bluuebunny/crossref_metadata_2025_split huggingface dataset:
Economic viability of the traditional farming system in the Ghouta, Oasis of Damascus, Syria
Authors: Alhamidi Sameer K. , Håkansson Bengt , Gustafsson Mats 
Published: December 2003

AbstractThe traditional farming system (TFS) in the Ghouta has been an integral pan of the social life and has contributed to the food supply of Damascus for millennia. Very little is known about this traditional and sustainable system, considered by many as a hindrance to development. This study is an attempt to analyze the economic perfonnance of this system. The objective is to evaluate the economic performance of the TFS and its impact on system viability. Three farms, representing the three different agricultural strategies in this area, were selected for data-collection. Participant observation was used to derive estimates of labor, costs and revenues, which are not recorded by farmers. These three farms formed a base for continuous contact with other farmers in the Ghouta. The average values, after cross-checking with these estimates and other farmers, were used in the economic analysis at three levels: production, family and market level. The production system of the Ghouta is adaptable to economic forces of a major city as the high level of market orientation of the TFS stimulates diversity of farms. It is concluded that the diversified farms managed by farmers in this area provide a satisfactory income, which is in harmony both with the social values and with preserving the system, the overall objective of the farmers.
Consumers' preferences for locally produced food: A study in southeast Missouri
Authors: Brown Cheryl 
Published: December 2003

AbstractA mail survey was used to gather information from the main food buyer in random households in southeast Missouri to analyze consumer preferences for locally grown food. A majority of shoppers in the region were not aware of the state's AgriMissouri promotion program. Consumers defined locally grown not as a statewide concept but as a narrower regional concept that could cross state boundaries. Most important when purchasing produce were quality and freshness, and most consumers perceived local produce at farmers' markets to be of higher quality and lower price. Farm households were not significantly different from other households in the region and did not show a preference or willingness to pay a price premium for local food products. Food buyers who were members of an environmental group had higher education and income and were more likely to purchase organic food and more willing to pay a higher price for local produce. Households in which someone was raised on a farm, or had parents who were raised on a farm, had a preference for locally grown food and were willing to pay a price premium for it. Marketing local products should stress quality, freshness, and price competitiveness, and appeal to environmentalists and those with a favorable attitude towards family farms.
Individual Decision Making and Investor Welfare
Authors: Brennan Michael J. , Torous Walter N. 
Published: December 2003

This article analyses and quantifies the costs of suboptimal decision making for an investor with a multi‐period horizon. In light of the empirical evidence that investors are too conservative and hold portfolios that are insufficiently diversified, we evaluate the costs of suboptimal equity participation both analytically and using simulation, and also estimate the costs of suboptimal diversification using simulation. We find that suboptimal leverage imposes only modest costs on the investor for reasonable parameter values. While the costs of inadequate diversification can be very high, we find that, because of the higher returns on small firms, an equally weighted portfolio of as few as five randomly chosen firms can provide the same level of expected utility as the value weighted market portfolio.(J.E.L.: G11, G18, G23).
A Base Model for Multifactor Specifications of the Term Structure
Authors: Berardi Andrea , Esposito Marcello 
Published: December 2003

In this article, we aim to show that most of the recent multifactor specifications of the term structure can be traced back to a common general equilibrium model, based on an economy of the Cox, Ingersoll and Ross type. This base model of the term structure has a very general form and includes both square root and Gaussian dynamics of the underlying state variables. We establish a direct link among the state variables used in the different specifications of many multifactor models and analyse the structure of the resultant implied relationships. This technique has relevant implications from a practical point of view, as it can allow one to recover from the estimated coefficients of one model the implied value of the coefficients of other models. Moreover, it provides a way of recovering from the term structure the values of such unobservable variables as the real short rate and the expected inflation rate.(J.E.L.: E43, G12).
The Pricing of Italian Equity Returns
Authors: Aleati Annalisa , Gottardo Pietro , Murgia Maurizio 
Published: December 2003

In this paper, we investigate the relationship between common risk factors and average returns for Italian stocks. Our research has identified the Italian stock market's economic variables by using the results from factor analyses and time series regressions.We study several multi‐factor models combining the relevant macroeconomic variables with the mimicking equity portfolios SMB (small minus big) and HML (high minus low) proposed by Fama and French (1993). The key question we want to ask ourselves, is whether the influential role of the size and book‐to‐market equity factors in explaining average stock returns can stand up well when competing with some macroeconomic factors. In other words, do stock returns carry some risk premium that is independent of either the market return or the economic forces that underlie the common variation in returns?Our empirical work estimates risk premiums using both traditional two‐pass procedures and one‐pass (full information) methodologies. We show that only the market index and variables linked to interest rate shifts are consistently priced in the Italian stock returns. The role of other factors, and in particular both the size and the price‐to book ratio, are crucially dependent on the estimation procedure.(J.E.L.: G11, G12).
Liquidity, Trading Size, and the Co‐existence of Dealership and Auction Markets
Authors: Bagliano F. C. , Brandolini Andrea , Dalmazzo Alberto 
Published: December 2003

