evidence of nonlinearity in daily stock returns this article applies a newly developed statistical technique to time series of daily rates of return of 15 common stocks the technique involves estimating the bispectrum of the observed time series the bispectrum is defined as the double fourier transform of the third order cumulant function if the process generating rates of return is linear with independent innovations then the skewness of the bispectrum will be constant the article describes a test that can detect nonconstant skewness in the bispectrum hence if the test rejects constant skewness a nonlinear process is implied as a consequence the test can distinguish between white noise and purely random noise the results suggest that daily stock returns are generated by a nonlinear process

expatriate assignment adjustment and effectiveness an empirical examination of the big picture this study extends the international literature by empirically testing a model of expatriate adjustment that examines the relationships between organizational antecedents i e reasons for assignment a more comprehensive set of adjustment behaviors self reported performance and subordinate rated managerial effectiveness using data from 194 expatriate managers and 505 subordinates working in the multinational hotel industry structural equations modeling results supported the hypothesized model the conceptual and empirical contributions of this study as well as the managerial implications are discussed

career management issues facing expatriates this research explores expatriate assignments from a career development perspective first the article examines the impact of five organization level career development programs and policies on expatriate effectiveness then it explores the impact of five individual level career management strategies on the success of expatriate transitions data from 118 expatriates in saudi arabia europe south america and japan are presented to examine these career development issues

a causal model of linkages among environmental dimensions macro organizational characteristics and performance an integrative model of relationships among environmental dimensions diversification strategy firm size structural divisionalization and economic performance was developed and tested using environmental and organizational data from 110 large manufacturing firms the results suggested that among those organizations 1 higher levels of environmental instability were associated with lower levels of divisionalization and diversification 2 strategy followed structure and 3 size did not mediate the strategy structure relationship furthermore both environmental instability and diversification were positively related to market determined performance and instability was negatively related to operating performance the results provided support for portions of each of three models the external control strategic management and inertial models

does terrorism affect the stock bond covariance evidence from european countries using daily stock and bond returns data from four european countries france germany spain and great britain that have been the victims of significant terrorist activity this study addresses the issue of whether transnational and or domestic terrorist attacks have affected in any significant manner the time varying stock bond covariance their returns and their variances stock and bond markets can be influenced and determined not only by the usual array of macroeconomic factors but also by security shocks such as a terrorist incident that have the potential to affect investors sentiment and portfolio allocation decisions the issue at hand is addressed using a var p garch 1 1 in mean model and the results reported herein indicate that terrorist attacks trigger a flight to safety effect primarily in france and germany and to a smaller degree in great britain and spain

wage indexation and the variability of inflation an empirical result abstract the effect of wage indexation on the variability of inflation is empirically tested the empirical analysis based on pooling annual data 1954 1976 for eleven countries provides evidence that wage indexation increases the variability of inflation

on the absence of positive wage indexation this paper rationalizes the absence of positive wage indexation in labour contracts that is of indexing provisions that link wage increases to inflation we investigate the equilibrium of a policy game in a stochastic economy in which wage setters and a policy maker interact strategically in order to determine the preferred degree of wage indexation and an optimal stabilization rule respectively our conclusion is that nominal wage rigidity and counterinflationary economic policy represent the best courses of action when price stability is valued and negative responses of contractual wages to price shocks are ruled out under these assumptions moreover the stochastic structure of the economy has no bearing on the optimality of maximal real wage flexibility this paper presents an argument for explaining nominal wage rigidity in labour contracts we investigate the equilibrium of a policy game in a stochastic economy in which wage setters and a policy maker interact strategically in order to determine the preferred degree of wage indexation and an optimal intervention rule respectively our conclusion is that indexing provisions that maximize the flexibility of real wages and counter inflationary economic policy represent the best courses of action for the players in the absence of schemes that create a negative correlation between wage and price movements maximal real wage flexibility is attainable through zero indexation or rigid nominal wages the crucial assumption that drives this result is that some price stability is desirable for the policy maker the introduction of price stability as a goal seems eminently justified from a practical standpoint the federal reserve system s legislative mandate from the federal reserve reform act of 1977 the ongoing debate about the house joint resolution 409 and the delors report which speaks of an unequivocal commitment to maintain price stability as the primary objective of the european system of central banks

