bulls bears and market sheep abstract a deterministic excess demand model of stock market behavior is presented that generates stochastically fluctuating prices and randomly switching bear and bull markets

the economic consequences of a tobin tax an experimental analysis abstract the effects of a tobin tax on foreign exchange markets have long been disputed we present an experiment with currency trading on two markets where either none one or both markets are taxed our results confirm the hitherto undisputed issues a tax reduces trading volume shifts market share to untaxed markets and leads to negligible tax revenues if tax havens exist concerning the controversial issues we find that i volatility effects depend on the existence of tax havens and on market size ii market efficiency decreases in taxed markets when tax havens exist and iii short term speculation is reduced

delays and equilibria with large and small information in social learning abstract the general model of social learning with irreversible investment and endogenous timing is analyzed for any distribution of private informations strategic complementarities and multiple equilibria appear which are generated solely by information externalities different equilibria generate strikingly different amounts of information the impacts of various assumptions bounded beliefs large number of agents discrete time and short periods are examined carefully the properties are robust to the introduction of observation noise with a continuum of agents

a two country natrex model for the euro dollar this paper develops a natrex natural real exchange rate model for two large economies the eurozone and the united states the natrex approach has already been adopted to explain the medium long term dynamics of the real exchange rate in a number of industrial countries so far however it has been applied to a one country framework where the rest of the world is treated as given in this paper we build a natrex model where the two economies are fully specified and allowed to interact our theoretical model offers the basis for empirical estimation of the euro dollar equilibrium exchange rate that will be carried out in future research jel classification f31 f36 f47

investment dynamics with common and private values abstract we study a dynamic investment game with two dimensional signals where each firm observes its continuously distributed idiosyncratic cost of investment and a discrete signal correlated with common investment returns we demonstrate that the one step property holds and provide an equilibrium existence characterization result reversals are possible where a large number of firms investing in a given round becomes bad news about investment returns welfare is compared to static and rigid timing benchmarks and computed for large economies

using survey data to test standard propositions regarding exchange rate expectations survey data provide a measure of exchange rate expectations superior to the forward rate in that no risk premium interferes we estimate extrapolative adaptive and regressive models of expectations static or random walk expectations and bandwagon expectations are rejected current appreciation generates the expectation of future depreciation because variables other than the contemporaneous spot rate receive weight in comparing expectations to the process governing the spot rate we find statistically significant bias no variable is as ubiquitous in international financial theory and yet as elusive empirically as investors expectations regarding exchange rates in the past expectations have been modeled in an ad hoc way often by using the forward exchange rate there is however a serious problem with using the forward discount as the measure of the expected change in the exchange rate in that the two may not be equal the gap that may separate the forward discount and expected depreciation is generally interpreted as a risk premium most of the large empirical literature testing the unbiasedness of the forward exchange rate for example has found it necessary either arbitrarily to assume away the existence of the risk premium if the aim

nonlinear dynamics and stock returns simple deterministic systems are capable of generating chaotic output that mimics the output of stochastic systems for this reason algorithms have been developed to distinguish between these two alternatives these algorithms and related statistical tests are also useful in detecting the presence of nonlinear dependence in time series in this article the authors apply these procedures to stock returns and find evidence that indicates the presence of nonlinear dependence on weekly returns from the center for research in security prices value weighted index copyright 1989 by the university of chicago

the tobin tax in a continuous time non linear dynamic model of the exchange rate starting from a new continuous time non linear dynamic model of the exchange rate we formally show that the introduction of a tobin tax reduces speculators profit and influences the dynamics of the system making it more stable and less prone to chaotic motion

spiraling down into corruption a dynamic analysis of the social identity processes that cause corruption in organizations to grow to date theory and research on corruption in organizations have primarily focused on its static antecedents this article focuses on the spread and growth of corruption in organizations for this purpose three downward organizational spirals are formulated the spiral of divergent norms the spiral of pressure and the spiral of opportunity social identity theory is used to explain the mechanisms of each of these spirals our dynamic perspective contributes to a greater understanding of the development of corruption in organizations and opens up promising avenues for future research

