maximum likelihood estimation of cointegration in exchange rate models for seven inflationary oecd countries abstract we apply the johansen technique to estimate cointegration in a monetary exchange rate model modified for real exchange rate fluctuations and applied to seven inflationary oecd countries we generally find one or more cointegrating vectors and the signs of their coefficients are broadly consistent with the modified monetary model the adjustment coefficients are also examined our statistical testing is based on bootstrapping and generates much more conservative rejection criteria than the use of asymptotic critical values even after a substantial degree of freedom correction power estimates are also presented finally we conclude that the monetary model unmodified for real exchange rate fluctuations would be inadequate

the out of sample success of term structure models as exchange rate predictors a step beyond abstract a large literature suggests that standard exchange rate models cannot outperform a random walk forecast and that the forward rate is not an optimal predictor of the spot rate however there is evidence that the term structure of forward premia contains valuable information for forecasting future spot exchange rates and that exchange rate dynamics display nonlinearities this paper proposes a term structure forecasting model of exchange rates based on a regime switching vector equilibrium correction model which is novel in this context our model significantly outperforms both a random walk and to a lesser extent a linear term structure vector equilibrium correction model for four major dollar rates across a range of horizons

the efficient hypothesis and deregulation the greek case the impact is examined of the 1988 monetary deregulation in greece on the efficiency of the foreign exchange market a news model reveals that the deregulation of the monetary system contributed to the presence of an efficient foreign exchange market

robust tests for unit roots in the foreign exchange market abstract empirical studies that have tested for unit roots in foreign exchange rate data have assumed independent and identically distributed errors in order to apply dickey fuller test procedures this assumption ignores the temporal dependence of the error sequence present in many simple efficient market tests as discussed in hansen and hodrick 1980 as well as krasker 1980 in this paper we apply unit root test statistics that allow for heterogeneously distributed and mildly dependent error processes and thus provide superior tests of the unit root hypothesis in the case of foreign exchange rates

realignment risk and currency option pricing in target zones abstract this paper extends the krugman target zone model by including a realignment mechanism various properties of that realignment mechanism are discussed the movement of the exchange rate is governed both by a wiener process on fundamental and by a poisson jump process with endogenous realignment size the realignment mechanism is such that except in cases where a speculative attack occurs no jump in fundamental is needed to accompany the jump in the exchange rate a risk neutral valuation of currency options is constructed some properties of option values under realignment risk are illustrated by numerical results

adaptive estimation of cointegrated models simulation evidence and an application to the forward exchange market the paper reports simulation and empirical evidence on the finite sample performance of adaptive estimators in cointegrated systems adaptive estimators are asymptotically efficient even when the shape of the likelihood function is unknown we consider two representations of cointegrated systems triangular cointegrating regressions and error correction models the motivation for and advantages of adaptive estimators in such systems are discussed and their construction is described we report results from the estimation of a forward exchange market unbiasedness regression using the adaptive and competing estimators and provide related monte carlo simulation evidence on the performance of the estimators copyright 1999 john wiley sons ltd

the speculative efficiency hypothesis the hypothesis that forward prices are the best unbiased forecast of future spot prices is often presented in the economic and financial analysis of futures markets this paper considers the hypothesis independently of its implications for rational expectations or market efficiency and in order to stress this fact the term speculative efficiency is used to characterize the state envisaged under the hypothesis if a market is subject to efficient speculation the supply of speculative funds is infinitely elastic at the forward price that is equal to the expected future spot price the expected future spot price is a market price determined as the solution to the underlying rational expectations macroeconomic model although the paper is primarily concerned with testing this hypothesis in the foreign exchange market the methodology introduced in the paper is of general application to all futures markets this abstract was borrowed from another version of this item

continuous time model of uncovered interest parity with regulated jump diffusion interest differential this study investigates to what extent can an exchange rate model built on uncovered interest parity uip match the empirical features of the exchange rate and the interest differential data this article presents a continuous time model of uip in which the interest differential evolves following regulated jump diffusion simulation experiments show that the model is capable of matching several important features of the data inclusion of jumps improves the model to capture persistent dynamics of interest differential and fat tails in exchange rate returns compared to simple diffusion processes

target zones and exchange rate dynamics this paper develops a simple model of exchange rate behavior under a target zone regime it shows that the expectation that monetary policy will be adjusted to limit exchange rate variation affects exchange rate behavior even when the exchange rate lies inside the zone and is thus not being defended actively somewhat surprisingly the analysis of target zones turns out to have a strong formal similarity to problems in option pricing and investment under uncertainty

understanding the family gap in pay for women with children as the gender gap in pay between women and men has been narrowing the family gap in pay between mothers and nonmothers has been widening one reason may be the institutional structure in the united states which has emphasized equal pay and opportunity policies but not family policies in contrast to other countries that have implemented both the authors now have evidence on the links between one such family policy and women s pay recent research suggests that maternity leave coverage by raising women s retention after childbirth also raises women s levels of work experience job tenure and pay

foreign exchange market efficiency and common stochastic trends abstract in a recent paper baillie and bollerslev 1989 using daily data from 1980 to 1985 identified six common stochastic trends in a vector of seven nominal exchange rates implying the existence of one cointegrating vector cointegration implies that granger causality must run in at least one direction that is at least one of the exchange rates is predictable using current available information this result has been interpreted as foreign exchange market inefficiency by many another interpretation is suggested if the stationary linear combination of spot rates proxies for a time varying risk premium in some way then these results could be explained in a rational and risk averse market this possibility is eliminated if the time series properties of the risk premium are incompatible with those of the error correction term specifically it is demonstrated that the forward risk premium is non stationary for the exchange rates that comprise the exchange rate cointegration relationship in this paper the existence of common stochastic trends in a vector of nominal exchange rates is tested over the period 1974 to 1991 the efficiency of foreign exchange markets is then tested by examining the implications of stochastic trends in the forward premium and what this means for the time series properties of a time varying forward risk premium jel f31 g14

