the international debt crisis and bank loan loss reserve decisions the signaling content of partially anticipated events the huge increases in loan loss provisions by major bank holding companies bhcs in 1987 were a signal of impending asset writedowns of loans to less developed countries ldcs 1 since loan loss reserve decisions like asset write downs are simply bookkeeping adjustments significant market reactions to such announcements should not be expected strong and meyer 1987 however found a positive and statistically significant cumulative average residual after the announcement of asset write downs 2 thakor 1987 argues that write downs have a price effect not because they mean much by themselves but because they signal events to come specifically he sees write downs as a signal of economic value enhancing corporate restructuring to come in the future p 662 we use event study methods to examine security returns for the twenty five largest u s bank holding companies surrounding citicorp s 3 billion loan loss

the norwegian winter herring fishery a story of technological progress and stock collapse in the 1970s herring stocks in the northeast atlantic were nearly fished to extinction this collapse is usually attributed to technological advances we investigate the empirical impact of technological shocks on herring stocks we show evidence that the power block was the principal factor in the demise of the stock we also look at the sensitivity of catch to stock size and technological shocks we measure a significant stock effect in the 1950s contrary to what we expect a simulation model indicates that this could have been caused by an increasing range of the fishing fleet due to ongoing technological progress

an evaluation of the life cycle effects of minimum pensions on retirement behavior in this paper we explore the effects of the minimum pension program on welfare and retirement in spain this is done with a stylized life cycle model which provides a convenient analytical characterization of optimal behavior we use data from the spanish social security to estimate the behavioral parameters of the model and then simulate the changes induced by the minimum pension in aggregate retirement patterns the impact is substantial there is a threefold increase in retirement at 60 the age of first entitlement with respect to the economy without minimum pensions and total early retirement before or at 60 is almost 50 larger copyright 2007 john wiley sons ltd

market based empirical research in accounting a review interpretation and extension a decade and a half of the most concerted and ambitious research effort in accounting history is evaluated here it is the search into the relationship between publicly disclosed accounting information and the consequences of the use of this information by the major group of usersequity investors as such consequences are reflected in characteristics of common stocks traded in major exchanges this research effort known as market based accounting research mbar obtained its impetus from major developments in finance theory during the late 1950s and early 1960s these were the portfolio selection theory and its offspring the capital asset pricing model capm and the concept of informationally efficient capital markets ecm subsequent developments in information economics agency theory and optimal incentive signaling models were quickly incorporated into mbar while the impetus to this line of research came from other disciplines accounting was not only a beneficiary but also to a modest extent a benefactor mbar is relevant to the study of capital market efficiency the capm information economics and regulation this contribution distinguishes mbar from most accounting areas whose contributions to other disciplines are negligible in

accounting for retail land sales analysis of a mandated change abstract this study assesses the stock market s reaction to a series of events leading up to a mandated change in accounting for retail land sales evidence is found to support the conclusion that the market reacted to some of these events in a manner consistent with the effects of the accounting change on debt annagement contracts a distinctive aspect of the analysis is the efficient use of security returns data to detect market reactions and to derive empirical distributions of test statistics employed the analysis is extended by a model for grouping regression equations known as seemingly unrelated regressions however the gains from this extension are modest

the market valuation effects of reserve regulation abstract we demonstrate that the financial market s reaction to changes in reserve regulation implies that reserve requirements are an excise tax on banking activities changes in reserve requirements do not influence yields on treasury securities or returns on broad based portfolios of nonfinancial stocks and thus do not impound new information about monetary policy moreover changes in reserve requirements have an impact on nonbank financial firms that is opposite in sign to that of banks this suggests that reserve requirements shift the locus of some financial activities from the banking sector to the nonbank sector of the financial system

social security and the retirement decision the effect of social security and private pensions on individual retirement decisions is modeled relaxing in turn three commonly maintained assumptions perfect capital markets actuarial fairness and certain lifetimes which together imply that there is no effect in each case raising the contribution level can cause systematic changes of either sign in general in individual retirement decisions for social security the effects associated with forced saving and deviations from actuarial fairness probably tend to advance retirement but those effects that arise solely from the insurance aspect of social security and private pensions are ambiguous in sign owing to the presence of a substitution effect that tends to delay retirement because the insurance benefits can be fully realized only by working longer

