a study of productivity changes in food retailing based on a general production function this study estimates productivity gains and losses for the various outputs of food retailing over the period 1959 to 1979 because it allows for the incorporation of all factors of production rather than just labor the methodology employed in this study is superior to conventional methods of studying productivity change our estimates indicate that between 1959 1979 total factor productivity in food retailing rose at a slower rate than total factor productivity in manufacturing while total factor productivity in food retailing rose from 1959 until about 1972 it remained constant or declined between 1972 1979 we discuss the policy and managerial implications of our results and provide suggestions for further research

intraday technical trading in the foreign exchange market this paper examines the out of sample performance of intraday technical trading strategies selected using two methodologies a genetic program and an optimized linear forecasting model when realistic transaction costs and trading hours are taken into account we find no evidence of excess returns to the trading rules derived with either methodology thus our results are consistent with market efficiency we do however find that the trading rules discover some remarkably stable patterns in the data

official intervention in the foreign exchange market in an article in this journal dean taylor 1982 proposes a simple statistical test of the significance of central bank losses in the exchange market would random intervention be likely to result in as large a loss this comment shows that as it stands his test statistic does not allow properly for the effect of the mean level of intervention there is in fact an element of ambiguity in the question taylor poses and this is illustrated with examples taken from his empirical work the connection between the taylor test and regression analysis is noted and explored

multi factor performance measure model with an application to fortune 500 companies abstract the paper develops tools for reconciling diverse measures which characterize the financial performance of the fortune 500 companies the technology of data envelopment analysis dea is employed to determine a multi factor financial performance model which inherently recognizes tradeoffs among various financial measures this study offers an alternative perspective and characterization on the performance of the fortune 500 companies it is shown that the top ranked companies by revenue do not necessarily have top ranked performance viewed as being multidimensional only about 3 companies were operating on the best practice frontier substantial technical and scale inefficiencies are found decreasing returns to scale drs are uncovered among the relatively large revenue top ranked companies the study of congestion shows that a reduction in current levels of employees assets and equity may actually increase revenue and profit levels factor specific measures within the framework of multidimensional measure are developed to further study the performance of companies and industries the performance of best practice frontier companies is analyzed by constructing reference share measures which indicate the role each frontier company plays in evaluating non frontier companies finally the reliability of the best practice frontier is examined

the accuracy of reports of foreign exchange intervention abstract this paper considers both qualitative and quantitative evidence on the accuracy of press reports of foreign exchange intervention by the federal reserve between january 1985 and december 1989 the evidence shows that the likelihood of intervention being reported given that it actually occurred was 72 per cent and that the likelihood of intervention actually occurring given that it was reported was 88 per cent interventions which were reported were larger on average than those which were not reported and this difference is statistically significant multinomial logit analysis also demonstrates that the likelihood of intervention being reported increased with the size of the intervention jel f31

goal programming data envelopment analysis godea for target based multi level planning allocating central grants to the greek local authorities abstract in this paper we develop an interface between goal programming and data envelopment analysis godea in order to integrate target setting and resource allocation in multi level planning problems data envelopment analysis dea has been traditionally used for assessing the performance of individual decision making units and therefore necessary extensions are needed to apply dea principles to the global organisational level without however losing its attractive features the method was originally developed as an aid to the reorganisation of the allocation of central funds to local authorities in greece

tests of the foreign exchange risk premium using the expected second moments implied by option pricing abstract this paper utilizes the second moment expectations implied by currency option pricing to demonstrate that these expectations are systematically related to expected return differentials across assets denominated in different currencies because the measured deviations from uncovered interest rate parity are tied to variables which theory links to the risk premium the results provide substantial evidence that a risk premium does indeed exist as opposed to the alternative of a violation of rational expectations however like previous attempts the data do not support an explicit mean variance formulation of the risk premium

analysis of threshold cointegration with asymmetric adjustments in the hong kong grocery industry abstracthigh market concentration in the hong kong grocery industry has been prevalent over many years with the domination of a few large supermarket chains however no research has been conducted on the price dynamics between the supermarket and non supermarket sectors to investigate whether the non supermarket sector can impose competitive discipline on the dominating supermarket chains we argue that standard cointegration tests cannot allow for transaction costs and distinguish whether the price co movement is attributable to price competition or collusion our study therefore fills this research gap by adopting the threshold cointegration tests in a three regime threshold vector error correction model to account for the asymmetric price adjustment dynamics between supermarket and non supermarket sectors of hong kong and evaluate the market power of the supermarket sectors in the presence of transaction costs our results favour the presence of cointegration between the supermarket and non supermarke

