clustering and competition in asset markets economists financial commentators regulatory agencies and the legal community have recently criticized the nasdaq stock market inc because there is greater clustering of stock quotations on even eighths on nasdaq than on the new york stock exchange or the american stock exchange a phenomenon which critics attribute to collusion or some other defect in nasdaq market structure however as this article demonstrates clustering occurs in varying degrees in many other incontestably competitive financial markets including the nyse the amex the london stock exchange the london gold market and the international foreign exchange market this article provides a competitive theory of clustering that emphasizes the effect of uncertainty the size of transactions volatility and the informational and transactional roles of quotations on the degree of clustering in addition the article examines how market structure can affect the degree of clustering and considers the relation between clustering spread

earnings effects of labor organizations in 1890 analyzing data from extensive surveys of u s nonfarm families in 1889 90 predominantly families from eastern states the authors of this paper show that workers affiliated with labor organizations had earnings that were 22 percent higher than the earnings of other workers an effect comparable in magnitude to estimates for modern unions wage differentials varied considerably across the eight industries studied and across skill levels within each industry

minimum price variations discrete bid ask spreads and quotation sizes exchange minimum price variation regulations create discrete bid ask spreads if the minimum quotable spread exceeds the spread that otherwise would be quoted spreads will be wide and the number of shares offered at the bid and ask may be large a cross sectional discrete spread model is estimated by using intraday stock quotation spread frequencies the results are used to project 1 16 spread usage frequencies given a 1 16 tick projected changes in quotation sizes and in trade volumes are obtained from regression models for stocks priced under 10 the models predict spreads would decrease 38 percent quotation sizes would decrease 16 percent and daily volume would increase 34 percent article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

the endogeneity of union membership in a pay model cross section estimates of union nonunion pay differentials can be based either on models in which pay is determinied by a set of exogenous variables including union membership or on more complex models in which union membership and pay are jointly determined although several investigators have argued that the complex model is more appropriate they have rarely examined in depth the economic meaning and the statistical assumptions of their union membership and pay equations because their complex models may be misspecified it is not at all clear whether these models yield better or worse estimates of union nonunion pay differentials than the simpler models in which union membership is treated as exogenous the endogeneity of union membership in a model of cross section unionnonunion pay differentials can be based on at least four arguments first individuals choose to work in the union or nonunion sector depending on the pay and conditions of employment in each sector as well as their tastes for unionization 2 second union organizers choose particular firms or industries as unionization targets and among their choice criteria are relative or absolute rates of pay third employees deciding uni1on representation elections consider expected union and nonunion pay in casting their votes 3 fourth employers allocate the excess supply of labor at ulnion pay levels by selecting especially wellqualified workers the plausibility of these arguments is not sufficient reason to infer that the endogeneity of union membership in a current pay model is a good assumption with regard to the first argument it is important to note the limited sectoral mobility of many workers given the correlation between unionization and both occupation and location it is clear that many individuals long run occupational and residential choices essentially have placed them in either the union or nonunion sector in order to move from the union to the nonunion sector they would have to migrate or to sell skills for which they would not be highly rewarded for example a unionized teacher in the new york public

stock price clustering and discreteness stock prices cluster on round fractions clustering increases with price level and volatility and decreases with capitalization and transaction frequency clustering is pervasive price clustering will occur if traders use discrete price sets to simplify their negotiations exchange regulations require that most stocks be traded on eighths clustering on larger fractions will occur if traders choose to use discrete price sets based on quarters halves or whole numbers an econometric model of clustering is derived and estimated projections from the results suggest that traders would frequently use odd sixteenths when trading low price stocks if exchange regulations permitted trading on sixteenths article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

structural change and the macroeconomic effects of oil shocks empirical evidence from the united states and japan abstract this paper investigates whether the usa and japan have become better insulated from oil price disturbances due to more favorable structural conditions new production technologies allowing greater energy substitution the development of energy commodity markets reduced energy intensity of production more market oriented energy policies and so on we decompose the influences of oil shocks on real gnp growth and inflation movements in the context of a simultaneous equation model where identification is partly achieved by restricting the long run dynamics we find that oil shocks accounted for a greatly reduced fraction of real gnp growth and inflation variance in both countries primarily because of superior insulation characteristics rather than reduced importance of oil disturbances our estimates suggest that a similar percentage oil price hike would have exerted about one quarter the contractionary effect on real gnp and upward push in inflation in the 1980s compared with the previous two decades jel e31 e32 f30

decomposing liquidity along the limit order book abstract in this paper we estimate the asymmetric information and order processing components of liquidity at extended depths along the limit order book using data from the inet ecn we find that the asymmetric information component decreases as depth increases inactive stocks have more information asymmetry at the inside quotes but it decreases more rapidly along the book than for active stocks the order processing component of liquidity has fixed and variable constituents consistent with a fixed cost per order as well as a variable portion based on the size of the order