the euro dollar exchange rate chaotic or non chaotic a continuous time model with heterogeneous beliefs abstract the aim of this paper is to develop a continuous time exchange rate model that allows for heterogeneity of the agents beliefs in order to explore non linearities and possible chaotic behaviour the theoretical model contains an intrinsic non linearity that gives rise to a jerk differential equation which is in principle capable of generating chaos the model is econometrically estimated in continuous time with euro dollar data and examined for the possible presence of chaotic motion our results indicate that the possibility of chaotic dynamics in our model is rejected

the real exchange rate abstract this essay concerns the real value of the u s relative to the g 10 i what are the dynamics of the fundamental determinants of the real exchange rate and its steady state value ii to what extent are the observed movements in the exchange rate from 1973 to 1988 due to the fundamentals iii how integrated are international capital markets iv how does the real exchange rate respond to a changes in the cyclically adjusted government budget deficit and to b changes in the marginal efficiency of investment

exchange rate speculation and chaos inducing intervention abstract we show that in a market characterized by high volatility transactions designed to have a stabilizing effect may inadvertently induce chaos in the foreign exchange market for example excessive interventions by a central bank may lead to an increase in erratic behavior rather than to the calming of exchange rate movements

exchange rate determination single equation or economy wide models a test against the random walk abstract we first give a brief presentation of the existing single equation structural models of exchange rate determination and a survey of how the exchange rate is modelled in the main economy wide macroeconometric models we then show with respect to the lira exchange rate that the out of sample predictive performance of the single equation models is inferior to that of the simple random walk model this confirms the thesis that only by moving away from these single equation semi reduced form models towards suitable economy wide macroeconometric models can one hope to beat the random walk following this course we finally show that the mark v version of our continuous time macroeconometric model of the italian economy outperforms both the existing structural models and the random walk process in out of sample forecasting tests concerning the lira exchange rate

social learning and peer effects in consumption evidence from movie sales using box office data for all movies released between 1982 and 2000 i quantify how much the consumption decisions of individuals depend on information they receive from their peers when quality is ex ante uncertain in the presence of social learning we should see different box office sales dynamics depending on whether opening weekend demand is higher or lower than expected i use a unique feature of the movie industry to identify ex ante demand expectations the number of screens dedicated to a movie in its opening weekend reflects the sales expectations held by profit maximizing theatre owners several pieces of evidence are consistent with social learning first sales of movies with positive surprise and negative surprise in opening weekend demand diverge over time if a movie has better than expected appeal and therefore experiences larger than expected sales in week 1 consumers in week 2 update upward their expectations of quality further increasing week 2 sales second this divergence is small for movies for which consumers have strong priors and large for movies for which consumers have weak priors third the effect of a surprise is stronger for audiences with large social networks finally consumers do not respond to surprises in first week sales that are orthogonal to movie quality like weather shocks overall social learning appears to be an important determinant of sales in the movie industry accounting for 32 of sales for the typical movie with positive surprise this implies the existence of a large social multiplier such that the elasticity of aggregate demand to movie quality is larger than the elasticity of individual demand

both sides of the coin motives for corruption among public officials and business employees the aim of this study is to better understand why public officials and business employees engage in corruption insight into individual level explanations for corruption was obtained with the aid of a self report survey the results suggest that the most indicative factors of whether or not individuals are corruption prone are as follows the moral conviction they have to refrain from corruption perceptions of whether their colleagues approve of and engage in corruption and difficulties experienced in complying with the rules on corruption this result pattern was identical for public officials and business employees alike and as a consequence for both sides of corrupt acts the latter indicates that the same motives may not only underlie corruption in both private and public sectors but also the act of corruption in its active and passive forms the results of the current study do not provide strong support for the assumption that economic considerations expected costs and benefits are crucial in predicting corruption based on the findings that norms and the perceived opportunity to comply are dominant factors in explaining corruption this article focuses on the practical implications for the development of anti corruption strategies within both public and private sectors