syndicated loan announcements and the the market value of the banking firm this paper examines valuation effects on the stocks of fifteen participating money center banks of 774 announcements of syndicated loans representing announcements of investment decisions for the lenders the authors find that announcements of ldc loans in the 1970s especially those to latin american borrowers are associated with negative abnormal returns to the lending banks while announcements of loans to u s corporate borrowers in the 1980s especially those for takover finance are associated with positive abnormal returns while a number of testable predictions are consistent with the negative abnormal returns for latin american loans they explain response to takeover loans with a return to liquidity hypothesis copyright 1995 by ohio state university press

bank foreign lending mandatory disclosure rules and the reaction of bank stock prices to the mexican debt crisis this paper examines the effects of the mexican debt mora torium in august 1982 on bank valuation the mexican default resulted in the passage of regulations requiring public disclosure of bank fo reign lending exposure the authors find that even in the absence of public disclosure regulations investors were able to discriminate a mong banks with different levels of exposure copyright 1987 by the university of chicago

bank portfolio exposure to emerging markets and its effects on bank market value abstract this study estimates a model of banking company equity returns taking into consideration book value and market value measures of their exposure to emerging markets debt in this estimation general systematic market factors such as the rate of return on the s p500 stock index and yields on a constant maturity 5 year treasury note are held constant such that the exposure variables are accounting for effects due to banks exposure to emerging market debt the results although not uniform among banking companies support the hypothesis that the extent of exposure to emerging market debt are factored into the valuation of banking company equity contemporaneously the inclusion of a market value indicator adds to the explanation of equity returns of some banks it is also clear that knowing the extent of the exposure on a book value basis is important information alone that may allow investors to take account of or evaluate the effects of changes in banking company equity valuation from ldc debt exposures we also perform an event study for three major debt crises to determine whether the market recognizes the effects of these events on bank valuation the event study results show that there is little information from identifying the time period of the crises on banking company equity returns explanations for this are that the information of these possible crises has been embedded in bank changes in exposure and that the market valuation of the emerging market debt is already accounted for by our model

market expectations of the effects of the tax reform act of 1986 on banking organizations abstract this study investigates market expectations regarding the effect of the tax reform act of 1986 on the banking industry the evidence shows that overall the tax reform did not adversely affect the stocks of banking institutions the findings suggest that overall banking organizations were expected to largely mitigate any negative effects of the tax reform on their cash flow by rebalancing and or repricing their portfolios of assets and liabilities the most significant provision of the new act was the limitation on foreign tax credits interestingly the markets did not expect any adverse valuation effects from the recapture of loan loss reserves or the elimination of the interest deductibility for carrying tax exempt securities

embodied and disembodied technical change in fisheries an analysis of the sete trawl fishery 1985 1999 overfishing and excess capacity in mostfisheries around the world have generated considerableand increasing concern about their biological and economic performance ramifications theseproblems in part stem from substantialinvestment in technical improvements to boats andequipment in fishing fleets which exacerbatesexcess fishing capacity and low returns tofishing effort and investment given regulatoryand biological constraints however little attempt hasbeen made to quantify the extent or effects oftechnical change in fisheries in this paper we usedetailed data on innovation patterns for 19vessels in the sete trawl fleet of southernfrance to evaluate the contributions oftechnical change to catch rates we find thatembodied technical change enhanced productivity by approximately one percent per year between 1985 and 1999 but that external disembodied events counteractedthis trend causing a net output decline ofabout three percent per year

market evidence on the effective maturity of bank assets and liabilities the recent years increase in interest rate volatility has intensified concern over the exposure of commercial banks to interest rate or funding risk since the effect of interest rate changes on the equity value of a bank depends on the maturity or duration of the bank s assets and liabilities assessing an individual bank s interest rate risk exposure requires information about the maturity composition of its portfolio it is difficult however to assess a bank s risk exposure from balance sheet data because several important asset and liability items have theoretically ambiguous effective maturities in a frictionless market a security s effective maturity will equal its stated maturity or time to repricing with market imperfections e g depositors transaction or information costs however the equilibrium cost of some deposit items may respond sluggishly or incompletely to market rate changes see hester and pierce 1975 or flannery 1982 such liabilities market values discounted at market rates would therefore fluctuate with the level of interest rates these liabilities are sometimes called core deposits which manifest sticky responses to market rate changes we define an asset or liability s effective maturity as the maturity of a fixed rate perfectly elastically supplied security with the same market value elasticity as the bank balance sheet item under consideration naturally a balance sheet item s effective maturity is the relevant determinant of its contribution to the bank s overall interest rate risk sensitivity

