the environment and welfare implications of trade and tax policy developing countries with comparative advantage in dirty industries face the risk of environmental degradation unless appropriate policies are implemented using applied general equilibrium analysis we examine how trade influences the environment and assess the welfare and environmental implications of alternative pollution abatement policies for indonesia our results indicate that unilateral trade liberalization by indonesia would increase the ratio of emission levels to real output for almost all major pollution categories more importantly when tariff removal is combined with a cost effective tax policy the twin objectives of welfare enhancement and environmental quality improvement appear to be feasible this sheds new and positive light on the role of trade in sustainable development

one security many markets determining the contributions to price discovery when homogeneous or closely linked securities trade in multiple markets it is often of interest to determine where price discovery the incorporation of new information occurs this article suggests an econometric approach based on an implicit unobservable efficient price common to all markets the information share associated with a particular market is defined as the proportional contribution of that market s innovations to the innovation in the common efficient price applied to quotes for the thirty dow stocks the technique suggests that the preponderance of the price discovery takes place at the new york stock exchange nyse a median 92 7 percent information share although most of the classic paradigms in market microstructure concern a security that trades in a single centralized market such situations are becoming increasingly rare in practice fragmentation the dispersal of trading in a security to multiple sites has emerged as a dominant institutional trend this process is of concern to financial economists and regulators because price information and price discovery the impounding of new information into the security price arguably the most important products of a security market have many attributes of public goods as the process of fragmentation accelerates it may be important to determine where the price information and price discovery are being produced 1 this paper suggests a practical econometric approach to this problem the technique is illustrated with an application to u s equity markets many stocks listed on the new york stock exchange nyse trade concurrently on the regional exchanges and the national association of securities dealers national market system nasd nms since a share of ibm stock is the same security whether purchased on the midwest or pacific exchange this is a particularly clear instance of multiple markets nevertheless the expres

salomon brothers and the may 1991 treasury auction analysis of a market corner abstract in may 1991 the treasury sold 12 29 billion in two year notes through improper bidding salomon brothers gained control of at least 86 percent of the issue this study investigates the impact of salomon s attempted corner by examining the postauction price behaviour of the two year note based on a no arbitrage relation the results show that the two year note was substantially overpriced for approximately six weeks following the auction the typical mispricing during this period is estimated at 0 16 to 0 25 percent of par in dollar terms the aggregate misvaluation averaged 20 30 million and by controlling the supply of the issue salomon stood to gain substantially from the squeeze

service sector restrictiveness and economic performance an estimation for the mena region this article aims to assess barriers to service provision in the banking and telecom sectors of four middle east and north africa mena countries and the impact of these barriers on firm performance our methodology involves the computation of aggregate and modal trade restrictiveness indices tris by sector and utilisation of these tris as regressors of firms economic performance our analysis shows that significant regulatory reforms have taken place in the service sectors over the last decade in the mena region but that a broad range of restrictions still remain the most significant change in these service sectors has been the lifting or softening of constraints on foreign equity participation these regulatory reforms however have had varying degrees of impact on market structure depending on the country the sector and the mode moreover service restrictions have had an impact on economic performance in the three studied sectors while a rent creating effect seems to dominate restrictions on banking and fixed telecom sectors a cost inefficiency effect seems to dominate the mobile telecom sector finally we find evidence of interactions between modal restrictions for banking services our results suggest a complementarity between modes 3 and 1 as well as a substitution effect between modes 3 and 4 in the banking sector

welfare implications of trade liberalization and fiscal reform a quantitative experiment abstract this paper studies the welfare implications of revenue neutral trade liberalization and fiscal reform programs for developing economies using a multi sector dynamic general equilibrium model of a small open economy we analyze how different combinations of tariffs on imported consumption goods intermediate inputs and capital goods and taxes on consumption labor income and capital income affect the transitional and long run welfare we report three main findings first trade liberalization programs financed by consumption and labor income taxes tend to result in substantial welfare gains but financing the lost tariff revenue through capital income taxes can have an adverse impact on welfare second a significant fraction of welfare changes is due to transitional effects stemming from the allocation of resources in response to changes in tariffs and taxes third trade liberalization and fiscal reform programs often translate into much larger welfare gains in countries that are more open to international financial markets

