predicting early data revisions to u s gdp and the effects of releases on equity markets the effects of data uncertainty on real time decision making can be reduced by predicting data revisions to u s gdp growth we show that survey forecasts efficiently predict the revision implicit in the second estimate of gdp growth but that forecasting models incorporating monthly economic indicators and daily equity returns provide superior forecasts of the data revision implied by the release of the third estimate we use forecasting models to measure the impact of surprises in gdp announcements on equity markets and to analyze the effects of anticipated future revisions on announcement day returns we show that the publication of better than expected third release gdp figures provides a boost to equity markets and if future upward revisions are expected the effects are enhanced during recessions

jumps cojumps and macro announcements we use recently proposed tests to extract jumps and cojumps from three types of assets stock index futures bond futures and exchange rates we then characterize the dynamics of these discontinuities and informally relate them to us macroeconomic releases before using limited dependent variable models to formally model how news surprises explain co jumps nonfarm payroll and federal funds target announcements are the most important news across asset classes trade balance shocks are important for foreign exchange jumps we relate the size frequency and timing of jumps across asset classes to the likely sources of shocks and the relation of asset prices to fundamentals in the respective classes

first price auctions with resale abstract we present a simple model of first price auction with two bidders whose valuations are not identically distributed and where resale is possible between the bidders and given an explicit expression for the equilibrium strategies

the impact of the u s employment report on exchange rates abstract the impact of the u s employment report and analyst forecasts of that report s major statistics on pound dollar yen dollar and euro dollar exchange rates are explored while the nonfarm payroll employment figure has the greatest impact we find that the exchange rates also react to the announced revision to last month s payroll figure and to the unemployment rate in all three markets the exchange rate response to the payroll employment figure is strongly conditioned on pre release analyst uncertainty the median analyst forecast from bloomberg anticipates over 80 of the monthly variation in the payroll figure and is basically unbiased the markets appear to respond to these analyst forecasts prior to the government release analyst forecast dispersion tends to increase following large forecast errors indicating that when the announced figure is far from what analysts expected they tend to disagree on the implications for future payroll levels

back to the future rethinking auctions for renewable electricity support abstract the effectiveness and cost effectiveness of two main types of instruments feed in tariffs and quotas with tradable green certificates have usually been compared in the literature on renewable electricity promotion due to negative past experiences with a third instrument auctions this instrument has been broadly dismissed in academics and until recently also in policy practice however and based on an in depth review of experiences with auction schemes for renewable electricity around the world this paper argues that some of the problems with auctions in the past can be mitigated with the appropriate design elements and that indeed auctions can play an important role in the future implementation of renewable electricity support instruments around the world the paper provides a proposal for the coherent integration of several design elements

security analyst superiority relative to univariate time series models in forecasting quarterly earnings abstract this paper provides evidence of security analyst sa superiority relative to univariate time series ts models in predicting firms quarterly earnings numbers and shows that sa forecast superiority in our sample is attributable to 1 better utilization of information existing on the date that ts model forecasts can be initiated a contemporaneous advantage and 2 use of information acquired between the date of initiation of ts model forecasts and the date when sa forecasts are published a timing advantage

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

news announcements and price discovery in foreign exchange spot and futures markets abstract this paper studies competition in price discovery between spot and futures rates for the eur usd and jpy usd markets around scheduled macroeconomic announcements using both the information shares approach and the common factor component weight approach for futures prices from the chicago mercantile exchange cme as well as deal prices from spot trading on the electronic broking services ebs we gauge how foreign exchange spot and futures markets respond to news surprises the results show that the spot rates provide more price discovery than do the cme futures rates overall however the contribution of the futures rates to price discovery increases in the time surrounding macroeconomic announcement releases

the short run dynamics of the price adjustment to new information we examine how prices in interest rate and foreign exchange futures markets adjust to the new information contained in scheduled macroeconomic news releases in the very short run using 10 second returns and tick by tick data we find that prices adjust in a series of numerous small but rapid price changes that begin within 10 seconds of the news release and are basically completed within 40 seconds of the release there is some evidence that prices overreact in the first 40 seconds but that this is corrected in the second or third minute after the release while volatility tends to be higher than normal just before the news release there is no evidence of information leakage in our analysis we correct for the biases created by bid ask spreads and tick by tick data