some models for estimating technical and scale inefficiencies in data envelopment analysis in management contexts mathematical programming is usually used to evaluate a collection of possible alternative courses of action en route to selecting one which is best in this capacity mathematical programming serves as a planning aid to management data envelopment analysis reverses this role and employs mathematical programming to obtain ex post facto evaluations of the relative efficiency of management accomplishments however they may have been planned or executed mathematical programming is thereby extended for use as a tool for control and evaluation of past accomplishments as well as a tool to aid in planning future activities the ccr ratio form introduced by charnes cooper and rhodes as part of their data envelopment analysis approach comprehends both technical and scale inefficiencies via the optimal value of the ratio form as obtained directly from the data without requiring a priori specification of weights and or explicit delineation of assumed functional forms of relations between inputs and outputs a separation into technical and scale efficiencies is accomplished by the methods developed in this paper without altering the latter conditions for use of dea directly on observational data technical inefficiencies are identified with failures to achieve best possible output levels and or usage of excessive amounts of inputs methods for identifying and correcting the magnitudes of these inefficiencies as supplied in prior work are illustrated in the present paper a new separate variable is introduced which makes it possible to determine whether operations were conducted in regions of increasing constant or decreasing returns to scale in multiple input and multiple output situations the results are discussed and related not only to classical single output economics but also to more modern versions of economics which are identified with contestable market theories

technical trading rules in the european monetary system abstract using genetic programming we find trading rules that generate significant excess returns for three of four ems exchange rates over the out of sample period 1986 1996 permitting the rules to use information about the interest rate differential proved to be important the reduction in volatility resulting from the imposition of a narrower band may reduce trading rule profitability our results cannot be duplicated by commonly used moving average rules filter rules or by two rules designed to exploit known features of target zone rates there is no evidence that the excess returns are compensation for bearing systematic risk

efficient selection of insured currency positions protective puts vs fiduciary calls we examine the empirical results from implementation of portfolio insurance strategies employing currency spot and futures options hypotheses are generated from ogden and tucker s 1988 generalizations concerning the relative values of american spot currency options and currency futures options we find that protective puts using futures options are generally dominated by both protective puts that use options on spot currencies and by fiduciary calls on futures contracts this suggests that the prices of puts on foreign currency futures contracts are too high relative to foreign currency futures calls and to puts on spot currencies

official intervention in the foreign exchange market or bet against the central bank evaluating official foreign exchange intervention during the 1970s using friedman s profit criterion shows that central banks have failed to stabilize the exchange markets and have lost billions of dollars the monetary authorities have resisted rate movements which results in a misallocation of resources when there is a shift in the equilibrium exchange rate counterspeculation by exchange traders reduces the destabilizing effect of central bank intervention and the consequent loss in economic welfare

hedging index exchange traded funds this paper presents an empirical comparison of the out of sample hedging performance from naive and minimum variance hedge ratios for the four largest us index exchange traded funds etfs efficient hedging is important to offset long and short positions on market maker s accounts particularly imbalances in net creation or redemption demands around the time of dividend payments our evaluation of out of sample hedging performance includes aversion to negative skewness and excess kurtosis the results should be of interest to hedge funds employing tax arbitrage or leveraged long short equity strategies as well as to etf market makers

normal costs and demand effects in price setting a study of retailing the study aims at contributing to the debate whether there are demand effects in models that seek to explain prices as mark ups on costs for costs it considers actual costs normal costs and an intermediate model with a partial adjustment to the deviation of actual from normal costs for demand effects it considers an effect on the price level of a change of demand with an allowance for asymmetry between demand growth and demand decline tests and estimates are conducted on the basis of data from retailing

u s intervention assessing the probability of success this paper estimates the unconditional and conditional probabilities that u s interventions successfully smooth short term mark dollar and yen dollar exchange rates the sample period extends from february 1987 to february 1990 assuming a binomial distribution the number of observed successes usually is greater than one would expect to see randomly results from a logit model suggest that coordinated intervention has a higher probability of success than unilateral intervention the probability of success also increases with the dollar amount of an intervention other conditioning variables are not significant the paper presents a reaction function with adjustments for the incidentally truncated nature of intervention data predicted values serve as instruments for intervention in the logit models

