an econometric investigation of capital flight this paper seeks to give a comprehensive empirical survey of private capital flight from developing countries first three alternative calcualtions of net private capital outflows are presented for 22 developing countries during 1978 85 it turns out that several of these countries had experienced major capital flight second using an economtric model which combines time series and cross section data a portfolio model is estimated in order to find some of the reasons for capital flight third on quarterly time series capital flight from mexico is determined in a time jseries model this analysis gives further insight into the causes of capital flight the overall result from both studies is that changes in the expected relative rate of return on assets between the foreign and domestic market are a major cause of capital flight

privatisation around the world evidence from panel data this paper presents new evidence about privatisation processes and their determinants from a panel of 34 countries over the 1977 99 period the empirical analysis shows that privatisation takes place typically in wealthy and democratic countries endowed with deep and liquid stock markets and is affected by the governing political majority and public sector budget constraints but the extent of privatisation in terms of revenues and stakes sold appears more limited in civil law countries where shareholders are poorly protected banks powerful and capital markets less developed

estimating the economic impact of political party competition in the 1992 british election quences of government partisanship major problem facing researchers who study the consequences of government partisanship is that it is difficult to ascertain the potential economic impact of governments which because of election defeats never existed consider for instance a labour government in britain in 1992 a conservative government in 1997 or a dole administration in the united states none of these governments actually took office and for obvious reasons this impedes analysis of what effects they would have had on their respective national economies here i present a methodology designed to estimate the economic impact that an election losing party would have caused had it achieved office i focus in particular on the 1992 british polity and demonstrate that campaign period prices of london based publicly traded securities can be used to estimate what was expected to have happened in the british economy conditional on a 1992 labour victory the estimates show that a labour government in 1992 was expected by british investors to have ushered in significantly higher interest rates and depressed stock markets compared to those witnessed under the victorious conservative party these results imply that the labour conservative disparity in 1992 was substantial and that relative to the conservative party labour was truly left wing prices of market traded securities ostensibly nonpolitical variables can convey a great deal about political parties electoral competition and the consequences of government partisanship suppose for example that prices in london stock markets were unusually volatile during the 1992 british election campaign and that they jumped dramatically following polling day and the conservative victory according to the analytical ap

dynamic asset allocation with event risk major events often trigger abrupt changes in stock prices and volatility we study the implications of jumps in prices and volatility on investment strategies using the event risk framework of duffie pan and singleton 2000 we provide analytical solutions to the optimal portfolio problem event risk dramatically affects the optimal strategy an investor facing event risk is less willing to take leveraged or short positions the investor acts as if some portion of his wealth may become illiquid and the optimal strategy blends both dynamic and buy and hold strategies jumps in prices and volatility both have important effects

sensitivity analyses of anomalies in developed stock markets abstract the literature on anomalies in developed stock markets produces no consensus on specification this study uses extreme bound analysis eba to evaluate the robustness of 15 stock return anomalies given data covering 16 developed markets from may 1984 to march 1999 two factors are sturdy according to the extreme decision rule in the panel design d p and momentum under a less stringent eba criterion long run lagged returns country risk and the january effect are also robust time series eba for individual markets produces one robust result according to relaxed decision rules across a majority of cases long run government bond yields

jump risk of presidential election evidence from taiwan stock and foreign exchange markets this article employs jump diffusion models including the arji model and the garch jump model to examine jump intensity and volatility of taiwan stock and foreign exchange markets during a presidential election period the empirical results indicate that firstly the arji model fits data better than the garch jump model secondly the presidential election events enhance the jump intensity of both markets and the jump induced variance is higher than diffusion induced variance it reveals the importance of the discrete jump process during a presidential election period and might provide some implications for option pricing or hedging strategy due to the intervention of the central bank in the foreign exchange market during a presidential election period the results indicate that jump intensity and volatility of jump size are more moderate

why are developing countries privatization this article tests alternative hypotheses about why developing countries are pursuing privatization a policy that gained considerable popularity in the 1980s univariate and multivariate analysis indicate that privatization was more likely to be pursued by countries with high budget deficits high foreign debt and high dependence on international agencies like the world bank and the imf in regions such as latin america and asia the trend was also more likely in countries a that seemed to have overused state enterprises in the past and b those in which the private sector had grown faster than average and was thus more ready to assume tasks once assigned to state enterprises in africa however the policy may have been imposed by external agencies on countries that were not necessarily ripe for privatization for multinational firms the international opportunities created by privatization are likely to be greater in the 1990s than in the 1980s

privatization and globalization an empirical analysis abstract this paper examines the link between globalization measured by foreign direct investment fdi and foreign portfolio investment fpi and privatization of state owned enterprises in a multi country sample that focuses on developing countries we hypothesize that privatization has an effect on fdi fpi as the process of fostering private sector participation is often accompanied by liberalization reforms and by allocations of substantial shares of newly privatized firms to foreign investors similarly we expect fdi fpi to foster privatization efforts as new capital inflows technology and managerial skills that accompany fdi fpi make the environment more prone to competition providing governments with incentives to privatize inefficient firms that need to be turned around this relation is assessed in two ways first in a dynamic panel using a generalized method of moments approach and second through panel causality tests we find a bi directional positive relation between privatization proceeds and globalization particularly in the case of fdi

inferred and stated attribute non attendance in food choice experiments we review the current literature on attribute non attendance in stated choice and use data from beef and chicken choice experiments using both inference and the respondents own statements inference is based on panel data analysis by mixed logit models of choice with both discrete and continuous mixtures of coefficients and is conditional on the observed pattern of choice information from respondent statements on non attendance is directly embedded in the specification of the indirect utility function results show no clear winner between the inferential approaches but the inference based on constrained latent class panel models better matches the observed data

