are policy incentives for solar power effective evidence from residential installations in the northeast abstract state incentives for solar power have grown significantly in the past several years this paper examines the effectiveness of policy incentives to increase residential solar photovoltaic pv capacity we use county level panel data and control for demographic characteristics solar resources and pro environmental preferences results show that among financial incentives rebates have the most impact with an additional 1 per watt rebate increasing annual pv capacity additions by close to 50 factors that affect financial returns to solar pv such as electricity price and solar insolation are also found to be significant results also point to a significant positive relationship between hybrid vehicle sales and residential pv capacity growth indicating the importance of pro environmental preferences as a predictor of solar pv demand back of the envelope calculations suggest that the cost of carbon mitigation through rebates is around 184 per ton of co2

central bank intervention and risk in the forward market abstract a two country inter temporal asset pricing model is developed which implies that central bank foreign exchange intervention affects the forward exchange risk premium the model is estimated from daily foreign exchange intervention data for the us german and japanese central banks considerable empirical support is found for the theoretical model with intervention influencing the risk premium in the forward market purchases of dollars by the federal reserve bank are found to be associated with excess denominated returns there is evidence that intervention has increased rather than reduced exchange rate volatility

short run exchange rate uncertainty in latin america this paper to obtain an ex ante measure of exchange rate uncertainty in 11 latin american countries as a preliminary issue the purchasing power parity ppp condition is tested using engle and granger two step procedure and johansen method the argument is that exchange rate uncertainty could be lower if ppp holds in the long run the expected exchange rate uncertainty is estimated according to an extended version of the autoregressive conditionally heteroscedastic arch model the results show that the arch adjusment produces more efficient estimates in seven countries and that the acceptance of ppp has little effect on exchange rate uncertainty

women directors on corporate boards from tokenism to critical mass academic debate on the strategic importance of women corporate directors is widely recognized and still open however most corporate boards have only one woman director or a small minority of women directors therefore they can still be considered as tokens this article addresses the following question does an increased number of women corporate boards result in a build up of critical mass that substantially contributes to firm innovation the aim is to test if at least three women could constitute the desired critical mass by identifying different minorities of women directors one woman two women and at least three women tests are conducted on a sample of 317 norwegian firms the results suggest that attaining critical mass going from one or two women a few tokens to at least three women consistent minority makes it possible to enhance the level of firm innovation moreover the results show that the relationship between the critical mass of women directors and the level of firm innovation is mediated by board strategic tasks implications for both theory and practice and future research directions are discussed

the experience curve option value and the energy paradox abstract this paper develops a model to explain the energy paradox the inclination of households and firms to require very high internal rates of return in order to make energy saving investments the model abstracts from many features of such investments to focus on their irreversibility the uncertainty of their future payoff streams and the investor s anticipation of future technological advance in this setting the decision to invest in energy saving technology can be delayed providing option value in addition delay allows the potential investor to cash in on future experience curve effects with the passage of time firms gain practical knowledge in producing and installing the energy saving technology enabling them to reduce the technology s up front cost per unit of energy saved we incorporate these fundamentals into a stochastic model where the investment s discounted benefits follow geometric brownian motion to demonstrate the model s capabilities we generate simulation results for photovoltaic systems that highlight the experience curve effect as a fundamental reason why households and firms delay making energy saving investments until internal rates of return exceed values of 50 and higher consistent with observations in the economics literature we also explore altruistic motivations for energy conservation and the model s implications for both additionality and the design of energy conservation policy

noisy signals in target zone regimes theory and monte carlo experiments abstract previous empirical evidence indicates that uncovered interest parity uip does not hold for target zone exchange rates like those in the european monetary system and in the nordic countries we explore a target zone model where the market infers the probability of a realignment of the band on the basis of a noisy signal we show theoretically and through monte carlo simulations that if the market overrates the information content in the signal then this may explain the empirical results obtained from testing uip for target zone exchange rates

when do households invest in solar photovoltaics an application of prospect theory abstract while investments in renewable energy sources res are incentivized around the world the policy tools that do so are still poorly understood leading to costly misadjustments in many cases as a case study the deployment dynamics of residential solar photovoltaics pv invoked by the german feed in tariff legislation are investigated here we report a model showing that the question of when people invest in residential pv systems is found to be not only determined by profitability but also by profitability s change compared to the status quo this finding is interpreted in the light of loss aversion a concept developed in kahneman and tversky s prospect theory the model is able to reproduce most of the dynamics of the uptake with only a few financial and behavioral assumptions

peer effects in the diffusion of solar photovoltaic panels social interaction peer effects are recognized as a potentially important factor in the diffusion of new products in the case of environmentally friendly goods or technologies both marketers and policy makers are interested in the presence of causal peer effects as social spillovers can be used to expedite adoption we provide a methodology for the simple straightforward identification of peer effects with sufficiently rich data avoiding the biases that occur with traditional fixed effects estimation when using the past installed base of consumers in the reference group we study the diffusion of solar photovoltaic panels in california and find that at the average number of owner occupied homes in a zip code an additional installation increases the probability of an adoption in the zip code by 0 78 percentage points our results provide valuable guidance to marketers designing strategies to increase referrals and reduce customer acquisition costs they also provide insights into the diffusion process of environmentally friendly technologies

