dollar depreciation and us industry performance abstract this study analyzes the effects of the real exchange rate and the real interest rate on domestic sales exports and imports for 19 manufacturing industries and selected non merchandise sectors in the usa the estimates are combined with a simulation of an exogenous dollar depreciation to infer net industry effects of a non policy induced drop in the value of the dollar the results indicate that the direct impacts of the depreciation are concentrated in net exports with only limited effects on home sales hoewver the indirect effects of the depreciation which work through the domestic interest rate and foreign and domestic income and prices have a significant impact on domestic sales as well as net trade in both merchandise and non merchandise sectors

drawn into violence evidence on what makes a criminal from the vietnam draft lotteries draft lottery number assignment during the vietnam era provides a natural experiment to examine the effects of military service on crime using exact dates of birth for inmates in state and federal prisons in 1979 1986 and 1991 we find that draft eligibility increases incarceration for violent crimes but decreases incarceration for nonviolent crimes among whites this is particularly evident in 1979 where two sample instrumental variable estimates indicate that military service increases the probability of incarceration for a violent crime by 0 34 percentage points and decreases the probability of incarceration for a nonviolent crime by 0 30 percentage points we conduct two falsification tests one that applies each of the three binding lotteries to unaffected cohorts and another that considers the effects of lotteries that were not used to draft servicemen jel k42 h56

the effect of concealed weapons laws an extreme bound analysis i introduction in a recent paper lott and mustard 1997 provide evidence on the relationship between concealed handgun laws often called right to carry or shall issue laws and crime they examine 16 years 1977 1992 of county level crime data from the fbi s uniform crime reports ucr and compare crime rates before and after the introduction of right to carry laws controlling for demographic factors and county level arrest rates they find that introducing right to carry laws resulted in significant reductions in the violent crimes of murder rape aggravated assault and robbery and increases in some property crimes such as burglary larceny and auto theft the latter increase is attributed to a substitution effect suggesting that potential criminals will at the margin switch from violent crimes that have now become more risky to them to property crimes where the probability of encountering an armed victim is much lower comparing these two effects coupled with a slight increase in accidental gunshots from individuals owning concealed handguns lott and mustard conclude that the social benefits of these laws exceed their costs economists who present one set of empirical results are always vulnerable to criticism that they could have selected another group of right hand side variables or modeled them in a different way lott and mustard s analysis has been criticized by black and nagin 1998 who re examine the data set choosing a different set of controls and a different model and reach different conclusions about the effects of the right to carry laws uncertainty about what to control for and how to do it has been called model uncertainty by leamer 1983 who suggests estimating the size of model uncertainty by testing the sensitivity of the particular results to many different possible model specifications this methodology is called extreme bound analysis in this paper we report extreme bounds from nearly 20 000 estimated regressions that vary the modeling choices made by lott and mustard we find support for the deterrence result from a broad set of specifications in particular we find strong support for the hypothesis that the right to carry laws are associated with a decrease in the trend in violent crime rates we do not find much support for a substitution effect into property crimes in what follows we first describe some econometric issues related to the problem of estimating the effect of the right to carry laws on crime rates we then report our extreme bound analysis and offer concluding remarks ii extreme bound analysis although behavioral theories can provide general guidance about the kinds of factors that should influence the crime rate they do not specifically determine which variables should be included in a regression analysis in addition conflicting theories typically suggest alternate model specifications in the context of crime rates for example we might expect higher crime rates in counties with higher unemployment and a larger percentage of young men age 18 30 following convention we call this a supply effect nagin 1978 however it is also possible that higher unemployment leads to the passage of right to carry laws or that right to carry laws are less likely to be enacted in areas with high percentages of young men age 18 30 we call this a demand effect omitted or unobserved demand or supply variables may induce a spurious correlation between the adoption of the right to carry laws and crime rates that has nothing to do with the supply of crime leamer 1983 suggests a formal specification search or extreme bound analysis to estimate the size of such model uncertainty surrounding certain regression results for example by including different right hand side variables in a supply of crime equation for murder leamer estimates an extreme bound interval for the deterrent effect of capital punishment that ranges from 29 to 12 murders prevented for every execution

convergence to efficiency in a simple market with incomplete information a model of trade with m buyers and m sellers is considered in which price is set to equate revealed demand and supply in a bayesian nash equilibrium each trader acts not as a price taker but instead misrepresents his true demand supply to influence price in his favor this causes inefficiency we show that in any equilibrium the amount by which a trader misreports is o 1 m and the corresponding inefficiency is o 1 m2 the indeterminacy and the inefficiency that is caused by the traders bargaining behavior in small markets thus rapidly vanishes as the market increases in size

complementarities multiplicity and supply information if traders can obtain private information about the payoff and the supply of a stock then there can exist i complementarity in information acquisition and ii multiple equilibria in the financial and information markets the additional dimension of supply information increases coordination possibilities in the financial market leading to multiple equilibria the existence of two information sources can lead to information acquisition being complementary the multiplicity of equilibria is suggestive of excess volatility and crashes the different financial market equilibria imply differing patterns of cost of capital and volume of trade 2009 by the european economic association

measuring positive externalities from unobservable victim precaution an empirical analysis of lojack lojack is a hidden radio transmitter device used for retrieving stolen vehicles because there is no external indication that lojack has been installed it does not directly affect the likelihood that a protected car will be stolen there may however be positive externalities due to general deterrence we find that the availability of lojack is associated with a sharp fall in auto theft rates of other crime do not change appreciably at least historically the marginal social benefit of an additional unit of lojack has been fifteen times greater than the marginal social cost in high crime areas those who install lojack however obtain less than 10 percent of the total social benefits leading to underprovision by the market