growth accounting when technical change is embodied in capital this paper revisits the hypothesis that technical change is embodied in capital it extends old results to make them more relevant to the contemporary debates about the adjustment of investment goods for quality change and about the role of embodied technical change as a source of economic growth it is shown that the failure to adjust capital for quality change has the effect of suppressing the quality effects into the conventional total factor productivity residual and it is found that approximately 20 percent of the residual growth of quality adjusted output could be attributed to embodied technical change copyright 1992 by american economic association

market reaction to the thrift bailout abstract this paper examines the share price reaction of depository institutions to the financial institutions reform recovery and enforcement act firrea passed august 1989 we find a favorable share price response for thrifts which could be attributed to enhanced depositor confidence reduced risk premiums on deposits reduced agency costs or reduced loan losses among other reasons however the effects of firrea on commercial banks were negligible an intra industry analysis revealed that the variation in share price responses could not be explained by cross sectional differences in thrift capital levels

the digital provide information technology market performance and welfare in the south indian fisheries sector when information is limited or costly agents are unable to engage in optimal arbitrage excess price dispersion across markets can arise and goods may not be allocated efficiently in this setting information technologies may improve market performance and increase welfare between 1997 and 2001 mobile phone service was introduced throughout kerala a state in india with a large fishing industry using microlevel survey data we show that the adoption of mobile phones by fishermen and wholesalers was associated with a dramatic reduction in price dispersion the complete elimination of waste and near perfect adherence to the law of one price both consumer and producer welfare increased

tail risk and systemic risk of us and eurozone financial institutions in the wake of the global financial crisis we evaluate multiple market based measures for us and eurozone individual bank tail risk and bank systemic risk we apply statistical extreme value analysis to the tails of bank equity capital losses to estimate the likelihood of individual institutions financial distress as well as individual banks exposure to each other spillover risk and to global shocks extreme systematic risk the estimation procedure presupposes that bank equity returns are heavy tailed and tail dependent as identifying assumption using both us and eurozone banks allows one to make a cross atlantic comparison of tail risks and systemic stability we also assess to what extent magnitudes of tail risk and systemic risk have been altered by the global financial crisis the results suggest that both tail risk and systemic risk in the us are higher than in the eurozone regardless of the considered sample period

new evidence on pensions social security and the timing of retirement using a unique dataset that links the economic and demographic information of households with the details of their pension formulas i estimate the combined effect of social security and pension benefits on the probability of retirement in a cross section of the population near retirement age the accrual rate of retirement wealth is shown to be a significant determinant of the probability of retirement simulations of extensions in pension coverage comparable to those that occurred in the early postwar period can account for one fourth of the contemporaneous decline in labor force participation rates 1998 elsevier science s a all rights reserved

modeling technology adoption in developing countries an analysis of technology adoption decisions by poor farmers is provided some possible empirical models for studying technology adoption are reviewed the issue of theoretical consistency is dealt with in terms of the costs of such consistency measured in data needs and model complexity and the benefits measured in terms of understanding the micro economic foundations of adoption

technological change and managerial ability evidence from a malaysian artisanal fishery technological progress can improve economic development but its role in the harvest of common resources has received little attention we study the relationship between skill and the use of electronic and mechanical innovations in the productivity of malaysian artisanal fishers surprisingly electronics users do not define the frontier and mechanical winch adopters produced well inside it we show that if technology is a skill substitute rather than a complement then it helps less efficient users catch up to the production frontier policy makers must balance the implications for participation rates and resource depletion against gains for the least skilled participants

networks distance and trust telecommunications development and changing trading practices in ghana summary ghana liberalized its telecommunications sector in 1995 this article examines the impact of the phenomenal growth in access to cell phones on informal traders business practices the study demonstrates how these telecommunication pioneers have changed their mode of operation to reduce both transportation and transaction costs it is argued that traders with access to tools for more efficient communication over long distances provide better services and create a higher profit potential than others it is further argued that adoption of new technology enhances trust building in trade networks thus facilitating a higher number of transactions in an uncertain economic environment

growth accounting in a fishery abstract since 1950 the real value of fish catches in norway has about doubled while the number of fishermen has declined by about 85 percent this has made it possible to maintain fishermen s incomes roughly on par with other occupational groups in norway it is investigated to what extent this increase in labor productivity is due to accumulation of capital increasingly abundant fish stocks or technological progress since the capital stock in recent years is not much greater in real terms than in the early 1960s it is tempting to ascribe most of the increase in labor productivity to technical progress this however would leave out the role of fish stocks if stocks have increased over this period this would explain some of what otherwise appears as a technical progress using data on labor capital fish catches and fish stock abundance 1961 2004 the development of total factor productivity is examined ignoring changes in fish stocks total factor productivity is estimated to have increased by 0 8 percent per year accounting for changes in fish stocks raises this to 1 7 4 3 percent per year depending on the importance assigned to stocks as factors of production