maximum likelihood estimation of fractional cointegration with an application to u s and canadian bond rates we estimate a multivariate arfima model to illustrate a cointegration testing methodology based on joint estimates of the fractional orders of integration of a cointegrating vector and its parent series previous cointegration tests relied on a two step testing procedure and maintained the assumption in the second step that the parent series were known to have a unit root in our empirical example of fractional cointegration we illustrate how uncertainty regarding the order of integration of the parent series can be even more important than uncertainty regarding the order of integration of the cointegrating vector when testing for cointegration

gender domestic labor time and wage inequality this paper explores the relationship between domestic labor and wage labor by estimating the relative influence of hours spent in domestic labor e g housework and child care on women s and men s wages it is hypothesized that involvement in domestic activities negatively affects wages and is likely to be an important factor in explaining women s lower wages relative to men findings from ols regression analyses of white currently employed currently married women and men indicate that domestic labor time significantly decreases both sexes wages in order to assess whether this relationship differs by class the sex specific earnings equations also are estimated within the working class and the non working class the negative effect of domestic labor time on both sexes income persists in the within class analyses working class men are more vulnerable to the detrimental influence of domestic production unexpectedly housework and child care time decreases non workingclass women s wages more so than working class women s wages it is noted that these findings should be interpreted with caution due to the cross sectional nature of the data which precludes an unequivocal assessment of potential nonrecursivity in the linkages among key variables in the model overall the findings imply that a more equitable distribution of work in the home is necessary before labor market inequalities between the sexes can be ameliorated

housework wages and the division of housework time for employed spouses while the popular press may have declared housework passe with the advent of the two income household see housework is obsolescent by barbara ehrenreich 1993 for one such example the facts indicate that housework continues to consume a substantial amount of time particularly for women while estimates vary widely depending on the sample examined and the methods used to generate the information representative values of housework time range around 6 14 hours per week for men and 20 30 hours for women since wages are likely to be influenced both directly and indirectly by the time and effort devoted to other activities and since gender differences in household responsibilities are significant and often assumed to be a driving force behind gender earnings differentials decisions regarding the overall amount of time spent on housework and the division of that time within the household are important ones the goal of this paper is to shed some light on these allocation decisions we begin by discussing the various methods by which time and effort spent on housework may affect wages and summarize the available empirical evidence overall the empirical evidence indicates that time spent on housework has a negative effect on wages an effect which is most pronounced for women we next examine the amount of time spent on housework and the division of that time between working spouses to do so we draw upon the human capital literature and the bargaining literature to construct simple regression equations for time spent on housework by each spouse as well as the share of housework time contributed by the husband the results indicate that husbands do less housework than their wives as their relative earnings and hours spent in the labor market increase

multiscale behaviour of volatility autocorrelations in a financial market abstract we perform a scaling analysis on nyse daily returns we show that volatility correlations are power laws on a time range from one day to one year and more important that the exponent is not unique consistently with a multiscale behaviour

on the informational content of spot and forward exchange rates abstract in foreign exchange markets efficiency tests have typically been applied to the forward rate on the argument that the forward rate should be a good proxy for the unobservable market expectations of future spot rates the present study offers innovations in two directions first we utilize a data set which consists of daily observations on spot and forward exchange rates this allows us to match the forward contract with the exact settlement date and to create a large number of non overlapping data sets second and more importantly we show that in general the current spot rate is a better predictor of the future spot rate than is the current forward rate of appropriate maturity

the relationship between the renminbi future spot return and the forward discount rate abstract we use rolling cointegration tests to investigate the relationship between the renminbi daily future spot return and the forward discount rate for the period after the currency regime reform in china in july 2005 we find that there are different regimes after this reform and that the financial crisis affects the relationship between the future spot return and the forward discount rate in china the unbiasedness hypothesis that the forward rate is an unbiased predictor of the future spot rate requires cointegration and a unity coefficient for the forward discount we conclude that the unbiased forward rate hypothesis only holds in spring 2009 when the chinese authorities returned to pegging the renminbi to the us dollar to overcome the turmoil of the global financial crisis

housework fixed effects and wages of married workers although the primacy of household responsibilities in determining gender differences in labor market outcomes is universally recognized there has been little investigation of the direct effect of housework on wages using data from the panel study of income dynamics cross sectional wage regressions reveal a substantial negative relation between wages and housework for wives which persists in specifications controlling for individual fixed effects the evidence for husbands is inconclusive married women s housework time is on average three times that of married men s the addition of housework time to the wage equations increases the explained component of the gender wage gap from 27 30 percent to 38 percent

evidence on the extent and potential sources of long memory in u s treasury security returns and yields unlike equity returns many fixed income return measures appear to display long memory we show that the extent of long memory differs strongly for gross and excess holding period returns on u s treasury securities granger and others have argued that long memory may only reflect infrequent structural breaks we explore the impact of structural instability on tests for long memory and find only weak indications that it lies behind the long memory in our return series the evidence of long memory remains strong for yield and term premia series even after accounting for a series of potential underlying structural changes