the deterrent effect of capital punishment evidence from a judicial experiment i introduction the contemporary debate over capital punishment involves a number of important arguments based on either moral principles or social welfare considerations the primary social welfare issue viewed as the most important single consideration for both sides in the death penalty controversy is whether capital punishment deters capital crimes see for example zimring and hawkins 1986 this issue is also of great interest to several states that are currently considering a change in their death penalty laws 1 psychologists and criminologists studied the death penalty initially and reported no deterrent effect see for example sellin 1959 and eysenck 1970 economists joined the debate later with ehrlich s 1975 and 1977 studies that report a significant deterrent effect applying regression analysis to u s aggregate data for 1933 69 and state level data for 1940 and 1950 ensuing studies use either ehrlich s data with different regression specifications different regressors functional form or endogenous variables or postmoratorium data with a variant of ehrlich s regression model results range from a substantial deterrent effect to no effect or a small adverse effect 2 this study uses a new approach to advance the deterrence literature we exploit an important characteristic that other studies have not considered the experimental nature of the moratorium that the supreme court imposed on executions during the 1970s the moratorium can be viewed as an exogenously imposed judicial experiment the experiment s effect on murder rates provides evidence about the deterrent effect of capital punishment we compare the murder rate for each state immediately before and after it suspended or reinstated the death penalty many factors that affect crime for example law enforcement judicial demographic and economic variables change only slightly over a short period of time therefore changes in a state s murder rate quickly following a change in its death penalty law can be attributed to the legal change also there are considerable cross state variations in the timing and duration of the moratorium that began and ended in different years in different states ranging from four to thirty years see tables 1 and 2 3 these variations can strengthen our comparison based inference because observing similar changes in murder rates immediately after the same legal change in different years and in various states provides compelling evidence of the moratorium s effect on murder moreover our analysis benefits from the experiences of the states that suspended and reinstated their death penalty statutes several times 4 for states that experience similar murder rate changes after suspensions or reinstatements in different crime economic and demographic environments the contribution of the legal change to murder is paramount we supplement the before and after comparisons with time series and panel data regression analyses unlike most existing studies we use both pre and postmoratorium data the regressions disentangle the effect of having death penalty laws on murder from the effect of actual executions on murder basing our inference on two different approaches allows us to corroborate our findings and also detract from the modeling concerns voiced at previous studies that use only regression analysis we also apply a battery of tests to examine the robustness of the findings these include regression sensitivity checks with 89 additional regression equations that differ from our base models in regressors functional form data and estimation method in addition we test whether the moratorium has an effect on property crimes that are not punishable by death if the relationship between the moratorium and these crimes is similar to the relationship between the moratorium and murder then we should suspect that murder rate changes are the result of broader trends in criminal behavior affecting all crimes

foreign exchange market reactions to sovereign credit news abstract we analyse the reaction of the foreign exchange spot market to sovereign credit signals by fitch moody s and s p during 1994 2010 we find that positive and negative credit news affects both the own country exchange rate and other countries exchange rates we provide evidence on unequal responses to the three agencies signals fitch signals induce the most timely market responses and the market also reacts strongly to s p negative outlook signals credit outlook and watch actions and multiple notch rating changes have more impact than one notch rating changes considerable differences in the market reactions to sovereign credit events are highlighted in emerging versus developed economies and in various geographical regions

sources of meteor showers and heat waves in the foreign exchange market abstract we examine the role that news and heterogeneous expectations play in the persistence of exchange rate volatility or so called meteor shower effects our empirical focus is on the u s trade balance news which is shown to have a significant and persisting effect on the exchange rate and its conditional variance furthermore the impact of u s trade balance news is not isolated to the u s foreign exchange market the degree to which u s trade balance news affects other geographical market locations is functionally related to heterogeneous priors

corporate taxes and the location of intangible assets within multinational firms intangible assets like patents and trademarks are increasingly seen as the key to competitive success and as the drivers of corporate profit moreover they constitute a major source of profit shifting opportunities in multinational enterprises mnes due to a highly intransparent transfer pricing process this paper argues that for both reasons mnes have an incentive to locate intangible property at affiliates with a relatively low corporate tax rate using panel data on european mnes and controlling for unobserved time constant heterogeneity between affiliates we find that the lower a subsidiary s corporate tax rate relative to other affiliates of the multinational group the higher is its level of intangible asset investment this effect is statistically and economically significant even after controlling for subsidiary size and accounting for a dynamic intangible investment pattern

economic news exchange rates and interest rates the paper esamines the post october 1979 response of exchange rates and interest rates to the new information contained in the first announcement of fifteen us macroeconomic series illarkets respond primarily to monetary news but also to news about the trade deficit domestic inflation and variables that reflect the state of the business cycle for all fifteen macroeconomic variables an increase decrease in interest rates is accompanied by an appreciation depreciation of the dollar which is consistent with models that stress price rigidity and absence of purchasing power parity the effect of economic news on asset prices has received increasing attention in the economic literature because an outcome of the efficient markets rational expectations hypothesis is that flesible asset prices change the moment new information about future fundamentals arrives in the market in the exchange rate literature the role of news has gained importance because structural models have failed to predict most of the variation in exchange rates during the 1970s see imeese and rogoff 1983 researchers were naturally led to investigate the types of news that make exchange rates so volatile and to utilize news in order to test which model of exchange rate determination is consistent with the floating eschange rate experience notable studies are those of dornbusch 1980 frenkel 1981 edwards 1982a b 1983 copeland 1984 and rose 1984 in this paper i also examine the effects of macroeconomic news on eschange rates but i adopt a different more direct strategy one that complements previous work avoids some of its shortcomings and promises interesting conclusions i examine the instantaneous response of exchange rates the moment a piece of economic news hits the market if one can isolate the exact time during a business day when news arrives it is straightforward to examine the response of exchange rates because financial data are continuously available the advantages of the present methodology are many first it is possible to identify the exact types of economic news and how they affect exchange rates second the simultaneity bias which plagues the previous literature on exchange rates and news is not present here the independent variables that represent news can be interpreted as causal the paper was presented at the 1985 meeting ofthe american economic association the author wishes to thank sebastian edwards r w hafer nicholas karamouzis andrew rose and two anonymous referees for helpful comments kim rupert of the money market services for providing the survey data soo kounne for able research assistance and barnard college for research support

competitive rational expectations equilibria without apology abstract consider a financial market with n risk averse asymmetrically informed traders when n grows at the same rate as noise trading prices in competitive and in strategic rational expectations equilibrium converge to each other at a rate of 1 n equilibria in the two scenarios are close when noise trading volume per informed trader is large in relation to risk bearing capacity both equilibria converge to the competitive equilibrium of a limit continuum economy as the market becomes large at a slower rate of 1 n the results extend to endogenous information acquisition and the connections with the grossman stiglitz paradox are highlighted