inflation and wage indexation with multiperiod contracts this paper deals with the impact of wage indexation on the rate of inflation in two alternative institutional settings simultaneous and overlapping multiperiod contracts the results show that in the case of simultaneous contracts the degree of indexation determines the timing of price changes but not its intercontract magnitude when contracts are overlapping and uniformly distributed over time indexation always increases the absolute rate of inflation and its variability

indexing and inflation abstract much of the opposition to indexation as a means of adapting to ongoing inflation arises from the view that indexation is itself inflationary this paper examines the basic for that view in a simple macroeconomic model in which budget deficits are in part financed through the printing of money it is shown that all aspects of indexing wage indexation bond indexation and tax indexation tend to increase the impact on the price level of any inflationary shock however this association between indexation and inflation is in large part a consequence of the monetary and fiscal policies being followed by the government evidence from a cross section of forty countries on the effects of indexation on the inflationary impact of the oil price shock of 1973 1974 suggests that indexation did not in general increase the inflationary impact of the oil shock the evidence is further consistent with the view that the absence of an excess inflationary effect of indexation is a result of the countries with substantial indexation not having accommodated the oil price shock as much as other countries

the importance of international business to the strategic agenda of u s ceos the growth of international business ib and concerns about the relevance of ib research indicate the need for managerial input on the topic a survey of 108 u s ceos reveals that ib issues are an important part of their strategic agenda four types of ib issues are identified which reveal that american ceos appear to be taking a proactive stance regarding the international arena the ceos were also found to hold diverse perceptions of ib issues the implications of these findings are discussed

ceo successor characteristics and the choice of foreign market entry mode an empirical study based on the upper echelons theory this study of 126 ceo successions and 271 foreign market entry events examines the relationships between successor ceo characteristics and choice of entry mode results indicate that ceo position tenure throughput functional background and international experience are associated with full control entry modes additionally these relationships were observed in the subgroup of high performing firms but not in the low performing subgroup

managing international interdependence ceo characteristics in a resource based framework this study s basic argument is that the level of a firm s international interdependence influences the pattern of ceo characteristics ideal for enabling a ceo to contribute to firm performance in

the open society assesses its enemies shocks disasters and terrorist attacks abstract this paper conducts a systematic investigation of the incidence and economic costs of terrorist attacks at the country level we use newly assembled datasets on terrorist attacks natural disasters and currency crises to answer three different questions what are the determinants of terrorism is there an output cost following a terrorist attack and is that cost larger or smaller in the case of democracies we find that rich countries are the most prone to suffer attacks while democracies are if anything less vulnerable than other countries the cost to output of a terrorist attack is quantitatively small and closely associated with the occurrence of an event rather than the number of casualties finally we find robust evidence that a terrorist attack imposes a lower output cost the more democratic a country is

time consistency indexation and the costs of inflation abstract we examine the effects of indexation measures on inflation costs of inflation and economic welfare within the barro gordon journal of political economy 1983 91 589 610 model the main result is that wage indexation in addition to making the phillips curve steeper also reduces the marginal cost of inflation which is inflationary

international attention and multinational enterprise performance this study examines the performance consequences of international attention defined as the extent to which headquarters executives in the multinational enterprise mne invest time and effort in activities communications and discussions aimed at improving their understanding of the global marketplace using detailed questionnaire and archival data on 135 mnes our analysis revealed three significant findings first international attention can be operationalized as a meta construct that consists of three interrelated and reinforcing dimensions second international attention has a curvilinear inverted u shape relationship with mne performance third the performance benefits of international attention increase with three categories of moderating factors the international assignment experience of top executives the independence of value adding activities across country locations and the degree of industry dynamism

ceo international experience effects on strategic change and firm performance despite the growing importance of ceos international experience ie we have yet to gain sufficient insights into its conceptualization and effect on firm outcomes based on prior research and work experience models we suggest a new framework for measuring ie including three components length of time number of countries and cultural distance along with their interactions drawing upon social and cognitive learning theories we explore the impact of ceos ie on two outcomes strategic change and firm performance we argue that ie components affect the two outcomes by enhancing executives international knowledge and general competencies while international knowledge may affect firm performance directly general competencies may affect firm performance both directly and indirectly through strategic change using a sample of 387 new ceos we found that time abroad had a positive effect on strategic change and firm performance while number of countries and cultural distance positively moderated these relationships additionally we also found that these components affected firm performance both directly and mediated through strategic change our findings have important theoretical implications for the conceptualization and impact of ceos ie and practical implications for executive development and promotion