foreign exchange market efficiency and cointegration in this note we examine an implication of the cointegration literature for the efficiency of foreign exchange markets in particular if foreign exchange markets are efficient then two spot exchange rates cannot be cointegrated this proposition is tested for 10 dollar bilateral exchange rates over the period january 1973 december 1985

household specialization and the male marriage wage premium empirical research has consistently shown that married men have substantially higher wages on average than otherwise similar unmarried men one commonly cited hypothesis to explain this pattern is that marriage allows one spouse to specialize in market production and the other to specialize in home production enabling the former usually the husband to acquire more market specific human capital and ultimately earn higher wages the authors test this hypothesis using panel data from the national survey of families and households the data reveal that married men spent virtually the same amount of time on home production as did single men albeit on different types of housework estimates from a fixed effects wage equation indicate that the male marriage wage premium is not substantially affected by controls for home production activities household specialization the authors conclude does not appear to have been responsible for the marriage premium in this sample

a note on exchange rate expectations and nominal interest differentials a test of the fisher hypothesis this note tests the hypothesis that nominal interest differentials between similar assets denominated in different currencies can be explained entirely by the expected change in the exchange rate over the holding period this proposition often called the fisher open hypothesis or the hypothesis of perfect asset substitutability has been a major component of recent theories of exchange rate determination and has important implications for monetary policy 1 the fisher hypothesis differs from the covered interest parity theorem enunciated by keynes 11 while covered interest parity equates the nominal interest differential between financial centers to a known premium or discount on forward foreign exchange and is thus in principle riskless fisher parity involves risk in an essential way the two conditions are equivalent only when forward exchange rates equal expected future spot rates recent theoretical work for example that of grauer litzenberger and stehle 8 kouri 12 and frankel 6 shows that this need not be the case when market participants are risk averse thus while covered interest parity must always hold exactly in an informationally efficient asset market with no transactions costs fisher parity need not nominal interest differentials may reflect risk premia in addition to expected exchange rate movements 2 it should be emphasized at the outset that the tests conducted in this paper are really joint tests of the fisher hypothesis and a weak form of foreign exchange market informational efficiency levich 14 has argued that tests of market efficiency are always joint tests involving some hypothesized structure of normal equilibrium returns below we assume informational efficiency and instead test fisher s hypothesized arbitrage condition that nominal interest differentials equal expected percentage changes in exchange rates

long memory in foreign exchange rates using the geweke porter hudak test we find evidence of long memory in exchange rate data this implies that the empirical evidence of unit roots in exchange rates may not be robust to long memory alternatives fractionally integrated autoregressive moving average arfima models are estimated by both the time domain exact maximum likelihood ml method and the frequency domain approximate ml method impulse response functions and forecasts based on these estimated arfima models are evaluated to gain insight into the long memory characteristics of exchange rates some tentative explanations of the long memory found in the exchange rates are discussed

common stochastic trends in international stock markets abstract this paper presents evidence concerning the number of common stochastic trends in the equity markets of the u s japan england germany and canada monthly and quarterly data from january 1974 through august 1990 on morgan stanley s capital international indices are used to compute johansen 1990 tests for common trends the results indicate the presence of a single common trend driving these countries stock markets estimates of the factor loadings suggest that this trend is most important in the japanese market and least important in the canadian market to interpret this evidence the paper demonstrates that under weak conditions the unit root and cointegration structure of stock prices should mirror the unit root and cointegration structure of their dividend payments the paper tests this prediction by constructing national dividend series from capital international s dividend yield data as well as by using gnp data as with stock prices the evidence points to a single common trend although the stochastic properties and relative importance of this trend differs somewhat from the trend in stock prices

public procurement and innovation resurrecting the demand side abstract demand is a major potential source of innovation yet the critical role of demand as a key driver of innovation has still to be recognised in government policy this article discusses public procurement as one of the key elements of a demand oriented innovation policy the paper starts by signaling the new significance of public procurement for innovation policy strategies at the eu level and in a range of european countries it then defines the concept of public procurement and embeds this concept within a taxonomy of innovation policies the rationales and justifications of public procurement policies to spur innovation are discussed followed by a consideration of the challenges and potential pitfalls as well as appropriate institutional arrangements and strategies including some recent empirical examples of good practice it concludes by confronting the public procurement approach with two of the most common objections to it and by considering future prospects

cointegration and market efficiency abstract recently many economists have asserted that asset prices determined in efficient asset markets cannot be cointegrated we show that there is no general equivalence between the existence of arbitrage opportunities and cointegration or for that matter a lack of cointegration whether asset prices are cointegrated is a function of the relevant model we first show a convenient way to calculate the cointegrating vector based on necessary and sufficient conditions for cointegration we then examine particular cases including exchange rates interest rates and spot and forward exchange rates and asset prices with incoem flows reinvested and not reinvested jel f31

robust tests of forward exchange market efficiency with empirical evidence from the 1920s summary this paper provides a robust statistical approach to testing the unbiasedness hypothesis in forward exchange market efficiency studies the methods we use allow us to work explicitly with levels rather than differenced data they are statistically robust to data distributions with heavy tails and they can be applied to data sets where the frequency of observation and the futures maturity do not coincide in addition our methods allow for stochastic trend non stationarity and general forms of serial dependence the methods are applied to daily data of spot exchange rates and forward exchange rates during the 1920s which marked the first episode of a broadly general floating exchange rate system the tail behaviour of the data is analysed using an adaptive data based method for estimating the tail slope of the density the results confirm the need for the use of robust regression methods we find cointegration between the forward rate and spot rate for the four currencies we consider the belgian and french francs the italian lira and the us dollar all measured against the british pound we find support for a stationary risk premium in the case of the belgian franc the italian lira and the us dollar and we find support for the simple market efficiency hypothesis where the forward rate is an unbiased predictor of the future spot rate and there is a zero mean risk premium in the case of the us dollar