eefects of reintegration activities on the dutch labour market regarding levels of education in the netherlands during the early nineteen nineties social security administration offices and labour exchange offices decided to co operate goal of this cooperation is to support the reintegration of unemployed people into the labour market and to shorten the individual spells of unemployment as a result of the cooperation information is available about levels of education of the unemployed this article primarely focuses on the effects of reintegration activities on the duration of unemployment for different levels of education results of the analysis are compared with the human capital theory also the question is discussed whether within the framework of the cooperation persons with a higher level of education have shorter spells of unemployment finally there is an analysis of the effects of activities undertaken by the unemployed themselves to find a job people with a university degree have significant longer spells of unemployment the reintegration activities of the social security administr

asymmetric first price auctions abstract a new approach to asymmetric first price auctions is proposed which circumvents the need to examine bidding strategies directly specifically the ratio of bidders endogenous payoffs is analyzed and compared to the ratio of the exogenous distribution functions that describe beliefs most of the results are inferred from this comparison in the existing theoretical literature assumptions of first order stochastic dominance or stronger imply that the latter ratio has very specific properties but no such assumptions are imposed here it is proven that first order stochastic dominance is necessary for bidding strategies not to cross when this assumption is relaxed in the numerical literature it is done in a manner that leads to exactly one crossing however it is straightforward to construct examples with several crossings finally bid distributions will cross in auctions with two bidders whenever second order but not first order stochastic dominance applies

analysis of the intraday effects of economic releases on the currency market abstract using four years of second by second executed trade data we study the intraday effects of a representative group of scheduled economic releases on three exchange rates eur usd jpy usd and gbp usd using wavelets to analyze volatility behavior we empirically show that intraday volatility clusters increase as we approach the time of the releases and decay exponentially after the releases moreover we compare our results with the results of a poll that we conducted of economists and traders finally we propose a wavelet volatility estimator which is not only more efficient than a range estimator that is commonly used in empirical studies but also captures the market dynamics as accurately as a range estimator our approach has practical value in high frequency algorithmic trading as well as electronic market making

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

uniqueness and existence of equilibrium in auctions with a reserve price abstract we prove existence and uniqueness of equilibrium for a general class of two player bidding games we apply our results to the first price auction the combination of first and second price auctions the war of attrition the all pay auction as well as combinations of the latter two auction forms we also treat the first price auction without risk neutrality our results deal with the asymmetric affiliated common values environment in the case where signals are independent our results apply to all equilibria when signals are not independent our uniqueness results hold in the class of nondecreasing strategy equilibria journal of economic literature classification number d44

rational expectations information acquisition and competitive bidding most rational expectations market equilibrium models are not models of price formation and naive mechanisms leading to such equilibria can be severely manipulable in this paper a bidding model is developed which has the market like features that bidders act as price takers and that prices convey information higher equilibrium prices convey more favorable information about the quality of the objects being sold than do lower prices bidders can benefit from trading only if they have a transactions motive or if they have access to inside information apart from exceptional cases prices are not fully revealing a two stage model is developed in which bidders may acquire information at a cost before bidding and for which the equilibrium price is fully revealing resolving a well known paradox

bidding between incumbent and entrant abstract facing an informed incumbent who has cost advantages in two different states the uninformed entrant bids cautiously due to the incumbent s cost advantage in the low cost state the incumbent bids aggressively earning additional profits because of his cost advantages

ex post information in auctions assumptions maskin and riley 1984 show that when the amount a buyer is willing to pay for the auctioned object is not independent of his wealth expected revenue tends to be lower under open bidding in contrast milgrom and weber 1982 relax the assumption that valuations are independent and assume instead that buyers private estimates of the item s value are affiliated a buyer with a high estimate then tends to believe that other buyers will have higher estimates as well maintaining the other assumptions milgrom and weber show that expected revenue is higher in the open ascending bid auction the intuition behind this result is that in sealed high bid auctions a buyer s bid is determined not only by his own beliefs but via their bids by the beliefs of those with lower estimates a buyer with a low estimate believes that others are more likely to have low estimates as well he therefore bids less aggressively it follows that a buyer can beat all opponents who have lower estimates with a bid which is lower than it would be if beliefs were independent 2 milgrom and weber also show that if the seller purchases and then publicly reveals information which is positively linked to buyers valuations this also raises expected gross revenue from an auction the intuition here is that this helps to reduce the difference in bidders willingness to pay 3 that such a reduction should raise expected revenue is easily understood for the limiting case in which the seller s information includes all the buyers private information for then all buyer asymmetry is eliminated and so expected buyer profit is bid away to zero the seller therefore reaps the entire surplus in the following pages the implications of correlated signals are further explored while milgrom and weber emphasized the potential gains to a seller who reveals information ex ante the focus here is on ex post information in section 2 it is shown that under weak assumptions the sealed high bid auction is dominated by any auction