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

cops and crime abstract the violent crime control and law enforcement act of 1994 established the community oriented policing services cops program that provided grants to states and localities to pay up to 75 of the cost for new police hires for 3 years to date the cops program has awarded almost 5 billion in hiring grants paying for 64 000 new police officers we use annual data from 1990 through 2001 from 2074 cities with populations in excess of 10 000 to show that for each officer paid for by grant funds the size of the force expands by 0 70 officers the size of cops grants are correlated with population and crime rates but not the pre cops time trends in crime rates or the size of the police force this allows us to use the size of cops grants as an instrument for the size of the police force in regressions where crime is the outcome of interest these models indicate that police added to the force by cops generated statistically significant reductions in auto thefts burglaries robberies and aggravated assaults

on the possibility of informationally efficient markets this paper presents conditions for a resolution of the grossman stiglitz paradox of informationally efficient markets we display a market with asymmetric information where a privately revealing equilibrium obtains in a competitive framework and where incentives to acquire information are preserved as long as the correlation in traders valuations is not too large the equilibrium is efficient and the problems associated with fully revealing rational expectations equilibria are precluded without resorting necessarily to noise traders the robustness of the results to general information structures is established and the effect of market power is examined in a large market approximation to the competitive economy the model is applied to explain changes in bidding behavior in central bank liquidity auctions in the crisis period jel d82 d84 g14 e59

the effects of macroeconomic news on high frequency exchange rate behavior this paper studies the high frequency reaction of the dem usd exchange rate to publicly announced macroeconomic information emanating from germany and the u s by us ing data sampled at a five minute frequency we are able to identify significant impacts of most announcements on the exchange rate change in the 15 minutes post announcement although the significance of these effects decreases rapidly as the interval over which the post announcement change in exchange rates is increased the direction of the exchange rate response conforms in general with a reaction function interpretation whereby reac tions to macroeconomic news are driven by the likely operations of monetary authorities in domestic money markets further we detect influences of german monetary policy deci sions on the reaction of the exchange rate and also differences between u s and german announcements in the exchange rate reaction time pattern i introduction this paper studies the high frequency reaction of the dem usd exchange rate to macroeconomic information emanating from germany and the u s specif ically we utilize exchange rate data covering the period 1 1 92 to 31 12 94 sam pled at a five minute frequency to investigate how the major monthly macroe conomic releases from these two countries impact the dem usd the infor mation contained in announcements over this three year period is extracted via a set of market expectation series supplied by money market services interna tional mms 1 our analysis improves on previous work in this area in two main respects first our study is conducted using very high frequency data whereas most earlier work has used exchange rate data sampled at a frequency of a number of hours or more this allows us to construct a very precise characterization of

testing for the effects of concealed weapons laws specification errors and robustness abstract in 1997 john lott and david mustard published an important paper in which they found that right to carry concealed weapons laws reduce violent crime although lott and mustard appear to do all possible variations of the analysis a closer reading reveals that the study might suffer from several possibly important errors i reestimate the model and check for incorrect functional form omitted variables and possible second order bias in the t ratios lott and mustard s basic conclusions are generally robust with respect to these potential econometric problems overall right to carry concealed weapons laws tend to reduce violent crime the effect on property crime is more uncertain i find evidence that these laws also reduce burglary

does the disclosure of gun ownership affect crime evidence from new york abstract while the social costs of gun violence are high opponents of gun restrictions argue that gun ownership deters crime and creates a positive externality by increasing unobserved risk to criminals this paper investigates the evidence for these two deterrence channels exploiting the sudden disclosure of all handgun permit holders names and addresses in two new york counties permit holders have more crime incidents at their homes relative to non permit holders in the baseline which is not driven by selection into neighborhoods i find little evidence in favor of direct deterrence and little evidence of peer deterrence instead i find that victimization is associated with a higher likelihood of future gun ownership

a markov chain monte carlo analysis of the effect of two rate property taxes on construction abstract the paper examines the effect of taxing structures at a lower rate than land on the level of construction in 15 pennsylvania municipalities between 1972 and 1994 these municipalities are compared with 204 similar pennsylvania municipalities that tax land and structures at the same rate to reduce the standard errors of estimate below those of a quasi maximum likelihood estimation the model parameters are estimated with a markov chain monte carlo method the gibbs sampler in contrast to earlier tax analyses the estimates indicate that cities with two rate taxes enjoy significantly higher levels of construction than they would with one rate taxes

more guns more crime this paper examines the relationship between gun ownership and crime previous research has suffered from a lack of reliable data on gun ownership i exploit a unique data set to reliably estimate annual rates of gun ownership at both the state and the county levels during the past two decades my findings demonstrate that changes in gun ownership are significantly positively related to changes in the homicide rate with this relationship driven almost entirely by an impact of gun ownership on murders in which a gun is used the effect of gun ownership on all other crime categories is much less marked recent reductions in the fraction of households owning a gun can explain one third of the differential decline in gun homicides relative to nongun homicides since 1993

the social costs of gun ownership abstract this paper provides new estimates of the effect of household gun prevalence on homicide rates and infers the marginal external cost of handgun ownership the estimates utilize a superior proxy for gun prevalence the percentage of suicides committed with a gun which we validate using county and state level panels for 20 years we estimate the elasticity of homicide with respect to gun prevalence as between 0 1 and 0 3 all of the effect of gun prevalence is on gun homicide rates under certain reasonable assumptions the average annual marginal social cost of household gun ownership is in the range 100 to 1800

prospect theory and market quality abstract we study equilibrium trading strategies and market quality in an economy in which speculators display preferences consistent with prospect theory kahneman and tversky 39 tversky and kahneman 63 i e loss aversion and mild risk seeking in losses loss aversion risk seeking in losses induces speculators to trade less more and less cautiously more aggressively with their private information but also makes them less more inclined to purchase private information when it is costly in order to mitigate enhance their perceived risk of a trading loss we demonstrate that these forces have novel nontrivial state dependent effects on equilibrium market liquidity price volatility trading volume market efficiency and information production

model uncertainty and the effect of shall issue right to carry laws on crime in this paper we explore the role of model uncertainty in explaining the different findings in the literature regarding the effect of shall issue right to carry concealed weapons laws on crime in particular we systematically examine how different modeling assumptions affect the results we find little support for some widely used assumptions in the literature e g population weights but find that allowing for the effect of the law to be heterogeneous across both counties and over time is important for explaining the observed patterns of crime in terms of model uncertainty we find that there is substantial variation in the estimated effects for each model across all dimensions of the model space this suggests that one should be cautious in using the results from any particular model to inform policy decisions

