cash transfer programs with income multipliers procampo in mexico abstract cash transfer programs create multiplier effects when recipients put the money they receive to work to generate further incomes when this is the case the ultimate income effects are multiples of the amounts transferred we analyze the procampo program in mexico that was introduced to compensate farmers for the anticipated negative effect of nafta on the prices of basic crops the transfer rules and the timing of the panel data collected allow unique control of biases in this impact analysis we find that the multiplier among ejido sector recipients is in the range 1 5 2 6 multipliers are higher for households with medium and large farms low numbers of adults in the household nonindigenous backgrounds and located in the center and gulf regions high multipliers reflect income opportunities that had remained unrealized due to liquidity constraints that are relaxed by the transfers opportunities come from the asset endowments that these households received through the land reform particularly irrigated land and they are enhanced by access to technical assistance

equity returns and integration is europe changing this paper analyses the consequences of the process of financial and economic integration on european equity markets it documents significant changes in fundamentals notably an increased synchronization of macroeconomic activities and a non negligible evolution in pricing with a decrease in the cost of capital and converging equity premiums as to equity returns themselves in the face of what could turn out to be long run upward trends in the correlations among both country and sector returns and a narrowing of the superiority of country factors the benefits to be gained from finding diversification opportunities at a more disaggregated level appear to be higher than ever copyright 2004 oxford university press

systemic risk contributions a credit portfolio approach we put forward a merton type multi factor portfolio model for assessing banks contributions to systemic risk this model accounts for the major drivers of banks systemic relevance size default risk and correlation of banks assets as a proxy for interconnectedness we measure systemic risk in terms of the portfolio expected shortfall es banks marginal risk contributions are calculated based on partial derivatives of the es in order to ensure a full risk allocation among institutions we compare the performance of an importance sampling algorithm with a fast analytical approximation of the es and the marginal risk contributions furthermore we show empirically for a portfolio of large international banks how our approach could be implemented to compute bank specic capital surcharges for systemic risk or stabilisation fees we nd that size alone is not a reliable proxy for the systemic importance of a bank in this framework in order to smooth cyclical uctuations of the risk measure we explore a time varying condence level of the es

network models and financial stability abstract systemic risk is a key concern for central banks charged with safeguarding overall financial stability in this paper we investigate how systemic risk is affected by the structure of the financial system we construct banking systems that are composed of a number of banks that are connected by interbank linkages we then vary the key parameters that define the structure of the financial system including its level of capitalisation the degree to which banks are connected the size of interbank exposures and the degree of concentration of the system and analyse the influence of these parameters on the likelihood of knock on defaults first we find that the better capitalised banks are the more resilient is the banking system against contagious defaults and this effect is non linear second the effect of the degree of connectivity is non monotonic i e initially a small increase in connectivity increases the contagion effect but after a certain threshold value connectivity improves the ability of a banking system to absorb shocks third the size of interbank liabilities tends to increase the risk of knock on default even if banks hold capital against such exposures fourth more concentrated banking systems are shown to be prone to larger systemic risk all else equal in an extension to the main analysis we study how liquidity effects interact with banking structure to produce a greater chance of systemic breakdown we finally consider how the risk of contagion might depend on the degree of asymmetry tiering inherent in the structure of the banking system a number of our results have important implications for public policy which this paper also draws out

credit market constraints consumption smoothing and the accumulation of durable production assets in low income countries investments in bullocks in india in this paper we formulate and estimate a finite horizon structural dynamic model of agricultural investment behavior that incorporates the major features of low income agricultural environments income uncertainty constraints on borrowing and rental markets and the use of investment assets to generate income and smooth consumption the model is fit to longitudinal indian household data on farm profits bullock stocks and pump sets the estimated structural parameters are used to assess the effects on the life cycle accumulation of bullocks agricultural profits and welfare associated with complete markets and bullock liquidity and with second best policies that provide assured sources of income to farmers and weather insurance