the distribution of foreign exchange price changes trading day effects and risk measurement a comment in their 1982 study mcfarland pettit and sung 16 mps found that consecutive daily foreign exchange rates conform to neither a normal nor a nonnormal stable process and that day of the week data could be adequately described by a series of different stable distributions the authors have also documented a weekday effect in the foreign exchange market mondays and wednesdays offered higher average price changes than did thursdays and fridays in a more recent study jaffe and westerfield 9 documented negative monday returns for the currencies of the u k canada and australia in estimating the parameters of the distribution mps have utilized the fama and roll 5 6 method which assumes a symmetric distribution jaffe and westerfield 9 report only estimates of the sample moments the sample moments reported in mps s table ii part of which is reproduced in table i here reveal that most currencies especially the minor currencies the australian dollar the spanish peseta and the swedish krona have significant skewness the results indicate that the asymmetric stable paretian distribution may be more appropriate for the overall daily returns this hypothesis is consistent with

normal mixture diffusion with uncertain volatility modelling short and long term smile effects this paper introduces a parameterization of the normal mixture diffusion nmd local volatility model that captures only a short term smile effect and then extends the model so that it also captures a long term smile effect we focus on the binomial nmd parameterization so called because it is based on simple and intuitive assumptions that imply the mixing law for the normal mixture log price density is binomial with more than two possible states for volatility the general parameterization is related to the multinomial mixing law in this parsimonious class of complete market models option pricing and hedging is straightforward since model prices and deltas are simple weighted averages of black scholes prices and deltas but they only capture a short term smile effect where leptokurtosis in the log price density decreases with term in accordance with the stylised facts of econometric analysis on ex post returns of different frequencies and the central limit theorem however the last part of the paper shows that longer term smile effects that arise from uncertainty in the local volatility surface can be modeled by a natural extension of the binomial nmd parameterization results are illustrated by calibrating the model to several euro us dollar currency option smile surfaces

the misuse of net present value in energy efficiency standards abstract consumers are often blamed for not making necessary investments in energy efficient durables despite that these investments have positive net present value npv several papers have argued that when investments have option like characteristics e g irreversibility uncertainty flexible timing and lumpiness the aphorism invest if the net present value of investing exceeds zero isn t the best advice yet curiously the department of energy doe in the united states proposes new regulations mandating higher energy efficiency standards for consumer durables on the basis of non negative npv over an investment s lifetime in this paper we provide a step by step deconstruction of doe s npv methodology and show that doe s method purges volatility volatility persistence and nonstationarity that are otherwise present in energy prices as a result doe s projections of future energy prices are artificially smooth and statistically biased casting serious doubt on the reliability of the magnitude of energy savings from energy efficient durables

solar feed in tariffs examining fair and reasonable retail rates using cost avoidance estimates abstract growing solar photovoltaic pv electricity systems in geographically diverse regions presents a complex policy problem for governments during 2013 16 the queensland government in australia examined establishing a fair and reasonable retail feed in tariff fit policy noting it regulates state retail electricity consumption prices a combined cost avoidance and stakeholder analysis was applied to show that determination of a fair and reasonable fit for all stakeholders while aspirational is difficult to achieve typically agreement on a fair tariff rate will depend on stakeholders relative position in energy supply chains service providers retailers suppliers customers advocates and interpretations of fairness that can be shaped by competition in the supply area also increases in financial benefits to pv customers might be considered unreasonable by non pv customers and retailers that experience increases in electricity prices and operating costs importantly the application of a retail fit in regional and isolated areas requires careful energy policy design taking account of network losses remote and isolated customer metering cost effective network control technologies and diesel generator operating limits the study also observed that shifting funding of fit schemes from electricity distributors to competitive retailers will likely have negative consequences for retail fit offerings and pv customer servicing

the distribution of foreign exchange price changes trading day effects and risk measurement this study investigates the nature of price changes in a variety of major and minor foreign exchange markets the results suggest that the log of price changes over one trading day intervals seems to follow a non normal stable distribution function different measures of location and to lesser extent scale are present for different days of the week dollar denominated price changes are high on mondays and wednesdays and low on thursdays and fridays for all currencies the wednesday thursday result is consistent with the settlement procedures used in foreign exchange transactions in the dollar the friday monday result is consistent with an increase in demand for the dollar prior to the weekend this study offers some previously unavailable results on the nature of price changes in a certain set of speculative markets in particular this is a study of the distributional characteristics of daily and weekly price changes for a number of major and minor foreign exchange markets the results document the existence of non normal stable distributions for price changes in foreign exchange markets these price change distributions differ by day of the week in ways that are only partly attributable to the institutional structure of the market the results of the study are interpreted within the context of understanding how foreign exchange markets operate and within the context of prior studies of stock market data concerned with summarizing the probability distribution of price changes for different intervals including days of the week since bachelier s 1 original treatise that contained the proposition that speculative market prices follow a process that could be described by a normal distribution there have been numerous alternative attempts to describe the stochastic processes which characterize speculative market prices these studies have not resulted in any generalized description of the probability distribution of price changes in such markets indeed the evidence suggests substantial differences in the process among various types of financial instruments the failure to achieve consensus can be traced to the lack of robustness in the statistical procedures employed to estimate processes and to differences in the underlying institutional or economic arrangements which are unique to that market the possibility of differences in the information set used to assess value or differences in technology for transmitting information makes it important to secure additional

