fixing exchange rates a virtual quest for fundamentals abstract fixed exchange rates are less volatile than floating rates but the volatility of macroeconomic variables such as money and output does not change very much across exchange rate regimes this suggests that exchange rate models based only on macroeconomic fundamentals are unlikely to be very successful it also suggests that there is no clear tradeoff between reduced exchange rate volatility and macroeconomic stability

stakeholder defined corporate responsibility for a pre credit crunch financial service company lessons for how good reputations are won and lost this paper presents a study that identifies a stakeholder defined concept of corporate responsibility cr in the context of a uk financial service organisation in the immediate pre credit crunch era from qualitative analysis of interviews and focus groups with employees and customers we identify in a wide ranging stakeholder defined concept of cr six themes that together imply two necessary conditions for a firm to be regarded as responsible both corporate actions and character must be consonant with cr this provides both empirical support for a notable recent theoretical contribution by godfrey in acad manag rev 30 777 798 2005 and novel lessons for reputation management practice

after hours stock prices and post crash hangovers after hours pricing in foreign equity markets of multiple listed u s securities appeared to be efficient in predicting new york prices in the weeks immediately following the october 1987 crash but relatively uninformative in succeeding months by contrast daily changes in new york prices appear to be efficiently incorporated in after hours trading on both the tokyo and london exchanges throughout the sample period this paper suggests that the asymmetry and temporal variations in cross market correlations are consistent with rational investor behavior in equity markets with nonzero transaction costs and time varying share price volatility in the wake of the october 1987 crash a number of studies have provided evidence of significant international linkages among national equity markets where high frequency movements in the share price indices of national exchanges appear to induce sympathetic price movements in subsequent trading on other national exchanges however the cross market correlations are generally much larger in periods of extreme volatility and appear to subside to modest or even negligible associations during periods of more normal trading activity since the constituent stocks of national exchange indices are not identical it may be that the episodic increases in correlated movements of the indices are due to changes in the actual or perceived relative importance of common factors in periods of unusual volatility the thrust of this paper is to remove the issue of the disparate composition of the price indices of national exchanges by examining the prices of a set of

smuggling and price disparity abstract this paper proposes a model of smuggling consistent with the coexistence of smuggling legal trade and price disparity defined as a domestic price which exceeds is less than the return from legal export import these phenomena have been found to characterize indonesian smuggling a framework is presented in which legal trade is used to cloak smuggling activity with the implication that the greater the volume of legal trade the less the costs of smuggling this model is then used to explain the observation noted above and to show that smuggling may be welfare increasing vis a vis the non smuggling situation and that even if the suppression of smuggling is costless tax revenue maximization may require a positive level of smuggling in addition the model is applied to coffee and rubber exports from indonesia

tourism welfare and de industrialization in a small open economy this paper investigates the effects of an expansion of tourism on welfare output and factor prices in the host country using a general equilibrium international trade model in the absence of taxes foreign ownership and distortions an increase in foreign visitors will increase welfare only if the price of nontradables increases factor mobility and foreign ownership tend to reduce the gains from tourism while commodity taxes tend to increase them conditions under which an increase in tourism can lead to deindustrialization are also discussed copyright 1991 by the london school of economics and political science

international factor movements repatriation and welfare abstract this paper analyzes two different ways of allowing foreign capital inflow introducing it into the domestic economy and introducing it into a duty free zone it shows how the ranking of the two policies depends on the production patterns in the duty free zone and the rules of factor income repatriation the result can be used to explain the discrepancy between the rankings of these policies in two recent papers the analysis also shows how the way of repatriating factor income could affect the equilibrium of factor movement the welfare of the factor owners and the welfare of the countries concerned