international experience in the executive suite the path to prosperity attention is increasingly focused on the potential individual career and firm level benefits of international experience for upper level executives this research examines the relationships between ceo international experience ceo tenure firm internationalization succession events and corporate financial performance results indicate a significant interactive effect between ceo tenure and outside succession on ceo international experience in addition to a relationship with ceo international experience there are two additional interactive effects in the examination of corporate financial performance 1 ceo international experience and the degree of firm internationalization and 2 ceo international experience and ceo succession these interactive effects are evident in accounting and market indicators of corporate financial performance copyright 2000 john wiley sons ltd

nonlinear influences of stressors on general adjustment the case of japanese expatriates and their spouses integrating research on parental demands learning and expatriate adjustment we examine potential nonlinear influences of two stressors parental demands and perceived culture novelty on general adjustment of expatriates and their spouses using a sample of 170 matched pairs of japanese expatriates and spouses assigned to the us we found a quadratic effect of parental demands and a cubic effect of cultural novelty on spouse general adjustment but not on expatriate general adjustment implications and directions for future research are discussed

expatriate assignments and intra organizational career success implications for individuals and organizations anecdotal accounts and reports in the popular press often suggest that international assignments are critical for employees who seek to move up the career ladder more quickly nevertheless previous research on repatriation indicates that many former expatriates feel that their overseas assignments have harmed rather than helped their careers relatively little research though has sought to understand how expatriate assignments might be related to career success this paper then presents a conceptual model describing the relationship between expatriate assignments and intra organizational career success specifically theories of career mobility are used to develop a framework for outlining the factors likely to determine whether expatriate assignments help or hinder the advancement of employees who have worked as international assignees the model also indicates that repatriate career success influences an organization s ability to retain its current repatriates and recruit future expatriates some implications of this research and directions for future research are discussed as well

the price of terror the effects of terrorism on stock market returns and volatility abstract in this paper we investigate the effects of terrorism on the financial markets evidence from six different financial markets shows that terror has a significant impact on both stock markets and the stock market volatility and the magnitude of these effects are larger in emerging markets

the efficiency of the crude oil markets evidence from variance ratio tests this study examines the random walk hypothesis for the crude oil markets using daily data over the period 1982 2008 the weak form efficient market hypothesis for two crude oil markets uk brent and us west texas intermediate is tested with non parametric variance ratio tests developed by wright j h 2000 alternative variance ratio tests using ranks and signs journal of business and economic statistics 18 1 9 and belaire franch j and contreras d 2004 ranks and signs based multiple variance ratio tests working paper department of economic analysis university of valencia as well as the wild bootstrap variance ratio tests suggested by kim j h 2006 wild bootstrapping variance ratio tests economics letters 92 38 43 we find that the brent crude oil market is weak form efficiency while the wti crude oil market seems to be inefficiency on the 1994 2008 sub period suggesting that the deregulation have not improved the efficiency on the wti crude oil market in the sense of making returns less predictable

price variability supply side policies and monetary rules wage subsidy policies or demand management are equally effective in stabilizing output about its frictionless level in fischer gray predetermined labor contracts models however if the authorities are also concerned with price variability the optimal monetary rule is unambiguously superior copyright 1987 by the review of economic studies limited

measuring the degree of internationalization of a firm in spite of both positivistic and instrumental research the reliability of measuring the degree of internationalization of a firm remains speculative we collected data on nine attributes of seventy four american manufacturing mncs alpha factor and frequency analyses revealed a linear combination of five variables with a reliability coefficient of 79 as a measure of the degree of internationalization of a firm we discuss the statistical and conceptual properties of the scale and their implications for content and construct validity

inflation and wage indexation in the postwar united states this paper examines the relationship between inflation and wage indexation in the postwar united states using data on the prevalence of cost of living adjustments in major collective bargaining agreements the author finds that increases in inflation precede increases in wage indexation but reductions in inflation do not precede reductions in wage indexation there is virtually no evidence that wage indexation affects inflation copyright 1995 by mit press