price formation and liquidity in the u s treasury market the response to public information the arrival of public information in the u s treasury market sets off a two stage adjustment process for prices trading volume and bid ask spreads in a brief first stage the release of a major macroeconomic announcement induces a sharp and nearly instantaneous price change with a reduction in trading volume demonstrating that price reactions to public information do not require trading the spread widens dramatically at announcement evidently driven by inventory control concerns in a prolonged second stage trading volume surges price volatility persists and spreads remain moderately wide as investors trade to reconcile residual differences in their private views how do financial markets form prices and provide liquidity when information arrives efforts to address this issue have led to an extensive microstructure literature on equity markets and to a lesser extent on the foreign exchange fx market relatively little work has focused on the u s treasury market however in spite of its importance in its own right and the advantages it offers as an alternative testing ground for microstructure hypotheses

the welfare implications of trade liberalisation between the southern mediterranean and the eu the impact on the southern mediterranean countries smc of the current process of trade liberalization with the european union is explored the methodology is that of computable general equilibrium modelling under imperfect competition and the model includes ten countries and 11 sectors this allows for both a cross country and cross sectoral analysis of the results the experiments considered are the full liberalization of tariffs as well as changes in market access and trade induced changes in productivity a key feature of the paper is that the phased introduction of tariff reductions is allowed for as explicitly envisaged in the agreements the results show that the process of liberalization may have a substantial though non monotonic impact on the smc economies in terms of both changes in production and through this on welfare the welfare impact is potentially very high in particular for the high tariff economies the sources of the welfare gain tend to derive from perfectly competitive explanat

the welfare implications of services liberalization in a developing country abstract we propose an integrated method based on a two sector small open economy dynamic and stochastic general equilibrium model to estimate non tariff barriers and quantify the impact of services liberalization the major component of trade barriers is explicitly modeled through the introduction of entry sunk costs hence liberalization is treated assuming a government s policy decision aimed at reducing those costs then we estimate the model using bayesian techniques for tunisia and the euro area the paper presents a precise quantitative evaluation of services trade barriers as the difference between entry sunk costs in tunisia versus the euro area we find significant welfare benefits in addition to aggregate and sectoral growth gains the tunisian economy could attain following services liberalization surprisingly the good sector is the one that benefits the most from services liberalization in the short and long term horizons

managing online auctions current business and research issues the internet s computational power and flexibility have made auctions a widespread and integral part of both consumer and business markets though online auctions are a multi billion dollar annual activity with a growing variety of sophisticated trading mechanisms scientific research on them is at an early stage this paper analyzes the current state of management science research on online auctions it develops a broad research agenda for issues such as the behavior of online auction participants the optimal design of online auctions the integration of auctions into the ongoing operation of firms and the use of the data generated by online auctions to inform future trading mechanisms these research areas will draw from applied and theoretical work spanning management science economics and information systems

information asymmetries and security market design an empirical study of the secondary market for u s government securities this paper examines the empirical implications of an information asymmetry between primary and secondary dealers in the u s government securities market this asymmetry arises because primary dealers are permitted to trade through all brokers operating in the marketplace while secondary dealers are restricted to trade through only a subset of brokers brokers distribute valuable information over video screens to their trading clients including dealers up to date bid ask spreads and recent transaction prices as such all brokers video screen information is available to primary dealers while only a subset of brokers information is available to secondary dealers empirical analyses detect the resulting information asymmetry

the determinants of bank interest margins theory and empirical evidence this paper has developed a model of bank margins or spreads in which the bank is viewed as a risk averse dealer it was demonstrated that an interest spread or margin would always exist and that this was the result of transactions uncertainty faced by the bank moreover it was shown that this pure spread depended on four factors the degree of managerial risk aversion the size of transactions undertaken by the bank bank market structure and the variance of interest rates the model implied that liability and asset structures had to be analyzed together since they were directly interrelated through transactions uncertainty it was shown that because of this transactions uncertainty hedging behavior was perfectly rational within an expected utility maximizing framework extending the model from a structure with one kind of loan and deposit to loans and deposits with many maturities should lead to further interesting insights into margin determination especially as portfolio effects may become apparent