the response of short term interest rates to weekly money announcements each friday at 4 10 p m est the federal reserve announces its estimate of the narrowly defined money stock for the statement week ending nine days previously these money announcements have become one of the main events in financial markcts if for no other reason than the fact that significant movements in interest rates have been associated with large unanticipated changes in the money stock moreover since the late 1970s interest rate fluctuations in response to money stock announcements have dramatically increased over the 1l 2 hour intervals spanning the weekly announcements for example the variance of the change in the threemonth treasury bill yield in the three years since october 1979 is more than thirty times larger than that of the previous two year period l two factors may account for a large portion of the increased volatility of shortterm interest rates first on october 6 1979 the federal reserve adopted a reserve aggregate approach to monetary control replacing a procedure that emphasized stability of short term yields second despite the greater emphasis placed on monetary control the variance of weekly announced changes in the money stock has risen by about 70 percent since late 1979 in turn if greater volatility of announced changes makes future changes more difficult to predict the volatility of unanticipated weekly changes in money would have also increased 2 thus if financial markets are efficient and if weekly money announcements contain relevant information larger unanticipated changes in money may have caused larger fluctuations in interest rates

abortion and crime unwanted children and out of wedlock births legalizing abortion can either increase or decrease investments in children s human capital this article finds that abortion increases the number of out of wedlock births using data that more directly links the criminal with age when the crime was committed not age when arrested and fixing the assumption in previous research that no abortions took place prior to the roe v wade decision in the 45 states affected by that decision we find consistent significant evidence that legalizing abortions increased murders by over 7 linear estimates indicate that legalization increased total annual victimization costs by at least 3 2 billion jel k42 k14 j24

testing for unit roots in panel data are wages on different bargaining levels cointegrated theoritical considerations suggest that spillover forces equalize wages for similar jobs thus it is expected that firm wages are cointegrated with the corresponding wage rates on an industrial level in this paper we apply various unit root tests to a panel of wage data we show that the familiar techniques can be adopted to this type of data allowing for unobserved heterogeneity and common time effects our results suggest that firm and industry wages both possess a unit root in the autoregressive representation however ther is only weak evidence for a cointegration realtionship

the impact of gun laws a model of crime and self defense abstract we develop a model of crime and self defense that provides a rationale both for the right to bear arms and for regulating this right it also suggests that a severe punishment for gun crime might best guarantee both the security and freedom of potential victims

guns laws and public shootings in the united states abstractsince the late 1990s there have been increasing numbers of public shootings carried out with firearms in the united states these tragedies continually renew the regulatory debate concerning public safety while considering civil liberties using a unique data set we investigate whether laws correspond to whether an event occurs and the effects of event specific characteristics on public shooting outcomes in particular we analyse how state specific gun laws the types of firearms the shooting venues and the mental health of the gunman impact the outcomes of public shootings results show that most gun laws are unrelated to whether an event occurs in addition common state and federal gun laws that outlaw assault weapons are unrelated to the likelihood of an assault weapon being used during a public shooting event moreover results show that the use of assault weapons is not related to more victims or fatalities than other types of guns however the use of hand guns shot guns and high capac

the joint response of stock and foreign exchange markets to macroeconomic surprises using us and japanese data abstract this paper investigates the joint response of stock and foreign exchange fx market returns to macroeconomic surprises employing a system method of estimation that allows for the cross country and cross market interaction for asset returns and risk premia using us and japanese data we find that us stock markets are asymmetrically responsive to domestic developments in output growth and interest rates but are not influenced by macroeconomic surprises from japan the surprise in the fx market seems to affect stock markets in the us and japan respectively in particular we find that the interest rate surprise in the us and inflation surprise in japan tend to overstate the impact that these surprises would have on the respective stock market the impact of the surprises would appear smaller if macroeconomic developments induced by the fx market were incorporated into the model

stock prices and economic news this paper examines the daily response of stock prices to announcements about the money supply inflation real economic activity and the discountrate except for the discount rate survey data on market participants expectations of these announcements are used to identify the unexpected component of the announcements in order to test the efficient markets hypothesis that only the unexpected part of any announcement the surprise moves stock prices the empirical results support this hypothesis and indicate further that surprises related to monetary policy significantly affect stock prices there is only limited evidence of an impact from inflation surprises and no evidence of an impact from real activity surprises on the announcement days there is also only weak evidence of stock price responses to surprises beyond the announcement day this abstract was borrowed from another version of this item

public information and uninformed trading implications for market liquidity and price efficiency abstract we develop a rational expectations equilibrium model in which noise trading comes from discretionary liquidity traders the equilibrium quantity of aggregate noise trading is endogenously determined by the population size of liquidity traders active in the financial market by improving market liquidity public information reduces the expected trading loss of liquidity traders and thus attracts more such traders to the market which negatively affects information aggregation analyzing an alternative setting that models noise trading as coming from hedgers yields similar insights in a setting with endogenous information public information can harm information aggregation both through crowding out private information and through attracting noise trading

news from the u s and japan which moves the yen dollar exchange rate abstract intra daily movements in the yen dollar exchange rate are examined in four non overlapping segments within each business day from january 1980 to september 1985 the results indicate that the dollar tended to appreciate in the new york segment and depreciate in the european segment in three of the four subsamples considered the tokyo segment made virtually no contribution to annual yen dollar rate movements the volatility of the exchange rate also differed across markets finally in examining the relative effects of news from the u s and japan explicitly u s money announcement surprises had the most consistent effects

cointegration and forward and spot exchange rate regressions abstract we investigate the relationship between cointegration models of the current spot exchange rate s t and the current forward rate f t and cointegration models of the future spot rate s t 1 and f t and the implications of this relationship for tests of the forward rate unbiasedness hypothesis fruh we show that simple models of cointegration between s t and f t imply complicated models of cointegration between s t 1 and f t consequently standard methods are often inappropriate for modeling the cointegrated behavior of s t 1 f t and we show that the use of such methods can lead to erroneous inferences regarding the fruh

crime and social interactions the high variance of crime rates across time and space is one of the oldest puzzles in the social sciences this variance appears too high to be explained by changes in the exogenous costs and benefits of crime we present a model where social interactions create enough covariance across individuals to explain the high cross city variance of crime rates this model provides an index of social interactions which suggests that the amount of social interactions is highest in petty crimes moderate in more serious crimes and almost negligible in murder and rape