energy conservation investment do consumers discount the future correctly we argue that the apparently high discount rates attributed to investors making energy conservation investments are not irrational or the result of some market failure rather they may result from an investor recognizing that many conservation investments entail substantial sunk costs in the presence of these costs and uncertainty over future conservation savings consumers should use a higher hurdle rate for investment than if there were no uncertainty simulations suggest that the hurdle rate should be about four times greater than the standard rate an implication of our model is that tax subsidies for the purchase of conservation capital are likely to be ineffective we discuss alternative policy approaches which are more likely to increase energy efficient investment namely mandatory efficiency standards and energy taxes

central bank interventions and exchange rate band regimes abstract this paper presents an endogenous switching regression model for the exchange rate process where the switch is defined by the central bank criteria functions for intervening we study the signal effect of interventions on the exchange rate using norwegian daily data on official interventions we first find that interventions seemed to have been more effective in moving the exchange rate in the expected desired direction in the regime when the exchange rate was kept away from the edges of the band this type of intervention regime also reduces significantly the conditional volatility of the exchange rate thus when the exchange rate was near the weakest edge of the currency band its conditional variance was significantly larger than when it was moving around its central parity finally we show that in order to obtain consistent estimates intervention variables cannot enter as exogenous variables in the conditional mean or conditional variance of the exchange rate

on jumps in common stock prices and their impact on call option pricing the black scholes call option pricing model exhibits systematic empirical biases the merton call option pricing model which explicitly admits jumps in the underlying security return process may potentially eliminate these biases we provide statistical evidence consistent with the existence of lognormally distributed jumps in a majority of the daily returns of a sample of nyse listed common stocks however we find no operationally significant differences between the black scholes and merton model prices of the call options written on the sampled common stocks

bear squeezes volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange abstract this paper examines some of the characteristics of the foreign exchange market in the 1920s floating period nominal returns appear to exhibit properties consistent with asset prices on modern more well organized financial markets i e they appear to be well described by martingales and possess persistent time dependent heteroscedasticity in order to deal with the extreme kurtosis in the exchange rate series we use robust inferential methods to test for volatility spillovers and shocks that might effect subsequent mean returns apart from some particularly abnormal bear squeeze episodes the markets appear remarkably efficient

skewness in financial returns abstract in this paper the symmetry of daily returns is addressed in eight international stock markets and three spot exchange rates tests of symmetry with the sample skewness seem of little value due to the non normality of the returns under alternative non normal distributions the symmetry of the returns cannot be rejected for most markets distribution free procedures do not detect strong asymmetries in most of the series either however some differences between returns below the mean and returns over the mean are observed in several markets

gender diversity in the boardroom and firm performance what exactly constitutes a critical mass the under representation of women on boards is a heavily discussed topic not only in germany based on critical mass theory and with the help of a hand collected panel dataset of 151 listed german firms for the years 2000 2005 we explore whether the link between gender diversity and firm performance follows a u shape controlling for reversed causality we find evidence for gender diversity to at first negatively affect firm performance and only after a critical mass of about 30 women has been reached to be associated with higher firm performance than completely male boards given our sample firms the critical mass of 30 women translates into an absolute number of about three women on the board and hence supports recent studies on a corresponding magic number of women in the boardroom

women on boards and firm financial performance a meta analysis despite a large body of literature examining the relationship between women on boards and firm financial performance the evidence is mixed to reconcile the conflicting results we statistically combine the results from 140 studies and examine whether these results vary by firms legal regulatory and socio cultural contexts we find that female board representation is positively related to accounting returns and that this relationship is more positive in countries with stronger shareholder protections perhaps because shareholder protections motivate boards to use the different knowledge experience and values that each member brings we also find that although the relationship between female board representation and market performance is near zero the relationship is positive in countries with greater gender parity and negative in countries with low gender parity perhaps because societal gender differences in human capital may influence investors evaluations of the future earning potential of firms that have more female directors lastly we find that female board representation is positively related to boards two primary responsibilities monitoring and strategy involvement for both firm financial performance and board activities we find mean effect sizes comparable to those found in meta analyses of other aspects of board composition we discuss the theoretical and practical implications of our findings

day of the week effect in the taiwan foreign exchange market abstract this study uses stochastic dominance with and without risk free assets to examine whether trading days can affect patterns of the day of the week effect in the taiwan foreign exchange market our results generally indicate that higher returns appear on the first three days of the week across different trading day regimes in the taiwan foreign exchange market confirming day of the week effect allocating part of investors assets in risk free assets is useful in distinguishing returns among weekdays for all currencies

a note on weekday intraday and overnight patterns in the interbank foreign exchange and listed currency options markets abstract transactions data are used to investigate returns patterns for close to close close to open and intraday long positions in spot currency interbank and currency put options listed for the years 1983 through 1988 both trading day and calendar day hypotheses are investigated under the former spot market returns are found to be significantly higher from friday close to monday close and from friday close to monday open under the calendar day hypothesis however no significant close to close pattern emerges and the friday close to monday open effect is reversed finally spot put market returns are found to be significantly lower higher for tuesday and friday afternoons

