the efficiency of electric power pools evidence from firing unit data 1986 the efficiency of electric power pools evidence from firing unit data applied economics vol 18 no 12 pp 1323 1334

foreign aid tariffs and nontraded private or public goods abstract the possibility of transfer paradoxes or immiserizing growth in tariff ridden small open developing countries with a nontraded goods sector is analysed in four models a short run sector specific factor model a dual economy model capital is mobile between some but not all sectors a long run model factors are mobile between all sectors and a model with public goods several results of the received literature on transfer paradoxes and or immiserizing growth in distorted small open economies are generalized to nontraded private and public goods allowing for intersectoral factor mobility or immobility

regime switches in exchange rate volatility and uncovered interest parity abstract we use a regime switching model to examine how exchange rate volatility is related to the failure of uncovered interest parity main findings are as follows first exchange rate returns are strongly influenced by regime switches in the relationship between the returns and interest rate differentials second low yielding currencies appreciate less frequently but once it occurs their movements are faster than when they depreciate third depreciation of low yielding currencies and low volatility are mutually dependent on each other finally these three findings are more evident for shorter horizons the second and third results are consistent with a market participants view short term carry trades in a low volatility environment and their rapid unwinding substantially influence exchange rates we consider the effects of funding liquidity to explain these results

perishable inventory theory a review this paper reviews the relevant literature on the problem of determining suitable ordering policies for both fixed life perishable inventory and inventory subject to continuous exponential decay we consider both deterministic and stochastic demand for single and multiple products both optimal and sub optimal order policies are discussed in addition a brief review of the application of these models to blood bank management is included the review concludes with a discussion of some of the interesting open research questions in the area

credit spreads an empirical analysis on the informational content of stocks bonds and cds this paper explores the dynamic relationship between stock market implied credit spreads cds spreads and bond spreads a general vecm representation is proposed for changes in the three credit spread measures which accounts for zero one or two independent cointegration equations depending on the evidence provided by any particular company empirical analysis on price discovery based on a proprietary sample of north american and european firms and tailored to the specific vecm at hand indicates that stocks lead cds and bonds more frequently than the other way round it likewise confirms the leading role of cds with respect to bonds

foreign exchange market intervention and expectations the yen dollar exchange rate abstract using press reports and official statistics on central bank intervention in conjunction with options market data we find that central bank intervention had no statistically significant systematic impact on the mean or higher moments of the exchange rate during 1993 2000 we also find that japanese authorities appeared to intervene mainly in response to deviations of the exchange rate from some implicit target levels and to a rise in market uncertainty u s monetary authorities intervened only in cooperation with the japanese authorities

jumps cojumps and macro announcements we use recently proposed tests to extract jumps and cojumps from three types of assets stock index futures bond futures and exchange rates we then characterize the dynamics of these discontinuities and informally relate them to us macroeconomic releases before using limited dependent variable models to formally model how news surprises explain co jumps nonfarm payroll and federal funds target announcements are the most important news across asset classes trade balance shocks are important for foreign exchange jumps we relate the size frequency and timing of jumps across asset classes to the likely sources of shocks and the relation of asset prices to fundamentals in the respective classes

a stochastic production function for machine repair although work by levhari and sheshinski 1970 and syrquin 1972 suggests that general functional forms such as the cobb douglas and ces accurately approximate a machine repair stochastic production process this paper shows that these authors have not adequately captured the stochastic nature of the production process more importantly while general forms are convenient and widely employed this paper argues that there is a more direct method for determining the properties of the production process

the short and long run effects of tied foreign aid on pollution abatement pollution and employment a pilot model abstract there exists in the literature a presumption that tied foreign aid can be used effectively to reduce cross border pollution focusing in contrast to the received literature on the interaction between the public and private provisions of pollution abatement in the recipient country we question the effectiveness of tied foreign aid in reducing pollution in this context we obtain many novel and policy relevant insights allowing for changes in labour employment and distinguishing between short and long run effects tied foreign aid is shown to crowd out the private provision for pollution abatement in the short run in the long run tied foreign aid raises employment and therefore may be desirable for the recipient but undesirable for the donor country because it also raises pollution the results change drastically if only the government provides pollution abatement