This paper analyses the co‐existence of two markets for the same shares, a quote‐driven market and an order‐driven market, as observed for example for the trading of continental shares on the London SEAQ International. The focus is on the trade‐off between the uncertain execution price faced by investors on an auction market and the implicit transaction cost represented by the spread in a dealer market. We obtain that those investors who desire to make large trades will prefer to trade with the dealer, while trades of smaller size will be carried out on the auction market. Moreover, we explicitly investigate the interrelations between the two markets showing that the pricing policy followed by a dealer depends on the conditions prevailing on the auction market.(J.E.L: G10, D40)
The Italian Banking Structure in the 1990s: Testing the Multimarket Contact Hypothesis
Authors: De Bonis Riccardo , Ferrando Annalisa 
Published: December 2003

The multimarket contact hypothesis holds that more contacts between firms competing in the same markets may induce more collusion. This paper tests the hypothesis for the Italian banking market, analysing the behaviour of the largest Italian banks from 1990 to 1996. Market rivalry is gauged by changes in loan market shares and interest rates in each Italian province. We estimate the effects of increasing multimarket contacts, concentration indicators, banks' costs and loan demand on variations in market shares and interest rates. No support is found for the multimarket contact hypothesis. Geographical overlap in banking is positively correlated with changes in market shares, confirming the thesis of an overall increase in competition within the Italian banking system. Greater multimarket links also seem to correspond to lower lending rates.(J.E.L.:G21, C33, L40.)
Convergence within the EU: Evidence from Interest Rates
Authors: Corzo Santamaria Teresa , Schwartz E. S. 
Published: December 2003

The economic and political changes which are taking place in Europe affect interest rates. This paper develops a two‐factor model for the term structure of interest rates specially designed to apply to EMU countries. In addition to the participant country's short‐term interest rate, we include as a second factor a ‘European’ short‐term interest rate. We assume that the ‘European’ rate follows a mean reverting process. The domestic interest rate also follows a mean reverting process, but its convergence is to a stochastic mean which is identified with the ‘European’ rate. Closed‐form solutions for prices of zero coupon discount bonds and options on these bonds are provided. A special feature of the model is that both the domestic and the European interest rate risks are priced. We also discuss an empirical estimation focusing on the Spanish bond market. The ‘European’ rate is proxied by the ecu's interest rate. Through a comparison of the performance of our convergence model with a Vasicek model for the Spanish bond market, we show that our model provides a better fit both in‐sample and out‐of sample and that the difference in performance between the models is greater the longer the maturity of the bonds.(J.E.L.: E43, C510).
Financial and Thermodynamic Equilibrium
Authors: Roma Antonio 
Published: December 2003

This paper explores general equilibrium asset pricing implications in a two‐period model in which the production side explicitly describes the thermodynamic process unavoidably connected with production. We show that steady state of the production process, i.e. thermodynamic equilibrium, has a one‐to‐one correspondence with the absence of arbitrage possibilities. This provides an alternative definition of the absence of arbitrage.(J.E.L.: D5, G1, R3)
The Role of Political Instability in Stock Market Development and Economic Growth: The Case of Greece
Authors: Asteriou Dimitrios , Siriopoulos Costas 
Published: December 2003

This article examines empirically the relationship between stock market development, political instability and economic growth in Greece. We measure socio‐political instability by constructing an index which captures the occurrence of various phenomena of political violence using time‐series data. The main advantages of analysing political instability in a case study framework using time‐series, in contrast with the widely used cross‐country empirical studies, are: (a) a more careful and in‐depth examination of institutional and historical characteristics of a particular country; (b) the use of a data set comprised of the most appropriate and highest quality measures; and (c) a more detailed exposition of the dynamic evolution of the economy. The empirical results indicate the existence of a strong negative relationship between uncertain socio‐political conditions and the general index of the Athens Stock Exchange (ASE) and support the theoretical hypothesis that uncertain socio‐political conditions affect economic growth negatively, is true for the Greek case.(J.E.L.: G10, G14, O40, C32)
Knightian Uncertainty in Financial Markets: An Assessment
Authors: Basili Marcello 
Published: December 2003