pension design with a large informal labor market evidence from chile this article investigates the fiscal and welfare trade offs involved in designing a pension system when workers can avoid contributing by working informally using a life cycle model of labor supply and saving decisions i structurally estimate preferences and earnings opportunities in the formal and informal sectors using data on chilean households i find limited support for formal jobs rationing instead mandatory pension contributions significantly encourage informality policy experiments show that chile could lower minimum pension spending by 23 while guaranteeing the same income to retirees if the minimum pension s implicit tax rate was increased to 60

the wealth effects of the risk based capital requirement in banking the evidence from the capital market abstract the imposition of risk based capital requirements has been advocated by some regulatory authorities as a means of mitigating the incentive problems created by fixed premium deposit insurance however their imposition also constitutes a requirement to maintain an exogenously influenced capital structure which may adversely affect the values of the firms involved this paper examines the wealth effects of the announcement of the basle committee s intention to impose across international boundaries a pre determined minimum level of risk adjusted capital we find that in general the equity values of a sample of large publicly traded banks decrease at the time of the announcement further those banks with capital levels which are deficient relative to the mandated levels suffer the largest relative losses

federal deposit insurance regulatory policy and optimal bank capital this paper seeks to explain the combination of explicit and implicit pricing for deposit insurance employed by the fdic essentially the fdic sells two products insurance and regulation to span the product space it must and does set two prices we argue that the need to establish regulatory disincentives to bank risk taking is the heart of the controversy over the adequacy of bank capital and that the ability to close risky banks before exhausting their charter value i e the value of their right to continue in business stands at the center of these disincentives and in front of the fdic s insurance reserves just as a book shouldn t be judged by its cover a government agency shouldn t be judged by the words behind its initials with the fdic federal deposit insurance corporation the agency s name describes only part of its formal operations the fdic is quasi governmental has a regional structure and sells deposit insurance however the initials fail to convey the fdic s critical place in the governmental regulatory structure as the sole federal overseer of the approximately 8900 state chartered commercial banks that have chosen not to belong the federal reserve system reflecting the federal reserve s membership problem the number of these banks is growing year by year besides selling deposit insurance at bargain explicit rates the fdic performs four regulatory functions 1 entry regulation it passes on new banks applications for deposit insurance and on branch and merger proposals as well thereby protecting the value of existing bank charters 2 examination two thirds of fdic employees are concerned with inspecting bank records and supervising managerial activity 3 regulation of deposit rates and conditions for withdrawal by tradition fdic policies on these matters conform entirely with regulations applicable to federal reserve member banks and 4 disposition of failed banks when an insured bank fails the fdic usually chooses not to liquidate it 2

financial intermediation and delegated monitoring this paper develops a theory of financial intermediation based on minimizing the cost of monitoring information which is useful for resolving incentive problems between borrowers and lenders it presents a characterization of the costs of providing incentives for delegated monitoring by a financial intermediary diversification within an intermediary serves to reduce these costs even in a risk neutral economy the paper presents some more general analysis of the effect of diversification on resolving incentive problems in the environment assumed in the model debt contracts with costly bankruptcy are shown to be optimal the analysis has implications for the portfolio structure and capital structure of intermediaries

regional reciprocal interstate banking the supreme court and the resolution of uncertainty abstract in 1985 the supreme court affirmed the ability of the states to enter into regional reciprocal compacts in northeast bancorp inc et al v board of governors of the federal reserve system the current study tests the hypotheses that the court s decision exerted a material influence on the wealth of shareholders in bank holding companies bhcs operating within regional banking compacts and that shareholder reactions were affected by the size of their bhc as a proxy for the likelihood that a bhc would be an acquiror vs a target in the new legislative climate the analysis uses a sample of 52 bhcs that were members of regional interstate banking compacts and a control sample of 107 bhcs based in states that had not passed such enabling legislation as of the event date both portfolios of bhcs exhibited a statistically significant average positive reaction to the supreme court decision further there is evidence that the average bhc in each group reacted significantly differently to that event the reactions of bhcs in regional compacts were associated negatively with their relative size within their respective regional compact but related positively to their absolute size interestingly the reactions of bhcs in the control sample were also negatively associated with their relative size within their home office s state but also positively related to their absolute size all in all shareholders viewed the interstate banking opportunities brought by the supreme court decision to be consistent with their interests