common stochastic trends in a system of exchange rates univariate tests reveal strong evidence for the presence of a unit root in the univariate time series representation for seven daily spot and forward exchange rate series furthermore all seven spot and forward rates appear to be cointegrated that is the forward premiums are stationary and one common unit root or stochastic trend is detectable in the multivariate time series models for the seven spot and forward rates respectively this is consistent with the hypothesis that the seven exchange rates possess one longrun relationship and that the disequilibrium error around that relationship partly accounts for subsequent movements in the exchange rates a general consensus has emerged in recent years that many macroeconomic time series such as gnp consumption expenditures disposable income etc can be characterized by a stochastic trend model in particular nelson and plosser 22 described this property as one of being difference stationary so that the first difference of a time series is stationary an alternative trend stationary model where a stationary component is added to a deterministic trend term has generally been found to be less appropriate 1 similarly it has long been recognized that many financial time series such as foreign exchange rates are nonstationary e g in meese and singleton 21 the issue of nonstationary is not merely a statistical curiosity but has several important implications for the modeling of exchange rates for instance many models of exchange rate determination under rational expectations require stationarity assumptions when solving out the expected future values of the fundamentals further there has been some controversy over the appropriate transformations to use when conducting tests of whether the forward rate is an unbiased and efficient predictor of the future spot exchange rate 2 some authors e g frenkel 11 12 have conducted tests in levels while geweke and feige 14

does drug illegality beget violence evidence from the crack cocaine wave in sao paulo mimicking the so called great american crime decline violent crime in the state of sao paulo dropped sharply in the 2000s after rising steadily throughout the 1980s and 1990s this paper evaluates the role of crack cocaine in explaining the aggregate dynamics in violence four facts are established first the aggregate data show a tight comovement between the prevalence of crack cocaine and homicides second using city level apprehension and possession data i find a strong elasticity of violent crime with respect to crack cocaine after controlling for year fixed effects city effects and many time varying covariates i use the estimated elasticity to compute the contribution of crack cocaine to aggregate violence crack explains 30 percent of time series variation in the data third only drug trafficking not drug possession has an impact on homicides finally i find no impact on property crimes a weaker impact on attempted murder and interestingly a weak negative impact on aggravated assault the theory suggests that both facts only trafficking matters and crack affects only homicides not property crime can be rationalized only if drug induced crime is driven by systemic violence induced by illegality itself these results are important for policy because they suggest that violence will not follow the legalization of both the possession and trade of powdered cocaine or crack cocaine

information aggregation in a noisy rational expectations economy abstract this paper analyzes a general equilibrium model of a competitive security market in which traders possess independent pieces of information about the return of a risky asset each trader conditions his estimate of the return both on his own private source of information and price which in equilibrium serves as a noisy aggregator of the total information observed by all traders a closed form characterization of the rational expectations equilibrium is presented a counter example to the existence of fully revealing equilibrium is developed

does fomc news increase global fx trading does global currency volume increase on federal open market committee fomc days to test hypotheses of abnormal currency volume on fomc days a new data set from the continuous linked settlement cls bank is used the cls measure captures more than half of the global trading volume in foreign exchange fx markets the evidence shows that fx trading volume increases about 5 in the spot and the spot next market following fomc deliberations the novelty of this result is that the aggregated cls data controls for responses in various derivatives markets a feature that existing studies based on intradaily data for specific trading platforms do not consider

do state minimum wages affect the incarceration rate because of historically unprecedented increases in the prison population since the late 1970s the united states has the highest incarceration rate in the world using becker s 1968 framework on crime this study investigates the causal relationship between incarceration rates and state minimum wages our identification strategy consists of a state level fixed effects model and autor and dorn s 2013 two stage least squares 2sls approach using the historical local industry structure we predict the change in employment shares of manual task intensive occupations and use those as an instrument for state minimum wages the fixed effects and 2sls estimates suggest that a one dollar increase in state minimum wage leads to approximately 12 25 fewer incarcerations per 100 000 state residents estimates of the heterogeneous impacts by race and gender indicate that the aggregate impact of state minimum wages is entirely driven by men

toward a strategic foundation for rational expectations equilibrium a step toward a strategic foundation for rational expectations equilibrium is taken by considering a double auction with n buyers and m sellers with interdependent values and affiliated private information if there are sufficiently many buyers and sellers and their bids are restricted to a sufficiently fine discrete set of prices then generically there is an equilibrium in nondecreasing bidding functions that is arbitrarily close to the unique fully revealing rational expectations equilibrium of the limit market with unrestricted bids and a continuum of agents in particular the large double auction equilibrium is almost efficient and almost fully aggregates the agents information

privately produced general deterrence in this study we use county data on private security establishments and employment for 1977 92 to test two hypotheses first we test whether private security deters crime second we test whether john lott and david mustard s estimates of the impact of shall issue laws on crime are biased because of a lack of controls for private security we find little evidence that private security reduces the crime rates for assault or larceny some estimates suggest murder robbery and or auto theft may be deterred by private security although these results are not robust of all the index crime categories only rape is estimated to have a consistent negative relationship with private security in addition we find little evidence that the lott and mustard results are biased because of a lack of controls for the private security measures employed in this study

the occupations of regulators influence occupational regulation evidence from the us private security industry licensing requirements for us private security firms and guards differ substantially from state to state state regulatory institutions for this industry also vary considerably some states have specialized regulatory boards with industry personnel guards firm owners and or public police as board members while others rely on non specialized regulators such as departments of commerce state professional regulation or consumer affairs these cross state variations in licensing requirements and regulatory institutions provide an opportunity to explore relationships between the two private security regulation is of particular interest in this context because previous empirical research implies that allocating more resources to private security reduces crime and that relatively stringent licensing requirements limit entry thereby increasing crime a panel of 1991 2010 state data is employed to see if particular regulatory institutions are associated with particular licensing requirements empirical results suggest that requirements for entry into this market tend to be relatively strict when active private security personnel are in control of licensing and that different patterns of regulation generally apply when police or non specialized agencies control licensing therefore both public interest and private interest explanations for the observed relationships between the structure of regulatory institutions and resulting licensing requirements are discussed

the impact of mass shootings on gun policy abstract there have been dozens of high profile mass shootings in recent decades this paper presents three main findings about the impact of mass shootings on gun policy first mass shootings evoke large policy responses a single mass shooting leads to a 15 increase in the number of firearm bills introduced within a state in the year after a mass shooting this effect increases with the extent of media coverage second mass shootings account for a small portion of all gun deaths but have an outsized influence relative to other homicides third when looking at bills that were actually enacted into law the impact of mass shootings depends on the party in power the annual number of laws that loosen gun restrictions doubles in the year following a mass shooting in states with republican controlled legislatures we find no significant effect of mass shootings on laws enacted when there is a democrat controlled legislature nor do we find a significant effect of mass shootings on the enactment of laws that tighten gun restrictions