If information is too vague and imprecise to be summarized by a unique additive probability measure, an agent faces Knightian uncertainty or ambiguity rather than risk. Under Knightian uncertainty, an agent's beliefs may be represented by a capacity or a set of additive probabilities. It is proved that an agent's attitude towards ambiguity has a crucial role in asset price determination and portfolio choice. Knightian uncertainty attitude provides an alternative explanation of financial market failures and enables puzzles to be solved, such as market breakdowns, price indeterminacy and volatility, bid and ask spreads, portfolio inertia, violation of call and put parity.(J.E.L.: D81, G11, G12).
Current Account and Exchange Rate Dynamics
Authors: Cavallari Lilia 
Published: December 2003

The theoretical part of this paper analyses the positive and normative effects of a surprise monetary expansion in a small open economy characterized by imperfect competition and short‐run price rigidity in the domestic sector. The temporary output boom fostered by the monetary expansion is shown to come at the cost of a permanent squeeze of the domestic sector. This affects welfare ambiguously, as the overall welfare consequences of the monetary expansion may eventually turn negative for a critical value of external assets. The empirical part of the paper provides evidence in favour of a key role of monetary shocks in driving current account fluctuations in seven major industrialized countries.(J.E.L.: E61, F41).
Rating Agency Actions and the Pricing of Debt and Equity of European Banks: What Can we Infer About Private Sector Monitoring of Bank Soundness?
Authors: Gropp Reint , Richards Anthony J. 
Published: December 2003

The recent consultative papers by the Basel Committee on Banking Supervision has raised the possibility of an explicit role for external rating agencies in the assessment of the credit risk of banks’ assets, including interbank claims. Any judgement on the merits of this proposal calls for an assessment of the information contained in credit ratings and its relationship to other publicly available information on the financial health of banks and borrowers. We assess this issue via an event study of rating change announcements by leading international rating agencies, focusing on rating changes for European banks for which data on bond and equity prices are available. We find little evidence of announcement effects on bond prices, which may reflect the lack of liquidity in bond markets in Europe during much of our sample period. For equity prices, we find strong effects of ratings changes, although some of our results may suffer from contamination by contemporaneous news events. We also test for pre‐announcement and post‐announcement effects, but find little evidence of either. Overall, our results suggest that ratings agencies may perform a useful role in summarizing and obtaining non‐public information on banks and that monitoring of banks’ risk through bond holders appears to be relatively limited in Europe. The relatively weak monitoring by bondholders casts some doubt on the effectiveness of a subordinated debt requirement as a supervisory tool in the European context, at least until bond markets are more developed.(J.E.L.: E53, G21, G33)
The Definition of the Grading Scales in Banks’ Internal Rating Systems
Authors: Foglia A. , Iannotti S. , Marullo Reedtz P. 
Published: December 2003

An internal risk rating system can be defined as the process used to classify bank borrowers into categories of different credit riskiness. Most of the related literature has investigated various aspects of this process, but the problem of defining the categories and the distribution of borrowers into the different classes or grades has received rather less attention, other than noting that the number of grades and their dispersion should achieve a meaningful differentiation of risk. An appropriate definition of the grading scale is of primary importance because the probability of default associated to each grade is the key inputs of capital allocation systems at many best‐practice banks and is the core of the January 2001’s new proposal of the Basel Committee for the calculation of capital requirements. Statistical techniques such as cluster analysis can help in identifying distinct subgroups of borrowers possessing the same creditworthiness. We use a logit model to estimate individual default probabilities for four categories of borrowers and apply cluster analysis to assign borrowers to each grade. However, since cluster analysis is not a purely mechanical process, but requires examination of the nature of observations and of the objective of clustering, the ultimate choice of the most appropriate grading scale for a given portfolio relies on empirical grounds. A sufficient granularity and an appropriate quantification of risk must be balanced.(J.E.L.: G21, G22, G33)
The Role of Hedge Funds in International Financial Markets
Authors: Lubochinsky Catherine , Fitzgerald M. D. , McGinty Lee 
Published: December 2003

This paper analyses the risk and return characteristics of a wide universe of hedge funds in the period 1990–2000. Most major categories of hedge funds are found to have outperformed (often by a considerable margin) the performance of traditional asset classes. The potential impact of hedge fund trading on market spreads and volatilities is examined especially in the period 1998, so as to provide some guidelines in terms of regulation of such funds. It is shown, however, that despite hedge fund difficulties in that period, the inclusion of hedge funds in investor portfolios definitely moves the efficiency frontier outwards, and allows significantly higher levels of returns for given levels of risk. This is primarily because of the low level of correlation of certain hedge fund styles, especially arbitrage strategies, with other hedge fund styles and with traditional assets.(J.E.L.: G10, G11, G14, G23).
Regional Integration and the Co‐ordination of Capital Income Taxation
Authors: De Bonis Valeria 
Published: December 2003

