garch inadequacy for modelling exchange rates empirical evidence from latin america this article checks for the adequacy of using garch models in exchange rate series using the hinich portmanteau bicorrelation test we find that a garch formulation or any of its variants fails to capture the data generating process of the main latin american exchange rates our results highlight the potential of having misleading public policy when estimates are based in garch types of models this article also complements recent similar findings encountered in european and asian economies

chaos in oil prices evidence from futures markets abstract we test for the presence of low dimensional chaotic structure in crude oil heating oil and unleaded gasoline futures prices from the early 1980s evidence on chaos will have important implications for regulators and short term trading strategies while we find strong evidence of non linear dependencies the evidence is not consistent with chaos our test results indicate that arch type processes with controls for seasonal variation in prices generally explain the non linearities in the data we also demonstrate that employing seasonally adjusted price series contributes to obtaining robust results via the existing tests for chaotic structure maximum likelihood methodologies that are robust to the non linear dynamics lend support for samuelson s hypothesis on contract maturity effects in futures price changes however the tests for chaos are not found to be sensitive to the maturity effects in the futures contracts the results are robust to controls for the oil shocks of 1986 and 1991

uncovering nonlinear structure in real time stock market indexes the s p 500 the dax the nikkei 225 and the ftse 100 this article tests for nonlinear dependence and chaos in real time returns on the world s four most important stock market indexes both the brock dechert scheinkman and the lee white and granger neural network based tests indicate persistent nonlinear structure in the series estimates of the lyapunov exponents using the nychka ellner gallant and mccaffrey neural net method and the zeng pielke and eyckholt nearest neighbor algorithm confirm the presence of nonlinear dependence in the returns on all indexes but provide no evidence of low dimensional chaotic processes given the sensitivity of the results to the estimation parameters we conclude that the data are dominated by a stochastic component

international comparisons of productivity and its determinants in the natural gas industry the objective of this paper was to evaluate the performance of the natural gas industry using an inter country comparison of productivity level and its determinants three method ologies multilateral tornqvist productivity analysis managerial index system analysis and non parametric efficiency analysis are employed to make a methodological cross checking and to perform diversified analysis from the empirical results we identified the level and growth rate of productivity of individual firms the results also indicated that the korean gas industry has shown a relatively low level of productivity from the results of managerial performance index analysis we found that during the recent years of regulatory changes the final price of gas has decreased dramatically while the productivity growth has not been enough to offset the effect of decreased output price which has resulted in decreased profit we also examine the extent of the allocative scale and managerial efficiency as source components of the overall efficiency based on the performance of best practiced with the results of this study an effective policy measure could be established to improve the productivity and the overall managerial performance in the natural gas industry q 1999 elsevier science b v all rights reserved

two faces effects of business groups on innovation in emerging economies this paper shows that business groups in emerging economies exert dual effects on innovation while groups facilitate innovation by providing institutional infrastructure groups also discourage innovation by creating entry barriers for nongroup firms and thereby inhibit the proliferation of new ideas this pattern reflects an evolutionary process in which the interplay of the availability of innovation infrastructure and variety of ideas influences the level of innovation in an industry we show that group market share has an inverted u impact on innovation in industrial sectors of both korea and taiwan during the 1981 1995 period institutional differences between korea and taiwan in terms of market structure and industrial policies lead to different innovation thresholds the point at which the marginal costs of increasing group share begin to dominate the marginal benefits in the two countries

regional competitive advantage based on pioneering economic reforms the case of chilean fdi foreign affiliates of chilean companies operating in latin america were more profitable than similar local firms but this difference in profitability has been decreasing over time two case studies of chilean multinationals illustrate our hypothesis that one source of competitive advantage for chilean firms was their know how of business strategy during economic liberalization using empirical and theoretical considerations we analyze whether this hypothesis is valid for other firms and industries

scale economies and optimal size in the swiss gas distribution sector this paper studies the cost structure of swiss gas distribution utilities several econometric models are applied to a panel of 26 companies over 1996 2000 our main objective is to estimate the optimal size and scale economies of the industry and to study their possible variation with respect to network characteristics the results indicate the presence of unexploited scale economies however very large companies in the sample and companies with a disproportionate mixture of output and density present an exception furthermore the estimated optimal size for majority of companies in the sample has shown a value far greater than the actual size suggesting remarkable efficiency gains by reorganization of the industry the results also highlight the effect of customer density on optimal size networks with higher density or greater complexity have a lower optimal size

