a reexamination of purchasing power parity a multicountry and multiperiod study abstract this paper re examines the purchasing power parity ppp theory in a multiple exchange rate world owing to a lack of precision in estimating the parameters many authors concluded that ppp did not hold very well in the 1970s using a time series cross sectional estimation procedure we are unable to reject the hypothesis that ppp holds in several currencies simultaneously in addition the parameters are precisely estimated this result follows from the estimation procedure which allows us to exploit the cross sectional variation in the data and the contemporaneous correlation in the deviations from ppp

exchange rates and news reply abstract in this reply i arge that the results of my 1982 article in this journal are not affected either at a theoretical or empirical level by longworth s 1984 comments however i also argue that longworth s proposition of including variables pertaining to other countries in empirical market efficiency studies should be investigated further

speculative bubbles in bitcoin markets an empirical investigation into the fundamental value of bitcoin amid its rapidly increasing usage and immense public interest the subject of bitcoin has raised profound economic and societal issues in this paper we undertake economic and econometric modelling of bitcoin prices as with many asset classes we show that bitcoin exhibits speculative bubbles further we find empirical evidence that the fundamental price of bitcoin is zero

on the term structure of the foreign exchange rates and market efficiency abstract the efficiency hypothesis of the foreign exchange market is examined by considering the term structure of foreign exchange rates jointly with that of interest rates in the context of interest rate parity principle the canadian u s data are found to be consistent with the hypothesis of the market efficiency and a constant exchange risk premium

retail chains corporate social responsibility communication this study examines determinants of retail chains corporate social responsibility csr communication on their web pages the theoretical foundation for the study is signaling theory which suggests that firms will communicate about their csr efforts when this is profitable for them and when such communication makes it possible for outsiders to distinguish good from bad performers based on this theory i develop hypotheses about retail chains csr signaling the hypotheses are tested in a sample of 208 retail chains in the norwegian market as hypothesized i find that foreign chains chains using private brands and vertically integrated chains are more likely to signal but i find no relationship between pricing and signaling in further analysis using chains csr memberships and certifications as the measure of signals only the relationship between organizational form and signaling is replicated in total the findings give partial support to signaling theory

volatility estimation for bitcoin a comparison of garch models we explore the optimal conditional heteroskedasticity model with regards to goodness of fit to bitcoin price data it is found that the best model is the ar cgarch model highlighting the significance of including both a short run and a long run component of the conditional variance

the speculative efficiency hypothesis the hypothesis that forward prices are the best unbiased forecast of future spot prices is often presented in the economic and financial analysis of futures markets this paper considers the hypothesis independently of its implications for rational expectations or market efficiency and in order to stress this fact the term speculative efficiency is used to characterize the state envisaged under the hypothesis if a market is subject to efficient speculation the supply of speculative funds is infinitely elastic at the forward price that is equal to the expected future spot price the expected future spot price is a market price determined as the solution to the underlying rational expectations macroeconomic model although the paper is primarily concerned with testing this hypothesis in the foreign exchange market the methodology introduced in the paper is of general application to all futures markets this abstract was borrowed from another version of this item