This paper addresses the question of the need for income tax harmonization in the context of regional integration. It analyses the international distortions and fiscal interdependence arising in the presence of tax rate differentials both under a theoretical and an empirical perspective, and with reference to actual experiences of harmonization attempts. Attention is also paid to the influence of the countries’ size on the results, to the strategic behaviour of countries under different international taxations rules, and to the relationships with the countries excluded by the integration process. International tax uniformity does not appear to be the preferable solution, even if some form of concerted agreements might help in reducing inefficiencies deriving from taxation differentials. For instance, in the case of highly mobile factors, like financial capital, if the integrating countries apply the source principle and the interest rate is the same across them, the source‐based tax rate on non residents must equal the residence country tax rate on residents. Such a rule would allow the countries to set autonomously their tax rate and, at the same time, eliminate cross‐border effects. If there are more than two integrating countries, the tax rates on non residents should discriminate according to the internal tax rate of the residence country.(J.E.L.: H87, F20, H20).
Volatility, Stabilization and Union Wage‐setting: The Effects of Monetary Policy on the ‘Natural’ Unemployment Rate
Authors: Bonatti Luigi 
Published: December 2003

In a unionized economy with nominal‐wage contracts, the ‘natural’ (rational‐expectations equilibrium) employment level is not invariant with respect to the stabilization rule followed by the monetary authority. This is because alternative monetary policies change the variance of the inflation rate (price level) relatively to the variance of some measure of economic activity (employment level), thereby influencing the trade‐off desired by union members between the real wage and the probability of employment. Indeed, a more volatile employment level induces the (risk‐neutral) union members to prefer a higher expected real wage.(J.E.L: E5, J5).
Imperfect Forward Markets and Hedging
Authors: Broll Udo , Wong Kit Pong 
Published: December 2003

This paper considers a hedging model of a risk‐averse competitive firm facing output price uncertainty. Imperfections exist in forward transactions in that the firm faces a downward‐sloping demand function for its forward sales. We show that the optimal output and hedge ratio of the firm are, in general, not separable, and are related in a deterministic manner. We also derive some economic implications of production and hedging decisions when firms differ in their attitudes towards risk. A more risk‐averse firm is shown to produce less and hedge more than a less risk‐averse firm.(J.E.L.: D21, D81).
Managing Credit Risk: A Challenge for the New Millennium
Authors: Altman Edward I 
Published: December 2003

The importance of credit–risk management has never been more important with the current high default rates and bankruptcies; but, there was heightened interest even before the current scenario. Indeed, in 1999, at the end of the benign credit cycle, banks, regulators, and financial market practitioners were spending considerable time on this subject due to:(1) Increased emphasis on sophisticated risk management techniques in a changing regulatory environment – mainly revisions to the so–called ‘Basel Accord’(2) Refinements in credit–scoring techniques(3) Establishment of relatively large, relevant data bases on defaults, recoveries and credit migrations(4) Treatment of bank loans as securities(5) Development of ‘offensive’ credit–risk mitigation techniques such as securitizations, credit derivatives and credit insurance products(6) Portfolio management techniques for credit assets.(J.E.L.: G14, G21, G33).
Principal Component Models for Generating Large GARCH Covariance Matrices
Authors: Alexander Carol 
Published: December 2003

The implementation of multivariate GARCH models in more than a few dimensions is extremely difficult: because the model has many parameters, the likelihood function becomes very flat, and consequently the optimization of the likelihood becomes practicably impossible. There is simply no way that full multivariate GARCH models can be used to estimate directly the very large covariance matrices that are required to net all the risks in a large trading book. This paper begins by describing the principal component GARCH or ‘orthogonal GARCH’ (O‐GARCH) model for generating large GARCH covariance matrices that was first introduced in Alexander and Chibumba (1996) and subsequently developed in Alexander (2000, 2001b). The O‐GARCH model is an accurate and efficient method for generating large covariance matrices that only requires the estimation of univariate GARCH models. Hence, it has many practical advantages, for example in value–at–risk models. It works best in highly correlated systems, such as term structures. The purpose of this paper is to show that, if sufficient care is taken with the initial calibration of the model, equities and foreign exchange rates can also be included in one large covariance matrix. Simple conditions for the final covariance matrix to be positive semi‐definite are derived.(J.E.L.: C32, C53, G19, G21, G28).