|
on Financial Markets |
| By: | Masami Imai (Economics and East Asian Studies, Wesleyan University) |
| Abstract: | This paper uses a unique data set on the spreads of subordinated debts issued by Japanese banks to investigate the presence of market monitoring. The results show that subordinated debt investors punished risky banks by requiring higher interest rates. Moreover, I find that the sensitivity of spreads to bank risk increased dramatically after the Japanese government allowed a large city bank, Hokkaido Takushoku Bank, and passed Financial Reform Act and the Rapid Revitalization Act in the late 1990s. |
| Keywords: | Market Discipline, Subordinated Debts, Japanese Bank |
| JEL: | G21 G28 O53 |
| Date: | 2006–01 |
| URL: | http://d.repec.org/n?u=RePEc:wes:weswpa:2006-008&r=fmk |
| By: | David R. Skeie |
| Abstract: | In the literature, bank runs take the form of withdrawals of real demand deposits that deplete a fixed reserve of goods in the banking system. However, in a modern banking system, large withdrawals take the form of electronic payments that shift balances among banks within a clearinghouse system, with no analog of a depletion of a scarce reserve. In a model of nominal demand deposits repayable in money within a clearinghouse, I show that interbank lending and monetary prices imply that traditional bank runs do not occur. This finding suggests that deposit insurance may not be needed to prevent bank runs in a modern economy. |
| Keywords: | Financial crises ; Clearinghouses (Banking) ; Bank deposits ; Bank reserves |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednsr:242&r=fmk |
| By: | Xiaoqiang Cheng; Hans Degryse |
| Abstract: | This paper shows that banking development spurs growth, even in a country with a high growth rate such as China. Employing data of 27 Chinese provinces over the period 1995-2003, we study whether the financial development of two different types of institutions – banks and non-bank financial institutions – have a (significantly different) impact on local economic growth. Our findings show that banks outperform non-bank financial institutions. Only banking development exerts a statistically and economically significant positive impact on local economic growth. This effect becomes more pronounced when the financial sector is less concentrated. |
| Keywords: | growth, financial development, Chinese provinces, banks |
| JEL: | E44 G21 |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:lic:licosd:17106&r=fmk |
| By: | Joel F. Houston; Kevin J. Stiroh |
| Abstract: | This paper examines the evolution of risk in the U.S. financial sector using firm-level equity market data from 1975 to 2005. Over this period, financial sector volatility has steadily increased, reaching extraordinary levels from 1998 to 2002. Much of this recent turbulence can be attributed to a series of major financial shocks, and we find evidence of an upward trend in volatility only for the common component that affects the entire financial sector. While idiosyncratic volatility remains dominant, a combination of common shocks, deregulation, and diversification has reduced its relative importance since the early 1990s. Within the financial sector, commercial banks show the largest rise in volatility, which also reflects industry shocks and not the idiosyncratic component. Despite these changes, we find that the links between the financial sector and economic activity have declined in recent years. These results have implications for investors, bank regulators, and other policymakers concerned with the origins of financial sector risk and with the links between the financial markets and real activity. |
| Keywords: | Risk ; Financial markets ; Banks and banking |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednsr:248&r=fmk |
| By: | Aghion, Philippe; Bacchetta, Philippe; Rancière, Romain; Rogoff, Kenneth |
| Abstract: | This paper offers empirical evidence that real exchange rate volatility can have a significant impact on long-term rate of productivity growth, but the effect depends critically on a country's level of financial development. For countries with relatively low levels of financial development, exchange rate volatility generally reduces growth, whereas for financially advanced countries, there is no significant effect. Our empirical analysis is based on an 83 country data set spanning the years 1960-2000; our results appear robust to time window, alternative measures of financial development and exchange rate volatility, and outliers. We also offer a simple monetary growth model in which real exchange rate uncertainty exacerbates the negative investment effects of domestic credit market constraints. Our approach delivers results that are in striking contrast to the vast existing empirical exchange rate literature, which largely finds the effects of exchange rate volatility on real activity to be relatively small and insignificant. |
| Keywords: | exchange rate regime; financial development; growth |