international competition and exchange rate shocks a cross country industry analysis of stock returns this article systematically examines the importance of exchange rate movements and industry competition for stock returns common shocks to industries across countries are more important than competitive shocks due to changes in exchange rates weekly exchange rate shocks explain almost nothing of the relative performance of industries using returns measured over longer horizons the importance of exchange rate shocks increases slightly and the importance of industry common shocks increases more substantially both industry and exchange rate shocks are more important for industries that produce internationally traded goods but the importance of these shocks is economically small for these industries as well economists journalists and politicians around the world argue that some of the industries in their country compete vigorously with the same industries in other countries and that exchange rate shocks affect their competitiveness in the united states it is routinely stated that some u s industries compete with japanese industries and that a depreciation of the yen is bad for these u s industries and good for the rival japanese industries if the yen falls trade tensions could intensify between the u s and japan as autos and machinery from japan gain a competitive edge 1 further the exchange rate literature shows that exchange rate shocks lead to persistent deviations from purchasing power parity 2 froot and klemperer 1989 and knetter 1989 1993 among others demonstrate that deviations from purchasing power parity lead to sharp changes in price markups and profit margins for exporters

corporate social responsibility theories mapping the territory the corporate social responsibility csr field presents not only a landscape of theories but also a proliferation of approaches which are controversial complex and unclear this article tries to clarify the sit uation mapping the territory by classifying the main csr theories and related approaches in four groups 1 instrumental theories in which the corporation is seen as only an instrument for wealth creation and its social activities are only a means to achieve economic results 2 political theories which concern themselves with the power of corporations in society and a responsible use of this power in the political arena 3 integrative theories in which the corporation is focused on the satisfaction of social demands and 4 ethical theories based on ethical responsibilities of corporations to society in practice each csr theory presents four dimensions related to profits political performance social demands and ethical values the findings suggest the necessity to develop a new theory on the business and society relationship which should integrate these four dimensions

commercially available order flow data and exchange rate movements caveat emptor research suggests that customer order flow should help predict exchange rates we make two contributions first we provide a review of the recent literature on order flow and exchange rate movements second we critically evaluate the practical value of customer order flow data that are commercially available to the wider market as well as the forecasting properties of inter dealer order flow in line with microstructure theory we find little evidence that the latter can forecast exchange rates but our results also cast considerable doubt on the practical value to market practitioners of commercially available customer order flow data

dynamic relations between international equity and currency markets the role of currency order flow previous research on the dynamic linkages between international financial markets focused on bivariate interequity or intercurrency relationships and do not allow a specific role for the currency or equity market respectively in this paper we hypothesize that there are important yet not well understood dynamic relationships between international equity and currency markets and these are driven by information spillover via the mechanism of currency order flow using a trivariate asymmetric garch framework we find that the relationships between equity and currency markets are significant bidirectional and pervasive these relationships which coexist with the relationships between u s and foreign equity markets are much stronger in the volatilities than in the means importantly we find strong support for our information spillover hypothesis where currency order flow is the economic mechanism by which information is transmitted

exchange rate exposure and industry characteristics evidence from canada japan and the usa abstract this paper examines industry level exchange rate exposures for canada japan and the usa measuring exposure by adding the change in the exchange rate to the domestic market model of industry portfolio returns some industries in all three countries display significant exposures moreover for each country the exchange rate is important for explaining industry returns at the economy wide level to explore whether exchange rate exposures are systematically linked to the activities of the industries we model exposure as a function of industry characteristics for all three countries the relation between exposure and industry characteristics is broadly consistent with economic theory jel f3

correlations in price changes and volatility across international stock markets the short run interdependence of prices and price volatility across three major international stock markets is studied daily opening and closing prices of major stock indexes for the tokyo london and new york stock markets are examined the analysis utilizes the autoregressive conditionally heteroskedastic arch family of statistical models to explore these pricing relationships evidence of price volatility spillovers from new york to tokyo london to tokyo and new york to london is observed but no price volatility spillover effects in other directions are found for the pre october 1987 period article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

smuggling and the black market for foreign exchange this paper develops a model of the black market for foreign exchange in which black market currency is demanded and supplied by firms engaged in smuggling it is demonstrated that quotas or foreign exchange rationing are not necessary to induce the coexistence of legal and black foreign exchange markets variants of the model analyze the implications of capital flight unbalanced trade quotas foreign exchange licensing and economies with more than two goods