electoral information in developed stock market testing conditional heteroscedasticity in the market model this investigates the influence of major electoral information on abnormal returns around the announcement date in the developed stock market and examines whether these explanatory variables are associated with observed cumulative abnormal returns using a regression analysis the analytical results demonstrate that average abnormal returns are significantly negative before the date of the announcement of the results of a general election on days 6 and 3 and after that announcement date on days 4 6 and 10 this phenomenon can be attributed to hedging activity of the investors to reduce risk

measuring country event risk compensation on brics international portfolio management the brics nations brazil russia india and china have a strong relative economic growth pattern in the world among economic powers the allure of globalization has made the analysis and assessment of national critical component of international portfolio management in recent years we construct the model from comparing the relative sd of stock return whereby higher sds are generally associated with more risk this relative sd forms a principle component in the change of the weights on the international portfolio choice the result shows that event jump risk not only makes the investor s allocation more conservative overall but also it can be compensated on brics event risk

democracy political risks and stock market performance this study examines the impacts of democracy and political risk on stock market using annualized panel data for 49 emerging markets for 2000 2012 we find evidence that democracy and political risk do have impact on stock market returns and the relationship between democracy and political risk is parabolic i e there is a threshold level of democracy after which political risk begins to decline also our results suggest that decreases in political risk lead to higher returns

consequences of participant inattention with an application to carbon taxes for meat products despite widespread use in nonmarket valuation data quality remains an ongoing challenge for survey methods one key concern is whether participants attentively respond to survey questions or whether they exert less than full effort to determine the prevalence and consequences of inattention bias in surveys we estimate how meat demand varies across people who do and do not miss trap questions using a split sample design with discrete choice experiments for meat products we explore three different trap questions to determine how many potentially inattentive respondents are identified by each method we find that individuals who miss trap questions respond differently to the choice experiment than individuals who correctly answer the trap question inattention generates vastly different compensating variation estimates of a carbon tax ranging from 3 56 cents per meal choice for the least attentive to 6 13 cents per meal choice for the most attentive

incorporating discontinuous preferences into the analysis of discrete choice experiments data from a discrete choice experiment on improvements of rural landscape attributes are used to investigate the implications of discontinuous preferences on willingness to pay estimates using a multinomial error component logit model we explore differences in scale and unexplained variance between respondents with discontinuous and continuous preferences and condition taste intensities on whether or not each attribute was considered by the respondent during the evaluation of alternatives results suggest that significant improvements in model performance can be achieved when discontinuous preferences are accommodated in the econometric specification and that the magnitude and robustness of the willingness to pay estimates are sensitive to discontinuous preferences

human capital and fdi inflows to developing countries new empirical evidence abstract despite the dramatic increase in total foreign direct investment fdi flows to developing countries in the last few years the bulk of the inflows has been directed to only a limited number of countries it has been argued that developing countries might enhance their attractiveness as locations for fdi by pursuing policies that raise the level of local skills and build up human resource capabilities nevertheless the empirical evidence in the literature in support of this recommendation for a large sample of developing countries is scant this paper evaluates this argument in the light of the evolution in the structural characteristics of fdi and empirically tests the hypothesis that the level of human capital in host countries may affect the geographical distribution of fdi the empirical findings are a human capital is a statistically significant determinant of fdi inflows b human capital is one of the most important determinants and c its importance has become increasingly greater through time

resistance to reform status quo bias in the presence of individual specific uncertainty comment why do governments so often fail to adopt policies which economists consider to be efficiency enhancing our answer to this question relies on uncertainty regarding the distribution of gains and losses from reform we show that there is a bias towards the status quo and hence against efficiency enhancing reforms whenever some of the individual gainers and losers from reform cannot be identified beforehand there are reforms which once adopted will receive adequate political support but would have failed to carry the day ex ante the argument does not rely on risk aversion irrationality or hysteresis due to sunk costs jel d72 f13 why do governments so often fail to adopt policies that economists consider to be efficiency enhancing this is one of the fundamental questions of political economy the answer usually relies on what may be

capital flight from latin america abstract this paper focuses on capital flight from latin america during the 1970s and 1980s after estimating the extent of such flight i suggest that capital flight imposes growth costs erodes the tax base and worsens income distribution i then use regression analysis to investigate the causes of capital flight as well as the role of capital controls and imf programs in slowing flight i conclude by criticizing the current policy approach to the capital flight problem and suggesting some new directions

the impact of party alternative on the stock market the case of japan this paper tries to clarify whether change in political regime has an effect on the behaviour of the stock market in japan the empirical study finds that the transition of ruling party effect is not a crucial variable to the nikkei 225 the alienation felt by the japanese about the political environment resulting in a succession of prime ministers does not influence the nikkei 225 stock market behaviour therefore former prime ministers who have resigned have become scapegoats for the poor performance of financial and economic policies

the determinants of cross border equity flows abstract we explore a new panel data set on bilateral gross cross border equity flows between 14 countries 1989 1996 we show that a gravity model explains international transactions in financial assets at least as well as goods trade transactions gross transaction flows depend on market size in source and destination country as well as trading costs in which both information and the transaction technology play a role distance proxies some information costs and other variables explicitly represent information transmission an information asymmetry between domestic and foreign investors and the efficiency of transactions the geography of information is the main determinant of the pattern of international transactions while there is weak support in our data for the diversification motive once we control for the informational friction we broaden the scope of our results by presenting some evidence linking the results on equity transactions to equity holdings

political risk in emerging and developed markets using analyst estimates of political risk we show that political risk represents a more important determinant of stock returns in emerging than developed markets average returns in emerging markets experiencing decreased political risk exceed those of emerging markets experiencing increased political risk by approximately 11 per quarter in contrast the difference is only 2 5 per quarter for developed markets further the difference between the impact of political risk in emerging and developed markets is statistically significant we also document a global convergence in political risk over the last 10 years political risk has decreased in emerging markets and increased in developed markets if this trend continues the differential impact of political risk in emerging vs developed markets may narrow