the simple macroeconomics of an oil dependent economy abstract this paper constructs and analyzes a simple macrodynamic model of a small economy that is completely dependent upon opec for oil imports the impact and dynamic behavior of wages prices output and exchange rates is analyzed under several alternative scenarios initially it is assumed that oil is denominated in dollars and the consequences of an increase in oil prices are investigated under a system of free floating in later sections the effects of this disturbance are re examined under various kinds of managed float systems

union wage differentials in the public and private sectors a simultaneous equations specification the paper attempts to integrate new approaches to estimating union wage effects with the analysis of public private sector wage differentials estimates of the union differential in both public and private sectors allowing for the endogeneity of union status are presented the hypothesis that the recently measured rents to public sector employment primarily reflect the recent increase in unionization in that sector is examined and receives considerable empirical support there was evidence of positive selection into the union sector especially for private sector workers union status appears to be strongly influenced by the expected wage gain from joining the union sector

a new look at the union wage premium during the early years of the afl this study provides new evidence showing that the union wage premium in the late nineteenth century in the united states was lower than previously believed analysis of wage and productivity data from an 1890 survey of individual workers in maine yields a 9 2 union nonunion wage gap once correction is made for self selection bias the disproportionate representation in unions of workers who because of skills and other attributes would probably gain above average wages even in the absence of unions the author argues that business cycle conditions and distinctive union dynamics can affect the results of analyses that employ the heckman procedure a common procedure designed to correct for self selection bias

input price shocks and the slowdown in economic growth the case of u k manufacturing this paper provides a theoretical and empirical analysis of the effects of input price shocks on economic growth with a focus on united kingdom manufacturing in the 1970s the theoretical model predicts a discrete decline in output and productivity after an input price rise and a longer run slowdown in productivity growth real wage growth and capital accumulation these features characterize the united kingdom and most other oecd economies after 1973 the empirical results confirm the important role of input prices in recent u k adjustment but also point to an important role for other supply and demand factors two types of explanations have been offered for the sharp deterioration in u k economic performance in the past decade focusing respectively on demand and supply factors a standard keynesian view holds that macroeconomic demand management has been either too expansionary or too contractionary and that rising unemployment and falling output reflect the burden of anti inflationary policies an alternative view holds that various supply shocks are the main source of the poor output performance in this interpretation higher raw material prices particularly oil competition from the newly industrializing countries nics and perhaps an independent decline in productivity growth all have lowered output growth and raised unemployment

measuring the energy input substitution and output effects of energy price changes and the implications for the environment abstract previous studies of decomposition of factor inputs have limited their analysis on the estimation of substitution and output effects however this paper develops a two step approach to estimate the substitution and output effects of changes in energy demand resulting from changes in prices and further examines the implications of these effects on co2 emissions using european industrial dataset over the period 1995 2007 in our empirical estimations instead of relying only on isur model like previous studies we introduced a multilevel model which is a more befitting model to our data our analysis covers industry as a whole and for different sector types the primary results emerged from our analysis suggest a strong evidence using the multilevel model generally our results show that production inputs are substitutable we find the substitution and output effects to be negatively related to co2 emissions however the substitution effects dominate from policy perspectives our results suggest that output adjustments may not play a significant role in reducing emissions we find the overall effects of changes in energy demand to be moderate then we argue that increment in energy taxes should be complemented by cleaner factor substitution and sustainable growth to achieve a desirable carbon reduction

trade execution costs and market quality after decimalization this study assesses trade execution costs and market quality for nyse and nasdaq stocks before and after the 2001 change to decimal pricing several theoretical predictions are confirmed quoted bid ask spreads declined substantially on each market with the largest declines for heavily traded stocks the percentage of shares receiving price improvement increased on the nyse but not on nasdaq however those trades completed at prices within or outside the quotes were improved or disimproved by smaller amounts after decimalization and trades completed outside the quotes saw the largest reductions in trade execution costs as a class effective bid ask spreads as a percentage of share price arguably the most relevant measure of execution costs for smaller trades averaged 0 33 on a volume weighted basis after decimalization for both nyse and nasdaq stocks there is no evidence of systematic intraday reversals of quote changes on either market as would be expected if decimalization had damaged liquidity supply

tick size price grids and market performance stable matches as a model of market dynamics and equilibrium abstract the tick size in a financial market is the minimum allowable difference between ask and bid prices by the rules of each exchange no transactions can occur within the tick interval the impact of tick size is an ongoing controversy which we study by experimental methods whose simplicity helps distinguish among competing models of complex real world securities markets we observe patterns predicted by a matching cooperative game model because a price grid interferes with a competitive equilibrium and restrictions on order flow interfere with information aggregation the matching model provides predictions when the competitive model cannot although their predictions are the same when a competitive equilibrium does exist our experiments examine stable allocations average prices timing of order flow information flow and price dynamics larger tick size invites more speculation which in turn increases liquidity however increased speculation leads to inefficient trades that otherwise would not have occurred

