the joint economic lot sizing problem review and extensions with the growing focus on supply chain management firms realize that inventories across the entire supply chain can be more efficiently managed through greater cooperation and better coordination this paper presents a comprehensive and up to date review of the joint economic lot sizing problem jelp and also provides some extensions of this important problem in particular a detailed mathematical description of and a unified framework for the main jelp models are given additionally a comparative empirical study of the main policies proposed for jelp is conducted the focus of this study is on assessing the deviation of these policies from the optimal solution studying the performance of different models provides additional insights that will help in justifying their use in more complex supply chain models that involve more stages or other practical considerations of interest

north american money surprises and financial market reactions an empirical note abstract in the late 1970s u s and canadian weekly money supply announcements occurred almost simultaneously the unanticipated components of these announcements are shown to be correlated and the importance of this factor for findings in the money surprise market response literature is explored

selection investment and women s relative wages over time in theory growing wage inequality within gender should cause women to invest more in their market productivity and should differentially pull able women into the workforce our paper uses heckman s two step estimator and identification at infinity on repeated current population survey cross sections to calculate relative wage series for women since 1970 that hold constant the composition of skills we find that selection into the female full time full year workforce shifted from negative in the 1970s to positive in the 1990s and that the majority of the apparent narrowing of the gender wage gap reflects changes in female workforce composition we find the same types of composition changes by measuring husbands wages and national longitudinal survey iq data as proxies for unobserved skills our findings help to explain why growing wage equality between genders coincided with growing inequality within gender

money supply announcements and foreign exchange futures prices for five countries since the federal reserve began targeting money supply growth in october 1979 the effects of fed money supply announcements on financial markets have been intensively examined studies have considered the impacts on financial assets including yields on short term and long term treasury securities forward interest rates exchange rates stock prices and commodity prices these studies suggest that money supply announcements have had significant effects on all these financial assets the effects however have not been consistent across time assets or countries this study adds to the money supply announcement literature focusing on foreign exchange spot and currency future prices mussa 23 provides a justification for this approach he demonstrates that exchange rates move in accord with the efficient markets theory of asset price determination in addition he finds most exchange rate changes are unexpected thus exchange rate changes generally should be related to news since unexpected changes must be due to new information how exchange rates respond to news depends on how that information alters expectations those expectations however depend on economic agents historical experience and on policymakers anticipated reactions thus the effects may vary across countries and across policymaking regimes we believe this study makes four contributions to the money announcement literature first we develop a model of money announcements where expected announcements may be important even when markets are efficient while we consider money announcements in particular the model suggests a general result even expected announcements may affect financial market variables simply by confirming prior expectations second we extend and update the prior literature by examining whether recent money supply announcements have an impact on exchange rates and whether recent impacts differ from those found through 1985 the results suggest the impact of money announcements may have diminished marginally third we extend the analysis to exchange rate currency futures comparing the reactions of spot and futures rates yields further evidence on the policy anticipation versus the expected inflation effects and fourth most prior studies of unanticipated money growth do not distinguish between positive and negative surprises if positive and negative surprises influence market prices asymmetrically however

predictable and profitable price patterns evidence from us interest rates abstract this paper detects a predictable response of short term eurodollar interest rate futures to us employment data during 1988 1993 a simulation with a trading rule derived from this predictable response generates systematic profits thus violating the efficient markets hypothesis

the structure of the female male wage differential is it who you are what you do or where you work the efficacy of policies to narrow the malelfemale wage differential depends partly on the size of the portion s of the gap targeted previous research finds no between sex wage gap within occupations within employer job cell this is the first study to disentangle segregation by occupation from that based on employer or on job cell in five industries controlling for other forms of segregation occupational segregation produces a gap of 11 percent manufacturing to 26 percent services the wage gaps from establishment and job cell segregation are about 6 percent each since comparable worth acts on the occupation and job cell components it has a potentially large impact

monetary policy actions intervention and exchange rates a reexamination of the empirical relationships using federal funds rate target data the authors reexamine the relationships among federal reserve monetary policy actions u s interventions in currency markets and exchange rates using an alternative measure of monetary policy actions the federal reserve s federal funds rate target they find that exchange rates generally respond immediately to u s monetary policy actions and that these responses are usually consistent with the overshooting hypothesis the authors also find evidence of signaling and leaning against the wind u s intervention policies over the sample however controlling for such interventions do not alter their estimates of exchange rate responses to federal funds rate target changes copyright 1998 by university of chicago press

why interest rates react to money announcements an explanation from the foreign exchange market abstract when the fed announces a money supply greater than had been expected interest rates rise why one explanation is that the market raises its estimate of the future rates of money growth and inflation and bids up nominal interest rates we offer contrary evidence on such days the dollar appreciates not depreciates an alternative explanation is that the market perceives the change in the money stock as a transitory fluctuation that the fed will reverse in the future the anticipated future tightening raises today s real interest rate causes a capital inflow and appreciates the dollar the result in fact observed

gender differences in rent sharing and its implications for the gender wage gap evidence from sweden abstract this study using matched employer employee data analyses gender differences in rent sharing results indicate significantly smaller remuneration from firm profits for women a difference that increases along the wage distribution gender differences in rent sharing explain less than 2 of mean gender wage differentials as differences are found in remuneration from firm profit and not in the mean profit levels of employing firms