wages and foreign ownership a comparative study of mexico venezuela and the united states abstract this paper explores the relationship between wages and foreign investment in mexico venezuela and the united states despite very different economic conditions and levels of development we find one fact that is robust across all three countries higher levels of foreign investment are associated with higher wages however in mexico and venezuela foreign investment is associated with higher wages only for foreign owned firms there is no evidence of wage spillovers leading to higher wages for domestic firms the lack of spillovers in mexico and venezuela is consistent with significant wage differentials between foreign and domestic enterprises in the united states where the evidence suggests some wage spillovers from foreign to domestic enterprises wage differentials are smaller

capital flight and political risk abstract this paper provides the first serious attempt to examine the relationship between political risk and capital flight for a large set of developing countries the outcomes of the analysis show that in most cases political risk variables do have a statistically robust relationship to capital flight once domestic and international macroeconomic circumstances are added at least when the robustness test as proposed by sala i martin is applied we conclude that on the basis of the analysis in this paper we have found support for the hypothesis that political risk leads to increased capital flight

inducing patterns of correlation and substitution in repeated logit models of recreation demand repeated logit models are among the most commonly applied methods for modeling seasonal recreation demand in this article we examine the capabilities of the repeated nested logit and repeated mixed logit models to capture patterns of error correlation and demand substitution particular attention is paid to the use of the mixed logit framework to generalize the strong assumptions on correlation patterns across sites and choice occasions imbedded in the nested logit model we examine the implications for the range of price elasticities allowed in both models based on the implied correlation structures copyright 2002 oxford university press

a discrete choice model with endogenous attribute attendance abstract this paper develops a discrete choice model in which the decision to consider an attribute in the choice process is modelled endogenously in an application to patients choice of general practitioner it is found that the proposed model outperforms the standard logit model in terms of goodness of fit and produces substantially different estimates of willingness to pay

world war ii events and the dow jones industrial index abstract this paper investigates which events of world war ii wwii the us investors at that time considered as turning points structural breaks of the war the empirical study employs daily dow jones industrial average stock index and volatility from january 1939 to december 1945 and applies structural shift oriented test to determine endogenously the structural breaks during the wwii period results show that the majority of the wartime events on and off the battlefield labelled important by historians did result in structural breaks in both price movement and stock returns volatility risk these results have major implications for investors of the present and future

the importance of regret minimization in the choice for renewable energy programmes evidence from a discrete choice experiment abstract this study provides a methodologically rigorous attempt to disentangle the impact of various factors unobserved heterogeneity information and environmental attitudes on the inclination of individuals to exhibit either a utility maximization or a regret minimization behaviour in a discrete choice experiment for renewable energy programmes described by four attributes greenhouse gas emissions power outages employment in the energy sector and electricity bill we explore the ability of different models multinomial logit random parameters logit and hybrid latent class and of different choice paradigms utility maximization and regret minimization in explaining people s choices for renewable energy programmes the pure random regret random parameters logit model explains the choices of our respondents better than other models indicating that regret is an important choice paradigm and that choices for renewable energy programmes are mostly driven by regret rather than by rejoice in particular we find that our respondents choices are driven more by changes in greenhouse gas emissions than by reductions in power outages finally we find that changing the level of information to one attribute has no effect on choices and that being a member of an environmental organization makes a respondent more likely to be associated with the utility maximization choice framework

privatization political risk and stock market development in emerging economies this paper investigates whether privatization in emerging economies has a significant indirect effect on local stock market development through the resolution of political risk we argue that a sustained privatization program represents a major political test that gradually resolves uncertainty over political commitment to a market oriented policy as well as to regulatory and private property rights we present evidence suggesting that progress in privatization is indeed correlated with improvements in perceived political risk our analysis further shows that changes in political risk in general tend to have a strong effect on local stock market development and excess returns in emerging economies we conclude that the resolution of political risk resulting from successful privatization has been an important source for the rapid growth of stock markets in emerging economies

jump dynamics with structural breaks for crude oil prices this study investigates the joint phenomena of permanent and transitory components in conditional variance and jump intensity along with verification of structural breaks for crude oil prices we adopt a component arji model with structural break analysis utilizing daily data on west texas intermediate crude oil spot and futures contracts the analytical results verify the existence of permanent and transitory components in conditional variance with the permanent component of conditional variance increasing with the occurrence of a sudden major event such as the iraqi invasion of kuwait operation desert storm and the war between the us and iraq and a relatively greater increase in the transitory component over the same period notably jump intensity fluctuates with an increase in the transitory component of conditional variance in response to abnormal events it is the transitory component which serves as the primary influential factor for jumps in returns therefore speculators are willing to take large risks particularly with respect to anticipating future price movements or gambling in the hopes of rapidly making substantial gains thus speculators prefer the temporary volatility component and engage in trade activities however investors prefer the permanent volatility component because they may well be better off relocating their assets into more stable portfolios to outperform the market portfolio over the long run

the impact of political risk on the volatility of stock returns the case of canada this paper examines the impact of political risk in canada on the volatility of stock returns our results suggest that political news associated with the possible separation of quebec from canada plays an important role in the volatility of stock returns however our evidence indicates that investors do not require a risk premium supporting the idea that political risk is diversifiable we also show that stock return volatility varies with the degree of a firm s exposure to political risk namely the structure of assets and the extent of foreign involvement which indicates that firms most exposed to political risk bear the burden of diversification