outside in global demand heterogeneity and dynamic capabilities of multinational enterprises we conceptualize the dynamic capabilities of multinational enterprises mnes as learning and adaptation capabilities that address the pressure of global integration and local responsiveness complementing the extant literature on dynamic capabilities which is focused on the supply side our study draws attention to the demand side influences especially in terms of global demand heterogeneity we propose that global demand heterogeneity provides pressures and opportunities for mnes to learn and adapt and thus positively relates to the development of mne dynamic capabilities however external sources per se may be insufficient firm specific advantages particularly human capital at the managerial and employee levels facilitate the internalization of external knowledge and pressure into the development of dynamic capabilities an empirical study of chinese multinational service firms strongly supports these arguments

an assessment of the measurement of performance in international business research a sizeable body of international business ib research is devoted to building knowledge about the determinants of organizational performance a key precursor to accurately diagnosing why some organizations succeed in the international marketplace while others struggle is operationalizing performance appropriately yet to date no systematic investigation has considered how well ib research measures performance we examine the measurement of performance in 96 articles published in the academy of management journal administrative science quarterly journal of marketing journal of marketing research journal of international business studies management science organization science a nd thestrategic management journal between 1995 and 2005 the findings reveal that most studies do not measure performance in a manner that captures the multifaceted nature of the construct we describe the implications of these results and offer suggestions for improving future practice journal of international business studies 2008 39 1064 1080

why do we have nominal government debt abstract we study the choice between nominal and indexed debt in a stochastic macroeconomic model with discretionary monetary and fiscal policy with distortionary taxes nominal debt provides valuable insurance against the budgetary effects of economic fluctuations we show that a welfare maximizing government always issues some nominal debt even though nominal debt increases inflation along the time consistent path of the economy the result is fairly robust with respect to changes in assumptions about policy constraints and about the macroeconomic setting

a positive theory of inflation and inflation variance a positive theory of inflation and inflation variance empirically inflation and the variance of inflation are positively associated this paper develops a model that provides a potential explanation for this relationship in terms of the incentives facing the policymaker in a discretionary equilibrium the model can also account for an empirical association between inflation and measures of real output instability there is however no direct causal link whatever from the average rate of inflation to either the variance of inflation or that of real output i introduction the debate over the use rules or discretion in monetary policy has been central to macroeconomics for many years e g simons 1963 lucas 1980 buiter 1980 recently kydland and prescott 1977 and barro and gordon 1983a b have identified discretion as the absence of policy commitment in a game between policymakers and the public they argued that discretionary policymaking will lead governments to create excessive inflation a policy of low inflation is not consistent with incentives facing governments and thus will not be believed by the private sector barro and gordon 1983a argue that this positive theory of monetary policy can help to explain many features of the trend rate of inflation in modern economies high and persistent rates of inflation a positive relationship between inflation and unemployment and the observed countercyclical behaviour of monetary authorities among others these models are based on the premise that there are significant costs to a high but fully anticipated rate of inflation another feature of inflation in modern economics however is the well documented fact that inflation and the variability of inflation are positively associated this phenomenon has been widely observed over different countries at different times 1 this has led researchers to question the feasibility of a steady and predictable positive rate of inflation the finding suggests that high rates of inflation may reduce the ability to forecast future inflation rates a high average inflation rate may add an unnecessary degree of uncertainty to individual decision making and lead to a misallocation of resources friedman 1977 suggests that this may cause output instability and possibly raise the average unemployed rate a related paper by logue and sweeney 1981 establishes that there is a positive relationship between inflation and the variability of economic growth for industrial countries given this perspective the welfare costs associated with inflation might be considerably higher than the traditional costs of anticipated inflation this paper extends the barro and gordon 1983a model of discretionary monetary policy to take account of the relationship between inflation and measures of inflation and output variability the extension focussed on is to model an endogenous wage indexing scheme in the labor market in the discretionary equilibrium wage setters not only form rational expectations of the future price level but also choose an optimal degree of wage indexation this extension to the basic model has the following properties of a discretionary equilibrium 1 there is a positive association between the mean rate of inflation and the magnitude of real disturbances in the economy as well as between the mean inflation rate and the degree of output instability in the economy 2 in an economy where real disturbances are relatively important there is a positive association between the mean rate of inflation and the variance of inflation the explanation behind these results is as follows the lower is the degree of wage indexation the greater is the incentive for monetary authorities to cause surprise inflation and hence the higher is the mean rate of inflation in a discretionary equilibrium but the degree of wage indexation is negatively related to the variance of real disturbances in an economy which is subject to both real and nominal disturbances