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

the effect of unanticipated money on the money and foreign exchange markets abstract a number of studies have attempted to determine why unanticipated increases in the money supply are positively correlated with money market interest rates by examining the response of the foreign exchange market to unanticipated changes in the money stock they have found a significant positive relationship between unanticipated increases in the money supply and the foreign exchange value of the dollar and have interpreted this as evidence for the anticipated liquidity effect hypothesis however these results support this hypothesis only if both markets respond simultaneously to unanticipated changes in money this paper examines the cross market consistency of the response using six bilateral exchange rates and the treasury bill rate all measured over a narrow time interval the results show that in general these markets do not respond simultaneously to money announcements

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

the effects of macroeconomic news on high frequency exchange rate behavior this paper studies the high frequency reaction of the dem usd exchange rate to publicly announced macroeconomic information emanating from germany and the u s by us ing data sampled at a five minute frequency we are able to identify significant impacts of most announcements on the exchange rate change in the 15 minutes post announcement although the significance of these effects decreases rapidly as the interval over which the post announcement change in exchange rates is increased the direction of the exchange rate response conforms in general with a reaction function interpretation whereby reac tions to macroeconomic news are driven by the likely operations of monetary authorities in domestic money markets further we detect influences of german monetary policy deci sions on the reaction of the exchange rate and also differences between u s and german announcements in the exchange rate reaction time pattern i introduction this paper studies the high frequency reaction of the dem usd exchange rate to macroeconomic information emanating from germany and the u s specif ically we utilize exchange rate data covering the period 1 1 92 to 31 12 94 sam pled at a five minute frequency to investigate how the major monthly macroe conomic releases from these two countries impact the dem usd the infor mation contained in announcements over this three year period is extracted via a set of market expectation series supplied by money market services interna tional mms 1 our analysis improves on previous work in this area in two main respects first our study is conducted using very high frequency data whereas most earlier work has used exchange rate data sampled at a frequency of a number of hours or more this allows us to construct a very precise characterization of

optimal strategy for an integrated system with variable production rate when the freight rate and trade credit are both linked to the order quantity abstract this paper presents an integrated inventory model with variable production rate and price sensitive demand rate the buyer s purchases trade credit linked to the order quantity offered by the supplier in addition the buyer pays the freight charge according to a weight schedule this paper attempts to offer a best policy that aims at maximizing the joint total profit while the trade credit and freight rate are simultaneously linked to the order quantity the same policy also incorporates considerations on the optimal retail price order quantity and delivery decision we provide possible solutions for the buyer and the supplier to collaboratively agree on inventory control warehouse management transportation logistics delivery and billing our study demonstrates that significant profit increase for the entire supply chain can be achieved by linking both trade credit policy and freight rate policy to order quantities an algorithm is furnished to determine the optimal solution in addition numerical examples and sensitivity analysis are presented to illustrate the theoretical results

the creation and capture of rents wages and innovation in a panel of u k companies this paper examines the impact of technological innovation on wages using a panel of british firms a head count measure of major innovations between 1945 and 1983 is combined with share price and accounting information innovating firms are found to have higher average wages but rival innovation tends to depress own wages this appears consistent with a model where wages are partly determined by a sharing in the rents generated by innovation in other words innovation may be a good instrument for proxies for rents such as profitability quasi rents or tobin s average q instrumental variable estimates of the elasticity between wages and quasi rents are about 0 29

us money announcements and covered interest parity the case of japan abstract this paper examines the effects of us money announcements on dollar and yen denominated securities in their respective onshore markets the effects are consdered over several periods corresponding to possible us and japanese policy regimes the consistency of the responses is further examined by testing whether the responses of dollar denominated securities yen denominated securities the spot yen dollar exchange rate and the forward yen dollar exchange rate violate covered interest parity given the results of previous studies the evidence suggests that restrictions on capital mobility in japan have not allowed complete international integration of japanese financial markets

incorporating transport cost in the lot size and pricing decisions with downward sloping demand abstract there is an increased emphasis in supply chain management on making all costs transparent this has led to greater scrutiny of freight costs by the resellers who want to control their inbound logistics costs an astute reseller may opt for paying freight when he sees an opportunity for savings in some cases a supplier may only sell on conditions of fob origin in this paper we consider a reselling situation wherein the final demand is sensitive to the selling price and the reseller is responsible for paying for the freight given that transportation costs can be almost 50 of the logistics cost s r swenseth m r godfrey int j prod econ 77 2002 113 there is a need for coordination between the reseller s purchasing function and his pricing policy in this study we formulate a model for determining the optimal lot size and the selling price for the reseller existing models for the problem have treated freight breakpoints in the same way as price breakpoints in a quantity discount schedule in doing so they have ignored the option of over declaring the weight of the shipment which is routinely available to the buyer shipper in practice in this paper we assume that the reseller has such an option we also assume that in setting the size of the order shipment the reseller can choose between less than full truckload or full truckload shipment

optimal inventory policies with two modes of freight transportation theoretical inventory models with constant demand rate and two transportation modes are analyzed in this paper the transportation options are truckloads with fixed costs a package delivery carrier with a constant cost per unit or using a combination of both modes simultaneously exact algorithms for computing the optimal policies are derived for single stage models over both an infinite and a finite planning horizon