economic news exchange rates and interest rates the paper esamines the post october 1979 response of exchange rates and interest rates to the new information contained in the first announcement of fifteen us macroeconomic series illarkets respond primarily to monetary news but also to news about the trade deficit domestic inflation and variables that reflect the state of the business cycle for all fifteen macroeconomic variables an increase decrease in interest rates is accompanied by an appreciation depreciation of the dollar which is consistent with models that stress price rigidity and absence of purchasing power parity the effect of economic news on asset prices has received increasing attention in the economic literature because an outcome of the efficient markets rational expectations hypothesis is that flesible asset prices change the moment new information about future fundamentals arrives in the market in the exchange rate literature the role of news has gained importance because structural models have failed to predict most of the variation in exchange rates during the 1970s see imeese and rogoff 1983 researchers were naturally led to investigate the types of news that make exchange rates so volatile and to utilize news in order to test which model of exchange rate determination is consistent with the floating eschange rate experience notable studies are those of dornbusch 1980 frenkel 1981 edwards 1982a b 1983 copeland 1984 and rose 1984 in this paper i also examine the effects of macroeconomic news on eschange rates but i adopt a different more direct strategy one that complements previous work avoids some of its shortcomings and promises interesting conclusions i examine the instantaneous response of exchange rates the moment a piece of economic news hits the market if one can isolate the exact time during a business day when news arrives it is straightforward to examine the response of exchange rates because financial data are continuously available the advantages of the present methodology are many first it is possible to identify the exact types of economic news and how they affect exchange rates second the simultaneity bias which plagues the previous literature on exchange rates and news is not present here the independent variables that represent news can be interpreted as causal the paper was presented at the 1985 meeting ofthe american economic association the author wishes to thank sebastian edwards r w hafer nicholas karamouzis andrew rose and two anonymous referees for helpful comments kim rupert of the money market services for providing the survey data soo kounne for able research assistance and barnard college for research support

the influence of fundamentals on exchange rates findings from analyses of news effects as we survey the literature of macroeconomic news in the foreign exchange market we can by now look back on nearly 30 years of research the first studies which analysed news effects on exchange rates were established in the early 1990s see for example dornbusch almost at the same time meese and rogoff published their influential paper revealing the forecasting inferiority in exchange rates of structural models against the random walk this finding has shocked the pillars of exchange rate economics and thus cast general suspicion on research focusing on fundamentals in this field the eventual rising popularity of event studies can partly be attributed to the re establishment of the raison d etre of exchange rate economics this work focuses on systematically surveying this literature with particular respect to its primary goal i e shedding light on the analytical value of fundamental research thus its major findings are first fundamental news does matter whereas non fundamental news matters to a lesser degree second news influences exchange rates via two separated channels i e incorporating common information into prices directly or indirectly based upon order flow third with a few exceptions the impact of fundamental news on exchange rates is fairly stable over time

testing for news in foreign exchange markets abstract traditional tests of the role of interest rate news on foreign exchange rates are analysed and found to be of little empirical value

real exchange rate behavior abstract using random simulations with artificial data with identical sample characteristics to the long sample exchange rate data employed by lothian and taylor lothian j r and taylor m p 1996 the recent float from the perspective of the past two centuries journal of political economy 104 488 509 we show that standard unit root tests have extremely low power over sample sizes corresponding to the recent float the probability of rejecting the null hypothesis when it is false is extremely low with 20 years or even 50 years of data and only reaches an acceptable level over much longer spans

the impact of franchising on labor standards compliance recent studies document pervasive noncompliance with basic labor standards in industries with high concentrations of low wage workers the authors examine how franchising a common form of business organization in low wage industries affects compliance they estimate the effect of franchise ownership on compliance with federal minimum wage and overtime standards in the fast food industry using unique data on top 20 branded restaurants franchised outlets have far higher levels of noncompliance than comparable company owned establishments the authors argue that observed differences arise from internal incentives facing franchisees versus franchisors rather than from external enforcement pressures facing the parties

agency theory and franchising some empirical results this article provides an empirical assessment of various agency theoretic explanations for franchising including risk sharing one sided moral hazard and two sided moral hazard the empirical models use proxies for factors such as risk moral hazard and franchisors need for capital to explain both franchisors decisions about the terms of their contracts royalty rates and up front franchise fees and the extent to which they use franchising in this article i exploit several new sources of data on franchising to construct a cross section of 548 franchisors involved in various business activities in the united states in 1986 the data are most consistent with a model based on two sided moral hazard the empirical models are also more successful at explaining the extent to which franchisors choose to franchise stores than at explaining the terms of franchise contracts finally contrary to the predictions of several theoretical models i find that royalty rates and franchise fees are not negatively related