optimal control of a dual service rate m m 1 production inventory model we analyse a dual source production inventory model in which the processing times at a primary manufacturing resource and a second contingent resource are exponentially distributed we interpret the contingent source to be a subcontractor although it could also be overtime production we treat the inventory and contingent sourcing policies as decision variables in an analytical study and additionally allow the primary manufacturing capacity to be a decision variable in a subsequent numerical study our goal is to gain insight into the use of subcontracting as a contingent source of goods and whether it can fulfill real world managers expectations for improved performance we prove that a stationary non randomised inventory and subcontracting policy is optimal for our m m 1 dual source model and moreover that a dual base stock policy is optimal we then derive an exact closed form expression for one of the optimal base stocks which to our knowledge is the first closed form solution for a dual source model we use that closed form result to advantage in a numerical study from which we gain insight into how optimal capacity subcontracting and inventory policies are set and how effectively a contingent source can reduce total cost capacity cost and inventory cost we find that i the contingent source can reduce total cost effectively even when contingent sourcing is expensive and ii contingent sourcing reduces capacity cost more effectively than it does inventory cost

one security many markets determining the contributions to price discovery when homogeneous or closely linked securities trade in multiple markets it is often of interest to determine where price discovery the incorporation of new information occurs this article suggests an econometric approach based on an implicit unobservable efficient price common to all markets the information share associated with a particular market is defined as the proportional contribution of that market s innovations to the innovation in the common efficient price applied to quotes for the thirty dow stocks the technique suggests that the preponderance of the price discovery takes place at the new york stock exchange nyse a median 92 7 percent information share although most of the classic paradigms in market microstructure concern a security that trades in a single centralized market such situations are becoming increasingly rare in practice fragmentation the dispersal of trading in a security to multiple sites has emerged as a dominant institutional trend this process is of concern to financial economists and regulators because price information and price discovery the impounding of new information into the security price arguably the most important products of a security market have many attributes of public goods as the process of fragmentation accelerates it may be important to determine where the price information and price discovery are being produced 1 this paper suggests a practical econometric approach to this problem the technique is illustrated with an application to u s equity markets many stocks listed on the new york stock exchange nyse trade concurrently on the regional exchanges and the national association of securities dealers national market system nasd nms since a share of ibm stock is the same security whether purchased on the midwest or pacific exchange this is a particularly clear instance of multiple markets nevertheless the expres

does the bund dominate price discovery in euro bond futures examining information shares abstract this paper examines the relative information shares of the bund i e the 10 year euro bond future contract on german sovereign debt versus two futures with shorter maturity we find that the bund is most important but does not dominate price discovery the other contracts also have relevant and at many days even higher information shares in examining determinants of information shares we add order flow measures to market state variables and macroeconomic news more order flow in a contract consistently increases this contract s information share

the impact of the u s employment report on exchange rates abstract the impact of the u s employment report and analyst forecasts of that report s major statistics on pound dollar yen dollar and euro dollar exchange rates are explored while the nonfarm payroll employment figure has the greatest impact we find that the exchange rates also react to the announced revision to last month s payroll figure and to the unemployment rate in all three markets the exchange rate response to the payroll employment figure is strongly conditioned on pre release analyst uncertainty the median analyst forecast from bloomberg anticipates over 80 of the monthly variation in the payroll figure and is basically unbiased the markets appear to respond to these analyst forecasts prior to the government release analyst forecast dispersion tends to increase following large forecast errors indicating that when the announced figure is far from what analysts expected they tend to disagree on the implications for future payroll levels

impact of the financial crisis on indian commodity markets structural breaks and volatility dynamics the shocks transmitted across the financial markets during the financial crisis resulted in structural changes in commodity volatility hence understanding volatility dynamics in changing scenario is vital for derivative pricing risk management and monetary policy stabilization this paper studies the impact of the financial crisis by analyzing the following aspects 1 presence of structural break regime shift in volatility by deploying markov and wavelet model during financial crisis and 2 crisis impact on volatility dynamic behavior such as persistence leverage and long memory by deploying hybrid wavelet egarch and fractional integration spot prices of 18 commodities were examined including all sub sectors of energy metals and agriculture indian commodity indices sub indices global benchmark indices and also stock indices such as sp agricultural commodities showed faster convergence to long run equilibrium while metal and energy experienced higher persistence and attracted more financial speculation the impact of the crisis on agricultural commodities was limited to internationally traded commodities such as sugar and rubber the common breaks and different volatility dynamics have been attributed to systematic risk and to idiosyncratic components respectively it was also found that during and after the crisis more than idiosyncratic risk it was systematic risk that contributed significantly to the volatility patterns of indian commodity markets