the gender gap in early career wage growth in the uk the gender pay gap on entry to the labour market is approximately zero but ten years after labour market entry there is a gender wage gap of almost 25 log points this article explores the reason for this gender gap in early career wage growth considering three main hypotheses human capital job shopping and psychological theories human capital factors can explain about 11 log points job shopping about 1 5 log points and the psychological theories up to 4 5 log points depending on the specification but a substantial unexplained gap remains women who have continuous full time employment have had no children and express no desire to have them earn about 8 log points less than equivalent men after 10 years in the labour market

integrated pricing and lot sizing decision in a two echelon supply chain with a finite production rate abstract in this paper we consider a supply chain consisting of a supplier and a retailer selling the product manufactured by the supplier in a market in which the demand for the product is decreasing in the price set by the retailer previous research on coordinating the supply chain with price sensitive demand often assumes that either the supplier purchases the product or the supplier has an infinitely large production rate we consider explicitly the supplier s finite production rate in the pricing and lot sizing decision which causes the problem much more challenging we first investigate the optimization problem in the decentralized scenario to find the optimal order quantity and selling price for the retailer as well as the optimal wholesale price and lot size multiplier for the supplier we then solve the joint optimization problem in the centralized supply chain to find the optimal order quantity the selling price and the optimal lot size multiplier we provide two sequential algorithms to solve the joint optimization problem computational experiments show that the algorithms are effective all 448 tested problems are solved optimally and efficient it only takes a few iterations to converge for each tested problem the supply chain coordination mechanism is then designed through an all unit quantity discount policy and a franchise fee

what defines news in foreign exchange markets abstract this paper examines whether the traditional sets of macro surprises that most of the literature considers are the only sorts of news that can explain exchange rate movements we examine the intra daily influence of a broad set of news reports including variables which are not typically considered fundamentals in the context of standard models of exchange rate determination and ask whether they too help predict exchange rate behavior we also examine whether news not only impacts exchange rates directly but also influences exchange rates via order flow signed trade volume our results indicate that along with the standard fundamentals both non fundamental news and order flow matter suggesting that future models of exchange rate determination ought to include all three types of explanatory variables

contractual wages and the wage cushion under different bargaining settings how does a typically european bargaining system with collective bargaining and national minimum wage coexist with low unemployment and high wage flexibility a unique data set on workers firms and collective bargaining contracts in portugal is used to analyze the determinants of both the contractual wage and the wage cushion difference between contractual and actual wages the results indicate that the wage cushion stretches the returns to worker and firm attributes whereas it shrinks the returns to union power therefore firm specific arrangements partly offset collective bargaining granting firms certain freedom when setting wages contractual wages reflect trade unions egalitarian policy

stock prices and economic news this paper examines the daily response of stock prices to announcements about the money supply inflation real economic activity and the discountrate except for the discount rate survey data on market participants expectations of these announcements are used to identify the unexpected component of the announcements in order to test the efficient markets hypothesis that only the unexpected part of any announcement the surprise moves stock prices the empirical results support this hypothesis and indicate further that surprises related to monetary policy significantly affect stock prices there is only limited evidence of an impact from inflation surprises and no evidence of an impact from real activity surprises on the announcement days there is also only weak evidence of stock price responses to surprises beyond the announcement day this abstract was borrowed from another version of this item

balance of trade announcements and movements in exchange rates there is a growing literature on the effect of economic news on foreign exchange rates the effects of weekly money supply announcements on exchange rates have been empirically investigated by a number of researchers over a variety of periods 1 2 3 4 7 11 12 13 the response of foreign exchange rates to other types of economic information has also been studied for example dornbusch 5 uses innovations in the current account cyclical factors and interest rates frenkel 10 uses innovations in interest rate differentials edwards 6 uses innovations in money real output and real interest rates most recently hardouvelis 14 studies the market response of three interest rates and seven exchange rates to economic news on fifteen economic aggregates including monetary announcements inflation rate announcements and announcements reflecting the stage of the business cycle this paper studies short run movements in foreign exchange rates to the commerce department s monthly announcements of the u s balance of merchandise trade it extends previous studies of foreign exchange response to economic news in three ways first by studying the response to the trade announcement which occurs two months after the month to which the announcement refers the paper provides a more precise measure of the response to the news content of trade related announcements than earlier studies this for instance is an improvement over dornbusch s 5 definition of current account news as the innovation in the actual oecd organization for economic co operation and development biannual current account estimates second the paper studies not only movements in spot rates to the announcement but calculates the movements in forward premiums to this information by studying the response in forward premiums to the merchandise trade announcements the paper examines whether the information in the announcements implies effects that operate through capital flows and interest rates in addition to responses that operate through the flow of merchandise trade

news from the u s and japan which moves the yen dollar exchange rate abstract intra daily movements in the yen dollar exchange rate are examined in four non overlapping segments within each business day from january 1980 to september 1985 the results indicate that the dollar tended to appreciate in the new york segment and depreciate in the european segment in three of the four subsamples considered the tokyo segment made virtually no contribution to annual yen dollar rate movements the volatility of the exchange rate also differed across markets finally in examining the relative effects of news from the u s and japan explicitly u s money announcement surprises had the most consistent effects