convergence to the long run equilibrium the case of natural gas markets abstract intuitively the persistence of a shock may last longer in futures contracts with a longer maturity estimation of the speed with which different contract lengths converges to the long run equilibrium following a shock provides a means for comparing the informational efficiency of the contracts standard empirical investigation of the response of a market to a shock utilizes impulse response analysis however this analysis is problematic since there is not a unique variance covariance decomposition pesaran and shin pesaran m h shin y 1996 cointegration and speed of convergence to equilibrium j econ 71 117 143 introduced an alternative to the standard impulse response analysis the persistence profile by estimating the one step ahead forecast error for the entire system the persistence profile provides a unique measure of the effect of the shock this paper empirically estimates persistence profiles for the natural gas futures market the findings indicate that the persistence of a shock does increase with the contract length

in and out of the labour market long term income consequences of child related interruptions to women s paid work why do canadian mothers have lower incomes than women who have never had children microdata from the 1995 gss allow examination of two hypotheses 1 mothers have spent more time out of the labour force thus acquiring less human capital 2 higher levels of unpaid work lead to fatigue and or scheduling difficulties measuring work history does little to account for the family gap the estimated child penalty is reduced by allowing for human capital depreciation and controlling for unpaid work hours but the two hypotheses together cannot entirely explain the gap jel classification j0 j3 entrees et sorties marche du travail et consequences a long terme des interruptions dans l experience sur le marche du travail a cause des enfants ce memoire se demande pourquoi les femmes canadiennes qui ont eu des enfants ont des revenus plus bas que ceux des femmes qui n en ont pas eus les microdonnees de l enquete sociale generale de 1995 de statistiques canada permettent d examiner deux hypotheses 1 les meres ont passe plus de temps en dehors de la main d oeuvre active et donc ont accumule moins de capital humain ou 2 des niveaux plus eleves de travail non remunere peuvent entrainer fatigue ou difficultes d organisation du temps des efforts pour construire une meilleure image de l experience de travail des femmes ne permettent pas d expliquer cet ecart familial meme si la possibilite qu il y ait depreciation du capital humain reduit la penalisation attachee au fait d avoir un enfant en particulier si l interruption dans l experience sur le marche du travail est suivie d un changement d emploi le nombre hebdomadaire d heures de travail non paye est relie negativement aux revenus et si l on normalise pour tenir compte des heures de travail non paye cela reduit la penalisation attachee au fait d avoir un enfant cependant les deux hypotheses combinees ne suffisent pas pour expliquer l ecart

exogeneity and forward rate unbiasedness recent studies have rejected the forward rate efficiency hypothesis because of a failure to find support for the forward rate unbiasedness condition fruc this condition states that spot and forward rates should be cointegrated with a unit cointegrating vector these studies have focused on inferences drawn from partial system error correction approaches that make critical assumptions concerning the exogeneity of forward rates taking a full systems approach to estimation without any a priori weak exogeneity assumptions we find support for fruc and that spot rates not forward rates are weakly exogenous in the sense of engle hendry and richard 1983 the latter finding implies that the rejection of the fruc in prior research may be due to the incorrect implied exogeneity assumptions

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

fractional integration in agricultural futures price volatilities this article tests whether the volatility of agricultural futures prices exhibits fractional integration volatility series were constructed for fourteen agricultural futures price series with over 5 300 observations per series the volatility series exhibit strong long term dependence which is an indicator of fractional integration a fractional integration model figarch 1 d 1 performs significantly better than a traditional volatility model garch 1 1 in modeling agricultural futures price volatility

long memory and persistence in aggregate output abstract we examine persistence in u s aggregate output by estimating fractionally integrated arima models these models provide better low frequency approximations to the wold representation than previous stochastic specifications and earlier results on the importance of a permanent component emerge as special cases we find evidence of long memory which induces persistence though this long memory need not be associated with a unit root our point estimates indicate that macroeconomic shocks while persistent are distinctly less persistent than many earlier studies suggest however confidence intervals associated with the long run response are quite wide

the covariation of risk premiums and expected future spot exchange rates abstract eugene fama 1984 analyzed the variability and the covariation of risk premiums and expected rates of depreciation we employ three statistical techniques that do not suffer from a potential bias in fama s analysis but we nevertheless conffirms his findings in contrast to his interpretation the results are not necessarily at variance with the predictions of a theoretical model of the risk premium increases in expected rates of depreciation of the dollar relative to five foreign currencies are positively correlated with increases in the expected profitability of purchasing these currencies in the forward market and risk premiums have larger variancies than expected rates of depreciation

gender economics an assessment concerns about gender equality have jumped to the forefront of public debate in recent years and gender economics is slowly affirming its place as a major field of study this assessment examines where we are in terms of gender equality it reviews the theoretical foundations that can explain existing inequalities and documents the empirical findings supported by the theories identifying avenues for future research and providing a fruitful framework to think about the effectiveness of policies and interventions targeting gender inequality in doing so i provide the foundations against which the contributions in this issue can be placed

