determinants of the equilibrium real exchange rate n b professor neary was based at university college dublin and queen s university ontario canada when this article was first published the full text of this article is not available in ora at this time citation neary j p 1988 determinants of the equilibrium real exchange rate american economic review 78 1 210 215

international portfolio flows and exchange rate volatility in emerging asian markets abstract this paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility using monthly bilateral data for the us vis a vis seven asian developing and emerging countries india indonesia pakistan the philippines south korea taiwan and thailand over the period 1993 01 2015 11 garch models and markov switching specifications with time varying transition probabilities are estimated in addition to a benchmark linear model the evidence suggests that high low exchange rate volatility is associated with equity bond inflows from the asian countries toward the us in all cases with the exception of the philippines therefore capital controls could be an effective tool to stabilise the foreign exchange market in countries where flows affect exchange rate volatility

exchange rate uncertainty and international portfolio flows a multivariate garch in mean approach abstract this paper examines the impact of exchange rate uncertainty on different components of net portfolio flows namely net equity and net bond flows as well as their dynamic linkages specifically a bivariate var garch bekk in mean model is estimated using bilateral monthly data for the us vis a vis australia canada the euro area japan sweden and the uk over the period 1988 01 2011 12 the results indicate that the effect of exchange rate uncertainty on net equity flows is negative in the euro area the uk and sweden and positive in australia the impact on net bond flows is also negative in all countries except canada where it is positive under the assumption of risk aversion the findings suggest that exchange rate uncertainty induces a home bias and causes investors to reduce their financial activities to maximise returns and minimise exposure to uncertainty this effect being stronger in the uk the euro area and sweden compared to canada australia and japan overall the results indicate that exchange rate or credit controls on these flows can be used as a policy tool in countries with strong uncertainty effects to pursue economic and financial stability

some models for estimating technical and scale inefficiencies in data envelopment analysis in management contexts mathematical programming is usually used to evaluate a collection of possible alternative courses of action en route to selecting one which is best in this capacity mathematical programming serves as a planning aid to management data envelopment analysis reverses this role and employs mathematical programming to obtain ex post facto evaluations of the relative efficiency of management accomplishments however they may have been planned or executed mathematical programming is thereby extended for use as a tool for control and evaluation of past accomplishments as well as a tool to aid in planning future activities the ccr ratio form introduced by charnes cooper and rhodes as part of their data envelopment analysis approach comprehends both technical and scale inefficiencies via the optimal value of the ratio form as obtained directly from the data without requiring a priori specification of weights and or explicit delineation of assumed functional forms of relations between inputs and outputs a separation into technical and scale efficiencies is accomplished by the methods developed in this paper without altering the latter conditions for use of dea directly on observational data technical inefficiencies are identified with failures to achieve best possible output levels and or usage of excessive amounts of inputs methods for identifying and correcting the magnitudes of these inefficiencies as supplied in prior work are illustrated in the present paper a new separate variable is introduced which makes it possible to determine whether operations were conducted in regions of increasing constant or decreasing returns to scale in multiple input and multiple output situations the results are discussed and related not only to classical single output economics but also to more modern versions of economics which are identified with contestable market theories

the design of securities abstract this paper investigates the determinants of security design we consider the assignment of both cash flows and voting rights focusing on corporate control we postulate that a conflict of interest exists between contestants for control and outside investors the conflict arises because private benefits of control give contestants an incentive to acquire control even when this reduces firm value security design is a tool for resolving these conflicts and maximizing firm value our main result is that a single voting security is optimal

commodity trade and international risk sharing how much do financial markets matter abstract this paper evaluates the social gains from international risk sharing in some simple general equilibrium models with output uncertainty a simulation model calibrated to selected moments of u s and japanese data estimates the incremental loss from a ban on international portfolio diversification to be on the order of 0 20 percent of output per year even the theoretical gains from asset trade may disappear under alternative sets of assumptions on preferences and technology the paper argues that the small magnitude of potential trade gains may help explain the apparently inconsistent findings of empirical studies on the degree of international capital mobility