capacity investment and market power in the economic value of energy firms regulation of energy firms faces the complex problem of balancing private earning a fair rate of return on investment and public assure safe and reliable supply of energy at the lowest possible costs goals tobin s q is a forward looking indicator on investment opportunities and on market power of firms that energy regulators can use for more effective regulation this paper presents the empirical evidence on the determinants of differences in observed values of tobin s q for a sample of large listed energy firms from 10 different countries in the period 2000 2006 we find that adjustment costs represent around sixty percent of the difference between economic and book value of the assets for the representative firm while rents from market power represent the other forty percent therefore across countries there is room for regulatory actions aiming at reducing energy prices but less than what may be inferred from the observed average q values

productivity and efficiency of us gas transmission companies a european regulatory perspective on both sides of the atlantic the regulation of gas transmission networks has undergone major changes since the early 1990s whereas in the us the long standing regime of cost plus regulation was complemented by increasing pipe to pipe competition most european countries moved towards incentive regulation complemented by market integration we study the productivity development of a panel of us interstate companies using data envelopment analysis and malmquist productivity indices results are presented for changes in productivity as well as for several convergence tests the results indicate that taking productivity and convergence as performance indicators regulation has been rather successful in particular during a period where overall demand was flat however we argue that a benchmarking based regulation might have brought about stronger convergence lessons for european regulators are twofold first the us analysis shows that benchmarking of european transmission operators would be possible if data were available second our results suggest that in the long run market integration and competition are alternatives to the current european model

distinguishing between stochastic and deterministic behavior in foreign exchange rate returns further evidence abstract the nature of non linear dependence in hourly exchange rate returns is scrutinized while the brock dechert and scheinkman bds test results reject i i d behavior various correlation dimension estimates reveal little evidence in favor of a low dimensional attractor in the time series

tests and confidence intervals for a class of scientometric technological and economic specialization ratios in economic scientometric and innovation research often so called specialization indices are used these indices measure comparative strengths or weaknesses as well as specialization profiles of the observation units with respect to certain criteria such as patenting and publication or trade activities they allow question like is germany specialized in the export of motor vehicles or is the uk specialized in biotech patents unfortunately little is known about their statistical properties which makes valid inferencing difficult in this article we prove asymptotic normality for a certain class of scientometric technological and some economic though nonmonetary specialization indices we provide asymptotic confidence intervals and demonstrate in an example how to obtain statistically sound results we will also address the problem of normalization of these indicators all procedures proposed are provided in an add on package for r statistical environment

complexity and the character of stock returns empirical evidence and a model of asset prices based on complex investor learning empirical evidence on the distributional characteristics of common stock returns indicates 1 a power law tail index close to three describes the behavior of the positive tail of the survivor function of returns pr r x x a reflection of fat tails 2 general linear and nonlinear dependencies exist in the time series of returns 3 the time series return process is characterized by short run dependence short memory in both returns as well as their volatility the latter usually characterized in the form of autoregressive conditional heteroskedasticity and 4 the time series return process probably does not exhibit long memory but the squared returns process does exhibit long memory we propose a model of complex self referential learning and reasoning amongst economic agents that jointly produces security returns consistent with these general observed facts and which are supported here by empirical results presented for a benchmark sample of 50 stocks traded on the new york stock exchange the market we postulate is populated by traders who reason inductively while compressing information into a few fuzzy notions that they can in turn process and analyze with fuzzy logic we analyze the implications of such behavior for the returns on risky securities within the context of an artificial stock market model dynamic simulation experiments of the market are conducted from which market clearing prices emerge allowing us to then compute realized returns we test the effects of varying values of the parameters of the model on the character of the simulated returns the results indicate that the model proposed in this paper can jointly account for the presence of a power law characterization of the positive tail of the survivor function of returns with exponent on the order of three for autoregressive conditional heteroskedasticity for long memory in volatility and for general nonlinear dependencies in returns