do momentum based strategies still work in foreign currency markets this paper examines the performance of momentum trading strategies in foreign exchange markets we find the well documented profitability of momentum strategies during the 1970s and the 1980s has continued throughout the 1990s our approach and findings are insensitive to the specification of the trading rule and the base currency for analysis finally we show that the performance is not due to a time varying risk premium but rather depends on the underlying autocorrelation structure of the currency returns in sum the results lend further support to prior momentum studies on equities the profitability to momentum based strategies holds for currencies as well

the temporal pattern of trading rule returns and exchange rate intervention intervention does not generate technical trading profits abstract this paper characterizes the temporal pattern of trading rule returns and official intervention for australian german swiss and u s data to investigate whether intervention generates technical trading rule profits the data reject the hypothesis that intervention generates inefficiencies from which technical rules profit in particular high frequency data show that abnormally high trading rule returns precede german swiss and u s intervention australian intervention precedes high trading rule returns but trading intervention patterns make it implausible that intervention actually generates those returns rather intervention responds to exchange rate trends from which trading rules have recently profited

measuring and forecasting regional environmental and economic efficiency in italy abstractenvironmental and economic efficiency has being receiving growing attention among researchers in general terms this concept is related to the capability of the economic systems to employ natural resources efficiently so as to increase economic and human wealth this clearly implies that both the economic and ecological aspects of decisions ought to be considered bearing this in mind this article considers economic and ecological performance together by applying data envelopment analysis and the malmquist productivity index to investigate the efficiency of the 20 italian regions from 2004 to 2011 the results reveal that the northern regions have been more efficient than the southern ones highlighting the strong geographical differences between the two furthermore this article uses the grey system theory to forecast regional economic and environmental efficiency the results of the forecasting analysis show that the north south duality remains strong and will possibly increase since the r

technological advances transaction costs and consumer welfare consumers incur many transaction costs in purchasing and using most products this paper examines the effects of a reduction in such consumer transaction costs caused by market level technological advances using a model in which consumers are simultaneously heterogeneous in their transaction costs and in their marginal valuations of product quality this paper highlights two mechanisms that can cause such reductions in consumer transaction costs to lower consumer surplus and reduce consumer share of the total social surplus specifically market level technological advances reduce different consumers transaction costs by different amounts and increase their reservation prices by different amounts which can lead to i product design changes that many current consumers do not like and ii homogenization in consumer reservation prices that allows a seller to extract more surplus through its pricing policy this paper also shows that consumers may be better off with seller induced higher consumer transaction costs finally the paper shows how depending on the nature of the quality production process such reductions in consumer transaction costs can either lower or raise product qualities and consumer prices

the significance of technical trading rule profits in the foreign exchange market a bootstrap approach abstract in this paper we present new evidence on the profitability and statistical significance of technical trading rules in the foreign exchange market we utilize a new data base currency futures contracts for the period 1976 1990 and we implement a new testing procedure based on bootstrap methodology our results suggest that simple technical trading rules have very often led to profits that are highly unusual splitting the entire sample period into three 5 year periods reveals that on average the profitability of some trading rules declined in the latest period although profits remained positive on average and significant in many cases jel f31 f47 g15

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

using genetic algorithms to find technical trading rules1 abstract we use a genetic algorithm to learn technical trading rules for the s p 500 index using daily prices from 1928 to 1995 after transaction costs the rules do not earn consistent excess returns over a simple buy and hold strategy in the out of sample test periods the rules are able to identify periods to be in the index when daily returns are positive and volatility is low and out when the reverse is true these latter results can largely be explained by low order serial correlation in stock index returns

trends in relationship lending and factors affecting relationship lending efficiency abstract this paper investigates the efficiency of relationship managers at the canadian imperial bank of commerce cibc one of canada s largest banks data envelopment analysis dea efficiency scores are analyzed using regression the results demonstrate that managers are less efficient when facing larger numbers of loans or smaller loans m berlin and l j mester on the profitability and cost of relationship lending working paper no 97 43 the wharton school university of pennsylvania 1997 show that credit smoothing is generally suboptimal a more complete explanation is obtained by taking a micro level focus other results indicate that banks may improve profitability by reserving relationship lending for loans of larger size tests of relationships between efficiency and nonperforming loans and of the skimping hypothesis are conducted