patterns in japanese common stock returns day of the week and turn of the year effects stock markets in the united states and foreign countries exhibit a strong weekly seasonal 1 an empirical regularity for which no theoretical explanation has been found one s belief in this phenomenon would be strengthened if it is known to also occur in capital markets separated from those in the united states by distance institutional arrangements and culture this paper extends the results found in 5 and more closely examines the day to day stock market returns for japan while we find a weekly seasonal in japan its nature is significantly different in a statistical sense from the american one for example the lowest mean return in japan occurs on tuesday not monday as in the united states thus while the day of the week effect for american stocks has been casually called the weekend effect it should not be referred to in this way for japanese stocks the next part of the paper examines causes for the unique japanese seasonal we investigate whether the results in japan are associated with those in the united states and in particular consider whether the low tuesday return in japan and the low monday return in the united states are due to time zone differ ences the settlement process and the measurement error problem also are treated we next consider the relationship between foreign exchange returns and stock market returns the seasonal in daily foreign exchange returns does not offset the seasonal in daily stock market returns thus both japanese and american investors confront a day of the week effect in the japanese stock mar ket our data also allow us to investigate the turn ofthe year effect japanese stock returns in january are significantly above the returns during the rest of the year however unlike some reports using u s data see 12 and 13 we find no interaction in japan between the monday effect and the january effect

the statistical distribution of exchange rates empirical evidence and economic implications the abundant evidence that changes in exchange rates have distributions with fatter tails than the normal distribution has led researchers to consider non normal distributions including the student the stable paretian and mixtures of distributions this paper compares the empirical fits of three non normal candidates and the normal distribution for daily changes in the logarithms of exchange rates using maximum likelihood estimation of the parameters and chi square goodness of fit tests the student and mixture of two normals provide the best fits but there is evidence that the distribution parameters may vary over time

a model of investment under uncertainty modern irrigation technology and emerging markets in water this article develops a stochastic dynamic model of irrigation technology adoption it predicts that farms will not invest in modern technologies unless the expected present value of investment exceeds the cost by a potentially large hurdle rate the article also demonstrates that contrary to common belief water markets can delay adoption the introduction of a market should induce farms with abundant scarce water supplies to adopt earlier later than they would otherwise this article was motivated by evidence that contrary to npv predictions farms wait until random events such as drought drive returns significantly above costs before investing in modern irrigation technologies copyright 2002 oxford university press

hedging the risks from writing foreign currency options abstract this paper considers the ways in which banks and other financial institutions can hedge their risks when they write non exchange traded foreign currency options key factors affecting the performance of delta hedging are identified and hedging schemes involving the use of exchange traded options are analyzed the schemes are tested using both simulated data and data from trades on the philadelphia exchange between february 1983 and september 1984

testing the martingale hypothesis in deutsche mark futures with models specifying the form of heteroscedasticity summary we examine the form of heteroscedasticity in deutsche mark futures price data and compare different specifications of the particular way that the variance is changing over time the martingale hypothesis is tested with daily and weekly rates of change of futures prices for the deutsche mark and some evidence is found against this hypothesis in analyses of daily data from 1981 to 1985 this rejection of the martingale hypothesis may be attributed to trading day effects in foreign currency prices and the resulting day of the week patterns in futures prices when the martingale hypothesis is tested with weekly data the null hypothesis is retained

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

do women shy away from competition do men compete too much we examine whether men and women of the same ability differ in their selection into a competitive environment participants in a laboratory experiment solve a real task first under a noncompetitive piece rate and then a competitive tournament incentive scheme although there are no gender differences in performance men select the tournament twice as much as women when choosing their compensation scheme for the next performance while 73 percent of the men select the tournament only 35 percent of the women make this choice this gender gap in tournament entry is not explained by performance and factors such as risk and feedback aversion only playa negligible role instead the tournament entry gap is driven by men being more overconfident and by gender differences in preferences for performing in a competition the result is that women shy away from competition and men embrace it

modelling conditional moments and correlation with the continuous hidden threshold skew normal distribution a key issue in modelling conditional densities of returns of financial assets is the time variation of conditional volatility the classic econometric approach models volatility of returns with the generalized autoregressive conditional heteroscedasticity garch models where the conditional mean and the conditional volatility depend only on historical prices we propose a new family of distributions in which the conditional distribution depends on a latent continuous factor with a continuum of states the distribution has an interpretation in terms of a mixture distribution with time varying mixing probabilities the distribution parameters have economic interpretations in terms of conditional volatilities and correlations of the returns with the hidden continuous state we show empirically that this distribution outperforms its main competitor the mixed normal conditional distribution in terms of capturing the stylized facts known for stock returns namely volatility clustering leverage effect skew

from t bills to common stocks investigating the generality of intra week return seasonality the authors investigate the extent to which intra week seasonality still exists and whether its pattern is uniform across three stock indices and treasury bonds with seven different maturities they find that intra week seasonality continues to be significant and that its pattern is not uniform either between the stock indices and the treasury bonds or even among the bonds alone a pattern shared by stocks and bonds is that monday returns become increasingly negative with maturity these findings suggest that neither institutional nor general equilibrium explanations by themselves can explain the pattern of intra week seasonality in securities markets

predicting currency return volatility abstract standard deviations and elasticity of variance coefficients implied in currency option prices are employed to predict subsequent currency return volatility despite documented variance non stationarity strong predictive relationships are found the predictive accuracies of standard deviations and elasticity coefficients are statistically indistinguishable finally predictive accuracy is invariant to the weighting techniques employed