tick size the compass rose and market nanostructure abstract economists have begun using methods borrowed from the physical sciences to search for non linearities in economic and financial data the so called phase portrait from chaos theory in which the values of a time series are plotted against their delayed values is one of the techniques employed for this purpose it has recently been shown however that when returns on traded assets are plotted in this manner in two or three dimensional space surprising patterns arise which seriously distort the conclusions that can be drawn about the underlying data these patterns which resemble a compass rose reflect the microstructure of the market or more specifically the finite size of the ticks by which prices can change in a market the present paper clarifies the reason for this phenomenon it is shown that within the microstructure there exists nanostructure that becomes visible only when the computations are performed without approximation high frequency data from a foreign exchange market are used to illustrate this phenomenon

asymmetric price responses market integration and market power a study of the u s natural gas market we studied the market performance at selected representative natural gas trading hubs in the u s and documented different price behaviors among various hubs with nymex prices as the competitive benchmark we found empirically that the spot price responses at some trading hubs were systematically asymmetric thus demonstrating a market advantage by either buyers or sellers we further found that the presence of market power was a very plausible explanation for this price behavior at some hubs

a class of nonlinear arch models a class of nonlinear arch models is suggested the proposed class encompasses several functional forms for arch which have been put forth in the literature a lagrange multiplier test is developed to test engle s arch specification against the wider class of models this test provides an easily computed diagnostic check of the adequacy of an arch model after it has been estimated the theory is applied to a number of weekly exchange rate series and we find strong evidence of nonlinear arch

real investment options with multiple sources of rare events abstract we value real investment options when the underlying asset follows a mixed jump diffusion process involving various types sources of rare events jumps these jumps are assumed independent of each other with each type having a log normally distributed jump size and a random poisson distributed arrival time they may represent uncertainties about the arrival and impact on the underlying investment of new information concerning technological innovation competition political risk regulatory effects and other sources an analytic solution is presented for european claims call or put options with multiple sources of jumps a discrete time markov chain methodology implemented within a finite difference scheme is proposed for the valuation of american as well as european options the approach is also applicable to financial options with multiple types of rare events the approach is illustrated through valuing complex real options with compound features involving interactions between optimal investment and subsequent operating decisions specifically we value a growth option and an extension option

the dependence of parametric efficiency tests on measures of the price of capital and capital stock for electric utilities this study tests whether various measures of the price of capital and capital stock will influence estimates of electric utility allocative efficiency parametric shadow values are estimated for fuel and capital prices and these values are tested against the hypothesis they are equal to unity the theoretically correct jorgenson type price for capital services results in rejecting the inefficiency hypothesis while a more simplified version of this price does not reject the efficiency hypothesis the exact measure of opportunity cost of capital discounted cash flow or capital asset price does not influence the efficiency conclusions copyright 1989 by blackwell publishing ltd

regulatory performance analysis case study britain s electricity industry the success or failure of the privatisation and liberalisation of electricity supply industries has more often been judged in terms of process than of outcomes in this paper in contrast this performance is assessed in terms of the performance of its associated system of regulatory governance taking the uk s electricity supply industry between 1989 and 2000 as case study initially a vertical cross section of the regulation system gives a finding matrix for the various stakeholders involved and identifying winners and losers from the standpoint of funding flows next a horizontal cross section provides the environmental distributive allocative dynamic and productive efficiencies grid for this system the survey shows that the performance of the british esi regulation system produced benefits although not for all stakeholders and not as fairly as possible the chosen path did not seem sustainable and failed to respect intergenerational transfers as a way of fostering sustainability and equity it was unable to underpin simultaneous improvements in efficiencies over time while redistributing industry s funding flows among the players in a regressive manner