output stock volatility and political uncertainty in a natural experiment germany 1880 1940 why does stock volatility increase when output declines the theory of investment under uncertainty implies that political uncertainty may simultaneously increase volatility and reduce output though cause and effect are typically hard to separate the transition from imperial to weimar germany offers a natural experiment because major political events left clear traces on stock prices current and past increases in volatility are associated with output declines consistent with u s experience however political events are more clearly the source of volatility and the results support the view that the relationship between volatility and output ref lects the joint effects of political factors why does stock volatility change over time and why is it higher in recessions though the basic facts are well established huang and kracaw 1984 schwert 1989a romer 1990 pindyck 1991a the causal link between volatility and business slumps is unclear slumps may cause volatility volatility may cause slumps or both may be the consequence of some other more clearly exogenous factor political uncertainty may represent such an exogenous factor consider the great depression in the united states major changes in economic policy occurred in the 1930s and even larger changes were a possibility the highly volatile stock market of the 1930s may very well have ref lected a nonnegligible f luctuating probability that the united states would go socialist the same uncertainty about economic policy may also have caused a slump in business investment and reduced consumer spending though the explanation has appeal political uncertainty was not clearly exogenous a critic could say that higher volatility and the radical nature of policy debate were consequences of the decline in output and the depression itself had other causes as schwert 1989b points out in a more general context we can easily construct links between volatility and the business cycle but causation is hard to pin down this paper looks at stock volatility and output in a case marked by a clear exogenous political shock until the start of world war i in 1914 imperial germany had a stable limited government weimar germany after the war

valuing indigenous cattle breeds in kenya an empirical comparison of stated and revealed preference value estimates abstract in this study we compare revealed and stated preference approaches to value traits of cattle in kenya the premise is that much can be learnt about non market values of indigenous animal genetic resources angr from the use of multi attribute stated preference methods if these compare well with revealed preference results the objective is to investigate the performance of choice experiments ces in maasai cattle trading by conducting an external test of preference consistency we compare value estimates for cattle attributes from ces data with those from hedonic analysis of actual transactions by the same population of traders in the same markets and over the same period if ces perform well they can be used to investigate values of those genetically determined livestock traits currently not prominent in pastoralists populations but desirable candidates for breeding or conservation programmes e g disease resistance the results indicate that ce estimates pass the external test and appear to be adequately precise in estimating values for cattle traits that are relevant in market transactions for maasai traders accounting for taste and variance heterogeneity does not change this conclusion ces may therefore be a promising tool for valuing phenotypic traits expressed by indigenous angr

reversal of fortunes democratic institutions and foreign direct investment inflows to developing countries does increased democracy promote or jeopardize foreign direct investment fdi inflows to less developed countries we argue that democratic institutions have conflicting effects on fdi inflows on the one hand democratic institutions hinder fdi inflows by limiting the oligopolistic or monopolistic behaviors of multinational enterprises facilitating indigenous businesses pursuit of protection from foreign capital and constraining host governments ability to offer generous financial and fiscal incentives to foreign investors on the other hand democratic institutions promote fdi inflows because they tend to ensure more credible property rights protection reducing risks and transaction costs for foreign investors hence the net effect of democracy on fdi inflows is contingent on the relative strength of these two competing forces our argument reconciles conflicting theoretical expectations in the existing literature empirical analyses of fifty three developing countries from 1982 to 1995 substantiate our claims we find that both property rights protection and democracy related property rights protection encourage fdi inflows after controlling for their positive effect through property rights protection democratic institutions reduce fdi inflows these results are robust against alternative model specifications statistical estimators and variable measurements

political uncertainty and asset valuation evidence from business relocations in canada abstract quebec s drive for sovereignty from canada has been the source of political uncertainty for decades in canada this paper studies empirically stock market s reaction to the announcements of business relocations from the province of quebec to other provinces within canada similar announcements about toronto are used for control empirical results show that the market s reaction to the announcements of business relocations a from quebec is positive b from toronto is negative and c to toronto is positive the difference in abnormal returns between the quebec and toronto samples is positive and significant

investor protection and corporate governance recent research has documented large differences among countries in ownership concentration in publicly traded firms in the breadth and depth of capital markets in dividend policies and in the access of firms to external finance a common element to the explanations of these differences is how well investors both shareholders and creditors are protected by law from expropriation by the managers and controlling shareholders of firms we describe the differences in laws and the effectiveness of their enforcement across countries discuss the possible origins of these differences summarize their consequences and assess potential strategies of corporate governance reform we argue that the legal approach is a more fruitful way to understand corporate governance and its reform than the conventional distinction between bank centered and market centered financial systems

how do respondents process stated choice experiments attribute consideration under varying information load the popularity of stated choice sc experiments has produced many design strategies in which researchers use increasingly more complex choice settings to study choice behaviour when the amount of information to assess increases we wonder how an individual handles such information in making a choice defining the amount of information as the number of attributes associated with each choice set we investigate how this information is processed as we vary its complexity four ordered heterogeneous logit models are developed each for an sc design based on a fixed number of attributes in which the dependent variable defines the number of attributes that are ignored we find that the degree to which individuals ignore attributes is influenced by the dimensionality of the sc experiment the deviation of attribute levels from an experienced reference alternative the use of adding up attributes where feasible the number of choice sets evaluated and the personal income of the respondent the empirical evidence supports the view that individuals appear to adopt a range of coping strategies that are consistent with how they process information in real markets and that aligning choice complexity with the amount of information to process is potentially misleading relevancy is what matters copyright 2006 john wiley sons ltd