flexible exchange rates and stabilizing speculation abstract this paper re establishes the superiority of flexible exchange rates in small open economy models characterized by an efficient foreign exchange market and short run imperfections in the product labor market

the impact of terrorism on financial markets an empirical study the main focus of this paper is to previous termstudynext term empirically the previous termimpact of terrorismnext term on the behavior of stock bond and commodity previous termmarkets next term we consider terrorist events that took place in 25 countries over an 11 year time period and implement our analysis using different methods an event previous termstudynext term approach a non parametric methodology and a filtered garch evt approach in addition we compare the effect of terrorist attacks on previous termfinancial markets with the impactnext term of other extreme events such as previous termfinancialnext term crashes and natural catastrophes the results of our analysis show that a non parametric approach is the most appropriate method among the three for analyzing the previous termimpact of terrorism on financial markets next term we demonstrate the robustness of this method when interest rates equity previous termmarketnext term integration spillover and contemporaneous effects are controlled we show how the results of this approach can be used for investors portfolio diversification strategies against previous termterrorismnext term risk

are the crude oil markets becoming weakly efficient over time a test for time varying long range dependence in prices and volatility this paper analyzes the efficiency of crude oil markets brent and west texas intermediate by means of estimating the fractal structure of these time series we test for time varying degrees of long range dependence using the rescaled range hurst analysis and find evidence that this market has become more efficient over time these results are robust for controlling for short term autocorrelation by means of a shuffling procedure

stochastic inflation and government provision of indexed bonds abstract this paper examines the consequences of using indexed bonds as one of the government financing instruments along with money and taxes it is shown that open market operations between money and indexed bonds do not matter in a real sense despite their different risk characteristics increasing the share of indexed bonds in the government portfolio increases the volatility and the conditional mean of real rates of return on money when provided by means other than open market operations indexed bonds can affect the allocation of resources but these reallocations cannot be pareto improving

endogenous contract structure and monetary policy abstract we analyze the co determination of monetary policy and the labor contracts chosen by members of the public who can either fix or index their nominal wages fixed nominal wages allow the central bank to offset productivity shocks while the public fix nominal wages in response to the central bank offsetting shocks so there is an equilibrium in which realistically nominal wages are fixed and shocks offset a result which holds in single as well as in multi period games in addition there may be equilibria in which agents index their nominal wages and the central bank optimally responds by stabilizing price in contrast to conventional models the ramsey rule may be implemented in a finitely repeated game the central bank does not deviate for fear that agents would change their labor contracts such that the central bank s least favored equilibrium will subsequently be played

aggregate investment and political instability an econometric investigation although in theory the long run effect of uncertainty on investment is ambiguous available econometric evidence widely supports a negative association between aggregate investment and political instability a shortcoming of this body of evidence is that it has failed to investigate the existence and direction of causality between these two variables this paper fills this gap by testing for such causal and negative long run relationship between political instability and investment we find there is a causal relation going from instability to investment but it is positive and particularly strong in low income countries this finding is robust to various sensitivity checks

when yankee comes home factors related to expatriate and spouse repatriation adjustment this study examined anticipatory and in country individual job organizational and non work variables and their relationship with work interaction and general repatriation adjustment for u s managers the study also examined anticipatory and in country individual and non work variables and their relationship with interaction and general repatriation adjustment for the spouses of the managers who were married age total time overseas social status and housing conditions were generally related to all facets of repatriation adjustment for both expatriates and spouses practical and research implications are explored

collateral damage trade disruption and the economic impact of war abstract conventional wisdom in economic history suggests that conflict between countries can be enormously disruptive of economic activity especially international trade we study the effects of war on bilateral trade with available data extending back to 1870 using the gravity model we estimate the contemporaneous and lagged effects of wars on the trade of belligerent nations and neutrals controlling for other determinants of trade as well as the possible effects of reverse causality we find large and persistent impacts of wars on trade national income and global economic welfare we also conduct a general equilibrium comparative statics exercise that indicates costs associated with lost trade might be at least as large as the conventionally measured direct costs of war such as lost human capital as illustrated by case studies of world wars i and ii