how smooth is price discovery evidence from cross listed stock trading abstract the adjustment to parity can be nonlinear for a cross listed pair convergence may be quicker when the price deviation is sufficiently profitable we propose a threshold error correction model ecm to gauge the market respective information shares of canadian listings traded on the toronto stock exchange tsx and the new york stock exchange nyse since dynamics may alternatively be gradual we further generalize the threshold framework to a smooth transition ecm the empirical implications are as follows first the tsx and the nyse appear to have integrated over time second parity convergence accelerates upon discounts on the cross listings on the nyse third we find a larger feedback from the nyse if the price gap exceeds the threshold required arbitrage return fourth informed traders tend to cluster on the nyse upon discounts on the cross listings fifth information share and threshold are affected by the relative degree of private information market friction and liquidity measures firm level characteristics and aggregate risks

the inefficiency of reuters foreign exchange quotes abstract reuters foreign exchange fxfx page is the world wide predominant information source to foreign exchange traders in this study we compare the indicative spot exchange rate quotes from reuters with their matching futures exchange rates from the chicago mercantile exchange we find that the indicative quotes on reuters fxfx page are inefficient and could be improved by incorporating information from the futures market this casts doubt on the way banks determine these quotes as well as on the informational content of these quotes as an indicator of the current exchange rate

news announcements and price discovery in foreign exchange spot and futures markets abstract this paper studies competition in price discovery between spot and futures rates for the eur usd and jpy usd markets around scheduled macroeconomic announcements using both the information shares approach and the common factor component weight approach for futures prices from the chicago mercantile exchange cme as well as deal prices from spot trading on the electronic broking services ebs we gauge how foreign exchange spot and futures markets respond to news surprises the results show that the spot rates provide more price discovery than do the cme futures rates overall however the contribution of the futures rates to price discovery increases in the time surrounding macroeconomic announcement releases

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

congestion pricing and capacity of large hub airports a bottleneck model with stochastic queues this paper models and estimates congestion prices and capacity for large hub airports the model includes stochastic queues time varying traffic rates and endogenous intertemporal adjustment of traffic in response to queuing delay and fees relative costs of queuing and schedule delays are estimated using data from minneapolis st paul simulations calculate equilibrium traffic patterns queuing delays schedule delays congestion fees airport revenues airport capacity and efficiency gains the paper also investigates whether a dominant airline internalizes delays its aircraft impose it tests game theoretic specifications with atomistic nash dominant stackelberg dominant and collusive airline traffic

time varying volatility spillover between chinese fuel oil and stock index futures markets based on a dcc garch model with a semi nonparametric approach abstract this paper reveals some new evidence on the volatility spillover between fuel oil and stock index futures markets in china by considering its time variant feature time varying effect is specified by the legendre polynomials in a dcc garch model moreover the semi nonparametric snp approach accounting for marginal excess kurtosis and asymmetry is applied we find different time evolving patterns of volatility spillover across multiple periods due to the structural breaks the direction of mean volatility spillover is found to be bilateral moreover the strength of mean volatility spillover shows that the effect from stock index to fuel oil futures is much stronger than the other way around this implies that the stock index futures market plays a leading role in information processing these findings have important implications for the fuel oil stakeholders as well as risk management

can implied volatility predict returns on the currency carry trade abstract currency carry strategies have long positions in currencies with a high interest rate and short positions in currencies with a low interest rate currency carry strategies have generated about 5 4 return per annum sharpe ratio 0 57 over the period december 1996 to may 2014 however during the recent financial crisis the carry strategy suffered losses of up to 20 on invested capital we investigate whether investors could have used the implied option volatility index on the us equity market the vix or the option implied volatility index from g7 currencies the vxy to time the currency carry trade we examine a large set of timing strategies and find that for some specific settings excess returns can be as large as 2 5 per annum however when we take into account that we investigated many trading strategies these excess returns turn out not to be statistically significant hence our findings cast doubt on implied volatility as a stand alone timing indicator for currency carry trading in real life portfolio decisions