the role of ethical leadership versus institutional constraints a simulation study of financial misreporting by ceos this article examines the proposition that a major cause of the major financial accounting scandals that received much publicity around the world was unethical leadership in the companies and compares the role of unethical leaders in a variety of scenarios through the use of computer simulation models it shows how a combination of ceo s narcissism financial incentive shareholders expectations and subordinate silence as well as ceo s dishonesty can do much to explain some of the findings highlighted in recent high profile financial accounting scandals furthermore it shows that the nature and impact of ethical leadership depends greatly on the institutional setting and can be expected to vary greatly by country and culture in certain circumstances ethical leadership can have either a negligible or even opposite effect to that expected

the impact of fx central bank intervention in a noise trading framework abstract in this paper we analyse the effectiveness of the direct central bank interventions using a new effectiveness criterion to this aim we investigate the effects of central bank interventions cbi in a noise trading model with chartists and fundamentalists we first estimate a model in which chartists extrapolate past returns and fundamentalists forecast a mean reverting dynamics of the exchange rate towards a fundamental value then we investigate the role of central bank interventions for explaining the switching properties between the two types of agents we find evidence that in the medium run interventions increase the proportion of fundamentalists and therefore exert some stabilizing influence on the exchange rate

taking the road less traveled by does conversation eradicate pernicious cascades abstract we offer a model in which sequences of individuals often converge upon poor decisions and are prone to fads despite communication of the payoff outcomes from past choices this reflects both direct and indirect action based information externalities in contrast with previous cascades literature cascades here are spontaneously dislodged and in general have a probability less than one of lasting forever furthermore the ability of individuals to communicate can reduce average decision accuracy and welfare

information revelation through bunching abstract in this paper we analyze a dynamic game of pure information externality each player receives a private signal and chooses whether and when to invest bunching occurs when a subgroup of the players make decisions contingent on their signals while the rest of the players wait regardless of their signals we focus on asymmetric pure strategy equilibria where players private information is revealed gradually through bunching when players become patient enough the most efficient equilibrium contains no herding of investing while the least efficient equilibrium resembles the outcomes in an exogenous timing model when players discount factors differ less patient players will bunch earlier than more patient players

expectations and chaotic dynamics empirical evidence on exchange rates abstract the paper investigates the dynamic behavior of exchange rates expectations using four different currencies the test follows developments advanced by fernandez rodriguez et al fernandez rodriguez f sosvilla rivero s andrada felix j 2005 testing chaotic dynamics via lyapunov exponents journal of applied econometrics 20 911 930 the evidence however does not favor the presence of chaotic dynamics in exchange rate expectations

strategic delay and the onset of investment cascades i study the phenomenon of herd behavior in a framework where agents can endogenously choose both the actions and the timing of their actions i assume that agents may have privately known quality and content of information a unique symmetric equilibrium in pure strategies is proved to exist and characterized in its closed form an investment cascade always occurs in the equilibrium and a strategic delay is shown to exist before the sudden onset of the investment cascade i also examine the loss of welfare from delay and information cascade

information revelation and strategic delay in a model of investment we model investment as an n player game with a pure informational externality each player s payoff depends only on his own action and the state of nature however because a player s action reveals his private information players wait to see what other players will do equilibrium is inefficient because delay is costly and information is imperfectly revealed we characterize the unique symmetric perfect bayesian equilibrium and study the robustness of delay which turns out to be sensitive to the reaction speed and the number of players we establish the following results i when the period length is very short the game ends very quickly and there is a form of herding or informational cascade which results in a collapse of investment ii as the period length increases the possibility of herding disappears iii as the number of players increases the rate of investment and the information flow are eventually independent of the number of players adding more players simply increases the number who delay iv in the limit the time profile of investment is extreme a period of low investment followed either by an investment surge or a collapse

chaotic behaviour in exchange rate series first results for the peseta u s dollar case abstract we test for the presence of deterministic chaos on daily data for the spot and forward spanish peseta u s dollar exchange rates the finding of a chaotic behaviour in the series allows us to make short run predictions which in general outperform those from the random walk model