deutsche mark dollar volatility intraday activity patterns macroeconomic announcements and longer run dependencies this paper provides a detailed characterization of the volatility in the deutsche mark dollar foreign exchange market using an annual sample of five minute returns the approach captures the intraday activity patterns the macroeconomic announcements and the volatility persistence arch known from daily returns the different features are separately quantified and shown to account for a substantial fraction of return variability both at the intraday and daily level the implications of the results for the interpretation of the fundamental driving forces behind the volatility process is also discussed the efficient market hypothesis contends that financial asset prices provide rational assessments of fundamental values and future payoffs by implication price changes should reflect the arrival and processing of all relevant new information however the proportion of return variability that can be ascribed to public news announcements is low for example cutler poterba and summers 1989 find that even the largest daily price changes in the stock market generally cannot be associated with any significant economic news 1 moreover proxies for the flow of public information e g the number of news items released by reuter s news service berry and hiowe 1994 or dow jones company mitchell and mulherin 1994 explain little of the overall variation thus if private information is ruled out proponents of rational price formation have to assert the existence of important news items

the effects of inflation and money supply announcements on interest rates this paper examines the impact of the money supply and inflation rate announcements on interest rates survey data on expectations of the money supply and consumer and producer price indexes are used to distinguish anticipated and unanticipated components of the announcements this distinction is used to test for the efficiency of the financial market response to the announcements of new information the results indicate that the unanticipated components of the announced changes in the producers price index and in the money supply have an immediate positive effect on short term interest rates the consumer price index announcement has no apparent effect there is no evidence of a delayed announcement effect however there is some indication of a liquidity effect of the money supply change on interest rates this takes place when reserves are changing and several weeks prior to the information announcement the effect of money supply announcements on interest rates has attracted considerable attention in both the academic literature and the financial press in the last few years it has been firmly established that unanticipated increases in the money supply lead to immediate increases in interest rates however there are several competing explanations for this phenomenon in the literature in this paper we present some additional empirical evidence which helps to distinguish between two of these hypotheses the policy anticipations and inflationary expectations hypotheses by examining the effect of money supply and inflation announcements on interest rates the positive effect on interest rates of announcements of unanticipated increases in the money supply was demonstrated by urich and wachtel 9 grossman 3 and roley 5 the announcement effect was interpreted in our earlier paper as a policy anticipations effect and has been interpreted by others e g cornell 1 as an inflationary expectations effect since both effects are in the same direction it is difficult to distinguish between them without additional evidence the policy anticipations effect is simply that an unanticipated increase in the money supply causes financial market participants to expect that the federal reserve will tighten the monetary reins in order to offset the increase in anticipation of future tightening there is a tendency for interest rates to increase the inflationary expectations effect is that an unanticipated increase

erratum to incorporating transport cost in the lot size and pricing decisions with downward sloping demand international journal of production economics 95 297 305 abstract we correct our earlier formulation abad p aggarwal v 2005 incorporating transport cost in the lot size and pricing decisions with downward sloping demand int j prod econ 95 297 305 in which the carrying cost was assumed to be proportional to the purchase cost since the buyer reseller is responsible for paying for freight the item value for estimating carrying cost should include not only the purchase cost but also the per unit transportation cost hadley g whitin t 1963 analysis of inventory systems prentice hall englewood cliffs nj tersine r j barman s 1994 optimal lot sizes for unit and shipping discount situations iie transaction 26 2 97 101

economic lot size model for price dependent demand under quantity and freight discounts abstract previous studies have developed procedures which determine optimal lot size and selling price when demand depends on price and all unit quantity discounts are offered further recent studies have addressed the concepts of quantity and freight discounts for constant demand in this paper we incorporate quantity and freight discounts in inventory decision making when demand rather than being constant is considered to be dependent upon price an algorithm is developed to determine the optimal lot size and selling price for a class of demand functions including constant price elasticity and linear demand a numerical example is provided to illustrate the model and a computer program is developed to implement the model derived in the paper

new evidence on sex segregation and sex differences in wages from matched employee employer data we use new matched employer employee data to estimate the contributions of sex segregation and wage differences by sex within occupation industry establishment and occupation establishment cells to the overall sex gap in wages in contrast to earlier data used to study this question our data cover all industries and occupations across all regions of the united states we find that segregation of women into lower paying occupations industries establishments and occupations within establishments accounts for a sizable fraction of the sex gap in wages nonetheless approximately one half of the sex gap in wages remains attributable to the individual s sex

a model of speculative efficiency with news error components this paper proposes a theoritical model to assess of news on the spot forward exchange rate relationship and thereby predicts of the impact of news on the exchange rate two types of news are analysed rational expectations type innovations and announcement effects form newspapers by using historical data form a time period which includes the german hyperinflation of the early 1920s an estimate from of the model is derived which is substantially simpler than the version requried using contemporary data preliminary results support the main theoretical predictions but also cast some doubt on a literal interpretation of the exchange rate model plus rational expectations