| JEL: | E44 F33 F43 O42 |
| Date: | 2006–04 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:5629&r=fmk |
| By: | J. H. Nilsen; R. Rovelli |
| URL: | http://d.repec.org/n?u=RePEc:bol:bodewp:380&r=fmk |
| By: | Van Horen, Neeltje; Schmukler, Sergio L.; Levy Yeyati, Eduardo |
| Abstract: | The authors argue that the cross-market premium (the ratio between the domestic and the international market price of cross-listed stocks) provides a valuable measure of international financial integration, reflecting accurately the factors that segment markets and inhibit price arbitrage. Applying to equity markets recent methodological developments in the purchasing power parity literature, they show that nonlinear Threshold Autoregressive (TAR) models properly capture the behavior of the cross market premium. The estimates reveal the presence of narrow non-arbitrage bands and indicate that price differences outside these bands are rapidly arbitraged away, much faster than what has been documented for good markets. Moreover, the authors find that financial integration increases with market liquidity. Capital controls, when binding, contribute to segment financial markets by widening the non-arbitrage bands and making price disparities more persistent. Cr isis episodes are associated with higher volatility, rather than by more persistent deviations from the law of one price. |
| Keywords: | Markets and Market Access,Economic Theory & Research,Access to Markets,Macroeconomic Management,Fiscal & Monetary Policy |
| Date: | 2006–04–19 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wbrwps:3897&r=fmk |
| By: | Adam B. Ashcraft |
| Abstract: | Although bank capital regulation permits a bank to choose freely between equity and subordinated debt to meet capital requirements, lenders and investors view debt and equity as imperfect substitutes. It follows that the mix of debt in regulatory capital should isolate the role that the market plays in disciplining banks. I document that since the Federal Deposit Insurance Corporation Improvement Act of 1991 (FDICIA) reduced the ability of the FDIC to absorb losses of subordinated debt investors, the mix of debt has had a positive effect on the future outcomes of distressed banks, as if the presence of debt investors has worked to limit moral hazard. To mitigate concerns about selection, I use the variation across banks in the mix of debt in capital generated by cross-state variation in state corporate income tax rates. Interestingly, instrumental variables (IV) estimates document that selection problems are indeed important, but suggest that the benefits of subordinated debt are even larger. I conclude that the market may play a useful direct role in regulating banks. |
| Keywords: | Bank capital ; Federal Deposit Insurance Corporation Improvement Act of 1991 ; Debt ; Bank supervision |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednsr:244&r=fmk |
| By: | Dániel Holló; Márton Nagy (Magyar Nemzeti Bank) |
| Abstract: | This paper aims to estimate bank efficiency differences across member states of the European Union and tries to explain their causes. We show on an empirical basis that the level and spread of bank efficiency in the EU and their changes are significantly determined by characteristics of operational environment and the “conscious” behaviour of management.In the long term, through the integration of financial markets and institutions, as well as the establishment of the Single European Banking Market, the impact of advantages and disadvantages underlying the operational environment is reduced or eliminated; therefore only managerial ability is of any relevance. Our findings suggest that there is a costefficiency gap and convergence between the old and new member states, irrespective of the specifications of the model. With respect to profit efficiency, however, differences in efficiency between the two regions are only established after controlling for some major characteristics of the varying operational environments. Our study also investigates the relevance of and the correlation between accounting-based and statistics-based efficiency indicators. We conclude that the accounting based efficiency indicators are inadequate for managing heterogeneity arising from institutional and operational environments. Hence such indicators only allow limited cross-sectional comparison through time. |
| Keywords: | parametric approach, X- and alternative profit-efficiency, Fourier-flexible functional form, banking system. |
| JEL: | F36 G15 G21 G34 |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:mnb:wpaper:2006/3&r=fmk |
| By: | R. Andergassen |
| URL: | http://d.repec.org/n?u=RePEc:bol:bodewp:448&r=fmk |
| By: | Todd Keister |