how markets process information news releases and volatility we examine the impact of scheduled macroeconomic news announcements on interest rate and foreign exchange futures markets we find these announcements are responsible for most of the observed time of day and day of the week volatility patterns in these markets while the bulk of the price adjustment to a major announcement occurs within the first minute volatility remains substantially higher than normal for roughly fifteen minutes and slightly elevated for several hours nonetheless these subsequent price adjustments are basically independent of the first minute s return we identify those announcements with the greatest impact on these markets we examine the impact on interest rate and foreign exchange markets of scheduled macroeconomic news releases such as the employment report the consumer price index cpi and the producer price index ppi many market participants believe that such announcements have a major impact on financial markets indeed a small industry devoted to predicting the figures to be released in upcoming releases has evolved in recent years with the exception of the weekly money supply figures however the impact of such announcements on financial markets has received scant attention 1 this is doubly surprising given the considerable research interest in market volatility since these news releases are a potential source of much of this volatility consider for instance figure 1 as shown there prices in interest rate and foreign exchange futures markets are much more volatile between 8 30 and 8 35 a m eastern time et than during any other five minute trading period including

optimal foreign aid and tariffs this paper investigates the optimal choice of foreign aid when trade policies are decided in a non cooperative fashion three alternative scenarios depending on the timing of the actions and on whether aid is tied are analyzed it is shown that in the case where aid is decided before tariffs untied aid can lead to the reduction of the recipient s optimal trade tax when the donor can tie the aid to a reduction in the recipient s tariff the optimal aid level is always positive and the world can always achieve a pareto efficient equilibrium

spillovers between energy and fx markets the importance of asymmetry uncertainty and business cycle abstract this study constructs a theoretical volatility transmission model for petroleum and fx markets taking into account major stylized facts and uncertainty measures and the interactions between them under stages of the business cycle it examines the impacts of those different specifications and economic factors on the spillovers between those considered markets the results show that the impacts of the own shocks petroleum on petroleum and currency on currency are statistically significant and positive in almost all cases as expected for the models of natural gas and wti oil irrespectively of the currency considered the asymmetry effect is stronger in the oil than in the natural gas markets there is stronger and significant evidence that uncertainty affects volatility much more the mean for the wti oil almost all policy and other uncertainty measures lead to an increase in the conditional variance for currencies coefficients are commonly significant independent of the presence of petroleum commodities in the bivariate model the striking result for natural gas is the limited statistical relevance of the economic policy and other uncertainty measures due to the long contracts that characterize this market finally common macroeconomic forces associated with the business cycle can drive these petroleum and currency markets and may cause jumps and co jumps in the volatility of these markets the conclusion provides policy implications of the paper s results

the stochastic determinants of hospital bed supply this paper uses a general queuing theoretic model to derive more appropriate measures of hospital quality such as turn away probabilities and patient s expected waiting time than have been used in recent empirical work e g joskow 1980

on the tying of aid to tariff reform this paper considers the welfare effects of foreign aid that is tied to changes in the recipient s tariff by constructing a three country model with tariffs and by allowing for changes both in the amount of aid and in the tariff rates we are able to consider the welfare implications of two different rules of aid conditionality i a rule which leaves the donor s welfare unchanged and ii a rule which leaves the recipient government s total revenue unchanged it is shown that the tying of aid to a tariff reform can inter alia be used to ensure pareto improvement

impact of macro economic surprises on carry trade activity abstract can official news and policy announcements affect foreign exchange speculation a widespread speculative strategy in foreign exchange markets is carry trade this paper explores the links between macro economic news and foreign exchange options to identify macro economic fundamentals most relevant to the pricing of downside risk measured by risk reversals options contracts to carry trade activity focusing primarily on the japanese yen carry trade we identify a significant impact of macro economic surprises on dollar yen risk reversals the effect is sizeable with news related to bilateral trade balance of particular concern moreover there is a close link between risk reversals and speculative futures positions in japanese yen this allows us to quantify a substantial effect of macro economic news on carry trade activity with the cost of hedging as the transmission mechanism

hospital scale economies due to stochastic demand and service abstract this paper uses queuing theory to approximate empirically the potential for hospital scale economies due to the stochastic nature of hospital demand and service these results suggest that scale economies due to stochastic demand and service are likely to be important only for the consolidation of small specialized hospital units