the impact of progresa on food consumption abstract in this article we used data from the mexican poverty alleviation program called progresa programa de educacion salud y alimentacion to examine whether eligibility for a cash transfer provided by the program conditional on children s regular school attendance and regular visits to health centers is also associated with increased consumption of food we used a longitudinal sample of approximately 24 000 households from 506 communities a distinguishing characteristic of this sample was that some of the communities were randomly selected for participation in progresa while the rest were introduced into the program at later phases exploiting this feature in our analysis we found that eligible households in the villages covered by progresa increased caloric acquisition compared with eligible households not receiving these benefits by november 1999 median beneficiary households in treatment localities obtained 6 4 more calories than did comparable households in control localities perhaps eve

cash transfers in latin america effects on poverty and redistribution we present comparative evidence for eight latin american countries regarding the design and effects of cash transfers cts on the basis of household survey data we analyze their coverage importance in household income and effects on poverty reduction and income redistribution we present a static microsimulation to analyze the potential impacts of alternative pro gram designs including perfect targeting and higher budgets our results illustrate wide variation in terms of design coverage and importance in household income cts account for a significant portion of household income in lower deciles nonetheless their effects in terms of reducing the incidence intensity and severity of poverty are moderate at best and although their progressivity is high their redistributive impact is limited these results are mainly explained by the meager resources involved even under perfect targeting the budgets allocated would be insufficient to achieve full coverage among households in the lowest part of the income distribution

the ex dividend day behavior of canadian stock prices tax changes and clientele effects with some simple assumptions the ex dividend day price drop and the associated dividend can be used to measure the market s marginal tax rate previous research has estimated the implied tax rate for the u s this paper extends the analysis to canada where the tax treatment of dividends and capital gains is completely different from that in the u s the paper also presents estimates from 1970 80 to include four distinct periods when the tax treatment was different hence we include an implied test of market efficiency as well as those for the relevance of taxes and the existence of tax based dividend clienteles

estimating systemic risk in the international financial system this paper develops three distinct methods to quantify the risk of a systemic failure in the global banking system we examine a sample of 334 banks representing 80 of global bank equity in 28 countries around five global financial crises our results suggest statistically significant but economically small increases in systemic risk although policy responses are endogenous the low estimated probabilities suggest that the distress of central bankers regulators and politicians about the events we study could be overstated and that current policy responses to financial crises could be adequate to handle major macroeconomic events

the short term impact of unconditional cash transfers to the poor experimental evidence from kenya we use a randomized controlled trial to study the response of poor households in rural kenya to unconditional cash transfers from the ngo givedirectly the transfers differ from other programs in that they are explicitly unconditional large and concentrated in time we randomized at both the village and household levels furthermore within the treatment group we randomized recipient gender wife versus husband transfer timing lump sum transfer versus monthly installments and transfer magnitude us 404 ppp versus us 1 525 ppp we find a strong consumption response to transfers with an increase in household monthly consumption from 158 ppp to 193 ppp nine months after the transfer began transfer recipients experience large increases in psychological well being we find no overall effect on levels of the stress hormone cortisol although there are differences across some subgroups monthly transfers are more likely than lump sum transfers to improve food security whereas lump sum transfers are more likely to be spent on durables suggesting that households face savings and credit constraints together these results suggest that unconditional cash transfers have significant impacts on economic outcomes and psychological well being

assessing the case for social experiments rs ecent academic debates pit two alternative approaches to policy evaluation against one another the first is the experimental approach based on the random assignment of accepted program applicants to a recipient or treatment group and a non recipient or control group the second is the nonexperimental or econometric approach that uses a variety of microdata sources statistical methods and behavioral models to compare the outcomes of participants in social programs with those of nonparticipants the central question addressed in this paper is whether or not randomized social experiments aid in securing answers to basic questions about the evaluation of social programs there are many distinct and complementary approaches to the study of the impact of public policy including full general equilibrium analysis of policy impacts tinbergen 1956 auerbach and kotlikoff 1987 shoven and whalley 1992 kydland and prescott 1991 and less ambitious partial equilibrium microeconomic structural research programs such as those designed to estimate the impact of taxes on labor supply both approaches offer answers to many interesting counterfactual policy questions but their credibility rests critically on the quality of the empirical input used to generate their answers