public safety through private action an economic assessment of bids private actions to avoid and prevent criminal victimisation and assist public law enforcement are vital inputs into the crime control process one form of private action the business improvement district bid appears particularly promising a bid is a non profit organisation created by property owners to provide local public goods usually including public safety our analysis of 30 los angeles bids demonstrates that the social benefits of bid expenditures on security are a large multiple about 20 of the private expenditures crime displacement appears minimal crime reduction in the bid areas has been accompanied by a reduction in arrests suggesting further savings given the vital role of private individuals and firms in determining the effectiveness of the criminal justice system and the quality and availability of criminal opportunities private actions arguably deserve a more central role in the analysis of crime and crime prevention policy 1 but the leading scholarly commentaries on the crime drop during the 1990s have largely ignored the role of the private sector blumstein and wallman 2000 levitt 2004 zimring 2007 the potentially relevant trends include growing reporting rates the growing sophistication and use of alarms monitoring equipment and locks the considerable increase in the employment of private security guards and the decline in the use of cash cook and macdonald 2010 private actions can be encouraged or discouraged through regulation of the insurance industry reducing the costs of private co operation with police and courts gun control measures and other means the justification for such measures is the reasonable presumption that many sorts of private action to avoid mitigate and respond to crime generate substantial externalities business improvement districts bids are a particularly promising institution for harnessing private action to cost effective crime control a bid is a non profit organisation created by neighbourhood property owners to provide local public goods including public safety the organisation has the power to tax all the owners in the district including those who did not sign the original petition previous evaluations of bids in los angeles la indicate that they are successful in reducing crime rates brooks 2008 macdonald et al 2009 we provide a further analysis of the costs and benefits including the effect on arrests and spillovers and we estimate a dose response

identifying the effect of unemployment on crime abstract in this paper we analyze the relationship between unemployment and crime using u s state data we estimate the effect of unemployment on the rates of seven felony offenses we control extensively for state level demographic and economic factors and estimate specifications that include state specific time trends state effects and year effects in addition we use prime defense contracts and a state specific measure of exposure to oil shocks as instruments for unemployment rates we find significantly positive effects of unemployment on property crime rates that are stable across model specifications our estimates suggest that a substantial portion of the decline in property crime rates during the 1990s is attributable to the decline in the unemployment rate the evidence for violent crime is considerably weaker however a closer analysis of the violent crime of rape yields some evidence that the employment prospects of males are weakly related to state rape rates

rational expectations information acquisition and competitive bidding most rational expectations market equilibrium models are not models of price formation and naive mechanisms leading to such equilibria can be severely manipulable in this paper a bidding model is developed which has the market like features that bidders act as price takers and that prices convey information higher equilibrium prices convey more favorable information about the quality of the objects being sold than do lower prices bidders can benefit from trading only if they have a transactions motive or if they have access to inside information apart from exceptional cases prices are not fully revealing a two stage model is developed in which bidders may acquire information at a cost before bidding and for which the equilibrium price is fully revealing resolving a well known paradox

the effect of prison population size on crime rates evidence from prison overcrowding litigation simultaneity between prisoner populations and crime rates makes it difficult to isolate the causal effect of changes in prison populations on crime to break that simultaneity this paper uses prison overcrowding litigation in a state as an instrument for changes in the prison population the resulting elasticities are two to three times greater than those of previous studies a one prisoner reduction is associated with an increase of fifteen index i crimes per year while calculations of the costs of crime are inherently uncertain it appears that the social benefits associated with crime reduction equal or exceed the social costs of incarceration for the marginal prisoner

market response to the weekly money supply announcements in the 1970s the hypothesis that the weekly announcement of the money supply affects interest rates is examined the announcement effect is interpreted as a policy anticipation effect that is an unanticipated increase in the money supply leads to an increase in interest rates in anticipation of future tightening by the federal reserve estimates of this effect with proxies for the unanticipated change constructed from a survey of money supply forecasts and an arima model indicate that a financial markets respond very quickly to the announcement and b the response was largest when policymakers emphasized the importance of the monetary aggregates financial market participants are careful observers of the weekly money supply announcement and generally agree that the announcement often leads to changes in interest rates this occurs because the announcement leads market participants to revise their expectations both of future federal reserve policy actions and of future economic conditions in this paper we examine the response of yields on treasury bills to the announcement of the money supply and the extent to which that response has varied in the last ten years money supply announcements may affect market interest rates in three ways first actual expansion of the money supply leads to lower interest rates through a liquidity effect however rapid monetary growth which is not anticipated leads market participants to expect the federal reserve to counteract such growth in the future as a consequence there may be a policy anticipation effect which causes higher interest rates in anticipation of future tightening furthermore prolonged rapid monetary growth also creates inflation and inflationary expectations which lead to higher interest rates thus there may exist a third effect the inflationary expectations effect which also leads to higher interest rates our interest in this paper is in the immediate market response to the weekly announcement of the money supply which as we argue below is most likely to be a policy anticipation effect the policy anticipation effect is best described by example suppose that the announced change in the money supply exceeds that which was expected by

the effects of state and federal background checks on state level gun related murder rates the purpose of the present study was to determine whether firearm background checks are significantly related to gun related murder rates the present study differs from prior research in several ways first a large longitudinal data set is used data for 50 states for the period 1980 2011 are examined second the effects of both federal and state background checks including state mandated private sales background checks are estimated finally a fixed effects model that controls for both state level and year specific effects is used results suggest that states that require dealer background checks have lower gun related murder rates than other states in addition after implementation of the brady act gun related murder rates fell however the results also suggest that for the entire period in question states with private sales background checks had higher gun related murder rates than states with no such background checks if one only looks the brady act period however then the private sales

macroeconomic news surprises volume and volatility relationship in index futures market abstractthis paper examines the role of macroeconomic news surprises on returns volatility of indian index futures market empirical literature posits that news arrivals have an influential impact