efficient exchange rate forecasts lagged models better than the random walk abstract the evidence of meese amd rogoff 1983 on the out of sample forecasting performance of structural exchange rate models in comparison to the random walk model portrays a disappointing picture of structural models this paper re considers the issue for the german mark for an updated period to include a larger set of structural models and lagged adjustment besides out of sample evidence in sample evidence is also examined we conclude that while some stuctural models dominate the random walk a lagged adjustment consideration can contribute towards better performance

the profitability of us intervention in the foreign exchange markets abstract using a formula for intervention profits in which profitability measured as of date t depends on how well intervention operations predict ex post deviations from interest parity this paper shows that us intervention since the beginning of generalized floating in 1973 has earned profits for the us monetary authorities fundamental explanations for the profitability of us intervention are difficult to isolate but statistical tests suggest that it is unlikely the profits are merely the outcome of chance or a normal return to bearing time invariant risk

on the optimal product assortment comparing product customer based strategies this paper deals with the following general question which products should be in our product assortment portfolio if part or all of the potential customers only order if we can deliver on time the desired quantities for all or a predefined subset of the products that the customers desire one stop shopping concept in this context two strategies are compared a product based assortment in which products are included based on their expected individual contribution to the total net profit and a customer based assortment in which customers are included based on their expected contribution to the total net profit mathematical models are presented to calculate the net profit for each of the above two strategies for a manufacturer confronted with limited production capacity setup times setup cost and holding cost the results of a case study from practice show that an assortment made up of products selected based on their individual contribution may lead to a much lower expected total net profit than a customer based assortment suggestions for further research are given

firm credit in the euro area a tale of three crises using survey data from 2009 to 2011 we analyse the effects of the recent euro area economic financial and private debt crisis on the supply of and demand for bank finance for small and medium enterprises smes at the country level we identify three distinct aspects of the recent crisis in the euro area affecting firm credit through different channels controlling for country fixed effects the impact of a weak real economy on firm credit operates both by reducing firms demand for bank financing and by lenders increasing loan rejections and tightening terms and conditions on credit allocated on the other hand financial conditions have no significant effect on demand but they do affect credit supply as we find that financial tensions worsen the chances of obtaining credit and its terms and conditions we interpret this as evidence of a bank balance sheet channel negatively impacting credit provision we find that private sector indebtedness has important effects on smes credit access and its terms

testing for market timing ability abstract in this paper we examine the henriksson merton test of market timing and its potential usefulness in evaluating investment advice the paper proposes a natural extension of the test that is valid under more general assumptions about the distribution of asset returns we show that the henriksson merton test and its more general counterpart are special cases of standard tests of market rationality and efficiency both tests are applied to a group of foreign exchange advisory services

beating the foreign exchange market filter rule profits found in foreign exchange markets in the early days of the current managed float persist in later periods as shown by statistical tests developed and implemented here the test is consistent with but independent of a wide variety of asset pricing models the profits found cannot be explained by risk if risk premia are constant over time inclusion of the home foreign interest rate differential in computing profits has little effect on the comparison of filter returns to those of buy and hold in the early years of the generalized managed floating that began in march 1973 filter rule profits in excess of buy and hold were found for many countries logue sweeney and willett 18 dooley and shafer 6 cornell and dietrich 5 it was unclear however whether such profits indicated inefficiencies first it was not clear that risk was adequately handled in such tests and often risk was ignored second there was no evidence such profits would be available postsample and third there was no statistical test of the significance of these profits this paper uses the logic of risk return tradeoffs to analyze the role of risk in such tests and illustrates the logic in a discussion using the sharpe lintner capital asset pricing model capm although a breeden consumption based capm a merton intertemporal capm or an arbitrage pricing model apm could easily be used the paper develops a test of statistical significance appropriate to foreign exchange markets section i analyzing the rate of return on foreign exchange speculation less the foreign domestic interest rate differential the test explicitly assumes that risk premia are constant over the sample the excess rates of return observable in using filters in going from a risk free dollar asset to a risk free deutsche mark dm asset persist into the 1980 s section ii and this is true even when taking account of transactions costs it turns out that these results for the dm case do not depend very much on the interestrate differential but primarily on exchange rate behavior this is useful to know because it is often quite difficult to find matching interest rate data of high quality for a sample of nine other currencies using only exchange rates section iii shows that the excess returns made in the first 610 days of the float persist in the next 1 220 days into the 1980 s dooley and shafer 7 find similar persistence in experiments that do not use buy and hold and have no significance tests when filter rule profits have been found in spot exchange markets it has often been argued that the profits are due to risk this paper uses the capm to analyze rates of return both to buy and hold and to filter strategies it turns out that the claremont mckenna college and claremont graduate school arthur d warga douglas joines and thomas d willett offered helpful comments and ning ning koo provided research assistance