uncertainty and crude oil returns we use a copula approach to investigate the effect of uncertainty on crude oil returns using copulas to construct multivariate distributions of time series data permit the calculation of the dependence structure between the series independently of the marginal distributions further we implement the copula estimation using a rolling window method to allow for a time varying effect of equity and economic policy uncertainty on oil returns the results show that higher uncertainty as measured by equity and economic policy uncertainty indices significantly increase crude oil returns only during certain periods of time that is we find a positive dependence prior to the financial crisis and great recession interestingly estimation of the copula over the entire sample period leads to a negative dependence between the equity and economic policy indices and the crude oil return

revisiting repatriation concerns organizational support versus career and contextual influences this paper reviews and integrates two perspectives on repatriate retention a traditional one which suggests that the main determinant of repatriate retention is the availability of repatriation support programs and an emerging one which focuses on individual career activism in a changing employment context results of a study of 133 expatriates from 14 mncs indicate that both views contribute to our understanding of repatriate retention building on the results of our study we put forward a framework to guide future research

expatriation repatriation and domestic geographical relocation an empirical investigation of adjustment to new job assignments this research examines the relative impact of six sets of factors on multiple indices of adjustment to new job assignments these six sets of factors include demographic variables indices of the internationalness of the job change e g whether the job changer is an expatriate repatriate or domestic geographical relocator job characteristics variables types and amount of career development assistance degree of change between successive job assignments and types of individual coping strategies employed by job changers data were collected from 459 job changers from twenty six countries the results highlight both the commonalities among expatriates repatriates and domestic geographical relocators in adjusting to new job assignments as well as the differences among them

repatriation of corporate executives an empirical study the effective management of corporate executives returning from foreign assignments has received little attention from academic researchers this study is based on questionnaires completed by members of the american society of personnel administration international aspi the focus of the study was directed at problems that occurred in repatriating executives programs used by corporations to repatriate returning executives and examines why programs have not been instituted by multinational corporations

terrorism and the world economy abstract it has been argued that terrorism should not have a large effect on economic activity because terrorist attacks destroy only a small fraction of the stock of capital of a country see e g becker g murphy k 2001 prosperity will rise out of the ashes wall street journal october 29 2001 in contrast empirical estimates of the consequences of terrorism typically suggest large effects on economic outcomes see e g abadie a gardeazabal j 2003 the economic cost of conflict a case study of the basque country american economic review 93 113 132 the main theme of this article is that mobility of productive capital in an open economy may account for much of the difference between the direct and the equilibrium impact of terrorism we use a simple economic model to show that terrorism may have a large impact on the allocation of productive capital across countries even if it represents a small fraction of the overall economic risk the model emphasizes that in addition to increasing uncertainty terrorism reduces the expected return to investment as a result changes in the intensity of terrorism may cause large movements of capital across countries if the world economy is sufficiently open so international investors are able to diversify other types of country risks using a unique data set on terrorism and other country risks we find that in accordance with the predictions of the model higher levels of terrorist risks are associated with lower levels of net foreign direct investment positions even after controlling for other types of country risks on average a standard deviation increase in the terrorist risk is associated with a fall in the net foreign direct investment position of about 5 of gdp the magnitude of the estimated effect is large which suggests that the open economy channel impact of terrorism may be substantial

the effects of recent terrorist attacks on risk and return in commodity markets abstract the event study methodology of brown and warner 1985 is adopted and augmented to evaluate the effect of the recent terrorist attacks on risk and returns in commodity markets the methodology is supplemented with various techniques such as the non parametric ranking test and kernel regression to find out if 20 terrorist attacks including in paris nice brussels stockholm manchester jakarta london and melbourne generated abnormal returns asset pricing models are fitted with interaction variables while garch tarch egarch and parch models are used to determine changes in systematic risk our results show abnormal returns and delayed reactions of up to 120 days in the commodity markets evidence which defies the efficient market hypothesis in addition we identify sector and commodity effects in risk analysis

what are the categories of geopolitical risks that could drive oil prices higher acts or threats abstract this study characterizes the oil market as a nonlinear switching phenomenon and examines its dynamics in response to changes in geopolitical risks over low and high risk scenarios we separate the shocks due to geopolitical acts from those due to geopolitical threats to address whether the serious effects of geopolitical risks are mostly due to increased threats of adverse events or to their realization as acts while we find the acts to generate a positive and strong impact on oil price dynamics the effect of threats appears to be moderate or non significant imperfect information in the oil price determination the history of oil supply disruptions emanating from geopolitical events the continued rise in populism in the world oil market volatility multifractility and the time varying degree of weak form efficiency have been advanced to explain the unforeseen responses of oil prices to geopolitical threats to accommodate recent oil related events we construct a composite geopolitical risk indicator by accounting for contemporaneous sources of geopolitical risks namely global trade tensions us china relation risks us iran tensions saudi arabia s uncertainty and venezuela s crisis the combined effects have an outsized impact on oil prices