statistical properties of country risk ratings under oil price volatility evidence from selected oil exporting countries abstract this paper focuses on the application of panel models for identification and analysis of influence of oil price volatility on statistical properties of country risk ratings which stem from uncertainty of macroeconomic fluctuations firstly two statistical properties of country risk ratings volatility clustering and asymmetrical revision were identified in a theoretical framework based on cruces 2006 secondly considering the oil price volatility numerical experiments were conducted based on extended models to test and verify specific properties of country risk ratings in selected oil exporting countries empirical results suggest that properties of country risk remain comparatively steady despite oil price volatility it is also found that the oil price volatility can obviously exaggerate the country risk volatility as it happened during 2007 2009 country clustering based on the properties of country risk ratings shows that the selected countries maintain a significant clustering tendency these features are of great importance for estimating risk exposure of international trade and investments in oil export during extreme situations

on jump processes in the foreign exchange and stock markets exchange rates exhibit systematic discontinuities even after allowingfor conditional heteroskedasticity in the diffusion process the results are much more significant in theforeign exchange market than in the stock market which suggests differences in the structure of these markets finally this jump component is shown to explain some of the empirically observed mispricings in the currency options market the objective of this article is to analyze and compare the empirical distribution of returns in the stock market and in the foreign exchange market there are a number of reasons why a better understanding of the stochastic processes driving prices in these markets would be useful many financial models rely heavily on the assumption of a particular stochastic process while relatively little attention is paid to the empirical fit of the postulated distribution as a result models like option pricing models are applied indiscriminately to various markets such as the stock market and the foreign exchange market when the underlying processes may be fundamentally different the foreign exchange market for instance is characterized by active exchange rate man

the pecking order of cross border investment abstract is there a pecking order of cross border investment in that countries become financially integrated through some types of investment rather than others using a novel database of bilateral capital stocks for all types of investment fdi portfolio equity securities debt securities as well as loans for a broad set of 77 countries we show that such a pecking order indeed exists the paper focuses on two key determinants of this pecking order information frictions and the quality of host country institutions overall we find that in particular fdi and to some extent also loans are substantially more sensitive to information frictions than investment in portfolio equity and debt securities we also show that the share as well as the size of fdi that a country receive are largely insensitive to institutional factors in host countries while portfolio investment is by far the most sensitive to the quality of institutions this provides new evidence in favor of some hypotheses but contradicts others put forward in the literature on trade in financial assets

the financial and operating performance of privatized firms during the 1990s this study compares the pre and postprivatization financial and operating performance of 85 companies from 28 industrialized countries that were privatized through public share offerings for the period from 1990 through 1996 we document significant increases in profitability output operating efficiency and dividend payments and significant decreases in leverage ratios for our full sample of firms after privatization and for most subsamples examined capital expenditures increase significantly in absolute terms but not relative to sales employment declines but insignificantly combined with results from two previous directly comparable studies these findings strongly suggest that privatization yields significant performance improvements during the past two decades the privatization of state owned enterprises has moved from being a radical almost desperate policy initiative of the thatcher government in britain to being an accepted economic policy for governments of all ideological stripes according to gibbon 1998 860 billion has been raised by governments worldwide through privatizations with the bulk of this total coming since 1987 and at least one commentator roche 1996 predicts that no less than 6 trillion will be raised through privatizations over the next two decades in 1997 alone sales of public enterprises totaled a record 161 billion worldwide with more than 110 billion of the total coming during the second half of the year and 1998 s total of almost 140 billion indicates that the pace shows no sign of slackening as we approach a new millennium

attending to the reasons for attribute non attendance in choice experiments this paper focuses on behavioural reasons underlying stated attribute non attendance in choice experiments in order to identify and incorporate procedures for dealing with heterogeneous attribute processing strategies we ask respondents follow up questions regarding their reasons for ignoring attributes based on these statements we conclude that the standard way of assigning a zero impact of ignored attributes on the likelihood is inappropriate we find that some respondents act in accordance with the passive bounded rationality assumption since they ignore an attribute simply because it does not affect their utility excluding these genuine zero preferences as the standard approach essentially does might bias results other respondents claim to have ignored attributes to simplify choices however we find that these respondents have actually not completely ignored attributes we argue along the rationally adaptive behavioural model that valid preference information may indeed be elicited in these cases and we illustrate how recoding of non attendance statements conditional on stated reasons may be a more appropriate solution than the current standard way of taking stated non attendance into account

the performance of privatized firms in the czech republic abstract with the growing importance of privatizations as a part of government policy most empirical studies of these privatizations conclude that firm performance immediately improves following privatization privatization has been the most important part of the transition from the centrally planned economies of central and eastern europe and has a larger impact on those economies than privatizations in other countries however few studies have looked at the performance of firms following mass privatization this study uses 453 separate firms 101 firms privatized in both waves for a total of 554 observations in the first and second waves of czech voucher privatization using methodology from previous studies we find that while the overall effects from privatization are positive the effects vary by privatization wave size and industry firms privatized in the first wave performed worse decline in performance following privatization than firms privatized in the second wave we also fail to find ownership concentration or debt as an important factor in restructuring the firm i believe that the results are consistent with two hypotheses first economic and political structure surrounding the privatization waves plays an important part in the success of privatization stable environments both political and economic help privatized firms restructure and improve operating performance as well as attract foreign investors and capital even in less developed countries but in transitional economies undergoing mass privatization in rapidly changing and developing economic and political environments hinder firms from restructuring and improving performance following privatization results are also consistent with the hypothesis that firms with a longer preparation period prior to privatization an implicit seasoning improve performance following privatization

protest beliefs in contingent valuation explaining their motivation abstract the definition and treatment of protest responses in contingent valuation cv can have a significant influence on the estimated values of the good in question if these responses are censored in order to understand how protest responses are motivated in a cv about forest biodiversity in germany we used an item battery to identify respondents protest beliefs the items were measured for all respondents irrespective of their willingness to pay wtp in principle then a scale based on these beliefs is taken as a dependent variable of regression analyses in addition to environmental concern we used norms the warm glow of giving and dilemma concern as further explanatory variables the latter focuses on cooperation problems in protecting the environment our results show that protest beliefs are significantly influenced by the explanatory factors furthermore the protest beliefs themselves have a significant effect on the decision to be wtp as well as on the amount of money stated by those who are wtp the censoring of protest responses may therefore be indefensible