coordination economies advertising and search behavior in retail markets we introduce a model of the retail firm in which consumers and active firms benefit collectively from coordination of sales at fewer firms using this model we show that ostensibly uninformative advertising plays a key role in bringing about coordination economies by directing consumer search toward firms that offer the best deals optimal consumer search takes the form of a simple rule of thumb that uses observed advertising information to guide search both industry concentration and social surplus are higher in the presence of advertising relative to a no advertising benchmark jel d83 l15 many observed advertisements seem to be at odds with rational behavior in a variety of ads mostly on tv and radio multiproduct sellers provide little hard information choosing instead to impart only vague slogans that are suggestive of good deals examples are plentiful a hardware store

the advantage to hiding one s hand speculation and central bank intervention in the foreign exchange market abstract we analyze an asymmetric information model of sterilized intervention in the foreign exchange market we characterize an equilibrium in which a central bank with inside information about its exchange rate target trades with risk averse speculators who have private information about future spot rates the model identifies circumstances in which perverse responses to intervention will be observed i e the domestic currency depreciates when the central bank purchases it and it provides conditions under which the exchange rate will be highly sensitive to intervention the model also provides an explanation for two forms of policy secrecy i secrecy about the scale of an intervention operation is always desirable ii secrecy about the target is sometimes desirable

combining mean reversion and momentum trading strategies in foreign exchange markets abstract the literature on equity markets documents the existence of mean reversion and momentum phenomena researchers in foreign exchange markets find that foreign exchange rates also display behaviors akin to momentum and mean reversion this paper implements a trading strategy combining mean reversion and momentum in foreign exchange markets the strategy was originally designed for equity markets but it also generates abnormal returns when applied to uncovered interest parity deviations for five countries i find that the pattern for the positions thus created in the foreign exchange markets is qualitatively similar to that found in the equity markets quantitatively this strategy performs better in foreign exchange markets than in equity markets also it outperforms traditional foreign exchange trading strategies such as carry trades and moving average rules

financial and legal constraints to growth does firm size matter using a unique firm level survey database covering 54 countries we investigate the effect of financial legal and corruption problems on firms growth rates whether these factors constrain growth depends on firm size it is consistently the smallest firms that are most constrained financial and institutional development weakens the constraining effects of financial legal and corruption obstacles and it is again the small firms that benefit the most there is only a weak relation between firms perception of the quality of the courts in their country and firm growth we also provide evidence that the corruption of bank officials constrains firm growth

consumer demand under price uncertainty empirical evidence from the market for cigarettes abstract we develop a demand model for goods that are subject to habit formation we show that consumption plans of forward looking individuals depend on preferences current period prices and ind

economic efficiency of greek retail smes in a period of high fluctuations in economic activity a dea approach this study aims to analyse the economic efficiency of greek small and medium retail enterprises before and after the crisis that started in 2008 based on the accounting equation we use data envelopment analysis dea to estimate variable returns of scale efficiency scores and to conclude on specific characteristics that efficient companies have for example on capital structure our results from the dea application show a high degree of inefficiency we found that smes on the islands are more efficient than those on the mainland and that smes in the cities are the least efficient size seems to be important more so on the islands and on the mainland than in the cities we conclude that companies should act more conservatively in terms of operating cost when the first signs of a recession appear in addition during a recession period companies that have evidences that their operations will continue positively should strengthen their operations by raising more own capital finally our study clarifies

productivity and efficiency impacts of human resources practices in food retailing data from an annual survey of us supermarkets including detailed information on store characteristics operations and performance are used to develop an index of human resource hr practices for food retailers a stochastic frontier analysis demonstrates that hr policies have a positive impact on value added in food retailing establishments while efficiency is not adversely influenced by hr practices managerial implications of the model link technical inefficiency estimates for retailers to slight declines in store level gross margins evaluated on the basis of technical efficiency retailers choosing a portfolio of hr practices that score high on the hr index are able to match the performance of competitors pursuing an alternative low hr strategy

can markov switching models predict excess foreign exchange returns abstract this paper merges the literature on technical trading rules with the literature on markov switching to develop economically useful trading rules the markov models out of sample excess returns modestly exceed those of standard technical rules and are profitable over the most recent subsample a portfolio of markov and standard technical rules outperforms either set individually on a risk adjusted basis the markov rules high excess returns contrast with mixed performance on statistical tests of forecast accuracy there is no clear source for the trends but permitting the mean to depend on higher moments of the exchange rate distribution modestly increases returns