trade balance news and exchange rates is there a policy signal abstract contrary to earlier studies surprisingly large us trade deficits are shown to have a significant effect on exchange rates throughout the 1980s three possible reasons for the time varying effect are considered the evidence presented yields the following inference deficit news is likely to have changed expectations of fed intervention that moved exchange rates deficit news probably has an effect on revisions of future deficit expectations and exchange rates change as a result and deficit news may change expectations regarding us trade policy that is reflected in exchange rates

guns violence and the efficiency of illegal markets in economics the standard mechanism for allocating scarce resources is the market a smoothly functioning market however is built upon legally enforceable contracts and property rights in the absence of law it is likely that violence or the threat thereof rather than prices is the means by which resources will be allocated interactions among animals provide clear evidence for this claim dominance hierarchies based on fighting ability also sometimes known as pecking orders have been documented across a wide variety of species e g primates chickens and other birds reptiles lobsters and a broad range of resources including food nesting sites and access to mates warder c allee 1938 john alcock 1993 evidence suggests that violence also plays a critical role in human interactions when property rights are not legally enforceable e g drug dealing and extortion see e g peter reuter 1983 geoffrey canada 1995 in this paper we analyze the determinants of the efficiency with which illegal markets allocate scarce resources we develop a stylized model in which players compete for a fixed prize with the winner determined by fighting ability efficiency in this context is determined by the amount of resources spent on fighting two factors affecting efficiency emerge from the model lethality and predictability perhaps surprisingly the use of more lethal mechanisms for resolving disputes does not have a clear impact on the social costs of violence the intuition underlying this result is that as the costs of losing a fight rise the willingness to fight falls we show that holding other factors constant the resources spent on fighting are lowest when the cost of losing is either very low or very high e g nuclear deterrence but over a wide range of lethality levels the overall social costs of fighting are fairly stable in contrast the costs of violence are critically linked to the predictability of dispute outcomes i e the certainty with which potential combatants know who will be victorious ex ante when the outcome of a conflict is highly correlated with observable characteristics such as strength or size there is little need to actually fight thus unpredictability all else equal increases the expected payoff to fighting for the lower ranked member leading to more conflicts

does the right to carry concealed handguns deter countable crimes only a count analysis can say abstract an analysis of the effects of right to carry laws on crime requires particular distributional and structural considerations first because of the count nature of crime data and the low number of expected instances per observation in the most appropriate data least squares methods yield unreliable estimates second use of a single dummy variable as a measure of the nationwide effect of right to carry laws is likely to introduce geographical and intertemporal aggregation biases into the analysis in this paper we use a generalized poisson process to examine the geographical and dynamic effects of right to carry laws on reported homicides rapes and robberies we find that the effects of such laws vary across crime categories u s states and time and that such laws appear to have statistically significant deterrent effects on the numbers of reported murders rapes and robberies

the reaction of exchange rates to economic news this paper examines the short run responses of spot exchange rates to several types of economic news survey data are used to divide economic announcements into expected and unexpected components with the latter measuring news the results indicate that exchange rates are systematically related to unexpected money announcements after the october 1979 switch in federal reserve operating procedures but not before this response does not appear to have changed however after the october 1982 federal reserve regime change short run exchange rate movements are not systematically related to news on inflation or real activity

diversification and competition financial intermediation in a large cournot walras economy abstract an economy with partially diversified imperfectly competitive cournot intermediaries is replicated the cournot walras equilibrium converges to the perfectly competitive equilibrium with no uncertainty despite the convergence the tension between diversification and competition persists when the economy becomes large and is manifested in the rates of convergence of price quantities and per capita welfare to their respective limits to maximize the rate of convergence of per capita welfare resources must be allocated in a particular way that balances the gains from better diversified intermediaries and the gains from more competition in the intermediation sector journal of economic literature classification numbers d43 d61 d89 g10 g21 l10 l16 o16

the adjustment of stock prices to information about inflation this paper analyzes the reaction of stock prices to the new information about inflation based on daily returns to the standard and poor s composite portfolio from 1953 78 it seems that the stock market reacts negatively to the announcement of unexpected inflation in the consumer price index c p i although the magnitude of the reaction is small it is interesting to note that the stock market seems to react at the time of announcement of the c p i approximately one month after the price data are collected by the bureau of labor statistics

causal parameters and policy analysis in economics a twentieth century retrospective the major contributions of twentieth century econometrics to knowledge were the definition of causal parameters within well defined economic models in which agents are constrained by resources and markets and causes are interrelated the analysis of what is required to recover causal parameters from data the identification problem and clarification of the role of causal parameters in policy evaluation and in forecasting the effects of policies never previously experienced this paper summarizes the development of these ideas by the cowles commission the response to their work by structural econometricians and var econometricians and the response to structural and var econometrics by calibrators advocates of natural and social experiments and by nonparametric econometricians and statisticians this paper considers the definition and identification of causal parameters in economics and their role in econometric policy analysis it assesses different research programs designed to recover causal parameters from data at the beginning of this century economic theory was mainly intuitive and empirical support for it was largely anecdotal at the end of the century economics has a rich array of formal models and a high quality database empirical regularities motivate theory in many areas of economics and data are routinely used to test theory many economic theories have been developed as measurement frameworks to suggest what data should be collected and how they should be interpreted econometric theory was developed to analyze and interpret economic data most econometric theory adapts methods originally developed in statistics the major exception to this rule is the econometric analysis of the identification problem and the companion analyses of structural equations causality and economic policy evaluation although an economist did not invent the phrase correlation does not imply causation 1 economists clari

balance of trade announcements and asset prices influence on equity prices exchange rates and interest rates abstract this paper examines the informational impact of traded balance announcements on asset prices including equities currrencies long and short term debt instruments and financial futures this study finds that in the 1980s prior to the 1985 plaza agreement for international economic cooperation information in trade balance announcements seem to have influenced only interest rates however in the 1985 1987 period such announcements also influenced stock prices and currency values these influences intensity further in the 1987 1988 period thus asset prices are sensitive to news in trade balance announcements and this sensitivity seems to have increased significantly in recent years with important implications for asset pricing models and economic policy formulation jel f30

net trade and market efficiency in grossman and stiglitz 1980 abstract in this paper we correct part b of theorem 6 of grossman and stiglitz gs 1980 we demonstrate that when the private signal tends to be perfect the market converges to strong form efficiency and thus informed and uninformed traders have almost homogeneous beliefs about the stock payoff but there is still significant net trade rather than no trade as erroneously shown by gs we further show that when the stock price becomes more informative and thus traders beliefs about the stock payoff become closer the net trade may increase