| Abstract: | This paper presents a model in which currency crises can spread across countries as a result of the self-fulfilling beliefs of market participants. An incomplete-information approach is used to overcome many undesirable features of existing multiple-equilibrium explanations of contagion. If speculators expect contagion across markets to occur, they have an incentive to trade in both currency markets to take advantage of this correlation. These actions, in turn, link the two markets in such a way that a sharp devaluation of one currency will be propagated to the other market, fulfilling the original expectations. Even though this contagion is driven solely by expectations, the model places restrictions on observable variables that are broadly consistent with existing empirical evidence. |
| Keywords: | Financial crises ; Foreign exchange market ; Devaluation of currency |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednsr:249&r=fmk |
| By: | Hui Guo; Robert Savickas |
| Abstract: | Finance theory, e.g., Campbell's (1993) ICAPM, indicates that the expected equity premium is a linear function of stock market volatility and the volatility of shocks to investment opportunities. We show that one can use average CAPM-based idiosyncratic volatility as a proxy for the latter. In particular, over the period 1927:Q1 to 2005:Q4, stock market volatility and idiosyncratic volatility jointly forecast stock market returns both in sample and out of sample. This finding is robust to alternative measures of idiosyncratic volatility; subsamples; the log transformation of volatility measures; and control for various predictive variables commonly used by early authors. Our results suggest that stock market returns are predictable. |
| Keywords: | Stock exchanges ; Stock - Prices |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedlwp:2006-019&r=fmk |
| By: | Jorge Farinha (CETE, Faculdade de Economia, Universidade do Porto); Miguel Sôro (Banco Espírito Santo, Porto) |
| Abstract: | This paper examines the ex-dividend stock price behaviour in the Portuguese Stock Exchange between 1993 and 2002, a unique period characterized by a richness of different investor tax statuses and several tax changes. After classifying investors according to their tax profile and corresponding dividend tax discrimination factorss, we find that the pursuit of a short-term trading strategy around the ex-dividend day does not yield significant abnormal returns after tax and bid-ask costs. These results are in accordance with the inexistence of arbitrage opportunities even when extreme tax situations are considered under different dividend yield scenarios. It is also shown that the observed ex-dividend price reduction is consistent with a tax explanation and in disagreement with market microstructure arguments. Further tests indicate that the price change is not significantly different from the expected theoretical price reduction for a marginal investor which we identified most likely as a long-term shareholder in high-tax brackets. Finally, our results only provide a weak support for the clientele hypothesis. |
| Keywords: | ex-dividend pricing, arbitrage, taxes, international financial markets, market efficiency |
| JEL: | G12 G14 G15 |
| Date: | 2005–12 |
| URL: | http://d.repec.org/n?u=RePEc:por:cetedp:0508&r=fmk |
| By: | Dairo Estrada; Esteban Gómez; Inés Orozco |
| Abstract: | This paper analyzes the determinants of interest margins in the Colombian Financial System. Based on the model by Ho and Saunders (1981), interest margins are modelled as a function of the pure spread and bank-specific institutional imperfections using quarterly data for the period 1994:IV-2005:III. Additionally, the pure spread is estimated as a function of market power and interest rate volatility. Results indicate that interest margins are mainly affected by credit institutions' inefficiency and to a lesser extent by credit risk exposure and market power. This implies that public policies should be oriented towards creating the necessary market conditions for banks to enhance their efficiency. |
| Date: | 2006–02–01 |
| URL: | http://d.repec.org/n?u=RePEc:col:001043:002468&r=fmk |
| By: | M. E. Bontempi; R. Golinelli |
| URL: | http://d.repec.org/n?u=RePEc:bol:bodewp:422&r=fmk |
| By: | Iván Major (Institute of Economics, Hungarian Academy of Sciences) |
| Abstract: | Credit bureaus administering information sharing among lenders about customers reduce information asymmetry and should be key to modern credit markets. In contrast to former studies, we show that willingness to share information depends more on institutions and market concentration than on demand or other market characteristics such as, regional diversity or local monopolies. We show using infinite period models with strategic behavior that lenders' interest to share information depends on market concentration and the type of information sharing arrangement. Sharing bad information only is the dominant strategy if banks think long-term. If banks are myopic no information sharing may occur. |
| Keywords: | Organisational Behaviour, Transaction Costs, Criteria for Decision-Making under Risk and Uncertainty, Asymmetric and Private Information, Intertemporal Firm Choice and Growth, Investment, or Financing, Banks; Other Depository Institutions; Mortgages |