environmental policy public finance and the labour market in a second best world abstract environmental and tax policies and the optimal provision of clean and dirty public goods are analysed within the context of a second best framework of optimal taxation households consume both clean and dirty commodities degradation of the natural environment occurs due to the consumption of dirty private and public goods but can be offset when the government engages in abatement activities increased environmental concern implies a higher dirt tax a lower tax on labour less employment more public abatement and a cleaner environment if the elasticity of substitution between private consumption commodities and leisure is large and that between clean and dirty goods is small public consumption may expand while private consumption contracts otherwise public consumption falls

effects of carbon taxes in an economy with prior tax distortions an intertemporal general equilibrium analysis abstract this paper analyzes the costs of carbon taxes in a model that recognizes interactions between this tax and pre existing taxes first we examine the extent to which costs of a u s carbon tax are reduced when its revenues finance cuts in income taxes such use of revenues significantly reduces but does not eliminate the overall policy costs the positive overall costs reflect the carbon tax s focus on intermediate inputs and its relatively narrow base in comparison with income taxes we also examine the sensitivity of the carbon tax s costs to the level of pre existing taxes for any given use of revenues welfare costs rise significantly with pre existing tax rates indicating that models disregarding pre existing taxes may substantially understate the costs of new environmental tax initiatives

the effect of transaction size on off the run treasury prices this paper examines intra day trading data from the inter dealer broker market for u s treasury securities and measures the degree of price pressure in the off the run treasury market as is well known securities that would appear to be very close substitutes i e on the run and off the run treasury bonds behave as if there is some degree of market segmentation this is the first systematic study of the off the run treasury note and bond market focused entirely on a price pressure effect using intra day data the paper analyzes price pressure through matched pairs of securities that differ only in liquidity

special repo rates this article provides the causes and symptoms of special repo rates in a competitive market for repurchase agreements a repo rate is in effect an interest rate on loans collateralized by a specific instrument a special is a repo rate significantly below prevailing market riskless interest rates this article shows that specials can occur when those owning the collateral are inhibited whether from legal or institutional requirements or from frictional costs from supplying collateral into repurchase agreements specialness increases the equilibrium price for the underlying instrument by the present value of savings in borrowing costs associated with the repo specials this article characterizes competitive repurchase or repo markets and the equilibrium relationship between repo rates and the underlying cash market prices repurchase markets are often called financing markets since they are effectively vehicles for collateralized borrowing that are often used to finance the purchase of the underlying collateral this article provides causes and effects of specials meaning specific repo rates significantly below prevailing market interest rates for loans of similar maturity and credit risk the example of united states treasury instruments is emphasized because of the extensive use of the treasury repo market as a means of hedging against or speculating on changes in u s interest rates and because of the high incidence of specials in treasury repo rates numerous specific instru

the public finance of a protective tariff the case of an oil import fee recent debate has focused on the desirability of imposing an oil import fee or some broader tax on oil consumption in order to finance tax reform or for some other purposes optimal taxation requires that the government raise revenue using the tax instrument with the lowest efficiency cost per dollar of additional revenue a highly stylized but conventional general equilibrium model is used to evaluate the magnitude of this marginal efficiency cost for taxes on oil imports oil consumption and as a reference for comparison labor income

services linkages and the value added content of trade services trade constitute roughly one third of trade on a value added basis and much of this is concentrated in margin services transport logistics linked to trade in goods however producer services are also part of the value added contained in traded goods this is especially true in high income countries where services account for roughly 70 percent of value added working with data a set of global social accounting matrices spanning intermittent years from 1992 to 2007 this paper examines the services embodied in trade on a value added basis this includes not only the direct and indirect contribution of services to value added contained in a given country s exports but also the extent to which third country value added in services through intermediate linkages of imported goods and services are also embodied in production and trade this exercise serves to highlight not only the importance of non tradables in trade but also by extension the importance that productivity foreign affiliates sales and trade and investment in services may hold for interdependence and cross border linkages