search and active learning with correlated information empirical evidence from mid atlantic clam fishermen this paper examines search with active learning and correlated information we first develop a simple model to show how correlation affects the decision to acquire information a unique data set on fishing site choice by mid atlantic clam fishermen is used to test the model predictions results find that clam fishermen search new sites when the catch at familiar sites declines i e when the opportunity cost of gathering information is low and also when catch at familiar sites is on the rise search following a catch decline occurs at spatially distant sites whereas search following a catch increase occurs at nearby sites correlated learning is crucial for explaining the site choice patterns in our data these results provide new insights that may extend to a variety of economic search problems where correlated learning is important

bank capital regulation and the valuation effects of latin american debt moratoriums abstract we examine effects of the mexican and bolivian debt moratoriums on bank share prices and analyze whether bank capital regulation influences these returns we hypothesize that investors perceived that capital deficient banks with exposure to this debt would sustain greater regulatory costs due to increased pressure from regulators to strengthen their capital bases or to reduce leverage consistent with this hypothesis we find that the impact of these debt moratoriums on bank stock returns is more unfavorable for capital deficient banks than for banks that met regulatory standards of capital adequacy

the reaction of bank stock prices to the international debt crisis abstract in this paper we develop a cross sectional regression approach to estimate the impact of foreign loan exposure on the pricing of u s bank stocks a new approach is required because news about foreign loan problems may arrive incremently over time rather than reaching the market on a few specific dates the way earnings and dividend announcements do consistent with this interpretation we find that foreign loan exposure had a significant impact on the pricing of u s bank stocks during the years 1982 and 1983 but that the stock prices adjusted continually over the two year period rather than jumping on a few particular days

social security liquidity and early retirement abstract this paper investigates the effect of social security on retirement decisions it argues that it is important to take realistic account of how recipients evaluate potential benefit flows the paper presents a simple retirement model in which liquidity constraints prompt individuals to use higher than market discount rates in evaluating future pension benefits as a consequence even an apparently actuarially fair early retirement benefit could on average discourage continued work using data on individual retirement decisions i find support for the argument that this phenomenon contributes to some of the observed increase in early retirement

the effects of health insurance and self insurance on retirement behavior this paper provides an empirical analysis of the effects of employer provided health insurance medicare and social security on retirement behavior using data from the health and retirement study we estimate a dynamic programming model of retirement that accounts for both saving and uncertain medical expenses our results suggest that medicare is important for understanding retirement behavior and that uncertainty and saving are both important for understanding the labor supply responses to medicare half the value placed by a typical worker on his employer provided health insurance is the value of reduced medical expense risk raising the medicare eligibility age from 65 to 67 leads individuals to work an additional 0 074 years over ages 60 69 in comparison eliminating 2 years worth of social security benefits increases years of work by 0 076 years

the international debt crisis and bank security returns in 1982 this research investigates the reaction of bank security returns to the 20 august 1982 mexican request for the rescheduling of its external debt empirical results show that the reaction of bank stocks was rapid and significantly negative within six days of the published announcem ent prices had adjusted to reflect levels of individual bank exposure which re futes the much longer time impliedin other studies of this event the authors c onclude that the marketreaction was essentially efficient rational and orderly copyright 1987 by ohio state university press

assessing technical efficiency in commercial fisheries the mid atlantic sea scallop fishery despite the extensive effort to research issues of allocative efficiency in fisheries little empirical analysis of technical efficiency te in fisheries exists this study examines vessel efficiency using a stochastic production frontier based on a sample of sea scallop vessels operating in the mid atlantic between 1987 and 1990 estimates of te are computed and compared with input usage resource conditions economic performance and recently imposed regulations the analysis suggests that owners and captains only partially compensate for changes in resource conditions through the use of labor and fishing effort and recent regulations may improve overall te in the short run

a generalized production frontier approach for estimating determinants of inefficiency in u s dairy farms this article investigates farm level efficiency of u s dairy farmers by estimating their technical and allocative efficiency technical inefficiency is assumed to be composed of a deterministic component that is a function of some farm specific characteristics and a random component by doing this we extend the stochastic frontier methodology in which determinants of technicial inefficiency are explicitly introduced in the model given the inputs variations in efficiency of farms are then explained by both deterministic and random components of technical inefficiency the empirical results indicate that a levels of education of the farmer are important factors determining technical inefficiency and b large farms are more efficient technically than small and medium sized farms both technical and allocative inefficiency are found to decrease with increase in the level of education of the farmer