| JEL: | D23 D81 D82 D92 G21 |
| Date: | 2006–04–24 |
| URL: | http://d.repec.org/n?u=RePEc:has:discpr:0603&r=fmk |
| By: | Grose, Claire; Friedman, Felice B. |
| Abstract: | This paper examines legal and regulatory measures that can be taken to promote access to the primary market in emerging market economies. While capital market development depends on many factors including, primarily, a favorable macroeconomic environment, an appropriately designed and effective legal and regulatory framework can help to encourage market growth and to increase access to finance for all companies, including small- and medium-sized enterprises. In this paper we identify the basic necessities that underpin a regulatory regime that is cost effective and strikes an appropriate balance between, on the one hand, laws and regulations that may be too restrictive to achieve a supply of capital and, on the other, those that may be so relaxed that investors feel that there is an unacceptable level of risk and d o not care to venture into the market. We explore the legal foundations for the successful operation of a primary market for securities and identify disclosure and effective monitoring and enforcement as essential elements of legal protection. We then examine different legal and regulatory approaches for improving access to finance. We discuss measures that can be used by traditional stock exchanges to attract smaller enterprises to their lists as well as recent initiatives to create second boards or divide the main board into different market segments. We also discuss different mechanisms for companies to raise funds outside of a formal stock market listing, including private placements and private equity. Finally, we propose some recommendations for a simple legal and regulatory framework that will help promote access to primary equity markets, via both the traditional exchange as well as other alternatives. |
| Keywords: | Markets and Market Access,Economic Theory & Research,Financial Intermediation,Corporate Law,Investment and Investment Climate |
| Date: | 2006–04–01 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wbrwps:3892&r=fmk |
| By: | Peter Bossaerts; Charles Plott; William R. Zame |
| Date: | 2006–04–20 |
| URL: | http://d.repec.org/n?u=RePEc:cla:levrem:122247000000001322&r=fmk |
| By: | Menkhoff, Lukas; Schmeling, Maik |
| Abstract: | This study shows that order flow in a foreign exchange market only has permanent price impact if it comes from certain regions. These regions are - as predicted by the local information hypothesis - centers of political and financial decision making. It is revealing that orders from other regions only show a very short-lived but no permanent price impact. Local information is so important that it carries over from the usually considered market orders to aggressively-priced limit orders too. The finding is robust to various market conditions, common news shocks and consideration of feedback trading. |
| Keywords: | Local information hypothesis, price impact, limit orders, informed traders |
| JEL: | F31 D82 |
| Date: | 2006–04 |
| URL: | http://d.repec.org/n?u=RePEc:han:dpaper:dp-331&r=fmk |
| By: | Chan, Kalok (Vrije Universiteit Amsterdam, Faculteit der Economische Wetenschappen en Econometrie (Free University Amsterdam, Faculty of Economics Sciences, Business Administration and Economitrics); Menkveld, Albert J.; Yang, Zhishu |
| Abstract: | We examine the effect of information asymmetry on equity prices in the local A- and foreign Bshare market in China. We construct measures of information asymmetry based on market microstructure models, and find that they explain a significant portion of cross-sectional variation in B-share discounts, even after controlling for other factors. On a univariate basis, the price impact measure and the adverse selection component of the bid-ask spread in the A- and B-share markets explains 44% and 46% of the variation in B-share discounts. On a multivariate basis, both measures are far more statistically significant than any of the control variables. We also examine the behavior of B-share discounts after the B-share market was partially opened up to domestic investors after March 2001. Not only do we observe that B-share discounts decline from an average of 72% to 43%, but we also find that the differences in the adverse selection components across the markets shrink. |
| Keywords: | Information asymmetry; Asset prices; Microstructure; Market segmentation; Spread decomposition; PIN; China |
| JEL: | G1 G15 G14 G12 |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:vuarem:2006-5&r=fmk |
| By: | Erik Feijen; Enrico Perotti |