financial development and economic growth the role of stock markets utilizing time series methods and data from five developed economies we examine the relationship between stock market development and economic growth controlling for the effects of the banking system and stock market volatility our results support the view that although both banks and stock markets may be able to promote economic growth the erects of the former are more powerful they also suggest that the contribution of stock markets on economic growth may have been exaggerated by studies that utilize cross country growth regressions

foreign exchange market efficiency revisited abstract the cointegration of spot rates is neither a necessary nor a sufficient condition to account for the lack of foreign exchange market efficiency instead crowder crowder w 1994 1996 j int money finance 13 551 564 15 661 664 and engel engel c 1996 j int money finance 15 557 560 claimed that the stationarity of the forward premium is crucial to the hypothesis of market efficiency in this paper we employ the panel unit root test of im et al to examine the stationarity of forward premia and interest differentials among nine oecd countries we reject the unit root null for both the time series of the forward premium and interest differential which in turn supports the hypothesis of foreign exchange market efficiency

modeling long run behavior with the fractional arima model abstract when modeling long run behavior fractional arima models can give insights unobtainable with the nonfractional arima models as an application the deterministic trend and unit root with drift models are nested in the fractional arima model this allows testing between the two models based on estimated parameter values this test is applied to postwar us quarterly real gnp the test concludes that gnp is consistent with both models the estimated fractional parameter is significantly smaller than reported in diebold and rudebusch 1989 the difference is explained by bias in the previous estimates relationships with the cumulative impulse response and spectral density at frequency zero are noted

market efficiency and cointegration an application to the sterling and deutschemark exchange markets abstract the assumption that the foreign exchange market is efficient that is that agents are risk neutral and use all available information rationally so that the forward exchange rate is an unbiased predictor of the future spot rate is a property often imposed in theoretical international macroeconomic models although a vast empirical literature has evolved to test market efficiency we use recent developments in the theory of cointegration to provide new methods of testing several aspects of foreign exchange market efficiency we ffind evidence inconsistent with market efficiency for both germany and the united kingdom

no money no honey financial versus knowledge and demand constraints on innovation the paper adds to the literature on the barriers to innovation in two ways first we assess comparatively what mostly constrains firms ability to translate investment in innovation activity into new products and processes whether it is mainly finance as most of the literature would suggest or whether it is mostly knowledge and market related aspects second we suggest a method to correct for the sample selection bias that often affects empirical contributions to this scholarship by filtering out firms that are not interested in innovation from those that struggle to engage in it we obtain a relevant sample of potential innovators which allows us to analyse the comparative effect of financial and non financial barriers on innovation success we find that demand side factors particularly concentrated market structure and lack of demand are as important as financial constraints in determining firms innovation failures this evidence redirects attention from financial to non financial barriers by considering traditional demand market structure and regulation factors involved in reduced firm innovation performance the empirical analysis is based on an unbalanced panel of firm level data from four waves of the uk community innovation survey cis between 2002 and 2010 merged with data from the uk business structure database

matching demand and supply in the agricultural knowledge infrastructure experiences with innovation intermediaries abstract the privatization of agricultural research and extension establishments worldwide has led to the development of a market for services designed to support agricultural innovation however due to market and systemic failures both supply side and demand side parties in this market have experienced constraints in effecting transactions and establishing the necessary relationships to engage in demand driven innovation processes to mitigate these constraints a field of intermediary organizations has emerged to assist agricultural entrepreneurs to articulate demand forge linkages with those that can provide innovation support services and manage innovation processes this article aims to give an overview of the different kinds of the so called innovation intermediaries that have emerged in the netherlands and to report on their contributions and the tensions that are being experienced with regard to their functioning the article concludes with a discussion in which it is argued that the state should play a role as a market facilitator by funding such innovation intermediaries

anomalies foreign exchange most all behavior can be explained by assuming that agents have stable well defined preferences and make rational choices consistent with those preferences in markets that eventually clear an empirical result qualifies as an anomaly if it is difficult to rationalize or if implausible assumptions are necessary to explain it within the paradigm this column will present a series of such anomalies readers are invited to suggest topics for future columns by sending a note with some reference to or better yet copies of the relevant research comments on anomalies printed here are also welcome the address

what is the effect of housework on the market wage and can it explain the gender wage gap abstract does housework reduce the market wage and if so does it have a similar impact for males and females in this paper we survey and evaluate the recent and growing empirical literature on the linkages between housework and the wage rate the review is motivated by unexplained gender wage gaps across studies which consider personal and market related factors we focus on this less studied aspect of wage determination we consider the required modelling framework and provide standardized estimated effects of housework on the hourly wage across studies we evaluate how this literature has addressed potential estimation problems in particular the endogeneity of housework concavity of the housework wage function threshold effects and work effort effects we conclude that the evidence across ordinary least squares instrumental variable fixed effects and two stage least squares results casts serious doubt on the idea that the negative female housework wage relationship is only driven by endogeneity bias or individual specific characteristics yet much more needs to be done to address modelling and data requirements and we point out likely and promising future research directions

on the power of dickey fuller tests against fractional alternatives abstract we examine the properties of dickey fuller unit root tests under fractionally integrated alternatives and find that these tests have quite low power