entry of the unemployed into employment theory methodology and dutch experience van dijk j and folmer h 1985 entry of the unemployed into employment theory methodology and dutch experience reg studies 19 243 256 this study examines the entry probabilities of the unemployed into the employed labour force the personal characteristics age work experience education and family status and the regional characteristics regional unemployment and average regional income are theoretically derived as the determinants of the entry probabilities the theoretical model is empirically tested with data from the dutch labour force survey 1979 by means of maximum likelihood logit analysis the results closely conform to the theoretical expectations on the basis of the analysis some conclusions for labour market policy are formulated

equilibrium in sealed high bid auctions there is a voluminous theoretical literature on sealed high bid auctions auctions in which bids are sealed and the high bidder pays his bid see for example vickrey 1961 myerson 1981 riley and samuelson 1981 milgrom and weber 1982 matthews 1983 maskin and riley 1984 holt 1980 cox smith and walker 1988 a critical property on which this literature relies is the existence of equilibrium in which buyers bidding strategies are monotonic in their types this enables the analyst to perform comparative statics as the distribution of types changes and to compare the welfare properties of the high bid auction with those of other auction institutions one case in which the existence of monotonic equilibrium is readily established is that in which buyers types are distributed smoothly independently and symmetrically in this case there exists a symmetric equilibrium one in which all bidders share the same bidding behaviour as a function of their valuations and this bid function is the solution to a first order differential equation

bid preference programs and participation in highway procurement auctions we use data from highway procurement auctions subject to california s small business preference program to study the effect of bid preferences on auction outcomes our analysis is based on an estimated model of firms bidding and participation decisions which allows us to evaluate the effects of current and alternative policy designs we show that incorporating participation responses significantly alters the assessment of preferential treatment policies

investment timing and learning externalities abstract we study a duopoly model of investment in which each player learns about the quality of a common value project by observing some public background information and possibly the experience of his rival investment costs are private information and the background signal takes the form of a poisson process conditional on the quality of the project being low the resulting attrition game has a unique symmetric equilibrium which depends on initial public beliefs we determine the impact of changes in the cost and signal distributions on investment timing and how equilibrium is affected when a first mover advantage is introduced

equilibria in open common value auctions abstract a sufficient condition for uniqueness of nash equilibrium in second price common value auctions is identified we establish that there exists a continuum of equilibria in irrevocable exit common value auctions for the case of two bidders we provide plausible sufficient conditions under which the expected seller revenue is maximized at the symmetric equilibrium an example in which the auctioneer s revenue at the symmetric equilibrium in a second price auction is strictly greater than the revenue at many asymmetric equilibria in the corresponding irrevocable exit auction is provided

macroeconomic announcements and price discovery in the foreign exchange market this study shows that the dominance of the overlapping trading hours of london and new york in the price discovery of the eur usd and usd jpy markets only applies on days with u s announcements different from cai et al 2008 and wang and yang 2011 we highlight the informational advantage of local traders at the arrival of macroeconomic announcements in the local market and find that macroeconomic announcements affect the pattern of price discovery across different markets consistent with chen and gau 2010 and jiang et al 2012 we also examine changes in information shares before and after the announcement a significant increase in price discovery before the announcement suggests the possibility of information leakage while enhanced price discovery efficacy after the announcement suggests that prices gradually adjust to new information not just immediately respond to the arrival of announcements

the effects of age and unemployment percentage on the duration of unemployment evidence from aggregate data abstract in this paper models for the duration of unemployment are estimated using aggregate data on incomplete unemployment spells in particular the elasticities of the probability of leaving unemployment with respect to age and unemployment percentage are estimated special attention is paid to the time dependence of the re employment probability and to the effect of omitted regressors because models are fitted for male and female unemployed separately these groups can be compared we find that their position on the labour market is different

the exchange rate effects of macro news after the global financial crisis abstract we explore whether the exchange rate effects of macro news are time and state dependent by analyzing and comparing the relative influence of us and japanese macro news on the jpy usd rate before during and after the global financial crisis a comprehensive set totaling 40 time stamped us and japanese news variables and preceding survey expectations along with 5 min indicative jpy usd quotes spanning the 1 january 1999 to 31 august 2016 period facilitate our analysis our results suggest that while us macro news are now more important than before the crisis the influence of japanese macro news has waned to the point of near irrelevance these findings are of particular importance to exchange rate modeling of the new era