how markets process information news releases and volatility we examine the impact of scheduled macroeconomic news announcements on interest rate and foreign exchange futures markets we find these announcements are responsible for most of the observed time of day and day of the week volatility patterns in these markets while the bulk of the price adjustment to a major announcement occurs within the first minute volatility remains substantially higher than normal for roughly fifteen minutes and slightly elevated for several hours nonetheless these subsequent price adjustments are basically independent of the first minute s return we identify those announcements with the greatest impact on these markets we examine the impact on interest rate and foreign exchange markets of scheduled macroeconomic news releases such as the employment report the consumer price index cpi and the producer price index ppi many market participants believe that such announcements have a major impact on financial markets indeed a small industry devoted to predicting the figures to be released in upcoming releases has evolved in recent years with the exception of the weekly money supply figures however the impact of such announcements on financial markets has received scant attention 1 this is doubly surprising given the considerable research interest in market volatility since these news releases are a potential source of much of this volatility consider for instance figure 1 as shown there prices in interest rate and foreign exchange futures markets are much more volatile between 8 30 and 8 35 a m eastern time et than during any other five minute trading period including

talking heads the effects of ecb statements on the euro dollar exchange rate abstract this paper studies the reaction of the conditional mean and volatility of the euro dollar exchange rate to statements by european central bank and national central bank officials we focus on comments on monetary policy and the external value of the euro we find that the bundesbank has dominated the news coverage we conclude that ecb statements have mainly influenced conditional volatility in some cases there are effects of statements on the conditional mean of the euro dollar exchange rate efforts to talk up the euro have generally not been successful there is also evidence of asymmetric reactions to news

money supply announcements interest rates and foreign exchange abstract this paper presents a test of the joint hypothesis that money supply announcements affect the real interest rate and that changes in the real interest rate affect the exchange rate in the short run the test results are consistent with the joint hypothesis for example it is found that announcement of an unexpected jump in the money supply is accompanied by an increase in interest rates and an appreciation of the dollar if the rise in interest rates was entirely due to higher inflationary expectations the dollar should not appreciate

a note on an economic lot size model for price dependent demand under quantity and freight discounts abstract in this study we revisit research contributed by burwell et al 1997 international journal of production economics 48 141 155 where an economic lot size model for price dependent demand under quantity and freight discounts was proposed specifically for the cases of mixed discounts in which the quantity discounts are either of the incremental or all units variety and the freight discounts are of the opposite type we first provide counterexamples to show that adopting the existing algorithm to determine overall optimal lot size and selling price may not achieve the goal of maximizing profit we then propose an easy to understand computational algorithm to obtain an exact solution

market structure and inefficiency in the foreign exchange market abstract this paper investigates the intradaily operational efficiency of the us foreign exchange market by conducting computer simulation experiments with market structure the numbers of market makers brokers and customers the results indicate significant operational inefficiencies which can be explained by temporary inventory imbalances inherent in a decentralized market the results also suggest that much of this inefficiency could be alleviated through a centralization of price information jel f31 g15

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

once in a generation yen volatility in 1998 fundamentals intervention and order flow abstract the dramatic yen dollar volatility of 1998 has been popularly ascribed to order flow driven by changing tastes for risk and hedge fund herding on unwinding yen carry trade positions rather than fundamentals high frequency evidence of shifting fundamentals is provided by a comprehensive list of macroeconomic announcements news is found to have significant effects on volatility but order flow may play a more important role since portfolio shifts are revealed to the market through trading the results are consistent with order flow playing a significant role in the revelation of private information and associated exchange rate shifts

the expanding gender earnings gap evidence from the lehd 2000 census the gender earnings gap is an expanding statistic over the lifecycle we use the lehd census 2000 to understand the roles of industry occupation and establishment 14 years after leaving school the gap for college graduates 26 to 39 years old expands by 34 log points most occurring in the first 7 years about 44 percent is due to disproportionate shifts by men into higher earning positions industries and firms and about 56 percent to differential advances by gender within firms widening is greater for married individuals and for those in certain sectors non college graduates experience less widening but with similar patterns

announcement effects and the theory of storage an empirical study of lumber futures we investigate how lumber futures returns are affected by monthly housing starts announcements and analyze the dependence of the response on lumber inventories and time to delivery to do so we develop a generalized least squares gls method to jointly analyze simultaneously traded contracts we find that increases in the unanticipated component of housing starts announcements increase returns on lumber futures contracts further and as predicted by the theory of storage but previously unrecorded the effects of housing starts shocks decline with lumber inventories there is also a time to delivery effect near delivery contracts respond more sharply to housing starts news than do farther out contracts