a review of sustainable supply chain management practices in canada there is a growing body of research on the theory and practice of sustainable supply chain management sscm however relatively little research has been conducted on the extent to which corporations have integrated sustainability principles into the management of their supply chain and the evaluation of supplier performance the purpose of this article is to explore the extent to which corporate sustainability principles are integrated into supply chain management scm in corporations canada is used as a case study in this article the study included a content analysis of one hundred canadian corporate sustainable development reports and in depth interviews with 18 canadian experts on sscm the article highlights the wide array of ways in which canadian corporations address sscm issues amongst other topics issues associated with supply chain governance standards for sscm collaboration with suppliers performance measurement and accountability within the supply chain are explored the findings reveal that there are many challenges in integrating sustainability into scm these challenges shed light on possible future directions for research in sscm this article underlines the need for research that reflects the interconnected nature of the economic environmental and social dimensions of sustainability particularly as it relates to measuring supplier performance on sustainability initiatives

black markets and optimal evadable taxation in a simple model of evadable indirect taxation some surprises emerge because of a market thinning effect of high prices high taxes induce multiple equilibria low price black markets and high price legal markets further evadability introduces a bifurcation to optimal taxation for less effective tax administrations the optimal tax system follows a cash cow pattern with one sector bearing all of the tax but for relatively effective administrations the optimum follows a slightly modified ramsey rule this discontinuity results from the mathematics of evasion incentives and may help explain tax reforms commonly seen over the course of economic development

international factor mobility non traded goods tariffs and the terms of trade the present paper develops a general model with one imported one exported many non traded goods where some factors of production are internationally mobile within this framework the analysis establishes the validity of some earlier results and extends others that is 1 a tariff increase reduces the country s welfare 2 tariff induced international factor flows reduce a country s welfare 3 an improvement in a country s terms of trade in the presence of a tariff raises its welfare more when factors are internationally mobile than when not and 4 with preferential trading agreements trade creation always improves the country s welfare while trade diversion may or may not

a multivariate garch model of international transmissions of stock returns and volatility the case of the united states and canada this study examines the short run dynamics of returns and volatility for stocks traded on the new york and toronto stock exchanges the main finding is that inferences about the magnitude and persistence of return innovations that originate in either market and that transmit to the other market depend importantly on how the cross market dynamics in volatility are modeled moreover much weaker cross market dynamics in returns and volatility prevail during later subperiods and especially for canadian stocks with shares dually listed in new york implications for international asset pricing hedging strategies and regulatory policy are discussed

empirical determinants of purchasing power parity deviations abstract this paper investigates the empirical determinants of purchasing power parity ppp deviations over the recent period of flexible exchange rates transitory ppp deviations arise in a world in which prices are sticky but where exchange rates respond instantaneously to news permanent ppp deviations occur when price indices differ across countries and the world is subject to real shocks regressions consistent with the hypothesis that current exchange rate changes create immediate ppp deviations which are slowly dissipated but not eliminated imply that both sticky prices and real shocks are responsible for the recent failure of ppp

disentangling the role of the exchange rate in oil related scenarios for the european stock market abstract the literature has been analysing so far the response of the stock market to a distress scenario for oil prices considering prices in domestic currency this assumption implies merging commodity risk and exchange rate risk this article proposes to generate oil related scenario depending on the source of risk the same distress oil related scenario in euros could generate an opposite impact on the european stock market depending on the source of risk results show higher losses for eurostoxx when oil prices in euros experience a downward movement due to a decrease of oil price in us dollars and when oil prices in euros experience an upward movement due to a depreciation of the euro against the us dollar this framework can improve our understanding of how the exchange rate interacts in global markets also it contributes to the design of tailor made international scenarios for stress testing