analyzing the impacts of foreign exchange and oil price on biofuel commodity futures abstract this paper employs an arji trend model that combines the autoregressive jump intensity arji and component models to analyze the effects of the u s dollar index and oil prices on the dynamic properties of biofuel related commodity futures the results show that the arji trend model not only provides a better fit for the data on the volatility dynamics of corn soybean and wheat futures but also performs better in terms of out of sample forecasting the u s dollar index and oil prices both generate significant impacts on the returns of the futures since the coexistence of permanent component transitory component and time varying jumps are observed in those futures the arji trend model is beneficial for acquiring a better understanding of the differential attributes among corn soybean and wheat futures

what makes the stock market jump an analysis of political risk on hong kong stock returns abstract this paper employs a components jump volatility filter to investigate the possible market impact of political risk the filter operates by identifying jump return dates which are then associated with political events allowing us to measure the market return and volatility effects of political announcements our empirical results show that political developments in hong kong have a significant impact on its market volatility and return the results have some interesting implications for option pricing and political risk management

what causes the failure of inflation stabilization plans abstract the paper discusses the causes of failure of inflation stabilization plans following a description of stylized facts of inflation stabilization a model of balance of payments crises is presented highlighting some of the main factors leading to the collapse of stabilizations empirical results obtained when estimating a binary probit model over a panel of 34 stabilizations identify real exchange rate appreciation lack of foreign reserves and government budget deficits as the main causes of failure of inflation stabilization plans this is consistent with the model presented in this paper with the stylized facts of stabilizations and with some of the models found in the literature

a theory of privatisation public enterprises around the world have proved to be highly inefficient primarily because they pursue strategies such as excess employment that satisfy the political objectives of politicians who control them privatization of public enterprises can raise the cost to politicians of influencing them since subsidies to private firms necessary to force them to remain inefficient are politically harder to sustain than wasted profits of the state firms in this way privatization leads to efficient restructuring of firms moreover privatization is more effective when combined with a tight monetary policy and when the new owners of firms are profit maximizing investors rather than their employees or even managers copyright 1996 by royal economic society

monetary policy and country risk this article develops an econometric model in order to study country risk behaviour for six emerging economies argentina mexico russia thailand korea and indonesia by expanding the country beta risk model of harvey and zhou 1993 erb et al 1996a b and gangemi et al 2000 towards this end we have analysed the impact of macroeconomic variables especially monetary policy upon country risk by way of a time varying parameter approach the results indicate an unstable effect of monetary policy upon country risk in periods of crisis however this effect is stable in other periods and the favero giavazzi effect is not verified for all economies with an opposite effect being observed in many cases

reformulating the foundations of consumer choice theory and environmental valuation abstract the burgeoning field of environmental valuation has raised serious doubts about the fundamental axioms of consumer choice theory the general validity of the walrasian system and methodological individualism this paper examines these aspects of consumer choice theory paying particular attention to the pioneering contributions of georgescu roegen we argue that evidence from psychology game theory anthropology and contingent valuation surveys reveals a more complex pattern of decision making than that described by neoclassical utility theory we discuss the notions of the invariance of preferences non satiation the principle of complementarity lexicographic preferences and the hierarchy of wants with reference to environmental valuation we also discuss the notion of marginal utility of money the validity of the walrasian system and methodological individualism using scaling concept in hierarchy theory we then address the conflict between theory and reality by introducing a probabilistic binary choice scheme under uncertainty about environmental attributes we argue that these extensions are necessary to account for consumer choices revealed in environmental valuation surveys we conclude with the hope that a reformulation of consumer choice theory based on realistic models of human behavior can be the basis for a viable alternative to neoclassical welfare economics

dealing with ignored attributes in choice experiments on valuation of sweden s environmental quality objectives using a choice experiment this paper investigates how swedish citizens value three environmental quality objectives in addition a follow up question is used to investigate whether respondents ignored any attributes when responding the resulting information is used in model estimation by restricting the individual parameters for the ignored attributes to zero when taking the shares of respondents who took both the environmental and the cost attributes 52 69 of the respondents into account then the wtp for each attribute changes if the respondents who ignored the attributes have a zero wtp at the same time we find evidence that not all respondents who claimed to have ignored an attribute really did however the most commonly ignored non monetary attributes always have the lowest rankings in terms of wtp across all three environmental objectives thus our results show that instead of ignoring attributes completely respondents seem to put less weight on the attributes they claimed to have ignored

learning design contingent valuation ldcv noaa guidelines preference learning and coherent arbitrariness we extend the contingent valuation cv method to test three differing conceptions of individuals preferences as either i a priori well formed or readily divined and revealed through a single dichotomous choice question as per the noaa cv guidelines k arrow r solow p r portney e e leamer r radner h schuman report of the noaa panel on contingent valuation fed reg 58 1993 4601 4614 ii learned or discovered through a process of repetition and experience j a list does market experience eliminate market anomalies q j econ 2003 41 72 c r plott rational individual behaviour in markets and social choice processes the discovered preference hypothesis in k arrow e colombatto m perleman c schmidt eds rational foundations of economic behaviour macmillan london st martin s new york 1996 pp 225 250 iii internally coherent but strongly influenced by some initial arbitrary anchor d ariely g loewenstein d prelec coherent arbitrariness stable demand curves without stable preferences q j econ 118 1 2003 73 105 findings reject both the first and last of these conceptions in favour of a model in which preferences converge towards standard expectations through a process of repetition and learning in doing so we show that such a learning design cv method overturns the stylised facts of bias and anchoring within the double bound dichotomous choice elicitation format

