of the respective match venues did the effect of the sporting event on unemployment differ significantly from zero

a transaction data study of weekly and intradaily patterns in stock returns abstract weekly and intradaily patterns in common stock prices are examined using transaction data for large firms negative monday close to close returns accrue between the friday close and the monday open for smaller firms they accrue primarily during the monday trading day for all firms significant weekday differences in intraday returns accrue during the first 45 minutes after the market opens on monday mornings prices drop while on the other weekday mornings they rise otherwise the pattern of intraday returns is similar on all weekdays most notable is an increase in prices on the last trade of the day

effective duration of callable corporate bonds theory and evidence abstract this paper computes the effective duration of callable corporate bonds using a contingent claims model that incorporates both default risk and call risk the model generates empirical implications regarding the cross sectional variation and the firm specific determinants of duration and demonstrates that the effect of the call feature is to shorten duration except for low grade bonds the effective duration is also estimated empirically for a large sample of long term corporate bonds using monthly bond price and interest rate data cross sectional regression analysis is used to test the empirical implications of the model regarding the determinants of effective duration and the empirical results are quite supportive of the model s predictions

assessing the olympic games the economic impact and beyond this study reviews the literature on the evaluation of the olympic games within the broader framework of their significance as cultural assets and opportunities for endogenous growth and sustainable development of the host city the study reviews the main approaches to the economic assessment of the games from the point of view of the underlying economic concepts and methodologies as well as of the empirical results obtained it focuses on the effects that are measured and on those which even though important are generally neglected the methodologies utilized for the quantitative assessments of the games are reviewed with special emphasis on impact and cost benefit analysis both on ex ante and ex post basis the studies surveyed are analysed from the point of view of different sets of effects on the host city and for a limited number of cases on the host country while the major focus is on hosting the summer olympics some attention is also paid to the bidding cities the winter olympics and the paralympics the general findings appear to be controversial with some hints of positive overall effects but also with a well documented tendency to exaggerate the benefits and underestimate the costs of holding the games in the ex ante versus the ex post studies the survey finally suggests that ex post cross country econometric studies tend to catch sizable differential and persistent benefits ignored by individual studies especially on macroeconomic and trade variables

federal reserve s policy global equity markets and the local monetary policy stance this paper examines the extent to which local monetary policy stance determines the strength of us monetary policy international transmission to global equities using a sample of 35 countries we document that us monetary policy surprises exert significant inverse effects on global equity returns our results suggest that countries whose policy rates are brought into line with that of the us are less sensitive to us monetary policy shocks only when they have a high and intermediate level of cross border financial linkages and only when they have a low and intermediate level of exchange rate volatility