connecting demand and supply the role of intermediation in public procurement of innovation intermediation in innovation serves to establish or improve the link between different actors with complementary skill sets or interests in order to support the generation and diffusion of innovation this article conceptualises and analyses intermediation between supply and demand using the example of public procurement of innovation it defines specific intermediation needs and functions in different procurement situations and outlines the pre condition for effective intermediation the paper combines and contributes to the growing literature on innovation intermediation and public procurement of innovation as the paper looks at the demand for innovation it adopts a broad understanding of innovation defined as a product service or process that is novel to the buying organisation in order to develop the conceptualisation of intermediation in the process of demanding innovation it builds on the existing rather rudimentary conceptualisation of intermediation in the innovation and management literature it presents an in depth analysis of two very different procurement processes in two cases in a complex public sector setting the english nhs case of a public buying organisation triggering the generation of an innovation and another in which an organisation sought to respond to an innovation offered in the marketplace in both cases the solution bought necessitated strong adaptation processes with considerable learning costs within the buying organisation the paper shows how intelligent and tailored intermediation can tackle some of the well known procedural and capability failures in the process of public procurement of innovation in terms of policy implications the article makes the claim for an increased effort to build up effective intermediation across procurement systems to support agencies in concrete procurement and in doing so to build up capacity for more intelligent public buying while the focus on intermediation responds to an existing gap in the literature on public procurement of innovation the paper has implication for demand supply intermediation more generally

waves and persistence in merger and acquisition activity abstract markov regime switching and sine wave models have been used to capture the apparent wave like behavior in aggregate u s merger and acquisition m and a activity in this paper we offer an alternative characterization of the dynamic structure in m and a activity as a strongly dependent or long memory process

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

does housework lower wages evidence for britain this paper uses the british household panel survey to present the first estimates of the housework wage relationship in britain controlling for permanent unobserved heterogeneity we find that housework has a negative impact on the wages of men and women both married and single who work full time among women working part time only single women suffer a housework penalty the housework penalty is uniform across occupations within full time jobs but some part time jobs appear to be more compatible with housework than others we find tentative evidence that the housework penalty is larger when there are children present

a jump diffusion model for the european monetary system abstract we propose a general continuous time bivariate jump diffusion representation for the exchange rates of european currencies our model captures key features of the exchange rate mechanism fluctuation within bilateral limits is modeled by appropriate diffusion dynamics while discontinuous variation in the level of the fluctuation band is posited to have a jump structure under specific assumptions the probability distribution of the exchange rate process is derived analytically we also perform an empirical investigation of these exchange rates comparing the fit of alternative models we find some evidence of mean reversion inside the bands for these exchange rates jel f33 c51

the term structure of the forward premium abstract most studies of the efficiency of the foreign exchange market focus on a single maturity usually a one month forward exchange rate however one observes that forward contracts of many maturities are simultaneously traded in the foreign exchange market the hypothesis that the foreign exchange market uses all available information has implications for the joint behavior of forward exchange rates of various maturities this paper proposes an equilibrium theory of the term structure of the forward premium the model is tested using data on the german and canadian exchange rates the results indicate that the data are consistent with the theory for germany and inconsistent with the theory for canada

the forward exchange rate and the prediction of the future spot rate empirical evidence abstract this paper examines the characteristics and evaluates the record of the forward exchange rate as a predictor of the future spot rate of three european currencies during the recent period of floating rates the forward rate for 1 3 and 6 months is compared to a simple predictor of no change extrapolations i e a martingale model by the use of theil s inequality ratios theil s measures are then applied to assess the relative importance of the various sources of the forward s prediction errors and the efficiency of the forecast is tested the results show that the forward rate while generally producing unbiased forecasts fails to track the fluctuations in future spot rates and poorly reflects their variations further it does not perform better than the current spot rate in predicting the future spot rate for all the examined forecast leads thus its usefulness for the purpose of business decisions is questioned

real exchange rates under the gold standard purchasing power parity is one of the most important equilibrium conditions in international macroeconomics empirically it is also one of the most hotly contested numerous recent studies for example have sought to determine the validity of purchasing power parity using data from the post bretton woods float and have reached different conclusions we assert that most such studies are flawed for two reasons first the post 1973 data contain by definition only a very limited amount of the low frequency information relevant for examination of long run parity second the dynamic econometric techniques used to model deviations from parity are typically quite crude with respect to admissible low frequency dynamics both deficiencies are rectified in the present paper with dramatic results we construct a new data set of 16 real exchange rates covering more than a century of the classic gold standard period and we study deviations from parity using long memory models that allow for subtle forms of mean

cointegration and predictability of asset prices abstract this article argues that whatever concerns one might have about the identification of a cointegrating relationship with market inefficiency cointegration tests can still be usefully employed to investigate the predictability of asset prices we examine the case of n dimensional systems and show that the standard assumption made in the literature that cointegration implies predictability of all n asset prices is not valid in the presence of r cointegrating vectors only r prices are predictable and standard wald or lm tests carried out within johansen s maximum likelihood ml framework can be used to establish for which prices unpredictability does not hold similarly one can distinguish between joint unpredictability in the short and long run when asset prices are driven by fundamentals

male female differences in hourly wages the role of human capital working conditions and housework this study uses a new data set from a 1986 survey of workers to examine simultaneously the wage effects of human capital household responsibilities working conditions and on the job training the analysis suggests that household responsibilities had a negative effect on women s earnings but the unexplained difference between the earnings of men and women is not greatly reduced by inclusion in the explanatory model of information on either housework or working conditions the presence of children appears to have had a positive effect on the wages of both men and women t wenty years of research on gender differences in earnings have failed to explain the entire wage gap as a consequence of measured differences between male and female workers some researchers view the unexplained residual as evidence of discrimination against female workers others take the position that the entire wage gap is potentially explicable by differences in labor supply according to the latter view an unexplained wage gap remains because the data sets in use do not contain adequate information on all productivity related characteristics this view implies that the unexplained wage gap will be reduced by more comprehensive infor