skew and attribute non attendance within the bayesian mixed logit model abstract we investigate non attendance to choice set attributes and the accommodation of preference heterogeneity within the mixed logit model we propose a generalisation of the mixed logit enabling the degree of skew of marginal utility distributions to be estimated the implementation is bayesian with the marginal likelihood used as an arbiter of model performance we find strong evidence of skew in the distributions of marginal utilities for most attributes models incorporating skew are preferred in all cases the irrelevance of an attribute to significant numbers of respondents is a possible cause of such skew we test alternative empirical accommodations of self reported attribute non attendance ana and continue to find strong evidence of skew in the distributions of marginal utilities even having accounted for ana we find that contrary to some recent findings respondents who report having ignored an attribute typically do indeed have a zero marginal utility for that attribute

effects of us interest rates and news on the daily interest rates of a highly indebted emerging economy evidence from turkey it has been widely demonstrated that asset prices react sensitively to macroeconomic news releases both in the industrialized countries and emerging markets however there are contradicting results on the effects of changes in interest rates of industrialized countries on asset prices of emerging markets in heavily indebted economies in addition to these factors political news and announcements from international institutions that may increase or decrease concerns about debt sustainability can affect asset prices as well this potential notwithstanding there has been relatively limited empirical work on the effects of such variables the objective of this study is to quantify the impact of all of these factors on interest rates of a highly indebted emerging economy using daily post crisis data of the turkish economy we show that both good and bad political news international monetary fund announcements and european union related news significantly affected secondary market government securities yi

designing choice sets for stated preference methods the effects of complexity on choice consistency abstract we vary the complexity of choice sets used in stated preference methods to evaluate the impact on choice consistency we define five measures of complexity that capture either the amount of information or the correlational structure of information in a choice set using these measures as randomly assigned treatments in a large experiment we analyze the consistency of respondents choices using a heteroskedastic multinomial logit model we find that i all of our measures of choice set complexity affect choice consistency ii changes in the correlational structure of information have the largest impact on choice consistency and iii choice complexity significantly distorts welfare estimates our results confirm economists initial worry that moving from contingent valuation to conjoint methods will increase complexity induced choice inconsistency however our analysis also shows that these negative impacts may be mitigated if precautions are taken at the design and estimation stages of stated preference methods

resource nationalism meets the market political risk and the value of petroleum reserves this paper investigates the effect of resource nationalism on the value of petroleum crude oil and natural gas reserves we develop a framework for treating resource nationalism as political risk and utilize data on reserve transactions from john s herold and political risk ratings from international country risk guide and institutional investor for the period 2000 2006 controlling for other factors that affect reserve value we demonstrate the value destruction of political risk and estimate the political risk discount for 37 countries the paper contributes to both the international business literature and practitioner approaches to political risk analysis in demonstrating use of publicly available market data from real asset transactions to measure the cost of political risk we also show that the discount depends on market conditions the higher expected future petroleum prices are the larger is the discount at any level of political risk this insight adds a new dimension to analysis of political risk which is typically measured and examined without regard to market conditions

protest responses in contingent valuation a significant number of respondents to contingent valuation surveys tend to either state a zero bid or refuse to state a bid at all for reasons associated with the process of valuation these protest responses are routinely removed from contingent valuation samples because it is assumed that they are not indicative of respondents true values the censoring of protest responses has led to the emergence of a definitional controversy one view is that the definition of protest responses and the rules for censoring them are dependent on whether the practitioner conceives of the contingent valuation survey as a market or as a referendum however what is not acknowledged is the possibility that protest responses and their meaning may vary according to the type of good being valued the elicitation format and the interaction between these elements and external factors this potential renders the development of unambiguous rules for censoring protest responses difficult moreover when willingness to pay is viewed as a behavioural intention it becomes important to determine what the responses actually mean this approach does not assume an interpretative position a priori against which the responses should be judged but seeks to inform an existing understanding which is inadequate

turning points in the civil war views from the greenback market in early 1862 the united states government began issuing greenbacks a legal tender currency that was not convertible into gold the government promised to redeem the greenbacks in gold eventually but speculators understood that the probability of redemption depended on union army military fortunes and political developments that affected the total cost of the war to serve the speculative interest in gold a market emerged for the purpose of trading greenbacks for gold dollars because the market price of a greenback reflected the public s perceptions of future war costs the movement of these prices provides unique insights into how people at the time perceived various events we use daily quotations of the gold price of greenbacks to identify a set of dates during the civil war that market participants regarded as turning points in some cases these dates coincide with events familiar from conventional historical accounts of the war in other instances however market participants reacted strongly to events that historians have not viewed as very significant this abstract was borrowed from another version of this item

governance infrastructure and us foreign direct investment this paper examines the statistical importance of governance infrastructure as a determinant of us foreign direct investment fdi in broad terms governance infrastructure represents attributes of legislation regulation and legal systems that condition freedom of transacting security of property rights and transparency of government and legal processes our econometric analysis uses a two stage estimation procedure in the first stage the probability that a country is an fdi recipient is estimated the results indicate that countries that fail to achieve a minimum threshold of effective governance are unlikely to receive any us fdi countries that receive no us fdi are typically countries that do not promote free and transparent markets that have ineffective governments and that often have legal systems that are not rooted in english common law in the second stage the analysis is restricted to those countries that did receive fdi flows the estimated equations focus on the determinants of the amount of fdi received given that a country is a recipient of us fdi governance infrastructure including the nature of the legal system is an important determinant of the amount received