competition policy and intellectual property rights in developing countries c ompetition policy is a broad term covering all aspects of government actions that affect the conditions under which firms compete in a particular market the term competition law refers to legislation judicial decisions and regulations specifically aimed at avoiding the concentration and abuse of market power however many regulations stipulate exemptions from competition disciplines for purposes of achieving various social goals competition policy is therefore complex in its intentions and effects competition law has emerged as an issue for the wto largely because exporting firms in the high income developed economies argue that anticompetitive practices of competitors in foreign markets hinder their ability to penetrate those markets such practices may be largely private in nature and could be facilitated by the absence or weak enforcement of local competition laws these issues have prompted a number of proposals for negotiating a limited agreement on multilateral principles and disciplines in competition law within the world trade organisation wto however the debate is contentious and no consensus has emerged on whether and how to address competition law and regulations within the wto we argue in this paper that developing countries would gain if a wto agreement were reached that recognised the principle that competition law should promote open competition emphasised international cooperation in competition

the outputs of retail activities concepts measurement and evidence from u s census data the authors develop a new economic framework for the empirical analysis of retail margins this framework formalizes the role of distribution services as outputs of retail activities their main results are the following the measures of outputs of retail activities identified in the data perform as important and robust determinants of retail margins variables that purport to capture oligopolistic features of market structure play a limited or no role in determining retail margins quantity setting and price setting under the assumptions of profit maximization and monopolistic competition are categorically rejected by the data the data base is information on 49 retail sectors from the 1982 u s census of retail trades copyright 1993 by mit press

are larger treasury issues more liquid evidence from bill reopenings this paper makes use of a natural experiment of the u s treasury department to examine the relationship between treasury security issue size and liquidity treasury bills that were first issued with 52 weeks to maturity and then reopened at 26 weeks are shown to be more liquid than comparable maturity bills that were first issued with 26 weeks to maturity the relationship is less pronounced when bills are on the run the most recently auctioned bills of a given maturity than when they are off the run and persists when controlling for other factors that affect liquidity the reopened bills are found to have higher yields lower prices than comparable maturity bills showing that the indirect liquidity benefits of reopenings are more than offset by the direct supply costs

beyond border barriers the liberalisation of services trade in tunisia and egypt tunisia and egypt have both recently undertaken significant steps toward trade reform they have committed to a partnership agreement with the european union both countries have also joined the wto and are participating in doha round discussions on the liberalisation of non tariff barriers on both goods and services trade these developments provide an interesting context within which to investigate not only the changes in welfare associated with reforms affecting the trade in goods but also the impacts of services liberalisation using open economy computable general equilibrium models for both tunisia and egypt this paper explores the reasons why structural differences in these two economies imply different opportunities and challenges with trade reform and services liberalisation the gains from eliminating barriers at the border for goods trade are significantly greater for tunisia than egypt both countries however gain substantially from liberalisation of foreign direct investment in services furthermore economic growth is more evenly distributed across sectors than with liberalisation of trade in goods alone in addition to reporting on the impact of alternative policies on income output employment and trade sector level effects are also considered

trade reform in the partially liberalized economy of turkey recent reforms in trade policy in turkey have produced a foreign trade regime that exhibits very little antiexport bias on average a quantitative multisectoral general equilibrium model of the turkish economy shows that piecemeal trade policy reform based on first best rationales that are appropriate for highly distorted economies would not now be appropriate further tariff reductions must be coordinated with export subsidy reductions to attain significant welfare benefits the dispersion of distortions especially export subsidies is more important than their level a policy of harmonizing tariffs to the common external tariff of the european community has virtually no effect on welfare