trading rule profits in european currency spot cross rates abstract the moving average ma trading rule is applied to six european spot cross rates jy bp dm bp jy dm sf dm sf bp and jy sf to see if opportunities for profitable trading exist the results suggest that ma trading rules are marginally profitable only for the jy dm and the jy sf cross rates while trading rules are not profitable for the other four cross rates bootstrapping and out of sample tests provide similar results examination of subsamples characterized by central bank intervention do not produce different results computation of box pierce statistics adjusted for heteroscedasticity show that daily returns for all six cross rates are serially uncorrelated overall the results suggests that cross rates are sufficiently transparent to eliminate ma trading rule profit

hedging performance and basis risk in stock index futures in early 1982 trading began at three different exchanges in futures contracts based on stock indexes stock index futures were an immediate success and quickly led to a proliferation of new futures and options markets tied to various indexes one reason for this success was that index futures greatly extended the range of investment and risk management strategies available to investors by offering them for the first time the possibility of unbundling the market and nonmarket components of risk and return in their portfolios many portfolio management and other hedging applications in investment banking and security trading have been described elsewhere1 ranging from use by a passive fund manager to reduce risk over a long time horizon to use by an underwriter to hedge the market risk exposure in a stock offering for one or two days in considering the potential applications of index futures it is clear that in nearly every case a cross hedge is involved that is the stock position that is being hedged is different from the underlying portfolio for the index contract 2 this means that return and risk for an index futures hedge will depend upon the behavior of the basis i e the difference between the futures price and the cash price hedging a position in stock will necessarily expose it to some measure of basis risk risk that the change in the futures price over time will not track exactly the value of the cash position basis risk can arise from a number of different sources and is a more significant problem for stock index contracts than for other financial futures like treasury bills and bonds 3 the most apparent cause of basis risk is the nonmarket component of return on the cash stock position since the index contract is tied to the behavior of an underlying stock market index nonmarket risk cannot be hedged this is the essential problem of a cross hedge however basis risk can be present even when the hedge involves a position in the index portfolio itself and there is no nonmarket risk for one thing returns to the index portfolio include dividends while the index and the index future only track the capital value of the portfolio any risk associated with dividends on the portfolio will become basis risk in a hedged position still dividends are fairly low and also quite stable so this may not be a terribly important shortcoming

price search in a product market regressions using panel data on grocery purchases show lower purchase costs are significantly associated with a larger number of stores visited per week there is also evidence but somewhat weaker of diminishing gains from such search an economic model of the determinants of search suggests that prices paid quantities purchased and number of store visits are interrelated a view supported by results of estimating a proposed simultaneous equations model

productivity growth in the grocery trade this paper presents a model of the growth of the average efficiency of labour per type of shop as a function of the wage rate use of part time labour labour supply and demand and economies of scale shop size the model is estimated on the basis of data for the grocery trade prior to 1975 this yields a forecast beyond 1975 which is compared with more recent observations are estimate of the model on the basis of data for the grocery trade in the period 1975 78 is found to be in agreement with the original estimate some implications of the model are indicated

the cost of a central bank leaning against a random walk abstract using a stochastic model we show that a central bank is expected to suffer a loss when it temporarily affects the exchange rate by sterilized intervention against a random walk we also demonstrate that the methodology used in several studies of the profitability of official central bank intervention biases their results towards finding positive profits this bias created by only observing periods where cumulative intervention sums to zero accounts for the seemingly contradictory empirical results of several intervention profitability studies

central bank forex internvention assessed in continous time abstract this paper looks at some of the principal characteristics of foreign exchange intervention by central banks the approach is novel in that virtually continous time data have been exploited using reuters screen information jel f31

central bank intervention and trading rule profits in foreign exchange markets abstract moving average trading rules are utilized in both futures and spot foreign currency markets to show that significant positive profits can be earned in four of five currencies examined the results are consistent for both in sample and forward simulation tests regression results demonstrate that central bank intervention is strongly associated with the profitability of trading returns for the three major currencies dm yen and pound and partially explains returns for the sf and cd consistent with conjectures in previous studies that news concerning intervention tends to be revealed over weekends we find that moving average trading rule returns are significantly positive on fridays and mondays and not significantly different from zero in the middle of the week