regime switching model of us crude oil and stock market prices 1859 to 2013 this paper examines the relationship between us crude oil and stock market prices using a markov switching vector error correction model and a monthly data set from 1859 to 2013 the sample covers the entire modern era of the petroleum industry which typically begins with the first drilled oil well in titusville pennsylvania in 1858 we estimate a two regime model that divides the sample into high and low volatility regimes based on the variance covariance matrix of the oil and stock prices we find that the high volatility regime more frequently exists prior to the great depression and after the 1973 oil price shock caused by the organization of petroleum exporting countries the low volatility regime occurs more frequently when the oil markets fell largely under the control of the major international oil companies from the end of the great depression to the first oil price shock in 1973 using the national bureau of economic research business cycle dates we also find that the high volatility regime more likely occurs when the economy experiences a recession

partisan impacts on the economy evidence from prediction markets and close elections analyses of the effects of election outcomes on the economy have been hampered by the problem that economic outcomes also influence elections we sidestep these problems by analyzing movements in economic indicators caused by clearly exogenous changes in expectations about the likely winner during election day analyzing high frequency financial fluctuations following the release of flawed exit poll data on election day 2004 and then during the vote count we find that markets anticipated higher equity prices interest rates and oil prices and a stronger dollar under a george w bush presidency than under john kerry a similar republican democrat differential was also observed for the 2000 bush gore contest prediction market based analyses of all presidential elections since 1880 also reveal a similar pattern of partisan impacts suggesting that electing a republican president raises equity valuations by 2 3 percent and that since ronald reagan republican presidents have tended to raise bond yields

the credibility of monetary reform new evidence the history of monetary policy is characterised by crisis and reform the paper is dedicated to an explanation of what makes monetary reforms successful a cross sectional econometric analysis is chosen to deal with this problem it is based on a standard macroeconomic model of commitment and credibility as the dependent variable we calculate a post reform inflation rate the exogenous variables are the degree of legal commitment the constraining influence of institutions and a new variable for ex ante credibility of the reform the paper allows for the conclusion that monetary commitment the consideration of institutional constraints and abstinence from the money press are crucial for the success of a monetary reform

estimating the liquidity effect in post reform chile do inflationary expectations matter abstract in this paper we estimate the dynamic effects of domestic money supply shocks in chile over its post reform era we analyze chile since inflationary expectations could be very sensitive to changes in the money supply given past inflationary experience in the context of a var model containing both chilean and us variables we identify money supply shocks using long run monetary neutrality and block exogeneity restrictions our findings suggest that in chile over the period from 1977 to 1998 unexpected domestic money supply shocks have had a positive impact on interest rates in the short run and a negative impact on real money balances this differs markedly from the estimated responses of the us the findings are consistent with the notion that at least in chile inflationary expectations are very sensitive to news about the nominal money supply possibly due to high inflationary uncertainty and the lack of credibility of monetary reforms our results are generally robust to alternative model specification and identifying restrictions

toward a theoretical framework of repatriation adjustment although the increased internationalization of business has brought greater scholarly attention to the issue of adjustment to overseas assignments comparatively little research activity has been paid to the topic of adjustment back to the home country and home office repatriation adjustment in this article we argue that repatriation adjustment is sufficiently different from other forms of work adjustment e g domestic relocation and expatriate assignments to warrant separate theoretical and empirical investigation to facilitate this we propose an initial theoretical framework and set of derived propositions to guide and spark future research on this topic

cultural diversity and the performance of multinational firms we test the hypothesis that culturally related international diversification will have a positive impact on firm performance and that the opposite will be true for culturally unrelated globalization cultural diversity for fortune 500 firms was used to predict performance over a ten year period 1985 1994 controlling for several organizational and industry characteristics regression tests using nine indicators of cultural diversity revealed no significant cultural effects alternate interpretations are offered