product differentiation and the treatment of foreign trade in computable general equilibrium models of small economies this paper examines the treatment of exports and imports and external closure rules adopted in recent single country computable general equilibrium models of small economies the paper presents a simple one sector analytic model which captures the major features of the multi sector counterpart used in applied models the paper derives graphical and algebraic solutions to the model and shows that unlike some earlier external closures this one gives rise to a well behaved price taking economy the model is also useful to illustrate the role of elasticities in popular trade theoretic models that include traded and non traded goods

on the benefits of pooling in production inventory systems we study inventory pooling in systems with symmetric costs where supply lead times are endogenously generated by a finite capacity production system we investigate the sensitivity of the cost advantage of inventory pooling to various system parameters including loading service levels demand and production time variability and structure of the production system the analysis reveals differences in how various parameters affect the cost reduction from pooling and suggests that these differences stem from the manner in which the parameters influence the induced correlation between lead time demands of the demand streams we compare these results with those obtained for pure inventory systems where lead times are exogenous we also compare inventory pooling with several forms of capacity pooling

design and evaluation of a dynamic capacity apportionment procedure abstract deploying a decision theory based approach we develop a heuristic for short term constrained capacity allocation to multiple product classes in make to order manufacturing attempting to maximize profit by discriminating between product classes efficacy of the heuristic is evaluated by comparing its performance to a base case and an upper bound under a wide variety of operational conditions such as variations in profit attractiveness capacity tightness customer order size structure customer order rate structure and demand coefficient of variation considering three different scenarios of time variant order rate of products the results indicate that the heuristic is effective in obtaining increased profit when capacity is very tight and products are well differentiated on average it yields an increase of 9 38 in total profit with a concomitant decrease of 0 85 in capacity utilization the results of this study serve to highlight the value of proactively seeking to differentiate products particularly when demand exceeds capacity

joint trade liberalization and tax reform in a small open economy the case of egypt abstract we develop a cge model of the egyptian economy to analyze the impact of various trade liberalization scenarios allowing distortionary domestic taxes to vary endogenously in order to satisfy a fixed real government revenue target we decompose computed welfare gains into effects from tax reform trade reform and their interaction scenarios include removal or unification of the consumption tax capital tax or both and tariff unification a free trade agreement with the european union and unilateral tariff elimination welfare effects depend critically on the type of revenue replacement tax while both are important neither trade policy reform nor tax reform dominates

openness and the finance growth nexus abstract rajan and zingales 2003 hypothesize that openness trade and financial is a crucial determinant of financial development the main policy implication emerging from this hypothesis is that openness should be promoted as a means of facilitating economic growth through financial development while subsequent research confirms that openness affects financial development we study whether finance continues to be growth promoting as economies become increasingly open a key implicit assumption behind the policy recommendation using data from 78 economies for the period 1981 2006 we find that very high levels of financial openness generally erode the growth promoting role of financial development while high trade openness strengthens it these worldwide findings by and large hold for subsamples of sub saharan african latin american and oecd economies notable exceptions are the invariance of the finance growth fg nexus on trade openness in oecd economies and the positive effect of financial openness on the fg link in latin american economies

price discovery in the u s treasury market automation vs intermediation this paper examines the contribution to price discovery by electronic and voice based trading systems in the u s treasury market evidence shows that the electronic trading system has more price discovery and that trading automation increases the speed of incorporating information into prices however human trading generates significant price discovery though its volume is low the relative contribution of a trading system to price discovery depends on liquidity volatility volume trade size and order imbalance the voice based trading system contributes more to price discovery when trade size is large and liquidity is low these findings provide important implications for the design of electronic markets for securities with different characteristics and trading environments this paper was accepted by wei xiong finance

liquidity taxes and short term treasury yields this article investigates differences in yields on identical treasury notes and bills and shows that they reflect differences in liquidity immediacy risk and taxes it proposes an empirical measure for differences in the liquidity risk of notes and bills the volatility ofthe underlying rate times the ratio of bills turnover to notes turnover because differential taxes affect sellers but not buyers of bills and notes the results reject free of informational problems the hypothesis that the notes demand curve is horizontal note bill yield differences also decrease with inventories of notes the less liquid asset