the dow theory william peter hamilton s track record reconsidered alfred cowles test of the dow theory apparently provides strong evidence against the ability of wall street s most famous chartist to forecast the stock market cowles 1934 analyzes editorials published by the chief exponent of the dow theory william peter hamilton we review cowles evidence and find that it supports the contrary conclusion hamilton s timing strategies actually yield high sharpe ratios and positive alphas for the period 1902 to 1929 neural net modeling to replicate hamilton s market calls provides interesting insight into the dow theory and allows us to examine the properties of the theory itself out of sample alfred cowles test of the dow theory apparently provides strong evidence against the ability of wall street s most famious chartist william peter hamilton to forecast the stock market cowles 1934 analysis is a landmark in the development of empirical evidence about the informational efficiency of the market he claims that market timing based on the dow theory results in returns that lag the market in this paper we review cowles evidence and find that it supports the contrary conclusion the dow theory as applied by hamilton over the period 1902 to 1929 yields positive risk adjusted returns the difference in the results is apparently due to t he lack of adjustment for risk cowles compares the returns obtained from hamilton s market timing strategy to a benchmark of a fully invested stock portfolio in fact the hamilton portfolio as cowles interprets it is frequently out of the market adjustment for systematic risk appears to vindicate hamilton as a market timer to estimate the risk adjusted returns that may have been obtained by following the dow theory over the hamilton period we classify the miarket forecasts he made in the 255 editorials published in the wall street journal during his tenure as editor using the risk less rate as a benchmark we find that hamilton s ratio of correct to incorrect calls is higher than would be expected by chance using total return data for the cowles index of stock market returns and the s p index over the 27 year period we find that the

performance of moving average trading strategies over varying stock market conditions the finnish evidence this article examines the profitability of dual moving average crossover dmac trading strategies in the finnish stock market over the period 1996 to 2012 it contributes to the existing technical analysis literature by comparing for the first time the performance of dmac trading portfolios of individual stocks to the performance of index trading strategies based on trading on an index that consists of the same stocks the results show that their relative performance varies over time whereas previous studies have documented outperformance of index trading strategies over trading strategies of stock portfolios moreover the great majority of 3020 dmac strategies examined in this article outperform the corresponding buy and hold b and h strategy for both trading targets i e omx helsinki 25 index and individual stocks included in the index in out of sample tests in addition the decomposition of the full sample period performance into separate bull and bear period performance shows clearly that th

nonlinear dynamics and stock returns simple deterministic systems are capable of generating chaotic output that mimics the output of stochastic systems for this reason algorithms have been developed to distinguish between these two alternatives these algorithms and related statistical tests are also useful in detecting the presence of nonlinear dependence in time series in this article the authors apply these procedures to stock returns and find evidence that indicates the presence of nonlinear dependence on weekly returns from the center for research in security prices value weighted index copyright 1989 by the university of chicago

using genetic algorithms to find technical trading rules1 abstract we use a genetic algorithm to learn technical trading rules for the s p 500 index using daily prices from 1928 to 1995 after transaction costs the rules do not earn consistent excess returns over a simple buy and hold strategy in the out of sample test periods the rules are able to identify periods to be in the index when daily returns are positive and volatility is low and out when the reverse is true these latter results can largely be explained by low order serial correlation in stock index returns

efficiency and performance in gas distribution evidence from brazil this article analyses the current state of the gas distribution industry in brazil by identifying the main factors that determine its efficiency in order to test the performance of the industry we have calculated the firms technical efficiency during the period 2001 2009 we analyse whether some economic and technological factors as consumer density load factor or regulation among others have affected the performance of this industry we show that companies serving markets with different customer characteristics diversification have reached higher levels of efficiency and evolved faster moreover the private ownership and price cap regulation are more efficient in relation to public ownership and cost of service regulation these findings are important to support the improvement of the regulation of gas distribution in the brazilian states

a tale of two economies economic restructuring in post socialist poland abstract this paper examines poland s post socialist economic transformation at the industry level cluster analysis is used to group sectors which have experienced similar patterns of transformation the analysis identifies two distinct patterns in one group sector restructuring has been accomplished largely through firm turnover the economic incentives established with the 1990 big bang reforms have been sufficient to promote restructuring in this group in a second group restructuring has lagged industry restructuring has been held back by slow progress in restructuring large state owned enterprises several explanations for this dichotomy and the implications for reform are discussed

malmquist indices of productivity change in the uk gas industry before and after privatization the uk government s privatization programme was justified in terms of potential efficiency gains this paper concentrates on measures of technical efficiency in the regions of the uk natural gas industry before and after privatization and the associated regulatory changes it uses non parametric frontier analysis and malmquist indices to show that the rate of productivity growth increased significantly after privatization however the differences in technical efficiency amongst regions remain suggesting that failure to break up the industry has sacrificed potential gains from direct competition or indirect competition through yardstick regulation