intra day and inter market volatility in foreign exchange rates four foreign exchange spot rate series recorded on an hourly basis for a six month period in 1986 are examined a seasonal garch model is developed to describe the time dependent volatility apparent in the percentage nominal return of each currency hourly patterns in volatility are found to be remarkably similar across currencies and appear to be related to the opening and closing of the worlds major markets robust lm tests designed to deal with the extreme leptokurtosis in the data fails to uncover any evidence of misspecification or the presence of volatility spillover effects between the currencies or across markets

on the economic theory of smuggling earlier models of smuggling involve indeterminate equilibria for individual firms but they are deficient in their tr eatment of risk and or transport costs a model is constructed for an intra eec type of framework with due regard to such costs unique eq uilibria result smuggling of agricultural goods is an increasing cos t industry not because of implausible unspecified externalities as i n some earlier papers but because of increasing transport costs as t he extensive margin for smuggling is expanded predictions of the mod el are supported by studies of trade between the republic of ireland and northern ireland copyright 1988 by the london school of economics and political science

equilibrium asset prices and exchange rates abstract in a two country two good world we construct an intertemporal international general equilibrium for two logarithmic representative agents financial markets are fully integrated and independently incomplete the equilibrium expected rate of change of the exchange rate increases with the differential of interest rates and the volatility of the domestic equity markets and decreases with the covariance between domestic and foreign equity markets the equilibrium volatility of the exchange rate is the sum of the volatilities due to idiosyncratic factors in the financial markets and a term that represents the difference of weights in the common international factor

hourly volatility spillovers between international equity markets abstract this paper examines the timing of mean and volatility spillovers between new york and london equity markets using an arch model it is found that the evidence of volatility spillovers between these markets is minimal and have a duration which lasts only an hour or so the most significant effects surround the movement of share prices around the new york opening but these results are not strong several new arch models are estimated including an asymmetric or leverage model and a non linear model which allows big shocks to have a different impact from small shocks

exchange rate pass through when market share matters the authors investigate the pass through from exchange rates to import prices when firms future demands depend on their current market shares they show that profit maximizing foreign firms may either raise or lower their dollar export prices when the dollar appreciates temporarily i e the pass through may be perverse and that current import prices may be more sensitive to expected future exchange rates than to current exchange rates they present evidence that suggests the behavior of expected future exchange rates may provide a clue to the puzzling recent behavior of u s import prices copyright 1989 by american economic association

international factor mobility minimum wage rates and factor price equalization a synthesis this paper examines the behavior of a small open economy facing perfectly elastic supply curves for some of its productive factors in particular the paper derives some comparative statics properties of such economies compares them with the properties of otherwise identical economies in which all factor prices are determined endogenously and investigates the relationship between factor price rigidities factor price equalization and the pattern of specialization among the new results which are proved it is shown that as more and more factor price rigidities are imposed on an economy it comes closer to a state of factor price equalization

meteor showers or heat waves heteroskedastic intra daily volatility in the foreign exchange market this paper seeks to explain the causes of volatility clustering in exchange rates careful examination of intra daily exchange rates provides a test of two hypotheses heat waves and meteor showers the heat wave hypothesis is that the volatility has only country specific autocorrelation alternatively the meteor shower is a phenomenon of intra daily volatility spillovers from one market to the next using the garch model to specify the heteroskedasticity across intra daily market segments we find that the empirical evidence is generally against the null hypothesis of the heat wave using a volatility type of vector autoregression we examine the impact of news in one market on the time path of per hour volatility in other markets

smuggling trade and price disparity a crime theoretic approach abstract we provide a simple but fairly general model of smuggling capable of handling both the bhagwati hansen type of illegal trade through illegal entry points and the pitt type of illegal trade through legal entry points the paper focuses on the latter type of trade we take explicit account of the risk and uncertainty associated with illegal activity and moreover treat the real costs of smuggling as a choice variable of the firm it is shown that smuggling legal trade and price disparity may coexist as in pitt the economy s response to increased enforcement of laws against smuggling is explicitly analyzed it is shown that increased enforcement raises real per unit costs of smuggling and the domestic price of importables but lowers both the absolute quantity and the share of illegal imports in total imports the effect on welfare is ambiguous