nominal budgeting as a stabilization rule the optimal degree of indexation of public spending abstract we analyze here a novel instrument of fiscal policy the degree of adjustment of public spending to price surprises this acts as an automatic stabilizer which fully substitutes for wage indexation partial reliance on nominal budgeting is usually optimal in contrast to the conventional assumption of pegged real government spending unlike what emerges in the wage indexation literature we show that the more pronounced is the relative importance of demand shocks the stronger is the case for lack of indexed public spending we find that a low degree of wage indexation may be the optimal response to government budgets not cast in real terms

a revisit to the dependence structure between the stock and foreign exchange markets a dependence switching copula approach abstract this paper develops a dependence switching copula model to examine dependence and tail dependence for four different market statuses namely rising stocks appreciating currency falling stocks depreciating currency rising stocks depreciating currency and falling stocks appreciating currency the model is then applied to daily stock returns and exchange rate changes for six major industrial countries over the 1990 2010 period the dependence and tail dependence among the above four market statuses are asymmetric for most countries in the negative correlation regime but symmetric in the positive correlation regime these results enrich the findings in the existing literature and suggest that analyzing cross market linkages within a time invariant copula framework may not be appropriate

generating options implied probability densities to understand oil market events abstract we investigate the informational content of options implied probability density functions pdfs for the future price of oil using a semiparametric variant of the methodology in breeden and litzenberger 1978 we investigate the fit and smoothness of distributions derived from alternative pdf estimation methods and develop a set of robust summary statistics using pdfs estimated around episodes of high geopolitical tensions oil supply disruptions macroeconomic data releases and shifts in opec production strategy we explore the extent to which oil price movements are expected or unexpected and whether agents believe these movements to be persistent or temporary

unit root properties of crude oil spot and futures prices in this article we examine whether wti and brent crude oil spot and futures prices at 1 3 and 6 months to maturity contain a unit root with one and two structural breaks employing weekly data over the period 1991 2004 to realise this objective we employ lagrange multiplier lm unit root tests with one and two endogenous structural breaks proposed by lee and strazicich 2003 minimum lagrange multiplier unit root test with two structural breaks review of economics and statistics 85 1082 1089 2004 minimum lm unit root test with one structural break working paper no 04 17 department of economics appalachian state university we find that each of the oil price series can be characterised as a random walk process and that the endogenous structural breaks are significant and meaningful in terms of events that have impacted on world oil markets

monetary versus real exchange rate targets when capital mobility is limited abstract a country that follows a ppp exchange rate rule with limited capital mobility will face a trade off between output and price stability providing money demand is not extremely sensitive to expectations this conclusion is thus the same as in the closed economy model of taylor 1979

the influence of the management team s international experience on the internationalization behaviors of smes why are some small and medium sized enterprises smes more successful in selling outside their domestic markets than are other smes in the same industry although the traditional explanation is that firms can gain valuable knowledge and resources as they become older and larger small and young firms are not necessarily disadvantaged if they develop other mechanisms to acquire the requisite knowledge and resources we examine the role of the management team s international experience as such a mechanism for the internationalization of canadian software product firms we show that internationally experienced management teams have a greater propensity to develop foreign strategic partners and to delay less in obtaining foreign sales after start up and that these behaviors are associated with a higher degree of internationalization

diversifying away the risk of war and cross border political crisis this paper investigates the behavior of crude oil prices government bonds and stock market indices around outbreaks of severe international crises and wars using a constant mean return event study we show that these events are associated with positive and significant abnormal returns on oil and bonds which means that these two asset classes can potentially shelter shareholders from plummeting equity values during international crises a formal safe haven analysis confirms this insight such price movements may reflect a reallocation of funds across asset classes in response to the events as well as shifts in the demand for oil due to precautionary speculative and military motives we also calculate the weights for optimal portfolios which could provide insurance against conflict risk

asymmetric effects of geopolitical risks on energy returns and volatility under different market conditions abstract based on daily data from 28 june 1990 to 31 october 2018 we investigate the asymmetric effects of geopolitical risks on energy crude oil gas and heating oil returns and volatility under different market conditions by using a quantile regression model the results show that geopolitical risks have significantly negative effects on crude oil returns in the bearish market and on heating oil returns in the normal and bullish markets but have no effects on gas returns meanwhile the impacts of geopolitical risks on crude oil volatility are significantly positive in different market conditions and the impacts on gas and heating oil volatility are mainly negative but not significant in addition we further divide geopolitical risks into geopolitical threats and geopolitical acts and find that geopolitical threats and acts have heterogeneous effects on energy returns and volatility