corporate failure prediction in the european energy sector a multicriteria approach and the effect of country characteristics this study examines the development of corporate failure prediction models for european firms in the energy sector using a large dataset from 18 countries the construction of the models is based on a multiple criteria decision aid mcda approach taking into account both ordinal criteria and nominal country sector effects the analysis is based on different modeling specifications first traditional financial variables are examined which are then extended with additional country level data related to the economic and business environment as well as data about the energy efficiency policies of the countries and the characteristics of their energy markets and networks the results indicate that energy related attributes have high discriminating power and add valuable information compared to the other attributes

liberalizing european airlines cost and factor productivity evidence abstract european countries do not all share the same view concerning the benefits of increased competition among airlines in europe to explain this difference in attitudes the paper presents evidence on differences in costs and global factor productivity between the main european national flag carriers the data reveal a clear distinction between the main european and north atlantic routes unit costs per passenger kilometer are lower in north atlantic routes and unit profits are higher in european routes the first result reflects the economies of scale due to higher distances and traffic density on north atlantic routes the second result is an indication of the lower level of competition between airlines in europe finally tornqvist factor productivity growth indexes 1981 1986 show that the initial gap which existed between these productivity measures at the beginning of the period is shrinking this suggests that the european airline industry is currently in a more favorable situation to support more competition

a cluster analysis study based on profitability and financial indicators in the italian gas retail market in the european union the natural gas market is increasingly being liberalized the liberalization process is aimed at leading to lower prices and higher volumes and hence higher consumer welfare this paper focuses on the changes in performance in the natural gas retail market by analyzing the profit and financial position of the companies concerned over the first three years following the market liberalization the balance sheets of 105 italian companies in this sector are analyzed after which a cluster analysis is performed employing the most significant performance indexes the companies are then analyzed within each cluster with respect to age size geographical location and business diversification the results of our analysis show that the majority of companies attained a high level of performance although this positive outcome was mitigated by the gradual decrease of the average values of performance indicators during the period concerned the companies that achieve the best performances belong to longstanding business groups are medium large sized and are located in the north of the country regarding business diversification in the first two years the specialised companies outperformed the diversified companies

an analysis of technology productivity and regulatory distortion in the interstate natural gas transmission industry 1977 1985 the purpose of this paper is to provide the first comprehensive firm level analysis of cost structures and production in the interstate pipeline industry during the transition from price regulation to partial deregulation 1977 85 the regulatory changes during this period were numerous and complex we do not attempt to isolate the impact of any single change in regulation rather we examine how the regulatory environment as a whole affected the industry our study is based on a newly constructed panel of twenty four interstate pipeline firms we give particular attention to the impact of output change technical change scale economies and non optimal input allocation on total factor productivity growth and the implication of the 1978 natural gas policy act partial price decontrol relative to total wellhead price decontrol for residential commercial utility and industrial consumers of natural gas and for the transport industry itself 1998 john wiley sons ltd

export performance in china s regional economies china enjoyed unprecedented economic growth in the 1980s and 1990s associated with this growth was the rapid expansion of exports from the chinese regions this study aims to provide an empirical assessment of export performance in the chinese regions during 1992 2001 it has shown that on an average china s regional economies have only achieved 70 of their export potential leaving substantial scope for improvement there is also considerable variation in export performance among the chinese regions with the noncoastal areas lagging behind in addition this article also shows that several region specific factors e g foreign direct investment government spending infrastructure development and the nonstate sector have affected regional export performance positively furthermore it is found that the development of china s western regions has boosted and will continue to improve the export sectors in these regions

us natural gas markets how efficient are they in this communication we discuss some key features of the natural gas cash and futures markets for natural gas in the usa we also summarize some important and interesting problems in these markets for example the market does not appear to be informationally efficient throughout the usa this lack of efficiency has been addressed by the establishment of a second futures contract market there is also a very active unregulated derivatives market in which options and swaps are bought and sold although the market has changed significantly to better respond to changes in market conditions there are still problems in the way that pipeline space is allocated by pipeline companies who still own the pipe to those companies that have rights to this space there are also problems in that prices for gas and transport are not transparent to many buyers and sellers moreover there are also important idiosyncracies and industry practices that impede progress none the less the different parts of the industry with different interests and expertise and the regulatory authority continue to work at crafting rules to improve business behaviour and performance