the cost of poverty alleviation transfer programs a comparative analysis of three programs in latin america summary a common criticism of antipoverty programs is that the high share of administrative nontransfer costs substantially reduces their effectiveness yet there is surprisingly little rigorous empirical evidence on program costs improved information and a better understanding of the costs of such programs are crucial for effective policymaking this study proposes and implements a replicable methodology for a comparative cost analysis of three similar poverty alleviation programs in latin america and assesses their cost efficiency the findings underscore that any credible assessment of cost efficiency requires a detailed analysis of program cost structures that goes well beyond simply providing aggregate cost information

social protection food security and asset formation summary the last two decades have seen a rapid rise in social protection programs and studies that assess their impacts on a large number of domains we construct a new database of studies of these programs that report impacts on food security outcomes and asset formation our meta analysis finds that social protection programs improve both the quantity and quality of food consumed by beneficiaries the magnitudes of these effect sizes are meaningful the average social protection program increases the value of food consumed expenditure by 13 and caloric acquisition by 8 food expenditure rises faster than caloric acquisition because households use transfers to improve the quality of their diet most notably increasing their consumption of calories from animal source foods since the consumption of animal source foods in these populations is low and because there are significant nutritional benefits to increasing the consumption of these this is a positive outcome our meta analysis also finds that social protection programs lead to increased asset holdings as measured by livestock non farm productive assets farm productive assets and savings there is no impact on land holdings though the number of studies that assess these is small

generating skilled self employment in developing countries experimental evidence from uganda we study a government program in uganda designed to help the poor and unemployed become self employed artisans increase incomes and thus promote social stability young adults in uganda s conflict affected north were invited to form groups and submit grant proposals for vocational training and business start up funding was randomly assigned among screened and eligible groups treatment groups received unsupervised grants of 382 per member grant recipients invest some in skills training but most in tools and materials after four years half practice a skilled trade relative to the control group the program increases business assets by 57 work hours by 17 and earnings by 38 many also formalize their enterprises and hire labor we see no effect however on social cohesion antisocial behavior or protest effects are similar by gender but are qualitatively different for women because they begin poorer meaning the impact is larger relative to their starting point and because women s work and earnings stagnate without the program but take off with it the patterns we observe are consistent with credit constraints

how natural disasters affect the evolution of grain markets evidence from 18th century china abstractmarket is the foundation of modern society however how did market evolve previous research has explored the impacts of spatial distance and transportation conditions on market integratio

optimal convergence trade strategies convergence trades exploit temporary mispricing by simultaneously buying relatively underpriced assets and selling short relatively overpriced assets this paper studies optimal convergence trades under both recurring and nonrecurring arbitrage opportunities represented by continuing and stopped cointegrated price processes and considers both fixed and stochastic poisson horizons conventional long short delta neutral strategies are generally suboptimal and it can be optimal to simultaneously go long or short in two mispriced assets optimal portfolio holdings critically depend on whether the risky asset position is liquidated when prices converge our theoretical results are illustrated on pairs of chinese bank shares traded on both the hong kong and china stock exchanges the author 2013 published by oxford university press on behalf of the society for financial studies all rights reserved for permissions please e mail journals permissions oup com oxford university press

cash transfer programme productive activities and labour supply evidence from a randomised experiment in kenya this paper reports analysis of the impact of kenya s cash transfer for orphans and vulnerable children programme on the household decisions on productive activities using data from a randomized experimental design results show that the programme had a positive and significant impact on food consumption coming from home production accumulation of productive assets especially on the ownership of small livestock and on formation of nonfarm enterprise especially for females the programme has provided more flexibility to families in terms of labour allocation decisions particularly for those who are geographically isolated the programme was also found to have reduced child labour an important objective of the programme however we find very little impact of the programme on direct indicators of crop production

an empirical investigation of international asset pricing we investigate several asset pricing models in an international setting we use data on a large number of assets traded in the united states japan the united kingdom and france the models together with the hypothesis of capital market integration imply testable restrictions on multivariate regressions relating asset returns to various benchmark portfolios we find that multifactor models tend to outperform single index models in both domestic and international forms especially in their ability to explain seasonality in asset returns we also find that the behavior of the models is affected by changes in the regulatory environment in international markets