interest rates the forward premium and unanticipated money reply the relationship between the weekly money supply announcement and interest rates has attracted the attention of a large number of economists recent research by cornell 2 3 engel and frankel 5 gavin and karamouzis 6 grossman 7 hardouvelis 9 naylor 10 nichols small and webster 11 roley 12 roley and walsh 13 urich 14 and urich and wachtel 15 indicates a positive correlation between unanticipated changes in the announced money supply and interest rates the consensus on the relationship between unanticipated changes in money supply announcements and interest rates however disappears in the explanation of the phenomenon two competing explanations and thus two hypotheses are offered the main difference between the two hypotheses lies in the interpretation of future money growth conditioned on the information provided by the money supply announcement according to the first hypothesis also known as the expected liquidity hypothesis market participants believe that the federal reserve will promptly offset any deviations in the money supply from its target level this implies that an unanticipated increase in the money supply revealed by the announcement will be followed by a monetary tightening and hence an increase in real short term interest rates according to the second hypothesis also known as the inflation premium hypothesis market participants interpret the change in the money supply revealed by the announcement as a permanent deviation from the money supply target this implies that an unanticipated increase in the money supply will not be offset and hence will raise the inflation premium therefore according to the first hypothesis an increase in nominal interest rates caused by an unanticipated increase in the announced money supply is due to a rise in real interest rates according to the second hypothesis it is due to an increase in the inflationary premium in order to distinguish between the two hypotheses evidence has been presented from the foreign exchange and long term bond markets after analyzing the correlation between unanticipated money growth and the change in the level of spot exchange rates before and after the announcements cornell 2 3 engel and frankel 4 hakkio and pearce 8 and hardouvelis 9 find support for the expected liquidity hypothesis based on the correla

time varying liquidity in foreign exchange abstract this paper addresses whether currency trades have greater price impact when public information is flowing rapidly we develop an optimizing model to account for why public news should increase the price impact of trades using transaction data made available by electronic trading we test whether trades following macroeconomic news have higher price impact they do price impact per dollar traded is about 10 percent higher per news announcement in the previous hour after controlling for public information flow we do not find evidence that liquidity depends on trading volume and return volatility the findings provide policy makers with guidance for the timing and magnitude intervention

pay differences among the highly paid the male female earnings gap in lawyers salaries this article uses very detailed information on graduates of the university of michigan law school to examine male female pay differences in that population men and women in this population have virtually identical human capital on graduation from law school allowing us to examine carefully the different impact of children and work history on men s and women s careers and earnings taking time from work in order to care for children reduces wages significantly but a rich set of controls including childcare work history school performance and job setting measures still leave one fourth to one third of the earnings gap unexplained

market perceptions of federal reserve policy and the weekly monetary announcements abstract in october 1979 the federal reserve altered its operating procedures emphasizing control of the growth rate of the money stock was the fed able to gain credibility in the market the paper investigates this question by examining the reactions of spot and expected future exchange rates foreign interest rates and long run domestic forward interest rates to the weekly federal reserve announcements of m l both before and after october 1979 the empirical evidence points out that the fed did gain credibility but was unable to establish full credibility the market reactions are consistent with the hypothesis that market participants attached a positive probability to the event that the fed may at some point in the future abandon its money stock targets

orchestrating impartiality the impact of blind auditions on female musicians a change in the audition procedures of symphony orchestras adoption of blind auditions with a screen to conceal the candidate s identity from the jury provides a test for sex biased hiring using data from actual auditions in an individual fixed effects framework we find that the screen increases the probability a woman will be advanced and hired although some of our estimates have large standard errors and there is one persistent effect in the opposite direction the weight of the evidence suggests that the blind audition procedure fostered impartiality in hiring and increased the proportion women in symphony orchestras

balance of trade announcements and asset prices influence on equity prices exchange rates and interest rates abstract this paper examines the informational impact of traded balance announcements on asset prices including equities currrencies long and short term debt instruments and financial futures this study finds that in the 1980s prior to the 1985 plaza agreement for international economic cooperation information in trade balance announcements seem to have influenced only interest rates however in the 1985 1987 period such announcements also influenced stock prices and currency values these influences intensity further in the 1987 1988 period thus asset prices are sensitive to news in trade balance announcements and this sensitivity seems to have increased significantly in recent years with important implications for asset pricing models and economic policy formulation jel f30

the changing influence of money and monetary policy on exchange rates foreign exchange dealers said the american currency got an additional boost after the federal reserve reported that the nation s money supply rose 700 million in the latest week a development that is likely to put upward pressure on interest rates most economists had been expecting a decline in the money supply figures the wall street journal 25 january 1982 14 i introduction the importance of the linkage between money and asset prices such as interest rates and exchange rates is now well understood friedman 1990 12 writes given the familiar dependence of imports and exports on real exchange rates together with the dollar s evident relationship to interest rates the combination of a larger foreign sector in the u s economy and flexible exchange rates has clearly opened new avenues for monetary policy to affect economic activity however the precise nature of the relationship between money and exchange rates has long been a topic for research in international economics with the adoption of a system of floating exchange rates by most of the industrialized countries in march 1973 and the development of the rational expectations efficient markets hypotheses attempts to model observed fluctuations in exchange rates have focused on incorporating the important role of expectations of particular interest to the research in this paper is the dornbusch 1976 overshooting model which provided the structural foundation for the work of engel and frankel 1984 in the money announcements literature in the money announcements literature researchers employed unanticipated money announcements defined as the difference between announced and expected m1 to examine the linkage between money and asset prices as hakkio and pearce 1985 point out the research on foreign exchange rates in this laboratory was motivated by mussa s 1979 empirical findings in support of the efficient markets theory i e changes in exchange rates are unpredictable and are largely the result of the impact of new information on expectations in this literature researchers commonly regressed changes in the exchange rate on unanticipated money over sample periods which coincided with different policy regimes at the federal reserve to determine if the coefficient on unanticipated money say b sub 1 varied from one policy regime to another overall their findings uncover a significant link between unanticipated money and exchange rates and the size sign and significance of b sub 1 varies from one sample period to another 1 while suggestive the apparent link between changes in b sub 1 and changes in fed policy regimes is difficult to evaluate absent a model which formally incorporates such a link 2 thus my objective in this paper is to develop a basic theoretical empirical link between fluctuations in b sub 1 and changes in fed policy regimes i begin by extending the important work of engel and frankel 1984 in section ii to incorporate a policy feedback parameter g sub 1 in the money supply process which will represent the rational expectation of the type of monetary control regime in place at the federal reserve at the time of a money announcement it is shown that the magnitude of the response of exchange rates to an unanticipated announcement is mainly driven by agents expectations of the federal reserve s response to the deviation of the actual money supply from a pre specified target in section iii the time varying response of the dollar german mark exchange rate to weekly unanticipated money announcements b sub 1t and the time varying policy feedback parameter g sub 1t which reflects the adjustment of the federal funds rate to money away from target are estimated on a weekly basis using these estimates the variation of the coefficient b sub 1t vis a vis the changes in g sub 1t is examined over the january 1978 to december 1982 sample period the results provide considerable support for the hypothesized link between parameters b