depositor behavior under macroeconomic risk evidence from bank runs in emerging economies depositor behavior has been associated with bank specific characteristics random runs or contagion episodes using evidence on the 2000 02 bank runs in argentina and uruguay this paper shows that macroeconomic risk is also important few macroeconomic shocks can quickly cause large runs macroeconomic risk affects deposits regardless of traditional bank specific characteristics furthermore bank exposure to macroeconomic factors can explain differences in deposit withdrawals during crises the evolution of bank specific characteristics is mainly driven by macroeconomic factors while the informational content of bank specific variables declines overall depositors seem responsive to risk in a broader sense than that often considered by the literature

the brady plan the 1989 mexican debt reduction agreement and bank stock returns in the united states and japan the authors investigate the impact of the menu approach to debt rescheduling on the market value of two major creditors u s and japanese banks they try to understand how major creditor banks are affected by debt reschedulings and the menu choices they make so that debt deals can be structured in a way that appeals to both creditors and debtor countries they measure the stock market s reaction to the announcement of the brady plan and the mexican debt reduction agreement the brady plan was implemented through the menu approach which acknowledges creditor heterogeneity and provides financing packages that meet the country s financing requirements while still allowing the banks to reduce their exposure the mexican agreement provides an opportunity to test the impact of the brady plan s implementation by examining individual bank s menu choices exposure levels and the market s reaction they explore whether banks were able to make optimal portfolio choices when confronted with the obligation to participate they show that stock prices for different groups of banks reacted quite differently to focal events among all banks u s multinationals showed the strongest positive reaction to the brady announcement and the mexican agreement u s non multinationals do not appear to have been significantly affected by these international debt related events the reaction experienced by all japanese banks was much weaker than that of u s multinationals and was negative for the brady announcement and the initial mexico announcement the authors contend that the lack of a strong reaction was because of the japanese banks relatively low exposure to developing country risk they see the negative market reaction as a reflection of the expectation that a u s initiated debt reduction strategy would not be favorable for japanese banks indeed after the menu choices were announced the market recognized that the japanese banks were treated fairly and corrected itself they do not find that banks that made different choices were treated differently by the market so banks were able to negotiate menu choices in their best interest and to make portfolio choices consistent with their business objectives the results here confirm that the menu approach to debt restructuring may benefit both the creditor banks and the debtor countries

technological change and the tragedy of the commons the lofoten fishery over 130 years we analyze the effect of technological change on labor and total factor productivity in the lofoten fishery using detailed data for 130 years our findings support the important role of natural resources in productivity and improvements in welfare in natural resource based industries the total factor productivity has risen faster than labor productivity in the fishery indicating that the considerable technological progress in this industry has to some extent been neutralized by the decline in the fish stock open access to the fish resource most probably led to this situation

macroeconomic implications of early retirement in the public sector the case of brazil abstract in brazil generous public sector pensions have induced civil servants to retire on average at age 55 in this paper we assess the efficiency gains from eliminating such policy induced early retirement in a two sector overlapping generations economy we find the adverse effects of that policy are significant specifically the generosity of public sector pensions which induces civil servants to retire 5 years prematurely at age 55 rather than at age 60 is often associated with decreases in steady state output gdp of almost 3 and welfare losses in the private sector of more than 3 of consumption

the effects of health wealth and wages on labour supply and retirement behaviour this paper estimates a life cycle model of labour supply retirement and savings behaviour in which future health status and wages are uncertain individuals face a fixed cost of work and cannot borrow against future labour pension or social security income the method of simulated moments is used to match the life cycle profiles of labour force participation hours worked and assets that are estimated from the data to those that are generated by the model the model establishes that the tax structure of the social security system and pensions are key determinants of the high observed job exit rates at ages 62 and 65 removing the tax wedge embedded in the social security earnings test for individuals aged 65 and older would delay job exit by almost one year by contrast social security benefit levels health and borrowing constraints are less important determinants of job exit at older ages for example reducing social security benefits by 20 would cause workers to delay exit from the labour force by only three months

heterogeneous creditors and the market value of bank ldc loan portfolios abstract a standard proposition used in many empirical studies is that the value of an ldc loan does not depend on the identity of the lender i test this proposition using bank securities prices and prices for ldc loans trading in the secondary market i find significant cross sectional differences in the sensitivity of bank stocks to changes in the price of ldc loans differences in sensitivity appear to be related to changes in bank exposure to ldcs i also find evidence consistent with the hypothesis that cds are implicitly insured