the pricing of dollar denominated yen dm warrants abstract this paper investigates the pricing of dollar denominated cross currency warrants options traded in us markets in a black scholes setting we obtain closed form option pricing formulas for european warrants we describe the intuition behind the differences in the properties of these securities versus standard foreign currency options concentrating on parameter sensitivity as well as hedging aspects we show that us cross currency warrants can be hedged using three underlying assets although the fundamental pde involves only one asset this analytical framework is applied to observed prices for at t s nyse traded us yen dm cross currency warrant we examine and attempt to explain the deviations between model and observed prices uncovered by the empirical work we find evidence of misspecification in standard currency option pricing models jel f31

when households go solar determinants of uptake of a photovoltaic scheme and policy insights abstract the need to reduce dependence on fossil fuels has resulted in escalating interest in renewable energy generation yet few countries have seriously tested household potential to produce energy from pv panels propelled by mandatory eu targets for renewable energy and constrained with limited territory the government of malta launched a subsidy scheme with a view to encouraging pv installation by households the scheme reached the desired adoption levels within a very short period of time the study takes an entire country dimension to assess the determinants of household investment in pv panels a unique dataset is specifically constructed for this study we find that the prevalence of younger households higher incomes dwelling ownership and unshared roof space results in higher rates of uptake neither higher educational levels nor the participation in other environmental schemes recycling contribute any explanatory power to uptake of pv panels pro government sentiment captured by voting outcomes significantly and positively influences the take up of the grant and installation of pv panels we conclude by identifying some pointers for policy makers interested in harvesting the potential of households

tobin s q and the importance of focus in firm performance using tobin s q as a measure of performance we seek to estimate the relative importance of industry focus and share effects in determining firm performance our methods are analogous to those of richard schmalensee and like him we find that industry effects account for the majority of the explained variance however we also find that firm effects exist in the form of focus effects that is narrowly diversified firms do better than widely diversified firms we interpret this finding as consistent with profit maximization by firms with different factor endowments

why do central banks intervene abstract intervention by central banks in terms of buying and selling foreign currency has been a major activity in recent years this paper investigates the motivations for such policy and the evidence for its effectiveness we use high quality daily data on the dollar amounts of intervention by the central banks of the us and germany we also use information on agreed g7 target levels for the dm and yen nominal exchange rates daily nominal dollar exchange rate returns are well described as a martingale garch process and we find little evidence that the different types of intervention have had much effect on the conditional mean of exchange rate returns there is some evidence that intervention is associated with slight increases in the volatility of exchange rate returns while little evidence is found for the effectiveness of intervention the motivations are more clear in particular from the application of probit analysis we find that the probability of intervention is determined by the magnitude of the deviation of the nominal exchange rate from the agreed target level and to a lesser extent by the current volatility of exchange rates

the behavior of foreign exchange rates reply in the preceding comment on our jibs paper 1 three basic claims are made the results in 1 are contrary to those reported elsewhere the contradiction may be due to certain weakness in the methodology employed by us based on a direct approach three currencies out of the fourteen we analyzed are regrouped two the australian dollar and japanese yen from group iii into group i currencies with a symmetric distribution and one the italian lira from group iii into group ii currencies close to have a symmetric distribution except for at least 1 subperiod andthat the arguments presented by us concerning the effects of foreign exchange management policy on exchange rates are no longer supported by the data 1986 jibs journal of international business studies 1986 17 177 180

a study of diffusion processes for foreign exchange rates abstract the nature of the stochastic process generating the time path of foreign exchange rates plays an important role in dynamic theories of international financial economics an important consideration in this stochastic process is the relationship between currency return variances and exchange rate levels using five years of daily data separated into quarterly intervals this study demonstrates that currency return variances depend on exchange rate levels and the dependency is unstable intertemporally thus these empirical results contradict the assumption of stable log normal distribution and the more general assumption of constant elasticities of variances for elasticity coefficients ordinary least squares estimates are compared to maximum likelihood estimates the maximum likelihood estimator clearly is superior implications of these results for models of foreign exchange rates are discussed

statistical study of foreign exchange rates empirical evidence of a price change scaling law and intraday analysis abstract in this paper we present a statistical analysis of four foreign exchange spot rates against the u s dollar with several million intra day prices over 3 years the analysis also includes gold prices and samples of daily foreign exchange prices over 15 years the mean absolute changes of logarithmic prices are found to follow a scaling law against the time interval on which they are measured this empirical law holds although the distributions of the price changes strongly differ for different interval sizes systematic variations of the volatility are found even during business hours by an intra day analysis of price changes seasonal heteroskedasticity is observed with a period of one day as well as one week as the result of an analogous intra week analysis taking this into account is necessary for any future study of intra day price change distributions and their generating process the same type of analysis is also made for the bid ask spreads

distribution of parallel exchange rates in african countries abstract this paper investigates the distribution of parallel exchange rates in african countries using exploratory data analysis techniques and model fitting stable laws are fitted to empirical distributions using the maximum likelihood estimation method empirical evidence supports the stable hypothesis these distributions are positively skewed and have tails that are much heavier than gaussian counterparts the stable hypothesis is further supported by the converging variance test which suggests that these distributions have infinite variance