the national system of innovation in historical perspective contrary to some recent work on so called globalisation this paper argues that national and regional systems of innovation remain an essential domain of economic analysis their importance derives from the networks of relationships which are necessary for any firm to innovate whilst external international connections are certainly of growing importance the influence of the national education system industrial relations technical and scientific institutions government policies cul tural traditions and many other national institutions is fundamental the historical examples of germany japan and the former ussr illustrate this point as well as the more recent contrast between east asian and latin american countries introduction the national system of friedrich list according to this author s recollections the first person to use the expression national system of innovation was bengt ake lundvall and he is also the editor of a highly original and thought provoking book 1992 on this subject however as he and his colleagues would be the first to agree and as lundvall himself points out the idea actually goes back at least to friedrich list s conception of the national system of political economy 1841 which might just as well have been called the national system of innovation the main concern of list was with the problem of germany overtaking england and for underdeveloped countries as germany then was in relation to england he advocated not only protection of infant industries but a broad range of policies designed to accelerate or to make possible industrialisation and economic growth most of these policies were concerned with learning about new technology and applying it the racialist and colonialist overtones of the book were in strong contrast to the inter nationalist cosmopolitan approach of the classical free trade economists and list s belief that holland and denmark should join the german bund and acquire german nationality because of their descent and whole character reads somewhat strangely in the european community of today nevertheless despite these unattractive features of his outlook he clearly anticipated many contemporary theories after reviewing the changing ideas of economists about development in the years since the second world war the world bank 1991 concludes that it is intangible investment in knowledge accumulation which is decisive rather than physical capital investment as was at one time believed pages 33 35 the report cites the new growth theory

quasi fixed inputs and long run equilibrium in production a cointegration analysis this paper proposes a cointegration approach to testing the validity long run equilibrium in production where capital and labour are taken as quasi fixed inputs previous studies consider only capital as the quasi fixed input and do not take account of the time series properties of the variables assuming implicitly that they are stationary the canonical cointegrating regressions ccr procedure is employed to test for cointegration in both the single equation and the seemingly unrelated regressions framework and long run equilibrium conditions are tested the evidence from us manufacturing reveals that capital and labour are not fully adjusted to their long run optimal values casting doubt on the long run equilibrium hypothesis copyright 2001 john wiley sons ltd

forward exchange market unbiasedness the case of the australian dollar since 1984 abstract this paper implements a robust statistical approach to regression with non stationary time series the methods were recently developed in other work and are briefly exposited here they allow us to perform regressions in levels with non stationary time series data they accommodate data distributions with heavy tails and they permit serial dependence and temporal heterogeneity of unknown form in the equation errors with these features the methods are well suited to applications with frequently sampled exchange rate data which generally display all of these empirical characteristics our application here is to daily data on spot and forward exchange rates between the australian and us dollars over the period 1984 1991 following the deregulation of the australian foreign exchange market we find big differences between the robust and the non robust regression outcomes and in the associated statistical tests of the hypothesis that the forward rate is an unbiased predictor of the future spot rate the robust tests reject the unbiasedness hypothesis but still give the forward rate an important role as a predictor of the future spot rate

the nature of the relationship between international tourism and international trade the case of german imports of spanish wine this article deals with the relationship between international trade and tourism we focus on the effect that german tourism to spain has on german imports of spanish wine due to the different stochastic properties of the series under analysis which display different orders of integration a methodology is used based on long memory regression models where tourism is supposed to be exogenous the period covered is january 1998 to november 2004 the results show that tourism has an effect on wine imports that lasts between 2 and 9 months disaggregating the imports across the different types of wine it is observed that only for red wines from navarra penedus and valdepenas and to a certain extent for sparkling wine tourism produces an effect on future import demand from a policy making perspective our results imply that the impact of tourism on the host economy is not only direct and short term but also oblique and delayed thus reinforcing the case for tourism as a means for economic development

marriage and wages a test of the specialization hypothesis we investigate the relationship between marriage and wages among men in britain using panel data our econometric specifications allow for observed and unobserved heterogeneity and explicitly test the role of intra household specialization in explaining the observed relationship our estimates provide evidence for the existence of large selection effects into marriage based on observable and unobservable characteristics that are positively correlated with wages after accounting for individual specific time invariant effects and a wide range of individual household job and employer related characteristics we find a statistically significant premium that can be attributed to productivity differences largely resulting from intra household specialization

floating exchange rates expectations and new information abstract this paper analyzes the relationship between forward exchange rates future spot rates and new information a stochastic model of exchange rate determination is used to formally show how unanticipated changes in the exchange rate determinants or news affect the spot rate the empirical analysis indicates that new information plays an important role in explaining the market forecasting error or difference between the spot rate and the forward rate determined in the previous period