optimal environmental taxation in the presence of other taxes general equilibrium analyses this paper examines the optimal setting of environmental taxes in economies where other distortionary taxes are present we employ analytical and numerical models to explore the degree to which in a second best economy optimal environmental tax rates differ from the rates implied by the pigovian principle according to which the optimal tax rate equals the marginal environmental damages both models indicate contrary to what several analysts have suggested that the optimal tax rate on emissions of a given pollutant is generally less than the rate supported by the pigovian principle moreover the optimal rate is lower the larger are the distortions posed by ordinary taxes numerical results indicate that previous studies may have seriously overstated the size of the optimal carbon tax by disregarding pre existing taxes this abstract was borrowed from another version of this item

dynamic pricing in the presence of inventory considerations research overview current practices and future directions the benefits of dynamic pricing methods have long been known in industries such as airlines hotels and electric utilities where the capacity is fixed in the short term and perishable in recent years there has been an increasing adoption of dynamic pricing policies in retail and other industries where the sellers have the ability to store inventory three factors contributed to this phenomenon 1 the increased availability of demand data 2 the ease of changing prices due to new technologies and 3 the availability of decision support tools for analyzing demand data and for dynamic pricing this paper constitutes a review of the literature and current practices in dynamic pricing given its applicability in most markets and its increasing adoption in practice our focus is on dynamic intertemporal pricing in the presence of inventory considerations

estimates of ad valorem equivalents of barriers against foreign suppliers of services in eleven services sectors and 103 countries a new database on the barriers faced by foreign suppliers of services has been produced by the world bank data for 103 countries are available on 11 of the most important services sectors in international trade based on these data and building on the methodology and publications supported by the australian productivity commission this paper produces estimates of the ad valorem equivalents of the barriers for all these sectors and countries compared with estimates available in the literature that are based on assessments of country and sector specific barriers to services providers the estimates expand the set of sectors and more than triple the set of countries for which estimates of the ad valorem equivalents of the services barriers are available

the on the run liquidity phenomenon abstract we test the implications of a model of multi asset speculative trading in which liquidity differentials between on the run and off the run u s treasury bonds ensue from endowment shocks in the presence of two realistic market frictions information heterogeneity and imperfect competition among informed traders and a public signal our evidence suggests that i off on the run liquidity differentials are economically and statistically significant even after controlling for several of the bonds intrinsic characteristics such as duration convexity repo rates or term premiums and ii off on the run liquidity differentials are smaller immediately following bond auction dates and larger when the uncertainty surrounding the ensuing auction allocations is high when the dispersion of beliefs across informed traders is high and when macroeconomic announcements are noisy consistent with our model

quantifying the impact of services liberalization in a developing country the authors consider how service liberalization differs from goods liberalization in terms of welfare the level and composition of output and factor prices within a developing economy in this case tunisia despite recent movements toward liberalization tunisian service sectors remain largely closed to foreign participation and are provided at high cost relative to many developing nations the authors develop a computable general equilibrium cge model of the tunisian economy with multiple products and services and three trading partners they model goods liberalization as the unilateral removal of product tariffs restraints on services trade involve both restrictions on cross border supply mode 1 in the gats and on foreign ownership through foreign direct investment mode 3 in the gats the former are modeled as tariff equivalent price wedges while the latter are comprised of both monopoly rent distortions arising from imperfect competition among domestic producers and inefficiency costs arising from a failure of domestic service providers to adopt least cost practices they find that goods trade liberalization yields a gain in aggregate welfare and reorients production toward sectors of benchmark comparative advantage however a reduction of services barriers in a way that permits greater competition through foreign direct investment generates larger welfare gains service liberalization also requires lower adjustment costs measured in terms of sectoral movement of workers than does goods trade liberalization and it tends to increase economic activity in all sectors and raise the real returns to both capital and labor the overall welfare gains of comprehensive service liberalization amount to more than 5 percent of initial consumption the bulk of these gains come from opening markets for finance business services and telecommunications because these are key inputs into all sectors of the economy their liberalization cuts costs and drives larger efficiency gains overall the results point to the potential importance of deregulating services provision for economic development