price dispersion in bitcoin exchanges abstract bitcoin is traded in a number of exchanges and there is a large and time varying price dispersion among them we identify the sources of price dispersion using a standard time varying vector autoregression model with stochastic volatility and we find that shocks to transaction fees and bitcoin price growth explain on average 20 and sometimes more than 60 of the variation of price dispersion

exchange rates and news a multi currency approach abstract in this paper a multi currency model is used to investigate the relationship between spot exchange rates forward rates market efficiency and new information it is shown that in a world with more than two countries the error term in the standard market efficiency tests will be correlated across rates it is also shown that the exchange rate can be expressed as a function of factors known in advance which are captured by the forward rate determined in the previous period and news the empirical results presented in the paper tend to support the model s implications

costs of control the source of economic rents for mcdonald s franchisees the main purpose of this article is to establish empirically using financial data that there are both ex ante and ex post rents left downstream at mcdonald s we find that the present value of the ex ante rents is around 300k 455k 1982 dollars ex post rents are of course even larger we argue that the ex post rents represent an incentive mechanism that complements the use of profit sharing rights at mcdonald s we also argue that ex ante rents arise here because franchisees wealth constraints prevent the up front extraction of the full present value of the ex post rents finally we note that mcdonald s desire for a particular type of individual to operate its franchises namely owner operators whose livelihoods are tied to the success of their outlets increases the likelihood that downstream operators face liquidity constraints this in turn contributes to the need for mcdonald s to leave ex ante rents downstream

a note on the determinants of unexpected exchange rate movements abstract in this paper we study the relative importance of surprises in fundamentals in explaining unexpected exchange rate movements employing a unique survey dataset that contains matched exchange rate and interest rate expectations we are able to derive a number of interesting conclusions a variance decomposition of unexpected exchange rate movements into various components reveals that interest rate news is relatively unimportant but that changes in perceptions about risk premia and more importantly revisions of expectations with regard to future exchange rate levels are crucial in explaining unexpected exchange rate movements

return and volatility spillovers among cryptocurrencies abstract this paper measures interdependencies among 18 major cryptocurrencies and shows that i bitcoin is the dominant contributor of return and volatility spillovers among all the sampled cryptocurrencies ii return and volatility spillovers have risen steadily over time iii there are spikes in spillovers during major news events regarding cryptocurrencies these findings suggest growing interdependence among cryptocurrencies and by extension a higher degree of contagion risk it may be the case that cryptocurrencies are becoming more integrated albeit this makes for interesting future empirical testing in addition the time varying nature of spillovers reveals a certain dimension of uncertainty regarding the future of these digital currencies

liquidity uncertainty and bitcoin s market microstructure abstract this paper provides a novel measure of liquidity uncertainty for bitcoin using bid ask spread data from bitfinex one of the largest and most liquid bitcoin exchanges this measure can be used to analyze liquidity developments in bitcoin exchanges or to gauge the immediacy associated with buying or selling bitcoin it then proceeds to identify what aspects of bitcoin s market microstructure can explain the time series behavior of this liquidity uncertainty the estimation results are based on a markov regime switching model that captures episodes of high and low liquidity uncertainty for bitcoin over the period from october 2013 to march 2018

franchising agency problems and the cost of capital explanations for franchising are examined in the context of the us hotel industry the study is distinct from previous research on franchising because it explicitly recognizes the existence of three organizational forms whereas previous research has focused exclusively on two of these three forms the two organizational forms examined in previous work are franchising and company ownership the additional organizational form is company management investor ownership which involves management by the franchisor and ownership by outside investor groups a plausible explanation for the existence of the last organizational form is based on the availability of low cost capital from non chain sources