cointegration fractional cointegration and exchange rate dynamics multivariate tests due to johansen 1988 1991 as implemented by baillie and bollerslev 1989a and diebold gardeazabal and yilmaz 1994 reveal mixed evidence on whether a group of exchange rates are cointegrated further analysis of the deviations from the cointegrating relationship suggests that it possesses long memory and may possibly be well described as a fractionally integrated process hence the influence of shocks to the equilibrium exchange rates may only vanish at very long horizons in the article by baillie and bollerslev 1989a it is argued that seven different nominal spot and forward exchange rates all contain unit roots in their univariate time series representations at the same time however the spot exchange rates appear to be tied together in the long run through a cointegration type relationship the latter finding of baillie and bollerslev has attracted particular interest and several studies such as those by hakkio and rush 1991 and sephton and larsen 1991 have already addressed this issue using the same data as the baillie and bollerslev article sephton and larsen 1991 describe the evidence for the presence of cointegration as being fragile and note that mixed conclusions are reached by truncating the baillie and bollerslev sample at different points in time diebold gardeazabal and yilmaz 1994 henceforth diebold et al provide interesting evidence that application of the johansen 1988 1991 tests with and without an intercept will result in different inferences on the baillie and bollerslev data set furthermore diebold et al carry out an ex ante forecasting experiment and find that the addition of an error correction term to the martingale model as implied by the standard cointegration paradigm fails to reduce the prediction mean square error when compared to a simple martingale model this therefore leads diebold et al to conclude that there exists substantial uncertainty regarding the existence of cointegration relationships among nominal dollar exchange rates this article provides some additional evidence on the existence of such a long run relationship among the same seven nominal spot exchange rates after further analysis it appears that a form of cointegration does exist between the exchange rates so that they do not drift apart in the long run we argue that this form of cointegration is

testing the hypothesis of market efficiency in the taiwan us forward exchange market since 1990 this article examines the applicability of the hypothesis of market efficiency in taiwan s foreign exchange market using daily data instead of linear regression based models we consider the possibility that the true data generating process may come from two different distributions and we employ the markov switching approach to analyse this from the results of the two state markov switching model we define state 1 as the efficient state and state 2 as the inefficient one only the 30 day forward rate is able to differentiate between the two states based on the unconditional probabilities from the markov switching model we also find that the 30 day forward rate has a 70 probability in the efficient state which indicates that 70 of all speculators fully extract information when predicting future spot rates while 30 of all investors do not

baby steps the gender division of childcare during the covid 19 pandemic the nature and scale of the shocks to the demand for and the supply of home childcare during the covid 19 pandemic provide a unique opportunity to increase our understanding of the division of home labour and the determinants of specialization within the household we collected real time data on daily lives to document the impact of measures to control covid 19 on uk families with children under the age of 12 we document that these families have been doing the equivalent of a working week in childcare with mothers bearing most of the burden the additional hours of childcare done by women are less sensitive to their employment than they are for men leaving many women juggling work and a lot more childcare with likely adverse effects on their mental health and future careers however some households those in which men have not been working have taken greater steps towards an equal allocation offering the prospect of sharing the burden of childcare more equally in the future

the long memory of the forward premium abstract the estimation of arfima models by approximate maximum likelihood estimation methods reveals the forward premia for the currencies of canada germany and the uk vis a vis the us dollar to be well described by a fractionally integrated process these models imply that all the forward premia are mean reverting although their autocorrelations are quite persistent this degree of persistence has led other studies to erroneously conclude that the forward premia contains a unit root jel c22 e31

common stochastic trends between forward and spot exchange rates abstract the common trend analyses between the forward rate f t and the corresponding future spot rate of the same currency s t 1 have raised several issues notably the sensitivity of the cointegrating relation to a constant term and lag lengths and the non stationarity of the risk premium this paper addresses these issues more rigorously using the daily exchange rate of the pound sterling vis a vis five major currencies viz the canadian dollar french franc german mark japanese yen and us dollar the appropriate deterministic term in the cointegrating space is identified through empirical tests a robust cointegrating relation is found between f t and s t 1 however the hypothesis of unbiasedness of forward rate could not be sustained an alternative measure of risk premium is suggested and its stationarity is confirmed

empirical exchange rate models and currency risk some evidence from density forecasts a large literature in exchange rate economics has investigated the forecasting performance of empirical exchange rate models using conventional point forecast accuracy criteria however in the context of managing exchange rate risk interest centers on more than just point forecasts this paper provides a formal evaluation of recent exchange rate models based on the term structure of forward exchange rates which previous research has shown to be satisfactory in point forecasting in terms of density forecasting performance the economic value of the exchange rate density forecasts is investigated in the context of an application to a simple risk management exercise

on cointegration and exchange rate dynamics baillie and bollerslev 1989 have recently argued that nominal dollar spot exchange rates are cointegrated here we examine an immediate implication of their finding namely that cointegration implies an error correction representation yielding forecasts superior to those from a martingale benchmark in light of a large earlier literature highlighting the predictive superiority of the martingale in an out of sample forecasting exercise we find the martingale model to be superior we then perform a battery of improved cointegration tests and find that the evidence for cointegration is much less strong than previously thought a result consistent with the outcome of the forecasting exercise

stationary time varying risk premia in forward foreign exchange rates abstract there is mounting evidence that forward foreign exchange rates contain time varying risk premia however this evidence is from tests for which statistical inference is based on asymptotic distribution theory furthermore it is uncertain whether risk premia evolve as stationary or nonstationary processes this paper applies two exact small sample pointwise most powerful invariant statistical tests to determine 1 whether forward exchange rates contain time varying risk premia and 2 whether the time varying risk premia are stationary or nonstationary these tests finds strong evidence that forward exchange rates contain stationary time varying risk premia during the recent float evidence from the interwar float is mixed

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

conditional variance and the risk premium in the foreign exchange market abstract we investigate the existence of a risk premium in the foreign exchange market based on the conditional variance of market forecast errors the forecast errors are assumed to follow the arch process introduced by engle 1982 estimation and diagnostic testing of the model are discussed and results are presented for the currencies of the united kingdom france germany japan and switzerland