tied aid and the paradoxes of donor enrichment and recipient impoverishment it is part of received doctrine that in a two country world without hindrance of commodity taxes or other distortions and with market stability assured international transfers necessarily harm the donor and benefit the recipient 2 however in the case of most non private international aid those conditions fail donors often require that aid be spent in a manner not closely related to private preferences in the recipient countries indeed not closely related to any well behaved preferences and they normally finance the aid by means of distorting taxation hence one cannot rule out by appeal to standard theorems the possibility that aid perversely leaves the donor better off and or the recipient worse off let us say that aid is tied in the recipient if it is spent inefficiently in terms of individual preferences and that aid is tied in the donor if it is financed inefficiently thus whether aid is tied is a question of how it is spent or financed it is not a question of the numeraire in terms of which aid is accounted nor of the form in which it is offered 3 evidently the definition of tying is uncommonly broad for example aid may be tied in the recipient not because the donor attaches strings but because the government of the recipient is incompetent or unrepresentative moreover the definition is relevant however the aid is applied whether to private or public goods whether to consumption or investment goods we follow the literature on the transfer problem in assuming that aid is spent on private consumption goods like hospital services and powdered milk this is a matter of convenience and continuity only 4 in the present note we seek to rework the economics of foreign aid under novel assumptions in particular allowance will be made for the possibility that aid is tied in whole or in part in the donor or in the recipient it will be verified that the donor may benefit and the recipient suffer and that these outcomes are com

aid and trade this paper surveys the recent theoretical and empirical literature that explores the relations between aid and trade and asks about the complementarity or substitution effects at work we distinguish between the effects of aid on trade flows and on trade policies of the donor as well as the recipient countries special focus is given on trade facilitation or aid for trade

market segmentation and the diffusion of quality enhancing innovations the case of downhill skiing we report econometric results concerning the diffusion of detachable chairlifts in the united states that provide the first empirical evidence that the adoption of a technological innovation by a firm decreases the likelihood that a local competitor will also adopt it we model the effect that an innovation in service speed has on a f s incentive to differentiate the quality of its service from that of its competitors in our model the incentive to adopt is negatively related to the number of competitors who have already adopted our empirical results support this hypothesis

the effect of macroeconomic news on beliefs and preferences evidence from the options market we examine the effect of regularly scheduled macroeconomic announcements on the beliefs and preferences of participants in the u s treasury market by comparing the option implied state price densities spds of bond prices shortly before and after the announcements we find that the announcements reduce the uncertainty implicit in the second moment of the spd regardless of the content of the news the changes in the higher order moments in contrast depend on whether the news is good or bad for economic prospects we explore three alternative explanations for our empirical findings relative mispricing changes in beliefs and changes in preferences we find that our results are consistent with time varying risk aversion

trading the forward bias are there limits to speculation abstract in this paper we investigate whether trading the forward bias allows for economically significant excess returns we find that bias trading strategies can be viewed as attractive investment opportunities per se useful diversification devices and promising portfolio extensions for active fund managers trying to beat their benchmarks the empirical results which also mirror the problems arising in attempts to explain the puzzle by risk premia are consistent with market evidence that the bias is traded in practice overall our findings suggest that limits to speculation are unlikely to provide a stand alone explanation for the persistence of the forward bias

foreign aid and public goods abstract most less developed countries ldcs use foreign economic aid to finance public consumption goods or public intermediate inputs this paper constructs a two country general equilibrium trade model where an income transfer that takes place between the two countries is used by the recipient to finance a public consumption good within this framework the paper identifies the conditions under which the income transfer improves or deteriorates the donor country s terms of trade and shows that the transfer can be welfare enriching for the donor and welfare immiserizing for the recipient country the paper also demonstrates that the transfer can raise reduce world welfare in which case a welfare increase decrease in both the donor and the recipient country is possible

welfare effects of aid under quantitative trade restrictions the paper examines the effects of tied aid on the welfare of both the donor and the recipient countries we depart from the previous literature by assuming preexistence of quantitative trade distortions to mitigate these distortions the donor country provides aid that is tied to the rationed good conditions for the presence of the transfer paradox and of the enrichment of both countries are derived and interpreted under the stability of the system furthermore we show that whereas untied aid cannot increase global welfare tied aid unambiguously does so