an empirical analysis of stock and bond market liquidity this article explores cross market liquidity dynamics by estimating a vector autoregressive model for liquidity bid ask spread and depth returns volatility and order flow in the stock and treasury bond markets innovations to stock and bond market liquidity and volatility are significantly correlated implying that common factors drive liquidity and volatility in these markets volatility shocks are informative in predicting shifts in liquidity during crisis periods monetary expansions are associated with increased liquidity moreover money flows to government bond funds forecast bond market liquidity the results establish a link between macro liquidity or money flows and micro or transactions liquidity a number of important theorems in finance rely on the ability of investors to trade any amount of a security without affecting the price however there exist several frictions 1 such as trading costs short sale restrictions and circuit breakers that impact price formation the influence of market imperfections on security pricing has long been recognized liquidity in particular has attracted a lot of attention from traders regulators

capacity management in order driven production networks a flexibility oriented approach to determine the size of a network capacity pool abstract assuming heterarchical production networks capacity management is faced with uncertainties of both network orders and network capacity in order to deal with these uncertainties we propose a flexible approach that combines capacity oriented pricing with two modes of providing network capacity capacity on demand and network capacity pool flexibility of this approach arises from additional degrees of freedom for matching capacity supply and demand the central problem of sizing the network capacity pool is solved iteratively by a decentralised planning process applying the top down bottom up principle in this paper we present the underlying formal models of the corporate level and the network level as well as the coordination procedure in order to illustrate the approach we provide a continued numerical example

anonymity adverse selection and the sorting of interdealer trades this article asks why london security dealers use more than one trading venue to trade with one another we argue that differences in the exclusivity liquidity anonymity and post trade transparency of each system permit a more efficient sorting of interdealer trades than if there were just one system our evidence comes from detailed data on where london dealers chose to place interdealer trades contrary to intuition we show that uninformed interdealer trades as measured by subsequent price impact tend to migrate to third party brokered systems where trade is anonymous by contrast informed interdealer trades tend to migrate to the direct nonanonymous public market additionally we show that this distribution of trades is supported by differences in the price improvement dealers receive in the direct and brokered markets our findings have implications for three strands of the market microstructure literature first they contribute to our understanding of the importance of anonymity and transparency in securities trading most theoretical models of the effects of anonymity and transparency predict that anonymous trading systems will attract more informed trades

a multiproduct dynamic pricing problem and its applications to network yield management a firm has inventories of a set of components that are used to produce a set of products there is a finite horizon over which the firm can sell its products demand for each product is a stochastic point process with an intensity that is a function of the vector of prices for the products and the time at which these prices are offered the problem is to price the finished products so as to maximize total expected revenue over the finite sales horizon an upper bound on the optimal expected revenue is established by analyzing a deterministic version of the problem the solution to the deterministic problem suggests two heuristics for the stochastic problem that are shown to be asymptotically optimal as the expected sales volume tends to infinity several applications of the model to network yield management are given numerical examples illustrate both the range of problems that can be modeled under this framework and the effectiveness of the proposed heuristics the results provide several fundamental insights into the performance of yield management systems

supply contraction and trading protocol an examination of recent changes in the u s treasury market we investigate liquidity and trader behavior in the u s treasury market during recent supply contractions as in the precontraction period dealers employ expandable order strategies to achieve greater than posted depth at the posted price and use expandable orders more often when expected information asymmetry is greater overall however dealers are less likely to discover greater than quoted depth during the supply contraction regimes we find that even after substantial losses in their market share of coupon treasury trading brokers reporting voice brokered trading through govpx provide an important protocol for depth discovery we investigate liquidity and trader behavior in the u s treasury market during recent supply contractions as in the precontraction period dealers employ expandable order strategies to achieve greater than posted depth at the posted price and use expandable orders more often when expected information asymmetry is greater overall however dealers are less likely to discover greater than quoted depth during the supply contraction regimes we find that even after substantial losses in their market share of coupon treasury trading brokers reporting voice brokered trading through govpx provide an important protocol for depth discovery