the interaction between potential criminals and victims demands for guns abstract i develop a model with endogenous gun ownership and study the interaction between the demands for guns by heterogeneous potential offenders and victims i show that the interaction depends on pervasiveness of guns injury probabilities and in particular the impact of the gun on the probability of success against armed relative to unarmed adversaries while the sanction on armed offense is maximal under plausible conditions the sanction on unarmed offense balances direct deterrence benefits against marginal deterrence costs and corresponding net property losses optimal gun control policy disarms all offenders but allows the attractive potential victims to own guns the paper also discusses the effects of enforcement and price controls on the demands for guns and welfare

a note on economic news and intraday exchange rates abstract measured with intraday data in a 1987 1991 sample period the mark dollar exchange rate was affected by unanticipated information about the trade deficit and the consumer price index the exchange rate showed no significant response to news about money supply industrial production the producer price index or unemployment trade deficit surprises were negatively correlated with the value of the dollar as expected cpi surprises showed a positive correlation as would be predicted by sticky price models of exchange rates the market s reaction to the 8 30am trade deficit announcement was complete by 9am but the market s response to the cpi announcement was not as immediate no significant reaction had occurred by 9am and the spot price did not fully digest the information until 1pm significant responses were present in the 9am 11am and noon hours alternate measures of currency returns failed to explain this delayed response

trade deficit announcements intervention and the dollar abstract the effect of u s trade deficit announcements on the dollar exchange rate from 1980 1988 is examined the announcement is found to affect the dollar only after mid 1984 central bank intervention does not appear to have had a consistent impact on the dollar on the day of the announcement

crime apprehension and clearance rates panel data evidence from canadian provinces the becker 1968 model of crime establishes the importance of the probability of apprehension as a key factor in a rational individual s decision to commit a crime in this respect most empirical studies based on us data have relied on variation in the number of police officers to estimate the impact of the probability of apprehension or capture we measure the probability of apprehension by clearance rates and study their effects on crime rates employing a panel of canadian provinces from 1986 to 2005 ols gmm gls and iv estimates yield statistically significant elasticities of clearance rates ranging from 0 2 to 0 4 for violent crimes and from 0 5 to 0 6 for property crimes these findings reflect the importance of police force crime solving productivity

reactions of real yields and inflation expectations to forward guidance in the united states we study the impact of forward policy rate guidance by the federal reserve s federal open market committee fomc used as an unconventional monetary policy tool at the zero lower bound of the policy rate on real and breakeven us treasury yield curves we find that explicit fomc policy rate guidance announcements led to a significant reduction in real yields at horizons of 2 to 5 years ahead by contrast long term breakeven inflation rates were little affected suggesting that inflation expectations have remained well anchored and that explicit fomc policy rate guidance has not adversely affected central bank credibility

does private security affect crime a test using state regulations as instruments private security is employed to deter criminals from attacking specific targets presumably not to produce general deterrence indeed private security generates negative spillovers as criminals su

alcohol availability and crime lessons from liberalized weekend sales restrictions in february 2000 the swedish state monopoly alcohol retail company launched a largescale experiment in which all stores in selected counties were allowed to keep open onsaturdays we assess the ef

more sneezing less crime health shocks and the market for offenses abstract a large literature points out that exposure to criminal victimization has far reaching effects on public health what remains surprisingly unexplored is that role that health shocks play in explaining aggregate fluctuations in offending this research finds novel evidence that crime is sensitive to health shocks we consider the responsiveness of crime to a pervasive and common health shock which we argue shifts costs and benefits for offenders and victims seasonal allergies leveraging daily variation in city specific pollen counts we present evidence that violent crime declines in u s cities on days in which the local pollen count is unusually high and that these effects are driven by residential violence while past literature suggests that property crimes have more instrumental motives require planning and hence are particularly sensitive to permanent changes in the cost and benefits of crime we find that violence may be especially sensitive to health shocks

efficiency of large double auctions we consider large double auctions with private values values need be neither symmetric nor independent multiple units may be owned or desired participation may be stochastic we introduce a very mild notion of a little independence we prove that all nontrivial equilibria of auctions that satisfy this notion are asymptotically efficient for any alpha 0 inefficiency disappears at rate 1 n 2 alpha

informed speculation with imperfect competition competitive rational expectations models have the unsatisfactory property dubbed the schizophrenia problem by hellwig that each trader takes the equilibrium price as given despite the fact that he influences that price an examination of information aggregation in a non competitive rational expectations model using a nash equilibrium in demand functions shows that the schizophrenia problem is avoided by having each trader take into account the effect his demand has on the equilibrium price given a distribution of private information across traders prices reveal less information than in the competition equilibrium and prices no longer become fully informative in the limit as noise trading vanishes or as traders become risk neutral with small traders the model may become one of monopolistic competition not perfect competition in contrast to the competitive model a reasonable model of endogenous acquisition of costly private information is obtained even when traders are risk neutral

rates of information aggregation in common value auctions we study the rates at which transaction prices aggregate information in common value auctions under the different information structures in wilson rev econ stud 44 1977 511 and pesendorfer and swinkels econometrica 65 1997 1247 we consider uniform price auctions in which k identical objects of unknown value are auctioned to n bidders where both n and k are allowed to diverge to infinity and k n converges to a number in 0 1 the wilson assumptions lead to information aggregation at a rate proportional to n k but the price aggregates information at a rate proportional to n k in the ps setting we also consider english auctions and investigate whether the extra information revealed in equilibrium improves convergence rates in these auctions

the impact of macroeconomic surprises on spot and forward foreign exchange markets abstract this paper evaluates the effects of surprises in 23 types of macroeconomic announcements on foreign exchange rates and on the forward premium several findings emerge first as in the balance of payment framework announcements that convey a decline in consumer demand increase foreign exchange rates second the ppp hypothesis is rejected in favor of portfolio balance effects in determining exchange rates third the behavior of forward premiums is consistent with covered interest rate parity fourth exchange rates respond to announcements related to consumer demand inflation and interest rates but not to the announcements directly related to the general strength of the economy finally among the news releases considered surprises in the treasury budget trade balance and capacity utilization have the strongest influence in the currency market

the term structure of forward exchange premiums and the forecastability of spot exchange rates correcting the errors we develop a framework to extract information regarding subsequent spot rate movements from the term structure of forward exchange premiums while admitting possible deviations from rationality and