transfers returns to scale tied aid and monopolistic competition we examine transfers and tied aid in a model with increasing returns to scale and monopolistic competition transfers give rise to an additional love of variety welfare effect and affect the utility possibility locus generic tied aid may exacerbate or reverse these results the popularity of aid tied to specific manufactured goods can be explained through rent seeking behavior since such aid gives rise to profits in the donor country these profits in turn largely repatriate the transfer such that donors can appear to be more generous than they really are

operations research in inventory management a review and critique the objectives of inventory management including the relevant related costs are examined in this paper a brief review of standard problems that have been effectively solved is presented however we point out that a serious gap exists between theory and practice in many organizations suggestions are made for bridging this gap finally a list is provided of a number of research problems whose implementable solution would have a major beneficial impact on the practice of inventory management

macroeconomic announcements and price discovery in the foreign exchange market this study shows that the dominance of the overlapping trading hours of london and new york in the price discovery of the eur usd and usd jpy markets only applies on days with u s announcements different from cai et al 2008 and wang and yang 2011 we highlight the informational advantage of local traders at the arrival of macroeconomic announcements in the local market and find that macroeconomic announcements affect the pattern of price discovery across different markets consistent with chen and gau 2010 and jiang et al 2012 we also examine changes in information shares before and after the announcement a significant increase in price discovery before the announcement suggests the possibility of information leakage while enhanced price discovery efficacy after the announcement suggests that prices gradually adjust to new information not just immediately respond to the arrival of announcements

the economies of massed reserves the economy of massed reserves first mentioned by e a g robinson 1958 pp 26 27 is now firmly established in the industrial organization literature as an example of a potential plant level scale economy the massing of reserves results in a savings in the proportion of required reserves to expected output as the scale of a facility increases examples of such reserves are bank tellers specialized tools and equipment repairmen inventories spare parts and checkout lines the potential economies from massing reserves are dependent on the underlying stochastic processes governing the supply and or demand of the service provided theoretical justification for the economies of massed reserves has usually been based on an appeal to the law of large numbers for example donald hay and derek morris wrote the law of large numbers makes the number of breakdowns more predictable in a plant using a large number of machines so that the number of stand by maintenance staff need not be increased in proportion to size 1979 p 44 this paper demonstrates that the law of large numbers does not provide a theoretical explanation of massed reserves scale economies instead it is shown that the expected economies of massed reserves can be calculated from the steady state properties of well known queuing models queuing models apply to any case where a servicing input is held in reserve to cope with the stochastic nature of the market or production process in addition a method for quantifying the expected economies of queuing processes is developed the magnitude of these expected economies is shown to be significant and calculable for example the expected economies inherent in a widely applied queuing model are shown to exceed 23 percent in some cases section i establishes the irrelevance of the law of large numbers as a theory of scale economies section ii provides a formal method for determining the scale economies inherent in the most often mentioned massed reserves example machine repair section iii shows that the same method can be used to calculate scale economies for the remaining massed reserves examples specialized repair tools and equipment checkout counter clerks bank tellers and other service personnel capacity and inventories and spare parts in addition it is demonstrated that the same method can be used to calculate scale economies for some multiproduct operations

volatility spillovers and macroeconomic announcements evidence from crude oil markets the paper applies an event study methodologyaims to investigate the macroeconomic announcements effects on standard poor s500 and oil prices our results provide evidence for a significant impact of the us macroeconomic news on oil prices this impact is split into two components namely the direct effect common response and indirect effect volatility transmission altogether our results show that the volatility transmission is bidirectional not only a significant volatility transmission from the oil market to the us stock market is revealed but also a high volatility transmission is recorded from the oil market to the stock market especially after the release of consumption indicators

technical change and scale economies given stochastic demand and production abstract this paper provides a formal attempt to separate the effects of changes in scale and technology for a relatively general class of queuing models the paper makes a distinction between the output rate and capacity while changes in technology affect the output rate and lead to larger indivisible production units this change in the output rate has often been confused in the literature as a change in scale as a result the importance of scale economies claimed has often been due more to the potential for technological change not the potential for scale economies inherent to these queuing processes