does board gender diversity influence financial performance evidence from spain in recent years several countries have enacted guidelines and or mandatory laws to increase the presence of women on the boards of companies through these regulatory interventions the aim is to eradicate the social and labor grievances that women have traditionally experienced and which has relegated them to smaller scale jobs nevertheless and despite the advances achieved the female representation in the boardroom remains far from the desired levels in this context it is now necessary to enhance the advantages of board gender diversity from both ethical and economic points of view this article examines the relation between board gender diversity and economic results in spain the second country in the world to legally require gender quotas in boardrooms and historically characterized by a minimal female participation in the workforce based on a sample of 125 non financial firms listed on the madrid stock exchange from 2005 to 2009 our findings show that in the period analyzed the increase of the number of women on boards was over 98 this suggests that compulsory legislation offers an efficient framework to execute the recommendation of spanish codes of good governance by means of the increase in the number of women in the boards of firms furthermore we find that the increase in the number of women on the boards is positively related to higher economic results therefore both results suggest that gender diversity in boardrooms should be incremented mandatory laws being a key factor to do so

does social performance really lead to financial performance accounting for endogeneity the empirical relationship between a firm s social performance and its financial performance is still not well established in the literature despite more than 30 years of research and more than 100 empirical studies on the issue the results are still mixed we argue that the heterogeneous results found in previous studies are not due exclusively to problems related with the measurement instruments or the samples used instead we posit that a more fundamental problem related with the endogeneity of social strategic decisions could be driving most of the empirical findings we show that using a panel data of 658 firms from 1991 to 2005 how some of the results found in previous research change and some are even reversed when endogeneity is properly taken into account

the behavior of intra daily exchange rates abstract the behavior of exchange rates is examined as they evolve continuously over time the data consist of swiss franc u s dollar rates for nine days during the years 1978 1980 as quoted by a major swiss dealer operating on the interbank market since this market is highly organized the observations are market prices at the same time the distributions of relative changes in exchange rates measured over one minute are highly leptokurtic the normal distribution is rather rapidly approached when the measurement interval is lengthened from one up to ten minutes time series analysis reveals that the natural logarithms of exchange rates are adequately described by a random walk the same stochastic process as has been found for daily weekly monthly and quarterly observations for short time intervals significant autocorrelations sometimes occur at the first few lags which are however not stable enough over time to form a basis for reliable forecasts

exchange rate risk and transactions costs evidence from bid ask spreads abstract this paper develops a model of exchange rate bid ask spreads which is used to examine the relationship between exchange rate risk and volatility and to measure transactions costs the empirical results indicate that market makers judge the probability of exchange rate changes based on both recent and long term volatility and that the second moment alone is not a complete measure of volatility while a proxy for trading volume does not have the expected relationship with spreads weekend and holiday effects conform to theory transactions costs vary over time and seem responsive to the imposition of exchange controls

on the presence of risk premiums in foreign exchange markets abstract this paper provides evidence that for most currencies the exchange risk premium as identified in grauer litzenberger and stehle 1976 is highly volatile random and on average equal to zero further investigation suggests that this volatility can be traced to the fact that our index of world market performance does not adequately represent the common element of variance among currencies in the light of this evidence we investigate the existence of an exchange risk premium in the framework of an alternative model the arbitrage pricing theory proposed by ross 1976 is a particularly appropriate alternative since it does not accord an essential role to the market portfolio the results of our tests suggest the presence of an exchange risk premium

mixed diffusion jump process modeling of exchange rate movements this study demonstrates that the mixed diffusion jump process is superior to the stable laws or a mixture of normals as a model of exchange rate changes for the british pound french franc and the we st german mark relative to the united states dollar the parameter value s for the mixed diffusion jump process are dependent on the monetary policy regime in force in the united states with the estimates for the franc and mark being intertemporally similar but different from the pound copyright 1988 by mit press

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

the valuation of fdic deposit insurance using option pricing estimates when congress set the premium rate for fdic deposit insurance in the banking act of 1935 which authorized a permanent federal insurance system neither experience nor theory could offer much guidance regarding an appropriate fee structure although rates have since been periodically revised the fdic has yet to attempt to set the insurance rate at a ifair level that is a level equal to administrative costs plus the ex ante value of the insurance such a premium is the rate that would be charged by competitive private insurers however7 the garn st germain act of 1982 directed the fdic to consider the feasibility of a risk based premium structure in response the fdic has suggested a trial system in which each insured bank will be placed in one of three risk classes based on credit and interest rate risk relative to capital and a premium rate will be assigned to each group those rates will be determined in part by the loss experience of the entire banking system fdic 1983 another approach to the determination of the appropriate insurance premium has been offered by merton 1977 who suggested using the analogous relationship between deposit guarantees and put options to value fdic insurance in this paper we follow merton s suggestion and calculate bank specific estimates of the proper premium for deposit insurance for the banks in our sample we find that fdic rates greatly exceed estimates of the fair value of the insurance derived from the blackscholes 1972 option pricing model

gender diversity in the boardroom and firm financial performance the monitoring role performed by the board of directors is an important corporate governance control mechanism especially in countries where external mechanisms are less well developed the gender composition of the board can affect the quality of this monitoring role and thus the financial performance of the firm this is part of the business case for female participation on boards though arguments may also be framed in terms of ethical considerations while the issue of board gender diversity has attracted growing research interest in recent years most empirical results are based on u s data this article adds to a growing number of non u s studies by investigating the link between the gender diversity of the board and firm financial performance in spain a country which historically has had minimal female participation in the workforce but which has now introduced legislation to improve equality of opportunities we investigate the topic using panel data analysis and find that gender diversity as measured by the percentage of women on the board and by the blau and shannon indices has a positive effect on firm value and that the opposite causal relationship is not significant our study suggests that investors in spain do not penalise firms which increase their female board membership and that greater gender diversity may generate economic gains