commodity currencies and equity flows abstract this paper analyzes the relationship among the prices of natural resources returns on equity and nominal exchange rates of the developed countries where primary commodities are an important share of exports australia canada and new zealand it is found that the portfolio rebalancing motive of hau and rey hau h rey h 2006 exchange rates equity prices and capital flows review of financial studies 19 1 273 317 is weaker for these countries one possible explanation of this finding is that commodity prices due to their flexibility play a special role in the transmission of shocks by linking equity markets across countries and reducing the need for portfolio rebalancing

a theory of acquisition markets mergers versus tender offers and golden parachutes we develop a model of the acquisition market in which the acquirer has a choice between two takeover mechanisms mergers and tender offers a merger is modeled as a bargaining game between the acquiring and target firms whereas a tender offer is modeled as an auction in which bidders arrive sequentially and compete for the target at any stage of the bargaining game the acquiring firm can stop negotiating and make a tender offer in equilibrium there is a unique level of synergy gains below which the acquiring firm makes only a merger attempt as it expects to lose in the competition resulting from a tender offer for synergy gains above this level tender offers can occur however to get tender offers target shareholders must give their managers golden parachutes that give higher payoffs in tender offers than in mergers article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

asset prices and exchange rates in this paper we study the implications of introducing demand shocks and trade in goods into an otherwise standard international asset pricing model trade in goods gives rise to an additional channel of international propagation through the terms of trade absent in traditional single good asset pricing models the inclusion of demand shocks helps overturn many unrealistic implications of existing international flnance models in which productivity shocks are the sole source of uncertainty our model generates a rich set of implications on how stock bond and foreign exchange markets co move we solve the model in closed form which yields a system of equations that can be readily estimated empirically our estimation validates the main predictions of the theory

profitability efficiency marketability efficiency and technology gaps in taiwan s banking industry meta frontier network data envelopment analysis abstractthe aim of this article is to measure the profitability efficiency pe and marketability efficiency me of non homogenous taiwanese banks after the adoption of international financial reporting standards by using the convex meta frontier data envelopment analysis model the model is applied to simultaneously estimate pe and me of the banks in financial holding companies fhcs and the banks not in fhcs the meta inefficiencies in individual processes are further decomposed into group inefficiencies and technology gap inefficiencies to explore the sources of inefficiency the empirical results indicate that the banks in fhcs can reduce more costs than the banks not in fhcs whereas the banks not in fhcs can create greater market value than the banks in fhcs for the banks joining and not in fhcs technology gap inefficiency is the main source of inefficiencies in both profitability and marketability processes

terms of trade and real exchange rates the canadian evidence abstract this paper presents empirical evidence linking the canada us real exchange rate with the terms of trade using recently developed econometric methods for nondashstationary data we find that the real exchange rate is cointegrated with terms of trade variables and that causality runs from the terms of trade to the exchange rate we then construct a simple exchange rate equation that satisfies several specification tests and performs better than a random walk in post sample forecasting experiments the results suggest that much of the variation in the real exchange rate is attributable to movements in the terms of trade and that the influence of monetary factors is secondary

can portfolio rebalancing explain the dynamics of equity returns equity flows and exchange rates we explore whether the pattern of international equity returns equity portfolio flows and exchange rate returns are consistent with the hypothesis that unhedged global investors rebalance their portfolio in order to limit their exchange rate exposure when there are 1 relative equity return and 2 exchange rate shocks we also explore whether 3 equity flow shocks influence the exchange rates and relative equity prices in the estimation of the var system we do not impose any causal ordering upon the primitive shocks but instead identify the system based on theoretical priors about the contemporaneous conditional correlations between the three variables international data for the five largest equity markets are consistent with a theory in which equity returns and portfolio rebalancing are an important source of exchange rate dynamics