cash transfer programs and agricultural production the case of malawi cash transfer programs are increasingly utilized to combat poverty and hunger while building the human capital of future generations however they have been faulted by some for failing to build the productive capacity of current generations this article analyzes the impact of the malawi social cash transfer scheme on agricultural production the results show strong increases in ownership of productive agricultural assets in time devoted to household farms and in food types consumed from own production coupled with a sharp decrease in ganyu labor which is often used as a coping mechanism once food stores have been depleted these results are most likely achieved by helping farmers overcome credit and liquidity constraints this research shows that cash transfer programs can help the capacity of extremely poor farm households to expand agriculture production even if the goal of the program is focusing on other dimensions of poverty

estimating bilateral exposures in the german interbank market is there a danger of contagion abstract credit risk associated with interbank lending may lead to domino effects where the failure of one bank results in the failure of other banks not directly affected by the initial shock recent work in economic theory shows that this risk of contagion depends on the precise pattern of interbank linkages we use balance sheet information to estimate a matrix of bilateral credit relationships for the german banking system and test whether the breakdown of a single bank can lead to contagion we find that in the absence of a safety net there is considerable scope for contagion that could affect a large proportion of the banking system the financial safety net in this case institutional guarantees for saving banks and cooperative banks considerably reduces but does not eliminate the danger of contagion even so the failure of a single bank could lead to the breakdown of up to 15 of the banking system in terms of assets

on the effects of barriers to international investment a simple model is presented in which it is costly for domestic investors to hold foreign assets the implications of the model for the composition of optimal portfolios at home and abroad are derived it is shown that all foreign assets with a beta larger than some beta plot on either one of two security market lines some foreign assets with a beta smaller than are not held by domestic investors even if their expected return is increased slightly while it is obviously not true that asset markets are completely segmented between countries there is evidence of barriers to international investment although reality seems to lie in that grey area between complete segmentation and no segmentation at all most international asset pricing models are concerned with the extreme case of no barriers to international investment no effort seems to have been made to study the effect on portfolio choice of such barriers which make it costly to hold foreign securities as opposed to domestic securities but which do not in general render international diversification so onerous that investors avoid foreign securities completely casual empiricism suggests that models without barriers to international investment should be suspect those models cannot explain why it appears that in every country investors on average hold more domestic securities than would be required if they held the world market portfolio 2 this paper constructs a model of international asset pricing in which there is a cost associated with holding either long or short risky foreign securities for the sake of simplicity in most of the paper we assume that while domestic investors face barriers to international investment foreign investors face no such barriers it turns out that nothing significant is lost with such an assumption the main conclusions of this paper for the case in which foreign investors face no barriers to international investment are 1 in the presence of barriers to international investment some risky foreign

measurement of market integration and arbitrage we develop a measurement theory of market integration based on two notions of integrated markets first two markets cannot be perfectly integrated in any sense if one can construct two portfolios one from each market that have identical payoffs but different prices in that case the law of one price is violated across the markets second they cannot be integrated in a stronger sense if there are cross market arbitrage opportunities two measures of market integration are developed respectively reflecting these notions the smaller the measures the more closely integrated in the respective senses the markets among other things they are interpreted as measuring pricing discrepancy between markets article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

intraday market price integration for shares cross listed internationally this study investigates market price integration by testing per share trade execution price or cost tep c differentials for matched intraday trades for a sample of canadian shares cross listed in the u s the tse trade price advantage over the entire time period changed significantly after both the tse s own minimum quotation increment reduction and that of its u s competitors we show that the differential tep c is equivalent to the international effective spread differential and that market quality comparisons which benchmark using the national instead of the international bbo need to compare both national effective half spread and midspread differences our cross sectional regression results support our predictions that tep c differentials can be explained by differences in national midspreads and by ex ante proxies of national effective half spreads the tep c differentials vary inversely with increasing levels of our measure of signed market nonfragmentation