achieving demand side synergy from strategic diversification how combining mundane assets can leverage consumer utilities we explore the overlooked issue of how certain strategic level interindustry diversification options might increase consumer utility discussions of inter industry diversification typically focus on producer synergies obtainable from economies of scope or from skill transfer across business units discussions of intra industry product diversification generally the province of marketing typically focus on synergies obtainable from product bundling which lowers producer costs or provides convenience for consumers we take a different tack by linking interindustry diversification and consumer utility we first separately examine two possible consumer benefits of interindustry diversification 1 facilitating consumers accomplishment of two tasks simultaneously or 2 attracting diverse consumer groups to a common platform when intergroup externalities exist we then assess a simple empirical context that shows potential for simultaneous consumer utilities and two sided market utility together we analyze this context and concurrently develop a mathematical model showing how these demand side synergies can create unique business value we next introduce asymmetric preferences among consumer subgroups and we refine our arguments by comparing their conclusions with the empirical data we learn that combinations of otherwise mundane i e commonplace assets can create consumer value superior assets are not necessary moreover common ownership is necessary for the pricing flexibility required to deliver and capture maximum value through interindustry diversification especially when consumer groups preferences may change the negotiations and settling up required for cooperation through alliances will without common ownership increase costs and reduce responsiveness we discuss the sustainability of demand side advantages and the implications of these ideas for future research and practice

technical analysis and central bank intervention abstract this paper extends genetic programming techniques to show that us foreign exchange intervention information improves technical trading rules profitability for two of four exchange rates over part of the out of sample period rules trade contrary to intervention and are unusually profitable on days prior to intervention indicating that intervention is intended to halt predictable trends intervention seems to be more successful in checking such trends in the out of sample 1981 98 period than in the in sample 1975 80 period any improvement in performance results from more precise estimation of the relationship between current and past exchange rates rather than from information about contemporaneous intervention

a model of retail formats based on consumers economizing on shopping time retailers in developed countries increasingly provide one stop shopping why are they responding to growing demand for time saving convenience or are they responding to economies of scale made possible by new retail technology and what role if any is played by improvements in automotive refrigeration and other consumer technology to examine these questions we develop a model that can help explain the growth of one stop shopping estimate the model with aggregate grocery retail data and compare the implications of our model with competing explanations our model includes several desirable features 1 the extent of one shop shopping is endogenously determined 2 consumer store choice is determined in an explicit household production utility maximizing context this choice is based on a tradeoff between time saving shopping convenience and price 3 the model is readily amenable to empirical testing the key endogenous parameter of our model describes the number of categories carried by a store in the context of grocery retailing this parameter can distinguish between a single category specialty store a simple grocer a supermarket and a large superstore this parameter is determined by the interplay of consumers economizing on shopping time and retail competition in the presence of technological constraints which relate operating cost with assortment size our approach may also be viewed as an example of how the boundary between retail service production and household service production can be modeled as a market outcome in the spirit of betancourt and gautchi betancourt roger david gautschi 1990 demand complementarities household production and retail assortments marketing sci 92 spring 146 161 and wernerfelt wernerfelt birger 1994 an efficiency criterion for marketing design j marketing res 31november 462 470 the nature of extant retail formats and other channel related institutions circumscribes the boundary between retailers and households with the notable early exception of baumol and ide baumol william j edward a ide 1956 variety in retailing management sci 31 october 93 101 few explicit models describe retail format determination as an equilibrating market mechanism our model describes the determination of one aspect of retail formats namely the extent of one stop shopping our hope is that similar approaches can be used to describe other aspects and types of emergent retail formats we estimate our model using u s aggregate annual data for a 26 year period and later corroborate parts of the analysis using cross sectional data for the 48 contiguous states of the u s the equilibrium conditions of our model translate into a system of two equations with two endogenous variables estimates of the reduced form parameters provide our central empirical finding that per capita disposable income has had a significant positive effect on both supermarket assortment as expected from our model and store operating costs perhaps somewhat less expected this suggests that greater prevalence of one stop shopping has been a response to growing demand for time saving convenience the estimates of the underlying structural parameters also provide a measure of the imputed net savings to consumers from supermarket shopping taking into account reductions in shopping time made possible by supermarkets savings equivalent to approximately 2 2 of expenditures on grocery products over the 1961 1986 period we lastly consider competing hypotheses while a number of explanations can account for increased store assortment these explanations have divergent implications for retail margins operating costs and profits these implications suggest that retail scale economies were not the drivers of one stop shopping in the years of our data nor was the impetus to increase store size primarily a desire to bring in new higher margin items however we acknowledge that transportation and inventory holding technologies are prerequisites to one stop shopping and that improvements in these technologies were particularly important in the early growth period of supermarkets