penny pricing and the components of spread and depth changes abstract recent studies show that decimal pricing led to significant reductions in the spread and depth on the nyse in this paper we examine how the observed changes in the spread and depth can be attributed to different factors we show that stocks with higher proportions of one tick spreads and odd sixteenth quotes and more frequent trading before decimalization experienced larger declines in the spread and depth afterwards we interpret this result as evidence of reduced binding constraints and increased price competition under decimal pricing we also find that decimal pricing led to nontrivial changes in select stock attributes and that these changes exerted an additional impact on spreads and depths our results suggest that sub penny pricing may further reduce the spreads of high volume low risk or low price stocks

the endogeneity of union status an empirical test an unsettled issue in the literature relating to the relative wage effect of unions is the appropriate treatment of union status in a wage determination model in the context of a three equation model determining union membership and union and nonunion sector wage rates this paper presents an instrumental variables iv procedure for estimating the parameters of the wage equations and a test of the exogeneity of union status using the hausman specification test an advantage of our iv procedure in comparison to the widely used inverse mill s ratio procedure is that our procedure is a distribution free estimator whereas the inverse mill s ratio estimator hinges in the assumption that the error term of the choice equation is normally distributed using data for a sample of middle aged white workers we estimate the parameters of the union and nonunion wage equations with both procedures on the key question of the endogeneity of union status the hausman test decisively rejects the null hypothesis of exo

economic impact of oil price shocks on the turkish economy in the coming decades a dynamic cge analysis as a small open economy turkey depends on both imported oil and natural gas importing almost two thirds of its primary energy demand this paper analyzes the economic effects of oil price shocks for turkey as a small open oil and gas importing country to analyze the potential long term effects of oil price shocks on macroeconomic variables of interest including gdp consumer price inflation indirect tax revenues trade balance and carbon emissions we developed turgem d a dynamic multisectoral general equilibrium model for the turkish economy using turgem d we analyzed the impact of oil price shocks under three distinct scenarios reference high and low oil prices the simulation results show that these oil prices have very significant effects on macro indicators and carbon emissions in the turkish economy

energy capital substitution wage flexibility and aggregate output supply abstract this paper analyzes the relationship between factor substitution labor market conditions and aggregate output supply in order to study the transmission mechanism of energy price change to the rest of the economy it shows that the energy capital complementarity vs substitutability issue may turn out to be crucial in shaping the direction of the adjustment of aggregate output supply following energy price changes how crucial it is it is shown to depend on the beliefs of firms regarding the stock of capital on the degree to which labor markets clear and on the wage elasticity of labor supply some empirical evidence is presented about the relationship between energy price changes and output supply

the union wage effect in late nineteenth century britain this paper gives a historical dimension to the impact of trade unions on earnings by estimating the union wage effect in britain between 1889 90 using data from the us commissioner of labour survey conducted at that time the determinants of union status are also investigated in terms of profit estimation using individual characteristics which may be correlated with union membership the results of this first stage are used in the computation of selectivity corrected estimates of the union wage effect it is found that the effect of union membership on earnings at this time was in the order of 15 20 for a range of different skill levels

unions and relative real wages much attention has been focused recently on the effects of unions on economic stability resource allocation and income distribution almost always the discussion begins with the effects of unions on labor earnings or wages yet substantial agreement on the magnitude of the effect of unions on wages or earnings hardly seems close at hand among other studies on this subject it is noted that the classic study by h gregg lewis estimates a union nonunion wage differential of about 10 15 percent in 1957 58 leonard weiss estimates about the same differential as lewis and victor fuchs frank stafford adrian throop and orley ashenfelter and george johnson estimate a much larger differential the question such studies should attempt to answer is whether and how much union membership increases wages facing individuals holding constant other things such as education race sex age and occupation the studies mentioned above are not entirely appropriate to answer this question for example some suffer from a potentially severe aggregation bias in examining average wages or earnings and the percentage of the labor force unionized and or fail to disaggregate by race and sex those that attempt to examine opportunities facing individuals are forced to employ data on earnings rather than wages and thereby build at least partially voluntary labor supply and demand decisions into their estimates the purpose of this paper is to present new evidence on the relative wages of union and nonunion workers by applying recent advances in the hedonic method of price measurement to a new and rich source of data on individual workers in section i an equation relating wages to personal characteristics is developed which focuses on union membership and its interaction with race sex occupation and geographical area the equation extends work in this area by robert hall in section ii a brief discussion of the data is presented together with empirical estimates of the union nonunion wage differential formal tests are made of some interesting hypotheses about the pattern of the relative wages of union and nonunion workers by race sex occupation and geographical area the results are in much closer accord with the estimates of lewis and weiss than those of fuchs stafford and throop in section iii some concluding remarks are offered including some observations on the limitations of this type of study