| Abstract: | While financial liberalization has in general favorable effects, reforms in countries with poor regulation is often followed by financial crises. We explain this variation as the outcome of lobbying interests capturing the reform process. Even after liberalization, market investors must rely on enforcement of investor protection, which may be structured so as to block funding for new entrants, or limit their access to refinance after a shock. This forces inefficient default and exit by more leveraged entrepreneurs, protecting more established producers. As a result, lobbying may deliberately worsen financial fragility. After large external shocks, borrowers from the political elite in very corrupt countries may successfully lobby for weak enforcement, and retain control of collateral. We provide evidence that industry exit rates and profit margins after banking crises are higher in the most corrupt countries. |
| Date: | 2006–03 |
| URL: | http://d.repec.org/n?u=RePEc:hst:hstdps:d05-160&r=fmk |
| By: | Giang Ho; Anthony Pennington-Cross |
| Keywords: | Mortgages ; Banking law ; Home equity loans |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedlwp:2006-022&r=fmk |
| By: | Zsolt Darvas; Gábor Rappai; Zoltán Schepp |
| Abstract: | Results and models of this paper are based on a strikingly new empirical observation: long maturity forward rates between bilateral currency pairs of the US, Germany, UK, and Switzerland are stationary. Based on this result, we suggest a new explanation for the UIP-puzzle maintaining rational expectations and risk neutrality. The model builds on the interaction of foreign exchange and fixed income markets. Ex ante short run and long run UIP and the EHTS is assumed. We show that ex post shocks to the term structure could explain the behavior of the nominal exchange rate including its volatility and the failure of ex post short UIP regressions. We present evidence on ex post validity of long run UIP and strikingly new evidence on the stationarity of the long forward exchange rates of major currencies. We set up, calibrate and simulate a stylized model that well captures the observed properties of spot exchange rates and UIP regressions of major currencies. We define the notion of yield parity and test its empirical performance for monthly series of major currencies with favorable results. |
| Keywords: | EHTS; forward discount bias; stationarity of long maturity forward rates; UIP; yield parity |
| JEL: | E43 F31 |
| Date: | 2006–04 |
| URL: | http://d.repec.org/n?u=RePEc:dnb:dnbwpp:098&r=fmk |
| By: | Cynthia Bansak (Department of Economics, San Diego State University); Catalina Amuedo-Dorantes (Department of Economics, San Diego State University) |
| Abstract: | Increased access to the U.S. financial system through banks’ recognition of the ‘matrícula consular’ identification card may encourage Mexican immigrants to save and transfer more money home. Using data from the Mexican Migration Project, we examine whether immigrants with bank accounts in the U.S. between 1970 and 2002 sent more funds to Mexico than their unbanked counterparts. While having a U.S. bank account does not raise monthly remittances by Mexican immigrants, it boosts the amount brought back home by more than $6000 per trip. These findings suggest that increased usage of banks by immigrants may enhance future flows of funds to Mexico. |
| JEL: | F22 G21 J61 O15 |
| Date: | 2004–10 |
| URL: | http://d.repec.org/n?u=RePEc:sds:wpaper:0003&r=fmk |
| By: | Chan, Kalok (Vrije Universiteit Amsterdam, Faculteit der Economische Wetenschappen en Econometrie (Free University Amsterdam, Faculty of Economics Sciences, Business Administration and Economitrics); Menkveld, Albert J,; Yang, Zhishu |
| Abstract: | This paper uses the perfect market segmentation setting in China's stock market to examine whether foreign investors are at informational disadvantage relative to domestic investors. We analyze the price discovery roles of the A- (domestic investors) and B-share (foreign investors) markets in China using a new database of transactions data. Before Feb 19, 2001, the A-share market leads the B-share market in price discovery - the signed volume and quote revision of the A-share market have strong predictive ability for B-share quote returns, but not vice versa. After Feb 19, 2001, because some domestic investors are allowed to invest on the B-share market, we also find evidence for a reverse causality from the B-share to the A-share market. Nevertheless, the Hasbrouck (1995) information share analysis reveals that A-shares continue to dominate price discovery. |
| Keywords: | Market microstructure; Informational role; Segmented markets; Chinese stock markets |
| JEL: | F21 D82 |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:vuarem:2006-4&r=fmk |
| By: | Humpage, Owen F. (Research Department, Federal Reserve Bank of Cleveland); Ragnartz, Javiera (Handelsbanken Asset Management) |