score driven models of stochastic seasonality in location and scale an application case study of the indian rupee to usd exchange rate abstractwe estimate the stochastic seasonality of the indian rupee inr to united states dollar usd exchange rate by using new dynamic conditional score dcs specifications we use the dcs skew gen t dcs skewed generalized t distribution and dcs nig dcs normal inverse gaussian distribution models which are alternatives to the dcs t dcs student s t distribution and dcs egb2 dcs exponential generalized beta distribution of the second kind models from the literature dcs models are robust to outliers and such models effectively disentangle the local level seasonality and irregular components for the latter we apply dcs egarch dcs exponential generalized autoregressive conditional heteroscedasticity scale dynamics and we use new dcs models with seasonal volatility we use inr usd data for the period of 1 january 1982 to 7 july 2017 we find that the dcs skew gen t and dcs nig models are superior to the dcs t and dcs egb2 models respectively the amplitude of the inr usd seasonality is rel

a note on economic news and intraday exchange rates abstract measured with intraday data in a 1987 1991 sample period the mark dollar exchange rate was affected by unanticipated information about the trade deficit and the consumer price index the exchange rate showed no significant response to news about money supply industrial production the producer price index or unemployment trade deficit surprises were negatively correlated with the value of the dollar as expected cpi surprises showed a positive correlation as would be predicted by sticky price models of exchange rates the market s reaction to the 8 30am trade deficit announcement was complete by 9am but the market s response to the cpi announcement was not as immediate no significant reaction had occurred by 9am and the spot price did not fully digest the information until 1pm significant responses were present in the 9am 11am and noon hours alternate measures of currency returns failed to explain this delayed response

learning and the exchange rate exchange rate responses to money announcements in the early 1980s abstract the paper develops a monetary model of exchange rate determination with transitory monetary shocks and bayesian learning the model implies that exchange rate responses to monetary surprises are time varying and asymmetric furthermore the two variables become increasingly negatively correlated as beliefs converge an empirical section reexamines the evidence of dollar exchange rate responses to monetary announcements in the 1979 1984 period during which two monetary reforms took place in the usa there is strong support for the presence of learning behavior during the october 1979 to october 1982 period in the german mark and japanese yen equations

1979 1982 rules or discretion in monetary policy gregory hoelscher what determined m1 growth from november 1979 through october 1982 a reaction function is developed and tested which ascribes the level of ml to two fed motives one is the fed s desire to hit its money growth targets the other is to carry out a counter cyclical short run monetary policy both motives are found to be significant during the period this evidence is consistent with the contention of some economists that the period was not a valid test of monetarist policy rules i introduction in october of 1979 the federal reserve system announced that it would use a new operating procedure that would allow it to place strong emphasis on controlling ml this policy shift from an interest rate target regime to a non borrowed reserves target regime was widely considered as tacit acceptance of the monetarist doctrine monetarists had been calling for a policy of stable gradually declining and pre announced money growth paths the change in operating procedure was designed to give the fed greater control over ml and to dramatize the fed s commitment to slowing money growth and inflation at the time many expected the new operating policy to result in a more stable money growth path at the expense of some short term interest rate variability the rate of inflation fell from 13 3 percent in 1979 to 3 9 percent in 1982 but the variability of both short term interest rates and of money growth increased substantially ore importantly the economy slipped into a brief recession in early 1980 and a longer and much more severe one in late 1981 by october 1982 the fed announced that it would de emphasize ml as a target variable but would continue to monitor the broader monetary aggregates thus a three year monetarist inspired experiment came to an end benjamin friedman 1984 and bryant 1983 argue that the events of 1979 82 demonstrate that monetarism as a policy guide is inadequate other economists disagree with these criticisms milton friedman 1984 mccallum 1984 and poole 1982 blame the high variance of monthly or quarterly growth rates in m1 for the poor post 1979 performance of the economy this paper assesses formally the determinants of m1 growth during the 1979 82 period if the fed was attempting to use m1 to fine tune the real sector then the argument that the 1979 82 period was not a valid test of the monetarist approach to monetary policy is that much stronger on the other hand if changes in m1 cannot be explained by fine tuning motives then perhaps the period does represent a test of monetarist policies the next section discusses the reaction function used in the paper section iii describes the data and the test results the evidence is consistent with the hypothesis that the money growth targets and either of two measures of real economic performance the unemployment rate and industrial production were significant determinants of fed policy during the late 1979 to late 1982 period section iv contains conclusions ii methodology the empirical tests use a reaction function the use of a reaction function does not imply that the federal reserve board or the open market committee explicitly acts in accordance with the function the reaction function is instead an as if assumption the fed is assumed to act as if it minimizes a loss function reaction functions have been estimated by a large number of authors barth sickles and wiest 1982 summarize many of the papers published in 1978 and earlier they report that unemployment and to a lesser extent inflation were most commonly cited as significant determinants of federal reserve policy during various portions of the 1952 77 period more recent papers by abrams froyen and waud 1980 levy 1981 allen and smith 1983 bradley 1984 witte 1984a 1984b and bradley and potter 1986 have extended the literature by including additional variables and time periods in the analysis