profit productivity and price differential an international performance comparison of the natural gas transportation industry the objective of this paper is to evaluate the performance of natural gas transportation utilities focusing on the three key strategic performance measures of profit productivity and price differential we propose a methodology that expresses the three performance measures in a unified single equation using the edgeworth index the proposed methodology is applied to an international comparison of the performance of 28 natural gas transportation utilities operating in eight countries in which the business environments differ greatly the empirical results show the possible causes of performance differences and may shed some light on the direction of regulatory policy especially for developing countries that have relatively short histories in the natural gas industry such as korea

candlestick technical trading strategies can they create value for investors abstract we conduct the first robust study of the oldest known form of technical analysis candlestick charting candlestick technical analysis is a short term timing technique that generates signals based on the relationship between open high low and close prices using an extension of the bootstrap methodology which allows for the generation of random open high low and close prices we find that candlestick trading strategies do not have value for dow jones industrial average djia stocks this is further evidence that this market is informationally efficient

an analysis of cost efficiency in swiss multi utilities this study presents an empirical analysis of the cost efficiency of a sample of swiss multi utilities operating in the distribution of electricity natural gas and water the multi utilities that operate in different sectors are characterized by a strong unobserved heterogeneity therefore the measurement of their performance poses an important challenge for the regulators the purpose of this paper is to study the potential advantages of recently developed panel data stochastic frontier models in the measurement of the level of efficiency for multi utility companies these models are estimated for a sample of 34 multi output utilities operating from 1997 to 2005 the alternative models are compared regarding the cost function slopes and inefficiency estimates for the inefficiency estimates the correlation between different models and the effect of econometric specification have been analyzed the results suggest that the inefficiency estimates are substantially lower when the unobserved firm specific effects are taken into account

pairs selection and outranking an application to the s p 100 index pairs trading is a popular quantitative speculation strategy this article proposes a general and flexible framework for pairs selection the method uses multiple return forecasts based on bivariate information sets and multi criteria decision techniques our approach can be seen as a sort of forecast combination but the output of the method is a ranking it helps to detect potentially under and overvalued stocks a first application with s p 100 index stocks provides promising results in terms of excess return and directional forecasting

competitive shocks and industrial structure the case of polish manufacturing abstract a large number of countries have recently experienced competitive shocks sudden increases in the role that market forces play in determining the evolution of various industries in this paper we study the implications of poland s competitive shock for three elements of the structure of that country s manufacturing sector entry concentration and foreign presence our analysis underlines the importance of explicitly identifying the specific distortions built into initial pre shock industrial structure and lags in their adjustment to more competitive conditions

everybody merges with somebody the wave of m as in the energy industry and the eu merger policy abstract almost all the main european energy companies have recently shown an unprecedented activism on financial markets and the wave of m as seems far from being over a sound understanding of the wave can provide hints on the future developments of the market and the effects on merger policy these operations are explained by several reasons ranging from the pan european players strategy to the creation of national champions from the objective to merge gas and electricity businesses convergence mergers to the aim of re building a vertical dimension of the industry after liberalization in face of such a broad range of motivations merger policy has to be applied consistently to each case and case law is developing to better address energy specific issues still the characteristics of the energy industry may allow for more economic insight and a longer term perspective in merger cases in order to guarantee that energy and merger policy are leading to the same objectives through different tools

a framework for analyzing changes in strategic performance in this paper we present a framework for analyzing changes in strategic performance traditional measures for comparing the strategic performance across firms or over time have been return on investment roi and its component ratio return on sales ros we decompose the ros ratio into four separate ratios that capture the impact of changes in a firm s productivity price recovery product mix and capacity utilization on its profitability these ratios help to highlight the micro sources of strategic success or failure they can be used to assess changes in the performance of a firm compared to itself over time or to other firms in its industry group this framework can also be used to evaluate changes in the dynamic performance of an industry as a whole we illustrate the use of these ratios with a 4 year analysis of the performance of a large manufacturing company we also demonstrate how the technique can be applied to an industry with an evaluation of the performance of u s telecommunications firms between 1975 and 1987 a period during which the industry experienced a progressive increase in competitive pressure