combinatorial auction design combinatorial auctions have two features that greatly affect their design computational complexity of winner determination and opportunities for cooperation among competitors dealing with these forces trade offs between desirable auction properties such as allocative efficiency revenue maximization low transaction costs fairness failure freeness and scalability computational complexity can be dealt with algorithmically by relegating the computational burden to bidders by maintaining fairness in the face of computational limitations by limiting biddable combinations and by limiting the use of combinatorial bids combinatorial auction designs include single round first price sealed bidding vickrey clarke groves vcg mechanisms uniform and market clearing price auctions and iterative combinatorial auctions combinatorial auction designs must deal with exposure problems threshold problems ways to keep the bidding moving at a reasonable pace avoiding and resolving ties and controlling complexity

interactions between trade policies and domestic distortions in a small open developing country abstract this paper reports results from a price taking open economy numerical general equilibrium model of the philippines whose purpose is to explore the ways in which trade policies and other domestic distortions interact in a small open developing economy the trade policies featured in the model include tariffs export taxes and import quotas while the domestic distortions considered are rent seeking and harris todaro labour market dualism results clearly indicate that interactions between trade policies and other domestic distortions are significant and need to be more fully considered in numerical economic policy analyses for developing countries

are duty drawbacks on exports worth the hassle many countries use duty drawbacks on exports yet there is no consensus whether countries should embrace or abandon them the answer depends on countries development priorities and economic conditions an increase in the drawback has a positive impact on export competitiveness but the welfare effect is ambiguous a welfare increase is more likely if the economy is small with high input tariffs low initial drawback low administrative costs and tariff leakages in china duty drawback removal after meeting its wto commitments improves welfare but hurts economic efficiency export competitiveness and real incomes further liberalization can mitigate these negative effects plusieurs pays utilisent ce genre de rabais de tarifs douaniers mais il n y a pas de consensus a savoir si on doit supporter ces mesures ou les abandonner la reponse depend des conditions economiques et des priorites de developpement des divers pays un accroissement de ces reductions a un effet positif sur la competitivite des exportations mais ses effets sur le niveau de bien etre sont ambigus un effet de bien etre positif est plus probable si l economie est petite et a des hauts tarifs sur les intrants de faibles rabais des couts administratifs faibles et peu de fuites en chine l elimination de ces rabais en accord avec les engagements exiges par l omc a ameliore le niveau de bien etre mais a eu un effet negatif sur l efficacite la competitive des exportations et les revenus reels une liberalisation accrue peut attenuer ces effets negatifs

measuring the restrictiveness of trade policy this article provides an introduction to the trade restrictiveness index tri which equals the uniform tariff that is welfare equivalent to a given pattern of trade protection unlike standard measures of trade restrictiveness the tri has a solid theoretical basis can incorporate both tariffs and quantitative restrictions and can be adapted to construct the trade policy equivalent of domestic distortions the article compares a number of applications and describes procedures for operationalizing the tri on a personal computer the authors conclude that the tri has considerable potential in empirical work

the determinants of bank interest rate margins an international study abstract this paper studies the determinants of bank net interest margins nims in six selected european countries and the us during the period 1988 1995 for a sample of 614 banks we apply the ho and saunders model ho t saunders a 1981 the determinants of bank interest margins theory and empirical evidence journal of financial and quantitative analyses 16 581 600 to a multicountry setting and decompose bank margins into a regulatory component a market structure component and a risk premium component the regulatory components in the form of interest rate restrictions on deposits reserve requirements and capital to asset ratios have a significant impact on banks nims the empirical results suggest an important policy trade off between assuring bank solvency high capital to asset ratios and lowering the cost of financial services to consumers low nims the more segmented or restricted the banking system both geographically and by activity the larger appears to be the monopoly power of existing banks and the higher their spreads macro interest rate volatility was found to have a significant impact on bank nims this suggests that macro policies consistent with reduced interest rate volatility could have a positive effect in reducing bank margins