integration vs segmentation in the canadian stock market this paper examines the issue of integration versus segmentation of the canadian equity market relative to a global north american market we compare the international and domestic versions of the capm and find that integration or the mean variance efficiency of the global market index is rejected by the data segmentation is the preferred model based on a maximum likelihood procedure correcting for thin trading we further divide the sample into securities that are interlisted in canada and the u s and those that are not integration is rejected for both groups which indicates that the source of segmentation can be traced to legal barriers based on the nationality of issuing firms empirical studies of international capital markets have left the issue of segmentation versus integration largely unresolved yet the question of national or international pricing of assets has crucial implications for financial decisions if national stock markets are segmented then international portfolios should display superior risk adjusted performance because some of the priced domestic systematic risk is diversifiable also with segmentation many irrelevance propositions for corporate financial strategy break down home firms face optimal hedging decisions as well as optimal foreign versus home borrowing decisions finally criteria for capital budgeting decisions will be quite different under national and international pricing the purpose of this paper is to shed some light on this integration versus segmentation question for the canadian equity market vis a vis a global north american market in this paper integration is defined2 as a situation where investors earn the same risk adjusted expected return on similar financial instruments in different national markets the key problem of course is the pricing

pairs trading performance of a relative value arbitrage rule we test a wall street investment strategy pairs trading with daily data over 1962 2002 stocks are matched into pairs with minimum distance between normalized historical prices a simple trading rule yields average annualized excess returns of up to 11 for self financing portfolios of pairs the profits typically exceed conservative transaction cost estimates bootstrap results suggest that the pairs effect differs from previously documented reversal profits robustness of the excess returns indicates that pairs trading profits from temporary mispricing of close substitutes we link the profitability to the presence of a common factor in the returns different from conventional risk measures wall street has long been interested in quantitative methods of speculation one popular short term speculation strategy is known as pairs trading the strategy has at least a 20 year history on wall street and is among the proprietary statistical arbitrage tools currently used by hedge funds as well as investment banks the concept of pairs trading is disarmingly simple find two stocks whose prices have moved together historically when the spread between them widens short the winner and buy the loser if history repeats itself prices will converge and the arbi

strategic financial innovation in segmented markets rohit rahi obtained his ph d in economics from stanford university in 1993 he is a reader in finance and economics and a member of the financial markets group at the london school of economics his research interests are in the theory of financial markets in particular arbitrage in segmented markets security design and asset pricing with asymmetric information and in general equilibrium theory with incomplete markets he has published articles in the review of economic studies journal of economic theory and journal of business he served a nine year term on the editorial board of the review of economic studies jean pierre zigrand is a lecturer at the london school of economics his research interests are asset pricing financial intermediation theory and general equilibrium theory any opinions expressed here are those of the authors and not necessarily those of the fmg the research findings reported in this paper are the result of the independent research of the authors and do not necessarily reflect the views of the lse

the mystery of the vanishing benefits an introduction to impact evaluation this article provides an introduction to the concepts and methods of impact evaluation the author provides an intuitive explanation in the context of a concrete application the article takes the form of a short story about a fictional character s on the job training in evaluation ms speedy analyst is an economist in the ministry of finance in the fictional country of labas in the process of figuring out how to evaluate a human resource program targeted to the poor ms analyst learns the strengths and weaknesses of the main methods of ex post impact evaluation

long term global market correlations the correlation structure of the world equity markets varied considerably over the past 150 years and was high during periods of economic integration we decompose diversification benefits into two parts one component due to variation in the average correlation across markets and a another component due to the variation in the investment opportunity set from this we infer that periods of globalization have both benefits and drawbacks for international investors globalization expands the opportunity set but as a result the benefits from diversification rely increasingly on investment in emerging markets

m press creditrisk microprudential and macroprudential capital requirements for credit risk under systemic stress m press creditrisk is a novel stress testing approach that can help authorities gauge banks capital adequacy related to credit risk for the first time it combines the assessment of microprudential capital requirements under pillars 1 and 2 and macroprudential buffers in a unified coherent framework its core element is an advanced credit portfolio model systemiccreditrisk built upon a rich nonlinear dependence structure for correlated bank portfolios the model is applied to a sample of 12 systemically important german banking groups and delivers measures for systemic credit risk and the banks contributions to it in both baseline and stress scenarios