the reaction of bank stock prices to news of derivatives losses by corporate clients abstract from march through may of 1994 several large nonfinancial firms announced millions of dollars in losses from derivatives deals especially those arranged by bankers trust accompanying these announcements and related news stories were allegations that bankers trust had either misrepresented lied or deceived its clients using sur methods we investigate how these announcements affected bankers trust and three portfolios of banks dealers nondealers and nonusers our results indicate significant cumulative abnormal returns of 12 14 bankers trust 5 56 13 dealer banks and 2 45 32 nondealer user banks the evidence suggests an intra industry information transfer effect consistent with rational pricing the replacement cost of derivative contracts is an important factor in explaining the variation in abnormal returns across banks

the brazilian default announcement and the contagion effect hypothesis abstract in this paper we use stocl market data to test several hypotheses regarding possible investor reaction to the february 20 1987 brazilian default both the traditional event study approach and a generalized least squares regression using brazilian exposure as an explanatory variable for abnormal returns are used a sample of 46 bank holding companies all listed on the new york or american srock exchanges is divided into groups of no low and high brazilian exposure we find that the initial stock market reaction to the default represents a rational investor response to new bank specific information however the stock market reaction also reveals that not all relevant information was contained in the disclosure announcement further we find some evidence of a contagion effect related to size

time to cook expenditure at retirement in spain detailed panel expenditure data from spain reveal little evidence of a retirement consumption puzzle in 1985 2004 there is a drop in food at home expenditure in the later years of the sample along with evidence of households paying lower prices for the food they purchase after retirement however our findings are consistent with a model that allows for home production as long as one accounts for the greater participation in housework by men after retirement coinciding with this latter period our work adds to the evidence from several countries and helps in reconciling the retirement consumption puzzle with life cycle models

spending retirement on planet vulcan the impact of longevity risk aversion on optimal withdrawal rates corrected july 2011 recommendations from the media and financial planners regarding retirement spending rates deviate considerably from utility maximization models this study argues that wealth managers should advocate dynamic spending in proportion to survival probabilities adjusted up for exogenous pension income and down for longevity risk aversion

a general index of technical change this paper outlines a procedure for estimating a general index of technical change within the context of a quite general production technology specifically when panel data are available for firms in an industry time specific dummies can be combined in a nonlinear estimation procedure to yield a general index of technical change that may be both nonneutral and scale augmenting this approach offers numerous advantages over the traditional time trend representation of technical change for example the general index can serve as the basis for analysis of the determinants of technical change results for a sample of 30 electric utilities over the period 1951 78 show that the productivity decline of the 1970s can be attributed primarily to sulphur oxide restrictions and secularly declining capacity utilization due to rapidly increasing peak load demands

long run implications of investment specific technological change an attempt is made to disentangle its effects from the more traditional hicksneutral form of technological progress the balanced growth path for the model is characterized and calibrated to u s national income and product account nipa data the quantitative analysis suggests that investment specific technological change accounts for the major part of growth jel e13 030 041 047

does the japanese stock market price bank risk evidence from financial firm failures the ability of the japanese stock market to appropriately price the riskiness of japanese financial firms has been frequently questioned particularly in light of japan s widespread financial distress in recent years and poor disclosure requirements this paper examines the response in equity returns of japanese banks to the failure of four commercial banks and two securities firms between 1995 and 1998 using event study methodology the analysis finds that share prices of surviving banks on the whole responded unfavorably to the failures and that financially weaker survivors were more adversely affected this suggests that despite the distress and alleged opaqueness bank shareholders were able to use available indicators of financial condition both to incorporate new information quickly into stock prices and to differentiate among banks

the economic effects of client losses on otc bank derivative dealers evidence from the capital market this paper investigates the economic impact of client derivatives losses on otc derivatives dealers its focus is on the capital marketers reaction to losses suffered by four end users of otc derivatives products arranged with bankers trust new york evidence is provided on the impact of these end user losses on bankers trust itself as well as whether these losses produced any systemic or contagion effects extending to other major bank otc derivatives dealers finally the paper investigates whether possible systemic effects may be associated with bank specific characteristics such as the level of derivatives exposure counterparty risk and reliance on trading income copyright 1996 by ohio state university press