responses to electricity liberalization the regional strategy of a chilean generator abstract chilean reformers joined the new trend toward liberalization of the electricity markets around 1980 12 years before any other latin american country this paper summarizes the main characteristics of the electricity reforms in chile and other latin american countries it then analyzes the strategic response by the electricity generating company endesa de chile to these reforms endesa completely reformulated its competitive strategy its most significant commitments were its investments across latin america in privatized power plants in argentina peru colombia and brazil endesa based its internationalization on its chilean experience in transforming an inefficient state owned firm and operating it in the new electrical regulatory framework favorable to market competition the company s competitive advantage originated to a great extent in that chile was the first country in latin america to reform its electrical sector

exchange rate dynamics central bank interventions and chaos control methods abstract we use a simple chartist fundamentalist model developed by day and huang to explore recent chaos control algorithms as potential candidates for central bank intervention rules we find that methods such as delayed feedback control ogy and constant feedback have in principle the potential to reduce exchange rate variability and deviations from fundamentals even in the presence of large dynamic noise

chaotic dynamics in a cash in advance economy abstract this paper introduces sufficient conditions for the existence of deterministic cycles and chaos in cash in advance models building on the earlier work of woodford 1994 chaotic equilibria are shown to be particularly likely in the cash in advance model because of a unique characteristic of such models a discontinuous derivative in the difference equation map at the satiation level of real balances the existence of a kink means that chaotic equilibria may exist without implausibly large curvatures in the utility function since a chaotic time series that makes use of the kink would sometimes exhibit zero nominal interest rates the paper also gives an example of chaos in which nominal interest rates remain strictly positive

investigating geography and institutions as determinants of foreign direct investment in africa using panel data this article uses a cross country econometric approach to identify the determinants for foreign direct investment fdi in africa the contribution is 3 fold firstly we recognize that the estimation techniques used elsewhere such as ordinary least squares may be flawed we therefore use a dynamic one step generalized method of moments gmm estimator due to arellano and bond 1991 the gmm estimates identified a number of robust determinants of fdi namely government consumption inflation rate investment governance political stability accountability regulatory burden rule of law and initial literacy it is concluded that geography does not seem to have a direct influence on fdi flows to africa neither market seeking nor re exporting motives of fdi seem to dominate with different policy instruments being significant in the different specifications this does not discount the importance of good policies but probably indicates the importance of good policies made by good institutions institu

cointegration and detectable linear and nonlinear causality analysis using the london metal exchange lead contract this study applies linear and nonlinear granger causality tests to examine the dynamic relation between london metal exchange lme cash prices and three possible predictors the analysis uses matched quarterly inventory uk treasury bill interest rates futures prices and cash prices for the commodity lead traded on the lme the effects of cointegration on both linear and nonlinear granger causality tests is also examined when cointegration is not modelled evidence is found of both linear and nonlinear causality between cash prices and analysed predictor variables however after controlling for cointegration evidence of significant nonlinear causality is no longer found these results contribute to the empirical literature on commodity price forecasting by highlighting the relationship between cointegration and detectable linear and nonlinear causality the importance of interest rate and inventory as well as futures price in forecasting cash prices is also illustrated failure to detect significant

productivity changes in the gas and fuel corporation of victoria abstract the study reveals that the total factor productivity in the gfcv continued to increase throughout the study period except for a brief period between 1983 84 and 1984 85 which was mainly the result of the decline in the industrial demand for gas and a decelerated growth rate in residendial demand the productivity gains were found to be highly sensitive to the rates of depreciation and discount rates assumed the estimated terms of trade suggest that the increase in gas prices was lower than the increase in the aggregate input prices the gfcv paid particularly to capital and labour however while the price index of reticulated gas increased to 2 17 the purchase price declined to 0 96 over the study period the productivity gains by the gfcv seem to have been shared with its customers

non linear granger causality in the currency futures returns abstract this paper examines the relationship between currency futures returns by employing a test for non linear causality the results indicate evidence of unidirectional non linear causality relationship in four cases however after filtering the returns using a garch 1 1 model we find insignificant and statistically weaker non linear causality relationships