| Abstract: | Using a set of standard success criteria, we show that Riksbank foreign-exchange interventions between 1993 and 2002 lacked forecast value; that is, the observed number of successes was not significantly greater—and usually substantially smaller—than the number one would anticipate given the martingale nature of exchange-rate movements. Under some success criteria, the Riksbank exhibited negative forecast value, implying that the market could have profited by taking a position opposite that of the bank. Moreover, the likelihood of success was independent of such conditioning factors as the amount of a transaction, the time lapses between interventions, or the number of foreign currencies involved. As such, Riksbank intervention could not operate through an expectations or signaling channel. |
| Keywords: | Intervention; Foreign-exchange rates; Swedish Riksbank; Krona |
| JEL: | F30 G15 |
| Date: | 2006–04–01 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:rbnkwp:0192&r=fmk |
| By: | Peter Bossaerts; William R. Zame |
| Date: | 2006–04–20 |
| URL: | http://d.repec.org/n?u=RePEc:cla:levrem:122247000000001317&r=fmk |
| By: | Menkveld, Albert J. (Vrije Universiteit Amsterdam, Faculteit der Economische Wetenschappen en Econometrie (Free University Amsterdam, Faculty of Economics Sciences, Business Administration and Economitrics) |
| Abstract: | Securities are increasingly traded through multiple venues. Chowdhry and Nanda (1991) show that sophisticated investors benefit by splitting orders across markets at the cast of local investors who only trade through one venue. If trading hours do not perfectly overlap, we can test for order-splitting by studying trading in the overlap visða-vis the non-overlap. We consider trading in NYSE-listed British and Dutch stocks an ideal experiment and tailor the model to this setting. We then extend it by allowing sophisticated investors to time their trades as in Admati and Pfleiderer (1988). We document increased volatility, increased volume, and unchanged market depth for the overlap, consistent with our predictions. Order-splitting is further evidenced through positive correlation in order imbalance across markets, controlling for arbitrage trades, synchronous information arrival, and microstructure effects |
| Keywords: | Cross-listing; Trading; Fragmentation; High-frequency |
| JEL: | G15 G10 G18 |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:vuarem:2006-3&r=fmk |
| By: | Pierre Gosselin; Aileen Lotz; Charles Wyplosz (IUHEI, The Graduate Institute of International Studies, Geneva) |
| Abstract: | Morris and Shin (2002) have shown that a central bank may be too transparent if the private sector pays too much attention to its possible imprecise signals simply because they are common knowledge. In their model, the central bank faces a binary choice: to reveal or not to reveal its information. This paper extends their model to the more realistic case where the central bank must anyway convey some information by setting the interest rate. This situation radically changes the conclusions. In many cases, full transparency is socially optimal. In other instances the central bank can distill information to either manipulate private sector expectations in a way that reduces the common knowledge effect or to reduce the unavoidable information content of the interest rate. In no circumstance is the option of only setting the interest rate socially optimal. |
| Keywords: | Central Bank Transparency |
| Date: | 2006–04–10 |
| URL: | http://d.repec.org/n?u=RePEc:gii:giihei:heiwp08-2006&r=fmk |
| By: | Javier Guillermo Gómez |
| Abstract: | Capital flows often confront central banks with a dilemma: to contain the exchange rate or to allow it to float. To tackle this problem, an equilibrium model of capital flows is proposed. The model captures sudden stops with shocks to the country risk premium. This enables the model to deal with capital outflows as well as capital inflows. From the equilibrium conditions of the model, I derive an expression for the accounting of net foreign assets, which helps study the evolution of foreign debt under different policy experiments. The policy experiments point to three main conclusions. First, interest rate defenses of the exchange rate can deliver recessions during capital outflows even in financially resilient economies. Second, during unanticipated reversals in capital inflows, the behavior of foreign debt is not necessarily improved by containing the exchange rate. Third, an economy can gain resilience not by simply shifting the currency denomination of debt, but by both, shifting the denomination and floating the currency. |
| Date: | 2006–03–01 |
| URL: | http://d.repec.org/n?u=RePEc:col:001043:002470&r=fmk |
| By: | Oscar Bernal (DULBEA, Université libre de Bruxelles, Brussels) |
| Abstract: | In the United States, Japan and the Euro Zone, FX interventions are institutionally decided by specific political authorities and implemented by central banks on their behalf. Bearing in mind that these specific political authorities and central banks might not necessarily pursue the same exchange rates objectives, the model proposed in this paper takes account explicitly of this institutional organisation to examine its effects on FX intervention activity. The empirical relevance of our theoretical model is assessed by developing a friction model on the Japanese experience between 1991 and 2004 which reveals how the magnitude of that country’s FX interventions is the outcome of the Japanese Ministry of Finance’s trade-off between attaining its own exchange rate target and one of the Bank of Japan’s. |