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

sociodynamic modeling of small scale pv adoption and insights on future expansion without feed in tariffs abstract understanding complex phenomena such as energy transitions which bear technical economic and social dimensions requires a multi directional approach expansion of the solar energy in the energy mix of a country is similarly complex as its decentralized nature brings about a necessity of public approval and trust besides its economics we therefore develop a combined socio economic model which is based on the sociodynamics framework for the household level adoption of photovoltaics pv we apply the model to the cases of german and italian pv expansion and make a retrospective analysis regarding their dynamics in order to identify the importance of various factors such as the profitability and the public opinion throughout their expansion timeline we then project our model for the german pv expansion onto the near future and investigate the requirement of feed in tariffs to maintain the expansion targets under various scenarios results of our projection point at the importance of the self consumption of pv electricity an average self consumption ratio higher than 25 makes a phase out of feed in tariffs by 2030 possible whereas 50 self consumption renders the feed in tariff regulation obsolete even in today s economic conditions

does the weekday effect of the yen dollar spot rates exist in tokyo london and new york an analysis of panel probability distribution using probability distribution techniques this article explores whether any differences exist between the returns and volatility of yen dollar spot markets in tokyo london and new york after the intraday returns were fit into probability distributions new york is found to have the highest return followed by london and then tokyo in estimating the peaks and widths of the distributions of volatility tokyo is found to have the lowest volatility in the log normal distribution while london and new york show similar volatility distributions implying similar investor risk return preference behaviour in the london and new york markets the findings also imply that arbitrage opportunities between london and new york could be trivial after estimating the panel distribution from monday to friday across the three markets we found that the monday effect disappears instead tuesday shows negative and significantly lower returns the friday weekend effect no longer exists instead thursday shows a positi

the ecu as international money abstract the ecu is compared with alternative foreign currencies to determine how adequately it performs the various functions of international money for the period april 1979 through december 1984 it is found that for most european economic agents the ecu was superior to the sdr the us dollar and a representative foreign currency the netherlands guilder as a unit of account as a store of value and as a means of deferred payment an examination is made of the distribution of the series of exchange rate changes so that appropriate statistical methods are employed in making a final assessment about the variability of the ecu

optimal hedged portfolios the case of jump diffusion risks abstract the paper derives rules for optimal hedged portfolios when the foreign spot exchange rate changes follow a mixed jump diffusion process the paper shows that the sign of the third order derivative of the utility function plays a crucial role in differentiating the jump risk from the diffusion risk the result of the paper is compared to earlier ones under a diffusion process for the foreign exchange rate changes the paper also draws some important implications along the line of the issue of the time varying risk premiums in the foreign exchange market jel 431

exchange rate volatility and volatility asymmetries an application to finding a natural dollar currency based on six daily spot nominal exchange rate returns denominated in the us dollar viz a viz uk pound japanese yen swiss franc canadian dollar australian dollar and singapore dollar this paper tries to find a natural dollar currency by comparing the linear nonlinear dynamics in the conditional variance of these bilateral exchange rate returns time varying volatility vs asymmetries the characteristics of the unconditional distribution of the fx returns justified the use of the garch class of models of conditional volatility strong time varying symmetric effects are apparent in all the series examined especially in the australian dollar further asymmetric effects in unexpected appreciations and depreciations of currencies are examined based on the gjr model the st garch model and the anst garch model which encompasses several asymmetric models the estimates of asymmetric models show weak evidence of asymmetries in most of the currencies except in the japanese yen and uk pound further find

when the carrot goes bad the effect of solar rebate uncertainty abstract although meant to encourage investment in solar photovoltaic pv systems some incentive policies may themselves become a barrier in instances where policy related uncertainty is present as potential solar adopters delay their investment until uncertainty is resolved this study utilizes a quasi experimental setting to quantify the effect of solar policy uncertainty focusing on the california solar initiative s residential rebate program i exploit the temporary exhaustion of funds within one of the utility territories as an exogenous source of increased uncertainty and estimate that it leads to a 67 drop in rebate applications in an average zip code week there is considerable heterogeneity in this effect depending on household income and pv system size among households that are least likely to invest in pv without a rebate incentive program participation drops by up to 69 this suggests potentially significant loss in program effectiveness due to lower pv adoption and underscores the importance of accounting for uncertainty in policy evaluations

distribution properties of latin american black market exchange rates abstract this paper conducts a statistical analysis of the distribution properties of black market exchange rate changes for 12 latin american currencies the infinite variance stable law hypothesis is tested using a regression type technique to estimate the parameters of the stable paretian distribution strong evidence is found supporting this hypothesis a separate analysis of extreme observations using a robust statistical procedure further supports these findings