is bitcoin a commodity on price jumps demand shocks and certainty of supply abstract this paper discusses how similar bitcoin is to a commodity the application of a number of both linear and non linear garch models indicates that the role of extreme price movements is particularly pronounced garch models with student t innovations as well as combined jump garch models are among the models with the best fit the role of large movements is found to be stronger in the bitcoin market than in the markets for crude oil and gold as bitcoin shares with these exhaustible resource commodities characteristics such as the fixed supply the analysis of bitcoin prices can generally learn from the analysis of exhaustible resource commodities however whereas the short run supply of gold and oil are uncertain there are no uncertainties on the bitcoin supply side thus the observed movements of bitcoin prices can be interpreted as results of bitcoin demand shocks

the j curve effect and us agricultural and industrial trade this paper examines the j curve hypothesis for us agricultural and manufactured goods using the shiller lag model the results support the j curve effect for agricultural goods but not for manufactured goods these findings explain why many studies in the literature fail to support the j curve phenomenon there are two explanations for these findings 1 the aggregation bias of data that combine both agricultural and manufactured goods and 2 the country under study is often an industrial nation like the us or japan with a high proportion of manufactured goods in both exports and imports

exchange rate market efficiency and new information abstract this paper uses a multi currency approach to analyze the relationship between forward exchange rates future spot rates and new information the empirical results tend to support the hypothesis that the exchange rate can be expressed as a function of factors known in advance and news

long memory and efficiency of bitcoin under heavy tails the long memory is usually defined via auto covariances which further connect with hurst exponent the heavy tails in bitcoin returns can cause infinite auto covariances which make the analysis of

incorporating contemporaneous residual relationships for security prices abstract using a recent procedure developed by jalilvand and kryzanowski 1985 to capture the contemporaneous residual dependencies in a system of regression equations this paper tests the impact of such residual based relationships in explaining security prices utilizing a multi industry sample of securities over two non overlapping periods the empirical findings show that not only are these contemporaneous residual relationships statistically significant but their inclusion significantly improves the explanatory power of the underlying return generating model

syndicated euro credit sovereign risk assessments market efficiency and contagion effects this study investigates the informational efficiency of the syndicated euro credit market by analyzing the adjustment of spreads to news characterizing the state of sovereign borrowers creditworthiness in addition the potential for an interlinked crisis contagion effects between three major borrowing countries is examined that is contagion tests are conducted to see how news for one borrower affects the spreads charged to the others the evidence suggests that the euro credit pricing process has been informationally efficient however with respect to the contagion effects it was found that noncountry specific risk factors systematically influence country specific spreads

announcement effects in the cryptocurrency market cryptocurrencies have gained popularity as new economic investment assets globally in recent years this study examines market reactions to major news events associated with cryptocurrencies abnor

an empirical look at franchising as an organizational form franchise contracts are identified as a hybrid form of economic organization motives for the dominance of franchise arrangements are identified by examining the theoretical literature on franchising and related literatures on the theory of the firm firm growth managerial and employee selection a nd brand name capital empirical tests are performed on the incidence of franchise contracts across states for three industries in which f ranchising is prominent and data are readily available the results s uggest that both principal agent incentives and informational incenti ves favor the use of franchise arrangements copyright 1988 by the university of chicago

flexible exchange rates prices and the role of news lessons from the 1970s recent experience with flexible exchange rate systems has led to renewed interest in the operation of foreign exchange markets as reflected in many recent studies of the principal determinants of exchange rates the 1970s witnessed the dramatic alteration of the international monetary system from a regime of pegged exchange rates which prevailed for about a quarter of a century since the bretton woods conference into a regime of flexible though managed rates as a consequence of the emergence of the new legal and economic system traders national governments and international organisations were confronted with new economic problems choices and instruments during the 1970s ex change rates fluctuated widely and inflation rates accelerated the international monetary system had to accommodate extraordinarily large oil related shocks which affected trade flows in goods and assets huge oil payments had to be recycled uncertainties concerning future developments in international politics reached new heights and the prospects for the world economy got gloomier these developments placed unprecedented pressures on the markets for foreign exchange as well as on other asset markets they were associated with a large slide in the value of the us dollar and resulted in speeding up the creation of new institutions like the european monetary system which provided the formal framework for the management of exchange rates among members