school subsidies for the poor evaluating the mexican progresa poverty program abstract this paper evaluates how the progresa program which provides poor mothers in rural mexico with education grants has affected enrollment poor children who reside in communities randomly selected to participate in the initial phase of the progresa are compared to those who reside in other control communities pre program comparisons check the randomized design and double difference estimators of the program s effect on the treated are calculated by grade and sex probit models are also estimated for the probability that a child is enrolled controlling for additional characteristics of the child their parents local schools and community and for sample attrition to evaluate the sensitivity of the program estimates these estimates of program short run effects on enrollment are extrapolated to the lifetime schooling and the earnings of adults to approximate the internal rate of return on the public schooling subsidies as they increase expected private wages

measuring financial integration via idiosyncratic risk what effects are we really picking up we study the method proposed by flood and rose fr 2004 2005 for checking for financial integration by estimating the risk free rate using the idiosyncratic component of individual stock returns performing simulations with data with a known return generation process we find that the fr methodology produces poor estimates of the risk free rate and hence the fr method fails to accept integration when true we then show analytically that the fr method actually provides an estimate of the market return and conclude the fr methodology would also falsely accept integration as long as the market returns in the two markets do not differ widely

are market based measures of global systemic importance of financial institutions useful to regulators and supervisors we analyze whether four market based measures of the global systemic importance of financial institutions offer early warning signals during three financial crises the tests based on the 2007 2008 crisis show that only one measure covar consistently adds predictive power to conventional early warning models however the additional predictive power remains small and it is not normally confirmed for the asian and the 1998 crises we conclude that it is problematic to identify a market based measure of systemic importance that remains valid across crises with different features the same criticism also applies to several conventional proxies of systemic importance of which size is the most consistent performer

financial integration a new methodology and an illustration this paper develops a simple methodology to test for asset integration and applies it within and between american stock markets our technique relies on estimating and comparing expected risk free rates across assets expected risk free rates are allowed to vary freely over time constrained only by the fact that they must be equal across risk adjusted assets in well integrated markets assets are allowed to have standard risk characteristics and are constrained by the fama and french factor model of covariances over short time periods we find that internal integration in the s p 500 market is never rejected and is not generally rejected in the nasdaq integration between the nasdaq and the s p however is always rejected dramatically jel g14

using weather variability to estimate the response of savings to transitory income in thailand this paper measures the extent to which farmers are able to use savings and dissavings to smooth consumption in response to unexpected shocks to income time series information on regional rainfall is used to construct estimates of transitory income due to rainfall shocks the relationship between these measures of transitory income and savings indicates that farm households save a significantly higher fraction of transitory income than nontransitory income jel d91 016 the incomes of farm households in developing countries are notorious for being both low and uncertain policies that increase the incomes of farmers may well be different

conditional cash transfers and agricultural production lessons from the oportunidades experience in mexico abstract this paper explores whether cash transfer programmes conditioned on human capital outcomes can influence agricultural production programme impact on food consumption from own production land use livestock ownership and agricultural spending are evaluated using first difference and weighted estimators in which weights are constructed from propensity scores the programme is found to increase the value and variety of food consumed from own production and to increase land use livestock ownership and crop spending impact estimates are found to differ across land use categories and procampo participation results support the hypothesis that transfers influence agricultural production and impacts are greater for households invested in agriculture

a theory of dissimilarity between stochastic discount factors this paper proposes a measure of dissimilarity between stochastic discount factors sdfs in different economies the sdfs are made comparable using the respective bond prices as the numeraire the

intra household resource allocation an inferential approach if household income is pooled and then allocated to maximize welfare then income under the control of mothers and fathers should have the same impact on demand with survey data on family health and nutrition in brazil the equality of parental income effects is rejected unearned income in the hands of a mother has a bigger effect on her family s health than income under the control of a father for child survival probabilities the effect is almost twenty times bigger the common preference or neoclassical model of the household is rejected if unearned income is measured with error and income is pooled then the ratio of maternal to paternal income effects should be the same equality of the ratios cannot be rejected there is also evidence for gender preference mothers prefer to devote resources to improving the nutritional status of their daughters fathers to sons