reducing volatility with financial futures hedging with financial and currency futures contracts can substantially reduce fluctuations in the value of foreign currency corporate bond gnma security and equity positions the authors tested hedges involving a spot position in corporate bonds and a position in gnma or u s treasury bond futures a futures and a spot position in gnmas a futures and a spot position in each of five broadly traded foreign currencies and a futures aznd a spot position in the value line index the s p 500 and the nyse composite in all cases hedged positions proved significantly less risky in terms of standard deviation than unhedged positions use of the interest rate futures to hedge long term bond positions resulted in 50 per cent reductions in the variability of spot price changes hedging reduced the risk of all but one of the foreign currencies and all of the stock market indexes by over 40 per cent

a new theory of retailing costs in cross section studies of shops of the same type we find that costs in general and labour in particular depend on the sales size per shop according to a linear function with a positive intercept this paper provides some empirical evidence and a theoretical explanation based on queuing theory

is technical analysis in the foreign exchange market profitable a genetic programming approach using genetic programming techniques to find technical trading rules we find strong evidence of economically significant out of sample excess returns to those rules for each of six exchange rates over the period 1981 1995 further when the dollar deutsche mark rules are allowed to determine trades in the other markets there is significant improvement in performance in all cases except for the deutsche mark yen betas calculated for the returns according to various benchmark portfolios provide no evidence that the returns to these rules are compensation for bearing systematic risk bootstrapping results on the dollar deutsche mark indicate that the trading rules detect patterns in the data that are not captured by standard statistical models

volatility in the foreign currency futures market we examine the volatility implications of around the clock foreign exchange trading with transaction data on futures contracts from the chicago mercantile exchange and the london international financial futures exchange we find higher u s european and u s japanese exchange rate volatilities during u s trading hours and higher european cross rate volatilities during european trading hours while the diclosure of private information through trading may partly explain these volatility patterns we conclude that the increased volatility is more likely driven by macroeconomic news announcements an analysis of inter and intraday data also reveals that volatility increases at times that coincide with the release of u s macroeconomic news article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

temporal patterns in foreign exchange returns and options although the foreign exchange market is believed to be one of the most efficient financial markets in the world there is significant evidence that technical analysis is profitable in this market in this study we investigate the ability of information from the options market to supplement the commonly used information on past prices to predict temporal patterns in foreign exchange returns we find that information from the options market improves the performance of technical trading strategies strategies using information from at the money options were more consistently profitable than the most commonly used strategies based on only historical spot exchange rates past prices our results hold out of sample as well as in the late nineties a period when few sources of information have proven reliable consequently options appear to contain valuable information regarding future spot exchange rate movements

excess returns and official intervention canada 1952 1960 research shows that filter rules in foreign exchange markets yield higher than normal profits other work indicates that central banks lean against the wind in those markets and some claim that this intervention generates profits for private speculators this study which uses daily data for exchange rates and official re serves indicates that excess profits from filter rules between the u s and canadian dollar during the 1950s are the result of intervention by the bank of canada

the value of time spent in price comparison shopping survey and experimental evidence the value that consumers place on time spent in price comparison shopping is central to the economics of information theory and models of consumers search behavior yet few empirical studies have examined consumers subjective value of time building on gary becker s work this article presents two tests of a model of the subjective value of time in an effort to explain consumers subjective value of time while they are price comparison shopping the model introduces perceived enjoyment of shopping as a new explanatory variable the findings reveal that respondents incorporate both wage rates and perceived enjoyment of price comparison shopping into their subjective value of time

market microstructure effects of government intervention in the foreign exchange market as asymmetric information model of the bid ask spread is developed for a foreign exchange market subject to occasional government interventions traditional tests of the unbiasedness of the forward rate as a predictor of the future spot rate are shown to be inconsistent when the rates are measured as the average of their respective bid and ask quotes larger bid ask spreads on fridays are documented reliable evidence of asymmetric bid ask spreads for all days of the week albeit more pronounced on fridays are presented the null hypothesis that the forward rate is an unbiased predictor of the future spot rate continues to be rejected the regression slope coefficients increase toward unity however indicating a less variable risk premium