an empirical model of the brazilian country risk an extension of the beta country risk model this paper develops a statistical model to study the brazilian country risk using a country beta model in the spirit of harvey and zhou 1993 erb et al 1996a b and gangemi et al 2000 specifically the impact of macroeconomic variables is analysed using a time varying parameter approach an extension of the original model is applied in order to verify the parameters stability over time it is found that monetary policy had a significant and stable impact on brazil s country risk and international reserves presented a significant impact only during the fixed exchange rate period

inequality and institutions abstract this paper presents theory and evidence on the relationship between inequality and institutional quality we exhibit a model in which the two may dynamically reinforce each other and set to test this relationship with a broad array of institutional measures the double causality between institutional strength and a more equal distribution of income is empirically established using dynamic panel and linear feedback analysis

monitoring choice task attribute attendance in nonmarket valuation of multiple park management services does it matter land management in alpine parks provides multifunctional services to separate groups of users choice experiments can be used to derive estimates of value for different management attri butes however little research has been conducted on how frequently respondents ignore attributes used to describe policy management scenarios we fill this gap using an approach that identifies and compares both serial and choice task attribute nonattendance addressing five different visitor types our results indicate that accounting for choice task nonatten dance significantly improves model fit and yield estimates of marginal willingness to pay with a more plausible pattern of signs and greater efficiency jel q24 q51 i introduction the effects of park management policies on outdoor recreation are increasingly coming under public scrutiny alpine park land is among the most valuable land in terms of outdoor recreation park manage ment decisions are often controversial be cause of differences between objectives pursued by conservationists and the tourist industry parkland management agencies find it increasingly difficult to fund all the services needed to facilitate the ever broad ening variety of outdoor recreation activi ties this is further exacerbated by the increasing expectations for high quality recreational experiences by a population of recreationists with a heightened sensitivity to environmental and conservation issues such a situation widens the scope for multiattribute nonmarket valuation meth ods especially for those methods capable of capturing and modeling the preferences of heterogeneous visitors who seek to pursue a variety of activities in the land under study our research reports the results of a study designed to address attribute nonattendance henceforth abbreviated as an a which despite being quite a common decision heuristic has only recently begun to be explored by analysts with this decision heuristic respondents ignore some of the described attributes in their evaluation of alternatives within a given choice task they hence act as if a zero weight were assigned to the ignored attributes in the utility of the respective alternatives we study this issue by using a well known statistical model of discrete choice the multinomial logit mnl model this random utility model is often used for the purpose of multi attribute nonmarket valuation but the effects of accounting for an a are still rela tively unexplored information on an a is commonly collected by questioning each respondent at the end of the sequence of choice tasks respondents are asked to list those attributes that they feel they have

are fast responses more random testing the effect of response time on scale in an online choice experiment scepticism over stated preference surveys conducted online revolves around the concerns over professional respondents who might rush through the questionnaire without sufficiently considering the information provided to gain insight on the validity of this phenomenon and test the effect of response time on choice randomness this study makes use of a recently conducted choice experiment survey on ecological and amenity effects of an offshore windfarm in the uk the positive relationship between self rated and inferred attribute attendance and response time is taken as evidence for a link between response time and cognitive effort subsequently the generalised multinomial logit model is employed to test the effect of response time on scale which indicates the weight of the deterministic relative to the error component in the random utility model results show that longer response time increases scale i e decreases choice randomness this positive scale effect of response time is further found to be non linear and wear off at some point beyond which extreme response time decreases scale while response time does not systematically affect welfare estimates higher response time increases the precision of such estimates these effects persist when self reported choice certainty is controlled for implications of the results for online stated preference surveys and further research are discussed

privatization financial development property rights and growth abstract this study analyzes how prevailing institutional arrangements i e property rights contracting rights political institutions and corporate governance practices affect privatized firms performance capital markets development and economic growth most of the studies surveyed show that privatization enhances privatized firms performance efficiency and profitability which percolates to economic growth privatized firms performed better in countries with better regulatory and legal frameworks partial privatization may be beneficial in countries with weak institutions namely the french civil law countries the stronger the economic and the governing institutions the easier it is for privatized firms to thrive and contribute to economic growth overall privatization allows firms to achieve improved efficiency while driving the development of the financial sector

inferring attribute non attendance from discrete choice experiments implications for benefit transfer typical convergent validity tests of benefit transfer based on stated preference data assume that willingness to pay wtp estimates have been accurately measured and that differences in wtp arise from differences in observable and unobservable characteristics between the study and the policy sites in this paper we conduct a convergent validity test assuming equality of underlying preferences but allow for the possibility that transfer errors arise from differences in the way that respondents process information in the preference elicitation tasks using data from an identical survey instrument applied to the population of two river basins in spain we obtain marginal and total wtp estimates for ecological improvements of water bodies and the corresponding transfer errors across sites results of equality constrained latent class eclc models that infer attribute non attendance an a are compared to results from mixed logit mxl models in wtp space we find large absolute and relative differences in marginal and total wtp between sites for the mxl models and significantly reduced transfer errors for the eclc models this paper therefore provides further evidence that an a can significantly affect environmental values derived from attribute based stated preference methods and is the first to investigate the implications for benefit transfer

financial and political risks in us direct foreign investment this paper examines the risk of us direct foreign investments over the period 1982 98 in 59 host countries the first part of the analysis builds an empirical model to explain the time series and cross country patterns of return on capital the estimation then uses the return on assets roa as a measure of the return on capital and investigates its determinants there are four main findings first the roa in a majority of countries does not simply track the worldwide roa second some cross country differences are explained by financial risks third unexplained country risk is qualitatively and quantitatively related to unobserved political risk fourth unexplained country risk is also compensated with a higher roa enhancing its credibility as a measure of political risk the unexplained country risk is thus used to calculate a new index of political risk ratings for 56 host countries that may be useful to managers investors policymakers and academics