on the economics of compliance with the minimum wage law this paper reexamines the issues of compliance with and enforcement of the minimum wage law recently addressed in this journal by ashenfelter and smith and by grenier pursuing a more rigorous methodology we are able to add new general conclusions and correct and reconcile some previous conflicting conclusions concerning the role of the disparity between the minimum and free market wages the level and elasticity of labor demand and the magnitude of deterring monetary sanctions on the noncompliance decision our formulation also addresses the law evasion reduced wages as well as the law avoidance modified employment aspects of the noncompliance decision which previous formulations have ignored

the choice of organizational form the case of franchising abstract we examine companies that franchise some units and centrally operate own others the agency problems confronting these two organizational forms are analyzed testable hypotheses are developed the empirical results support the notion that owning versus franchising reflects a trade off among agency related problems the cost of monitoring store managers appears to be especially important in the own franchise decision the level of repeat business and initial investment requirements per unit also appear to be important

long memory interdependency and inefficiency in bitcoin markets abstract we model cross market bitcoin prices as long memory processes and study dynamic interdependence in a fractionally cointegrated var framework we find long memory in both the individual markets and the system of markets depicting non homogeneous informational inefficiency moreover bitcoin markets are found to be fractionally cointegrated where uncertainty negatively impacts this type of cointegration relationship

floating exchange rates expectations and new information abstract this paper analyzes the relationship between forward exchange rates future spot rates and new information a stochastic model of exchange rate determination is used to formally show how unanticipated changes in the exchange rate determinants or news affect the spot rate the empirical analysis indicates that new information plays an important role in explaining the market forecasting error or difference between the spot rate and the forward rate determined in the previous period

the pound sterling us dollar exchange rate and the new abstract the theory that the exchange rate responds to the news content of the fundamental variables is tested the innovations in the monetary approach variables are proxied by arima residuals and the reduced form equation for the exchange rate is fitted by 2sls

ownership agency and wages an examination of franchising in the fast food industry this paper estimates the difference in compensation between company owned and franchisee owned fast food restaurants the contrast is of interest because contractual arrangements give managers of company owned outlets less of an incentive to monitor and supervise employees estimates based on two data sets suggest that employee compensation is slightly greater at company owned outlets than at franchisee owned outlets the earnings gap is 9 percent for assistant and shift managers and 2 percent for full time crew workers furthermore the tenure earnings profile is steeper at company owned restaurants these findings suggest that monitoring difficulties influence the timing and generosity of compensation

the reaction of exchange rates to economic news this paper examines the short run responses of spot exchange rates to several types of economic news survey data are used to divide economic announcements into expected and unexpected components with the latter measuring news the results indicate that exchange rates are systematically related to unexpected money announcements after the october 1979 switch in federal reserve operating procedures but not before this response does not appear to have changed however after the october 1982 federal reserve regime change short run exchange rate movements are not systematically related to news on inflation or real activity

the economics of franchise contracts as an organizational arrangement the franchise contract lies between anonymous price mediated exchange and centralized intrafirm employment in contrast to conventional market exchange franchise contracts typically impose on franchisees retail quality standards common hours of business price controls and nonlinear payment schedules for example fixed initial royalty fees plus a percentage of gross retail revenues while franchisors typically provide national advertising and training programs monitor and inspect the franchisees performance with varying intensity across industries and hold the residual power to terminate the franchise agreement observations of actual terminations indicate that franchisors sometimes exclude this power franchisors sometimes face persistent queues of potential franchisees in contrast to simple employment contracts franchise agreements provide for sharing of profits through royalties on revenue or output and considerable freedom for independent decisions by local franchisees 1 why do these franchise contracts exist