on the provision of official and private foreign aid abstract the provision of official relative to private foreign aid varies considerably between donor countries we explain the variations in terms of country size household composition income distribution and the government s ability to commit to aid and derive inter alia the results 1 official aid crowds out private aid 2 total aid and official aid collected from each household are lower in more populous countries 3 total aid is lower if i the distribution of income favors the more altruistic households and ii the government can credibly commit to a certain level of aid evidences suggest that the theoretical results can explain stylized facts

the dynamics of price discovery for cross listed shares evidence from australia and new zealand abstract this paper studies the dynamics of price discovery for markets with bilateral cross listings using a sample of four australian stocks cross listed in new zealand and five new zealand stocks cross listed in australia for the period january 2002 to december 2007 we assess hasbrouck 1995 information shares and grammig et al 2005 conditional information shares over time we observe that in both cases the home market is dominant in terms of price discovery however when studying price discovery over time we find that the importance of the australian market the larger of the two markets is increasing for both australian and new zealand domiciled firms finally using panel regression analysis we find that the growth in the importance of the australian market is positively related to the growth in the size of the firm and negatively related to the size of the percentage spread in the australian market implying that as firms grow larger and their cost of trading in australia declines the australian market becomes more informative

green technology transfers and border tax adjustments we develop a two country general equilibrium model of foreign technology transfers tied to environmental clean up and border tax adjustments in the presence of transboundary pollution pollution is generated in the aid recipient as a by product in the production of a dirty good which it consumes as well as exports to the donor country in contrast to the literature which typically treats aid as a monetary transfer we assume that foreign aid consists of a transfer of environmental technology that lowers the cost of public clean up we also consider a border tax adjustment bta as a secondary policy instrument used in order to internalize the residual transboundary externality we study the environmental and welfare outcomes of the technology transfer and the bta as well as the interaction between the two policy instruments we derive conditions under which the additional presence of a bta may lead to a lower transfer and less public pollution abatement in the recipient with counter productive consequences for both the environment and welfare contrary to intuition we find that the green technology transfer and the border tax adjustment are not always complements

information shares in the us treasury market abstract this paper highlights the previously neglected role of the futures markets in us treasury price discovery the estimates of 5 and 10 year govpx spot market information shares typically fail to reach 50 from 1999 on the govpx information shares for the 2 year contract are higher than those of the 5 and 10 year maturities but also decline after 1998 relative bid ask spreads number of trades and realized volatility are statistically significant and explain up to 21 of daily information shares in roughly 1 4 of cases when public information is released the futures market gains information share but macroeconomic announcements rarely explain information shares independently of liquidity

trading activity dealer concentration and foreign exchange market quality abstract we study the relation between foreign exchange market quality and both trading activity and dealer concentration by considering two currency pairs with significant differences along both dimensions the euro us dollar and canadian dollar us dollar a variance ratio test reveals over reaction in currency prices but that this is smallest when trading activity is high and dealer concentration at its peak a garch model shows that over reaction declines as trading activity and dealer concentration increase with the results being stronger for the euro our results confirm that trading activity is an important determinant of market quality but also point to a significant role for dealer concentration

the returns to currency speculation in emerging markets the carry trade strategy involves selling forward currencies that are at a forward premium and buying forward currencies that are at a forward discount we compare the payoffs to the carry trade applied to two different portfolios the first portfolio consists exclusively of developed country currencies the second portfolio includes the currencies of both developed countries and emerging markets our main empirical findings are as follows first including emerging market currencies in our portfolio substantially increases the sharpe ratio associated with the carry trade second bid ask spreads are two to four times larger in emerging markets than in developed countries third and most dramatically the payoffs to the carry trade for both portfolios are uncorrelated with returns to the u s stock market this abstract was borrowed from another version of this item

the high frequency response of exchange rates to monetary policy actions and statements abstract this paper investigates the impact of us monetary policy on the level and volatility of exchange rates using an event study with intraday data for five currencies the us dollar exchange rate versus the euro the canadian dollar the british pound the swiss franc and the japanese yen i construct two indicators of news about monetary policy stemming separately from policy decisions and from balance of risk statements estimation results show that both policy decisions and communication have economically large and highly significant effects on the exchange rates with the surprise component of statements accounting for most of the explainable variation in exchange rate returns in response to monetary policy this paper also shows that exchange rates tend to absorb fomc monetary surprises within 30 40 min from the announcement release