numerical simulations of asymmetric first price auctions abstract the standard method for computing the equilibrium strategies of asymmetric first price auctions is the backward shooting method in this study we show that the backward shooting method is inherently unstable and that this instability cannot be eliminated by changing the numerical methodology of the backward solver moreover this instability becomes more severe as the number of players increases we then present a novel boundary value method for computing the equilibrium strategies of asymmetric first price auctions we demonstrate the robustness and stability of this method for auctions with any number of players and for players with mixed types of distributions including distributions with more than one crossing finally we use the boundary value method to study large auctions with hundreds of players to compute the asymptotic rate at which large first price and second price auctions become revenue equivalent and to study auctions in which the distributions cannot be ordered according to first order stochastic dominance

collusion with persistent cost shocks we consider a dynamic bertrand game in which prices are publicly observed and each firm receives a privately observed cost shock in each period although cost shocks are independent across firms within a firm costs follow a first order markov process we analyze the set of collusive equilibria available to firms emphasizing the best collusive scheme for the firms at the start of the game in general there is a trade off between productive efficiency whereby the low cost firm serves the market in a given period and high prices we show that when costs are perfectly correlated over time within a firm if the distribution of costs is log concave and firms are sufficiently patient then the optimal collusive scheme entails price rigidity firms set the same price and share the market equally regardless of their respective costs when serial correlation of costs is imperfect partial productive efficiency is optimal for the case of two cost types first best collusion is possible if the firms are patient relative to the persistence of cost shocks but not otherwise we present numerical examples of first best collusive schemes

bidding behavior in asymmetric auctions an experimental study abstract we review an asymmetric auction experiment based on plum int j game theory 20 1992 393 private valuations of the two bidders are independently drawn from distinct but commonly known distributions one of which first order stochastically dominates the other we test the qualitative properties of that model of asymmetric auctions in particular whether the weak bidder behaves more aggressively than the strong and then test bidders preference for first vs second price auctions

first price auctions in the asymmetric n bidder case i consider the first price auction when the bidders valuations may be differently distributed i show that every bayesian equilibrium is an essentially pure equilibrium formed by bid functions whose inverses are solutions of a system of differential equations with boundary conditions i then prove the existence of an equilibrium i prove its uniqueness when the valuation distributions have a mass point at the lower extremity of the support i give sufficient conditions for uniqueness when every valuation distribution is one of two atomless distributions i establish inequalities between equilibrium strategies when relations of stochastic dominance exist between valuation distributions

when does it pay to delay supplier qualification theory and experiments we study a procurement setting in which the buyer seeks a low price but will not allocate the contract to a supplier who has not passed qualification screening qualification screening is costly for the buyer involving product tests site visits and interviews in addition to a qualified incumbent supplier the buyer has an entrant of unknown qualification the buyer wishes to run a price only open descending reverse auction between the incumbent and the entrant and faces a strategic choice about whether to perform qualification screening on the entrant before or after the auction we analytically study the buyer s optimal strategy accounting for the fact that under postauction qualification the incumbent knows he could lose the auction but still win the contract in our analysis we derive the incumbent s optimal bidding strategy under postauction qualification and find that he follows a threshold structure in which high cost incumbents hold back on bidding or even boycott the auction to preserve their profit margin and only lower cost incumbents bid to win these results are strikingly different from the usual open descending auction analysis where all bidders are fully qualified and bidding to win is always a dominant strategy we test our analytical results in the laboratory with human subjects we find that qualitatively our theoretical predictions hold up quite well although incumbent suppliers bid somewhat more aggressively than the theory predicts making buyers more inclined to use postauction qualification this paper was accepted by martin lariviere operations management

contests with three or more heterogeneous agents abstract we study monotone equilibrium behavior in contests with observable effort bid where three or more participants have distinct risk attitudes and the monetary value for the prize of each is drawn independently from a distinct distribution these differences can either cause a player to drop out that is always choose zero effort regardless of his valuation or use all or nothing strategies with discontinuous effort choice neither complete drop out nor discontinuous bidding with finitely many gaps is consistent with pure strategy monotone bayesian nash equilibrium in a contest with either ex ante identical players or only two distinct participants

the consequences of interregional labor migration for the regional labor market theory methodology and dutch experience an important problem of interregional migration is whether migrants fulfill vacancies which could also have been filled by native unemployed it is argued that this problem could adequately be analyzed by means of ex post comparison of both categories with regard to age education family status and work experience in a dutch case study this comparison has been made by means of logistic regression and the results have been cross validated the migrants are found to have superior labor market characteristics the implications of this finding for some migra tion theories and regional policy are discussed