commodity currencies and the real exchange rate abstract this paper examines whether the real exchange rates of commodity exporting countries and the real prices of their commodity exports move together over time using international monetary fund imf data on the world prices of 44 commodities and national commodity export shares we construct new monthly indices of national commodity export prices for 58 commodity exporting countries over 1980 2002 evidence of a long run relationship between national real exchange rate and real commodity prices is found for about one third of the commodity exporting countries the long run real exchange rate of these commodity currencies is not constant as would be implied by purchasing power parity based models but is time varying being dependent on movements in the real price of commodity exports

on the structure of take over models and insider outsider conflicts in negotiated take overs abstract we model a takeover game where the players can bid or bargain without the traditional exogenous constraints on the order length and number of alternating stages in our european setting dominant shareholders can appoint and dismiss management implying that we have an insider outsider conflict rather than a management shareholder agency problem and that the distribution of sizeable private benefits is a crucial issue the bargaining solution determines the price even if no explicit negotiations are observed while bargaining strength and scope for exclusion determine the type of takeover pre negotiated or not discriminatory or not

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

the indian auto component industry estimation of operational efficiency and its determinants using dea in this paper the performance analysis of the indian auto component industry is carried out from the perspectives of an original equipment manufacturer and a component supplier various efficiency measures are estimated using data envelopment analysis with publicly available financial data on a representative sample of 50 firms the first stage analysis reveals various operational inefficiencies in the auto component industry which are subsequently decomposed into technical input mix and scale efficiencies the study finds evidence that a majority of the inefficient firms are operating in the diminishing returns to scale region and demonstrates potential savings through benchmark input targets a second stage analysis aimed at exploring root causes of inefficiencies finds that substitution of labour for capital could be causing a variety of inefficiencies including the input mix inefficiency in the indian component industry the empirical results also suggest that unlike the global auto supply chain higher average inventories are required for higher operational efficiencies in the indian context contrary to the popular expectations the technology licensing does not show significant influence on efficiency at least in the short term whereas efficient working capital management does result in higher operational efficiencies the study also unearths the need to reform labour laws which are significantly contributing to various inefficiencies in the indian component industry

performance assessment for electronic manufacturing service providers using two stage super efficiency sbm model abstractmanufacturing service providers emss offer services to original equipment manufacturers oems however increasing challenges require an ems to be more capable adaptable and responsive for survival an ems manager has to understand its relative efficiency in the industry in addition an investor also requires such information for investments in this research we propose a novel approach which combines gm 1 1 with a two stage super efficiency slacks based measure sbm model to forecast and assess the efficiencies of 18 emss the gm 1 1 was first used to forecast future data of emss and then the two stage super efficiency sbm model was used to measure the marketability and profitability efficiencies for an emu in two stages the results build a past current future view on the two efficiencies for each ems in addition the profitability efficiency can help justify the reasonability of marketability efficiency our results showed that hon hai tops the rankings in both profitability and

slacks based efficiency measures for modeling environmental performance we develop two slacks based efficiency measures for modeling environmental performance on the basis of environmental dea technology of the two measures one is a composite index with a higher discriminating power for modeling economic environmental performance and the other can be used to estimate the impacts of environmental regulations we apply the proposed measures to model the co2 emissions of 30 oecd countries from 1998 to 2002 and present the results obtained

on trees and logs abstract in this paper we contrast the main workhorse model in asset pricing theory the lucas 1978 tree model lt model to a benchmark model in financial equilibrium theory the real assets model ra model it is commonly believed that the two models entail similar conclusions since the lt model is a special case of the ra model but this is simply wrong implications of these models can be strikingly at odds indeed under the widely used log linear specification of households preferences we show that for a large set of initial endowments the lt model even with potentially complete financial markets admits only peculiar financial equilibria in which the stock market is completely degenerate in that all stocks offer the same investment opportunity and yet allocation is pareto optimal we investigate why the lt model is so much at variance with the ra model and uncover new results on uniqueness of financial equilibria and introduction of portfolio constraints obtaining in the lt model but not in the ra model