migration and food consumption patterns in ghana abstract this paper examines the link between migration and food consumption patterns in ghana which has a history of widespread migration and high levels of poverty data from 4130 households from the nationally representative 2005 2006 ghana living standards survey are used for the analysis since migrants self select into migration an instrumental variable approach is taken to analyze the relationship between migration and total food expenditures per capita food expenditures across a range of food categories and shares of food expenditures across these categories overall the results indicate that migration does not substantially affect total food expenditures per capita and has minimal noticeable effect on food expenditure patterns looking at results in different settings the analysis indicates that only in high migration regions does migration appear to increase overall food expenditures resulting in a shift towards the consumption of potentially less nutritious categories of food such as sugar and beverages and eating out of the home the results raise questions about the value of migration for improving the food consumption of migrant sending households

consumption based versus production based models of international equity markets abstract this paper compares the ability of two discount rate models to explain the cross sectional and time series variation of stock returns in the us japan the uk germany and canada the data consist of quarterly returns on morgan stanley s capital international indices for the period from january 1972 to march 1993 the two models considered are a consumption capm linking the discount rate to the intertemporal marginal rate of substitution in consumption and a production capm linking the discount rate to the intertemporal marginal rate of transformation in production the main result is that a production based capm performs better than the consumption based capm in explaining national stock market returns the results also indicate that time variation in risk premia rather than time variation in betas provides most of the explanatory power in both models jel f30 g12 1997 elsevier science ltd

international arbitrage pricing theory an empirical investigation in this paper we test the arbitrage pricing theory apt in an international setting inter battery factor analysis is used to estimate the international common factors and the chow test is used in testing the validity of the apt our inter battery factor analysis results show that the number of common factors between a pair of countries ranges from one to five and our cross sectional test results lead us to reject the joint hypothesis that the international capital market is integrated and that the apt is internationally valid our results however do not rule out the possibility that the apt holds locally or regionally in segmented capital markets finally the basic results of both the inter battery factor analysis and the cross sectional tests are largely invariant to the nume raire currency chosen numerous authors notably solnik 21 grauer litzenberger and stehle 11 and stulz 24 have derived various versions of the international asset pricing model iapm under alternative views of the structure of international capital markets however only a few serious attempts have been made to test various versions of the iapm these tests are largely inconclusive see solnik 20 and stehle 23 apart from the problem stressed by roll 16 of identifying the world market portfolio previous tests of the iapms suffer from the technical problem of aggregating assets of national investors using different numeraire currencies differences in the numeraire arise from differences in consumption baskets in an environment characterized by exchange rate uncertainty in a fruitful attempt to extend the arbitrage pricing theory apt of ross 18 to an international setting solnik 22 derives an international arbitrage pricing theory which is largely devoid of the aforementioned difficulties and thus more amenable to empirical testing 1 as shown by solnik testability of the apt in an

the impact of conditional cash transfers on consumption and investment in nicaragua abstract this article examines the impact of a nicaraguan conditional cash transfer programme on measures of expenditures and productive investment despite clear evidence from a randomised evaluation that the programme increased current expenditures there is little evidence that it increased agricultural or non agricultural investment an estimated marginal propensity to consume out of the transfers of nearly one combined with no effect of cumulative past transfers on current consumption corroborate the direct evidence on investment in contrast to gains made in human capital investment the potential for long term increases in consumption as a result of other forms of increased investment may be limited

capital controls and international capital market segmentation the evidence from the japanese and american stock markets the paper focuses on two countries japan and the u s to test the integration of capital markets in japan the enactment of the foreign exchange and foreign trade control law in december of 1980 amounted to a true regime switch that virtually eliminated capital controls using multifactor asset pricing models we show that the price of risk in the u s and japanese stock markets was different before but not after the liberalization this evidence supports the view that governments are the source of international capital market segmentation the notion that world capital markets are perfectly integrated is central to most theoretical developments in both international finance and macroeconomics indeed it also lies behind much of the recent international policy discussion capital markets are integrated if assets with perfectly correlated rates of return have the same price regardless of the location in which they are traded 1 segmentation may arise either because of government impediments to capital movements or because of individuals attitudes or irrationality if the hypothesis that the international capital markets are integrated is rejected there is still an important empirical question left unanswered which is related to the source of segmentation while there is a rich body of theoretical research on international market integration only a few studies have tried to investigate this important question empirically a first group of empirical studies on market integration has generally adopted