a structural retirement model the life cycle model analyzed here constrains most work on the main job to be full time partial retirement entails a wage reduction and frequently a job change maximum likelihood estimates of utility function parameters are designed to incorporate information on the age of leaving full time work and the age of full retirement the model closely tracks retirement behavior including peaks in retirement activity at 62 and 65 the paper explores the relation of these peaks to nonlinearities in the budget constraint created by various retirement programs policy analyses based on this and on earlier models with simpler structures are compared the retirement choice is one of the more prominent manifestations of life cycle behavior the decision is the result of an interplay between an individual s preferences and a set of incentives which change in complicated ways as the individual progresses through his or her late 50 s and 60 s the purpose of this study is to formulate and estimate a structural model which incorporates in a fundamental way this interplay between lifetime preferences and incentives and to illustrate how such a model may be used to investigate retirement behavior a structural model of this type is essential for analyzing potential policy changes which can be expected to affect incentives in varying ways over a number of years in the life cycle the current study incorporates two structural features which have frequently been omitted from previous studies first the model requires that an individual who wishes to reduce work effort below full time must accept a reduced hourly wage rate in order to do so this reflects empirical evidence from micro data sets which indicates that around one third of older individuals engage in part time work at one time or another and that regardless of whether or not these older workers change jobs to obtain part time work they usually take wage cuts as compared to their previous full time work 2 the fact that an individual is willing to accept a lower wage rate in return for the opportunity to work fewer than full time hours contains important information about the preferences of the

productivity growth technical progress and efficiency change in industrialized countries this paper analyzes productivity growth in 17 oecd countries over the period 1979 1988 a nonparametric programming method activity analysis is used to compute malmquist productivity indexes these are decomposed into two component measures namely technical change and efficiency change we find that u s productivity growth is slightly higher than average all of which is due to technical change japan s productivity growth is the highest in the sample with almost half due to efficiency change jel c43 d24 in this paper we apply recently developed

debt equity swaps regulation k and bank stock returns abstract since the early 1980s the financial health of several highly levered ldcs has become increasingly precarious their financial problems in turn imply potentially serious financial problems for their creditors foremost among whom are some of the largest banks in the american financial system in order to relieve some of the pressure on the lending firms the board of governors has recently amended regulation k which provides guidelines for international banking operations to allow for unrestricted investment in foreign nationalized firms through the mechanism of the debt equity swap this paper examines the capital market reaction to the regulatory change and we find that 1 investors on average viewed the change as a wealth increasing event 2 the magnitude of the market reaction was significant and positively related to the level of foreign lending exposure and 3 among ldc lenders the capital market reaction differed significantly between money center and non money center banks

how social security and medicare affect retirement behavior in a world of incomplete markets this paper provides an empirical analysis of how the u s social security and medicare insurance system affect the labor supply of older males in the presence of incomplete markets for loans annuities and health insurance we estimate a detailed dynamic programming dp model of the joint labor supply and social security acceptance decision focusing on a sample of males in the low to middle income brackets whose only pension is social security the dp model delivers a rich set of predictions about the dynamics of retirement behavior and comparisons of actual vs predicted behavior show that the dp model is able to account for wide variety of phenomena observed in the data including the pronounced peaks in the distribution of retirement ages at 62 and 65 the ages of early and normal eligibility for social security benefits respectively we identify a significant fraction of health insurance constrained individuals who have no form of retiree health insurance other than medicare and who can only obtain fairly priced private health insurance via their employer s group health plan the combination of significant individual risk aversion and a long tailed pareto distribution of health care expenditures implies that there is a significant security value for these individuals to remain employed until they are eligible for medicare coverage at age 65 overall our model suggests that a number of heretofore puzzling aspects of retirement behavior can be viewed as artifacts of particular details of the social security rules whose incentive effects are especially strong for lower income individuals and those who do not have access to fairly priced loans annuities and health insurance

the social security early entitlement age in a structural model of retirement and wealth abstract a structural life cycle model of retirement and wealth attributes retirement peaks at both ages 62 and 65 to social security rules and wide heterogeneity in time preferences those with high discount rates often retire at 62 they have few assets and heavily value lost benefits from working after 62 largely ignoring potential increases in later benefits declining actuarial adjustments beginning at 65 induce those with low discount rates to retire at 65 raising the social security early entitlement age to 64 induces 5 of the population to delay retiring shifting the retirement spike from 62 to 64

fishing and nonfishing income decisions the role of human capital and family structure resource dependent households often diversify their income we model demand for remittances and supply of off resource labor as a joint decision and discuss household trade offs we extend the off farm labor supply literature to a rural fishery contrasting our results to common findings in the farm literature and providing empirical evidence of the interdependence between education and family structure in determining income diversification using a unique dataset from malaysia we find that more educated households are less likely to diversify their income with caveats depending on family composition policy implications for resource management in a remittance economy with alternative livelihoods are discussed