institutions transaction costs and entry mode choice in eastern europe the process of change from a centrally planned system to a market economy generates an institutional framework that is only partially reformed and therefore inconsistent and unstable this leads to high transaction costs for economic agents multinational enterprises entering transition countries have to adapt their strategies to the local institutions and reduce exposure to highly imperfect markets this paper analyzes how the costs of organizing business in transition environments influence entry mode choice the empirical results show that host country institutions in transition economies have an impact on the choice of entry modes moreover different mechanisms determine the internalization of managerial and technological knowledge

a goal programming constrained regression review of the bell system breakup the recently implemented court decision to break up bell american telephone telegraph co to accord with u s anti trust laws represents a highly significant policy decision which is proving to be influential in other countries as well as the u s the telecommunication industry is of such size and importance that even relatively small economies that might be lost with bell s breakup as a natural monopoly could involve substantial welfare losses to consumers and producers studies commissioned by the u s justice department that approached this topic by econometric methods reported that the evidence failed to support the contention that bell was a natural monopoly here a goal programming constrained regression as developed in the management science literature uses the same functional form and the same data but nevertheless reverses the main findings of the econometric studies in every one of the 20 years covered this kind of difference in results obtained by two different methods of analysis poi

is technical analysis in the foreign exchange market profitable a genetic programming approach using genetic programming techniques to find technical trading rules we find strong evidence of economically significant out of sample excess returns to those rules for each of six exchange rates over the period 1981 1995 further when the dollar deutsche mark rules are allowed to determine trades in the other markets there is significant improvement in performance in all cases except for the deutsche mark yen betas calculated for the returns according to various benchmark portfolios provide no evidence that the returns to these rules are compensation for bearing systematic risk bootstrapping results on the dollar deutsche mark indicate that the trading rules detect patterns in the data that are not captured by standard statistical models

foreign direct investment industrial restructuring and the upgrading of polish exports this paper poses a central question in relation to the economic structural effect of foreign direct investment fdi with polish manufacturing as an empirical case how fdi coincides with the technology intensity of polish exports a short review of the available literature discusses critically the possibility of establishing one sided cause effect relationships between trade and fdi subsequently the empirical analysis investigates what role incoming fdi appears to have played in relation to polish export specialization over the period 1989 1996 results indicate that fdi has affected positively the technology intensity of the polish export base

performance based regulation of the electricity supply industry in hong kong an empirical efficiency analysis approach this paper presents an empirical efficiency analysis approach to analyze the efficiency and performance of utilities and its effects on prices under the price cap performance based regulation pbr model a data envelopment analysis dea like frontier based method is used to compute the total factor productivity with the malmquist productivity index results of case studies support the use of the approach to account for the relation of the x factor and the pbr model on the two power utilities in hong kong s electricity supply industry

efficiency performance and regulation of the international gas industry a bootstrap dea approach abstract natural gas has become increasingly important as a source of energy in recent years it is widely viewed as an attractive means of realizing environmental objectives post kyoto and individual country gas industries have been extensively restructured to encourage investment from the private sector barriers to international trade in gas have fallen particularly in areas such as europe and asia as pipeline facilities have expanded and trading systems have become established an important question for policy makers concerns the use of scarce resources by this expanding industry regulatory authorities increasingly use efficiency comparators to incentivise minimum cost use of resources by price cap methods yardstick competition and other techniques this paper explores some of the policy developments which affect efficiency of resource use in the gas industry and uses data envelopment analysis to measure relative performance at the individual country level recent developments in bootstrapping techniques are used to correct efficiency estimates for bias and to assess the uncertainty surrounding such estimates the implications of these results for regulatory authorities are then explored

some empirical evidence on the time series properties of four uk asset prices in this paper the authors examine the time series behavior of four u k asset prices and estimate two types of models for the differenced series much previous research has found the presence of time varying heteroskedasticity in the error process for asset prices a linear model with gqarch errors is compared to a joint bilinear model with gqarch errors the latter choice motivated by the ability of bilinear models to capture turbulent behavior the adequacy of these models is determined by examining simulations and also employing test statistics the forecasting performance of the two models is also compared copyright 1996 by the london school of economics and political science