the impact of an unexpected political resignation on exchange rates based on the theory of economic regulation political shocks are examined as unexpected events in the light of the efficient markets hypothesis and a political resignation is taken as an example of such an event the hon j dawkins mp resigned as the federal treasurer of the australian government on friday 17 december 1993 there have been a number of studies on the effect of economic and political events on stock prices this study considers the impact of dawkin s resignation on the foreign exchange rates of the major traded currencies in australia the traditional event study methodology based on the market model and the lesser used multivariate methodology of seemingly unrelated regressions are used for the analysis the sample of currencies is considered both as a portfolio and on an individual basis with efficiency of the currency markets being tested for anticipatory event related and persistence effects the paper concludes by contrasting the findings of the two methodologies the study repo

on the job search some empirical evidence from britain abstract this paper considers evidence from the labour force survey concerning job search by employed workers the unconditional probability of observing on the job search is decomposed into the product of two constituent probabilities upon which maximum likelihood estimation is performed the analysis facilitates the identification of who searches and whether search takes place in work or from unemployment temporary or part time employment encourages continued search by men but not women skilled workers search more than the unskilled and demonstrate a preference for employed search inter industry wage relativities encourage search on the job job tenure is a significant determinant of the quality of a job match and the subsequent likelihood that on the job search is undertaken employed job seekers adopt search strategies that are more readily integrated into a working environment

the impact of money on short term interest rates this study reviews empirical evidence from four research methods related to the impact of money on short term nominal rates the studies consistently fail to find evidence supporting the much hypothesized short term negative relationship between money and nominal rates since at least april 1975 reasons for the absence of a negative relationship include the tendency of financial markets to anticipate corrective action by the fed whenever ml deviates from targeted growth ranges and a rapid adjustment of inflationary expectations to changes in money growth

separate and unequal occupation establishment sex segregation and the gender wage gap the authors report the first large scale empirical investigation of within job wage differences between men and women in the same occupation and establishment using data first on blue collar and clerical employees from 16 u s industries in 1974 83 and second on employees in 10 professional and administrative occupations the authors report three findings first wage differences at the occupation establishment level were small even without controls for individual level characteristics hence within job wage discrimination was much less important than occupation establishment segregation for observed wage differences second establishment segregation was an important cause although not as important as occupational segregation of wage differences third establishment segregation was extensive as was occupational segregation

bargaining sorting and the gender wage gap quantifying the impact of firms on the relative pay of women there is growing evidence that rm specic pay premiums are an important source of wage inequality these premiums will contribute to the gender wage gap if women are less likely to work at high paying rms or if women negotiate worse wage bargains with their employers than men using longitudinal data on the hourly wages of portuguese workers matched with balance sheet information for rms we show that the wages of both men and women contain rm specic premiums that are strongly correlated with employer productivity we then show how the impact of these rm specic pay dierentials on the gender wage gap can be decomposed into a combination of bargaining and sorting eects consistent with the bargaining literature we nd that women receive only 90 of the rm specic pay premiums earned by men notably we obtain very similar estimates of the relative bargaining power ratio from our analysis of between rm wage premiums and from analyzing changes in

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 impact of macroeconomic surprises on spot and forward foreign exchange markets abstract this paper evaluates the effects of surprises in 23 types of macroeconomic announcements on foreign exchange rates and on the forward premium several findings emerge first as in the balance of payment framework announcements that convey a decline in consumer demand increase foreign exchange rates second the ppp hypothesis is rejected in favor of portfolio balance effects in determining exchange rates third the behavior of forward premiums is consistent with covered interest rate parity fourth exchange rates respond to announcements related to consumer demand inflation and interest rates but not to the announcements directly related to the general strength of the economy finally among the news releases considered surprises in the treasury budget trade balance and capacity utilization have the strongest influence in the currency market

market reactions to u s weekly money supply announcements after the introduction of contemporaneous reserve requirements an empirical note abstract movements across the nominal term structure of u s interest rates have continued to be positively correlated with weekly money surprises post crr bond and foreign exchange market evidence suggests that these may no longer be movements in the real term structure