endogenous choice of trade policy instruments abstract recently developed theories of endogenous trade policy formation have attempted to explain tariffs as the result of economic interest seeking by individuals or groups this note demonstrates that tariffs will not emerge as a policy choice if income is redistributed solely through trade policy induced factor price changes a production tax cum subsidy will be adopted as both gainers and losers are better off than with a tariff

a theory of risk smuggling and welfare abstract this paper argues that the existing models of smuggling do not provide a proper treatment of risk the paper develops a smuggling model which is an application of james tobin s celebrated risk analysis to the smuggling situation the paper shows that a large number of existing key smuggling related results are fundamentally modified the paper then develops special cases using this properly specified risk model these special cases help identify the assumptions one needs to obtain results in the existing smuggling literature it is shown that the required assumptions for these results to hold are generally quite unrealistic

interdependence of oil prices and stock market indices a copula approach article i nfo article history in this paper we study the relationship between the oil price and stock market index of various countries between 1982 and 2007 we exclude oil and gas stock companies from the stock indices to remove the obvious direct linkage oil price series are converted into local currency to account for possible exchange rate effects the method of copula is used to model the general dependence between stock returns and oil price returns our findings suggest a weak dependence between oil prices and stock indices for most cases which are consistent with the results from previous studies exceptions are for the stock index returns of large oil consuming and producing countries united states and canada which are shown to have a relatively strong dependence with the oil price series the introduction of euro in 1999 altered considerably dependence between oil prices and stock returns

endogenous tariff formation the case of mercosur mercosur appears as an interesting case study for analyzing the determinants of exceptions in regional trade agreements its member countries argentina brazil paraguay and uruguay intended to make mercosur a full customs union by january 1995 this goal turned out to be too ambitious and the protocol of ouro preto and other agreements signed in december 1994 led to a hybrid solution overall out of a total of 9 119 tariff lines around 30 percent are subject in at least one member country to either external deviations from the common external tariff or internal deviations from free trade thus an important set of holes remains under the existing agreement leading some authors to consider mercosur an incomplete customs union this article compares the results of the theoretical literature on endogenous tariff formation with evidence from mercosur the results show that mercosur common external tariff and member countries deviations from it and from internal free trade can be explained by sector or industry lobbying as predicted by the endogenous tariff literature if a viable political economy is a key to success then mercosur is here to stay

the transhipment problem smuggling and welfare in paraguay abstract this paper studies the effects of contraband on resource allocation and welfare using parguayan data a major portion of exports from this economy involves the transhipment of goods from third countries through paraguay to brazil and argentina to avoid trade taxes both explicit and implicit via quantitative restrictions and multiple exchange rates using international and paraguayan databases for 1990 we calculate that contraband accounted for 58 of exports and 31 of imports finally we estimate that such trade increased welfare by 2 1 of gdp

stock returns and volatility most asset pricing models postulate a positive relationship between a stock portfolio s expected returns and risk which is often modeled by the variance of the asset price this paper uses garch in mean models to examine the relationship between mean returns on a stock portfolio and its conditional variance or standard deviation after estimating a variety of models from daily and monthly portfolio return data we conclude that any relationship between mean returns and own variance or standard deviation is weak the results suggest that investors consider some other risk measure to be more important than the variance of portfolio returns

international comparisons of pricing to market behavior this paper measures the degree of price discrimination across export destinations that is associated with exchange rate changes using u s u k german and japanese industry level data given the industries sampled more price discrimination across destinations is observed in the u k german and japanese data for industries that match across source countries however behavior is very similar across source countries furthermore destination specific price adjustment on exports to the united states from germany and japan is similar to price adjustment observed on shipments to other destinations most variation in the data appears to be related to industry copyright 1993 by american economic association