analysis of banks systemic risk contribution and contagion determinants through the leave one out approach abstract in this paper we develop an in depth analysis of the systemic risk and contagion determinants through the differential effects of excluding one bank on the banking system the measure allows for splitting the contribution of individual banks into systemic risk as the sum of two components the stand alone bank risk and the contagion risk and measuring the role of assets riskiness capitalization and interconnectedness as determinants of each of the two components results show that the variables determining the stand alone risk component are different from those determining the contagion risk component so that a bank which is relatively safe with respect to stand alone risk can be an important contagion vehicle or vice versa results also show that crisis severity significantly affects results so that the severity of different crises results in different weights for the input variables and different contributions for the banks considered these results add highly significant information for macroprudential regulation not only from the cross sectional point of view but also with reference to the time dimension

importance sampling for portfolio credit risk monte carlo simulation is widely used to measure the credit risk in portfolios of loans corporate bonds and other instruments subject to possible default the accurate measurement of credit risk is often a rare event simulation problem because default probabilities are low for highly rated obligors and because risk management is particularly concerned with rare but significant losses resulting from a large number of defaults this makes importance sampling is potentially attractive but the application of is is complicated by the mechanisms used to model dependence between obligors and capturing this dependence is essential to a portfolio view of credit risk this paper provides an is procedure for the widely used normal copula model of portfolio credit risk the procedure has two parts one applies is conditional on a set of common factors affecting multiple obligors the other applies is to the factors themselves the relative importance of the two parts of the procedure is determined by the strength of the dependence between obligors we provide both theoretical and numerical support for the method

women s power conditional cash transfers and schooling in nicaragua the social safety net red de proteccion social rps program in nicaragua is one of many conditional cash transfer programs that pay households cash stipends in exchange for school attendance and regular visits to health clinics by the children a key feature is that payments go to the female head of household previous research suggests that exogenous transfers to women are more likely to be spent on their children s health nutrition and education and thus to reinforce the goals of these programs randomized experimental data from rps are used to test for heterogeneous program impacts on school enrollment and spending based on a woman s power as proxied by her years of schooling relative to her husband s years of schooling the results confirm previous findings that more household resources are devoted to children when women are more powerful however when a woman s power greatly exceeds her husband s additional female power reduces school enrollment rps impacts on schooling are much larger than the expected income effects estimated from the control group although no evidence is found that female power alters the impact of rps on school enrollment the conditionality of rps is probably decisive while rps significantly increases food and education expenditures the impact is attributable primarily to income effects

value based trading of real assets in shipping under stochastic freight rates the article uses a real options valuation model with stochastic freight rates to investigate market efficiency and the economics of switching between the dry bulk and the tanker markets in international shipping a dry bulk carrier is replaced with a tanker when the expected net present value of such a switch is optimal from a real options based decision rule depending on the development of the markets a reversal may take place later the cost and demand parameters upon which the decisions to switch are made including the stochastic characteristics of freight rates are estimated from an empirical analysis that is updated every week throughout a 12 year time period from 1993 to 2005 the second hand market for bulk ships seems to have been efficient most of these years in the sense that market switching usually did not pay off with one major exception it seemed profitable in expectation to leave the dry bulk market and enter the tanker market over a significant period of time shortly after the millenn

sri lanka can conditional cash transfer programs serve as safety nets in keeping children at school and from working when exposed to shocks this brief summarizes the results of a gender impact evaluation study can conditional cash transfer cct programs serve as safety nets in keeping children at school and from working when exposed to shocks conducted the program started in 1997 and still exists today in sri lanka the study observed that income shocks on poor households are known to induce parents to take their children out of school and send them to work when other risk coping instruments are insufficient cct programs where the condition is on school attendance have been shown to be effective in increasing educational achievements and reducing child work shocks are highly prevalent and children have irregular periods of school enrollment children who are taken out of school are less likely to re enroll