adoption of residential solar power under uncertainty implications for renewable energy incentives abstract many incentives at the state and federal level exist for household adoption of renewable energy like solar photovoltaic pv panels despite generous financial incentives the adoption rate is low we use the option value framework which takes into account the benefit of delaying investment in response to uncertainty to examine the decision by households to invest in solar pv using a simulation model we determine optimal adoption times critical values of discounted benefits and adoption rates over time for solar pv investments using data from massachusetts we find that the option value multiplier is 1 6 which implies that the discounted value of benefits from solar pv needs to exceed installation cost by 60 for investment to occur without any policies median adoption time is eight years longer under the option value decision rule compared to the net present value decision rule where households equate discounted benefits to installation cost rebates and other financial incentives decrease adoption time but their effect is attenuated if households apply the option value decision rule to solar pv investments results suggest that policies that reduce the uncertainty in returns from solar pv investments would be most effective at incentivizing adoption

using monthly returns to model conditional heteroscedasticity this empirical study examines the extent of non linearity in a multivariate model of monthly financial series to capture the conditional heteroscedasticity in the series both the garch 1 1 and garch 1 1 in mean models are employed the conditional errors are assumed to follow the normal and student t distributions the non linearity in the residuals of a standard ols regression are also assessed it is found that the ols residuals as well as conditional errors of the garch models exhibit strong non linearity under the student density the extent of non linearity in the garch conditional errors was generally similar to those of the standard ols the garch in mean regression generated the worse out of sample forecasts

whose sabbath matters or when does the weekend effect occur abstract the weekend effect and other seasonal anomalies in financial markets are now familiar in many countries in searching for explanations for the weekend effect in particular it would be helpful to know when exactly it occurs whatever the it may be that produces the effect since most countries do not have weekend trading in financial assets the timing of it has not been narrowed down israel has trading in all financial assets except currency trading on sunday by examining day of the week effects for israel it appears that the weekend effect occurs on sunday late in the day and not an friday evening ar saturday other seasonal anomalies in israel seem to be similar to those elsewhere the generalizability of the findings to other countries is discussed

the week end effect in common stock returns the international evidence this paper examines the daily stock market returns for four foreign countries we find a so called week end effect in each country in addition the lowest mean returns for the japanese and australian stock markets occur on tuesday the remainder of the paper answers four questions are seasonal patterns in foreign stock markets independent of those previously reported in the u s do japan and australia exhibit a seasonal one day out of phase due to different time zones do settlement procedures across countries bias week end effects does the seasonal pattern in foreign exchange offset the week end effect in stocks for americans investing overseas some of the most anomalous empirical findings in finance are associated with the sample distributions of daily common stock returns cross 1 french 2 gibbons and hess 3 and keim and stambaugh 4 have documented that the average return on friday is abnormally high and the average return on monday is abnormally low to our knowledge this so called day of the week effect or week end effect has yet to be explained because this anomaly has been reported primarily for u s stock returns it is appropriate to investigate whether similar results occur for other countries positive findings would strongly support the proposition that the weekly seasonal effect is a general world wide phenomenon rather than the result of a special type of institutional arrangement in the u s to shed more light on this proposition our paper examines stock market returns in the u k japan canada and australia since we find a week end effect in each country we can examine a set of interesting questions for example are these seasonals independent of the previously reported seasonal in the u s due to different time zones do far eastern countries exhibit a seasonal one day out of phase do different settlement procedures across countries influence weekend effects does the seasonal in foreign exchange fluctuations see mcfarland pettit and sung 7 and levi 6 offset the week end effect in stock market returns for americans investing overseas

persistence in foreign exchange rates abstract this study examines the long run behavior of seven daily nominal exchange rates using univariate and multivariate persistence measures our results indicate that for some currencies the long run behavior deviates from that of a pure random walk in certain periods the multivariate estimates reflect the effect of both the ems exchange rate mechanism and increased post louvre accord coordinated intervention a large portion of the effect of a shock in one currency on another currency s long run value can be attributed to contemporaneous effects on the other currencies

the volatility of the norwegian currency basket the norwegian currency basket and the nok usd exchange rate observed at two different times of the day are modeled as arch or garch processes the analysis yields four main conclusions first the conditional variance of the basket index is smaller than the conditional variance of the nok usd exchange rate second the estimated conditional variances depend on which hour of the day the daily observations were collected third the garch model fits the data better than the arch model for three of the four series analyzed further neither model accounts for much of the large kurtosis found in the norwegian currency basket copyright 1991 by the editors of the scandinavian journal of economics

on the pricing of european and american foreign currency call options abstract this study uses cox ross analysis and dynamic programming techniques to price foreign currency call options we show that under certain conditions the american call price will exceed its european counterpart while under other conditions the two prices will be identical we find that the american premium is a complex function of the degree to which an option is in or out of the money and that this premium is greatest when an option is near in or out we present empirical evidence which shows that the american model significantly improves upon a european model however significant pricing errors associated with the american model remain

the impact of gender composition on team performance and decision making evidence from the field we investigate whether the gender composition of teams affects their economic performance we study a large business game played in groups of three in which each group takes the role of a general manager there are two parallel competitions one involving undergraduates and the other involving mba students our analysis shows that teams formed by three women are significantly outperformed by all other gender combinations both at the undergraduate and mba levels looking across the performance distribution we find that for undergraduates three women teams are outperformed throughout but by as much as 0 47 of a standard deviation of the mean at the bottom and by only 0 09 at the top for mba students at the top the best performing group is two men and one woman the differences in performance are explained by differences in decision making we observe that three women teams are less aggressive in their pricing strategies invest less in research and development and invest more in social sustainability initiatives than does any other gender combination this paper was accepted by brad barber teck ho and terrance odean special issue editors