| Keywords: | Central banks; Foreign exchange interventions; Interactions; Friction models. |
| JEL: | E58 E61 F31 G15 |
| Date: | 2006–04 |
| URL: | http://d.repec.org/n?u=RePEc:dul:wpaper:06-03rs&r=fmk |
| By: | Hirofumi Uchida; Gregory F. Udell; Nobuyoshi Yamori |
| Abstract: | Using data from a unique survey in Japan, we investigate the relevance of different lending technologies which are utilized in lending to small- and medium-sized enterprises. We characterize loans from a technology point of view, and ask (i) to what extent different lending technologies are used, (ii) how complementary the technologies are, and (iii) what determines the choice of each technology. We find that although the financial statement lending technology is most commonly used, multiple lending technologies are usually used at the same time. This suggests the existence of complementarity among lending technologies. We also find that individual technologies have their distinct characteristics as well, and, among other findings, smaller banks and banks with a rich accumulation of soft information tend to lend using the relationship lending technology. |
| Date: | 2006–04 |
| URL: | http://d.repec.org/n?u=RePEc:eti:dpaper:06025&r=fmk |
| By: | Franklin Allen; Elena Carletti; Robert Marquez |
| Abstract: | Market discipline for financial institutions can be imposed not only from the liability side, as has often been stressed in the literature on the use of subordinated debt, but also from the asset side. This will be particularly true if good lending opportunities are in short supply, so that banks have to compete for projects. In such a setting, borrowers may demand that banks commit to monitoring by requiring that they use some of their own capital in lending, thus creating an asset market-based incentive for banks to hold capital. Borrowers can also provide banks with incentives to monitor by allowing them to reap some of the benefits from the loans, which accrue only if the loans are in fact paid off. Since borrowers do not fully internalize the cost of raising capital to the banks, the level of capital demanded by market participants may be above the one chosen by a regulator, even when capital is a relatively costly source of funds. This implies that the capital requirement may not be binding, as recent evidence seems to indicate. |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgfe:2006-11&r=fmk |
| By: | Masami Imai (Economics and East Asian Studies, Wesleyan University) |
| Abstract: | On April 1, 2002, the Japanese government lifted a blanket guarantee of all deposits and began limiting the coverage of time deposits. This paper uses this deposit insurance reform as a natural experiment to investigate the relationship between deposit insurance coverage and market discipline. I find that the reform raised the sensitivity of interest rates on deposits, and that of deposit quantity to default risk. In addition, the interest rate differentials between partially insured large time deposits and fully insured ordinary deposits increased for risky banks. These results suggest that the deposit insurance reform enhanced market discipline in Japan. I also find that too-big-to-fail (TBTF) policy became a more important determinant of interest rates and deposit allocation after the reform, thereby partially offsetting the positive effects of the deposit insurance reform on overall market discipline. |
| Keywords: | Deposit Insurance, Market Discipline, Japanese Banks |
| JEL: | G2 G28 O53 |
| Date: | 2006–01 |
| URL: | http://d.repec.org/n?u=RePEc:wes:weswpa:2006-007&r=fmk |
| By: | Menkveld, Albert J. (Vrije Universiteit Amsterdam, Faculteit der Economische Wetenschappen en Econometrie (Free University Amsterdam, Faculty of Economics Sciences, Business Administration and Economitrics); Cheung, Yiu C.; Jong, Frank de |
| Abstract: | We study sovereign yield dynamics and order flow in the largest euro-area treasury markets. We exploit unique transaction data to explain daily yield changes in the tenðyear government bands of Italy, France, Belgium, and Germany. We use a state space model to decompose these changes into (i) a benchmark yield innovation, (ii) a yield spread common factor innovation, (iii) country-specific innovations, and (iv) (transitory) microstructure effects. We relate changes in each of these factors to national order imbalance and find that Italian order imbalance impacts the common factor innovation, French and Belgian order imbalance impact country-specific innovations, and German order imbalance only changes yields temporarily. Order imbalance, however, does not have explanatory power for the most important factor: benchmark yield innovations. |
| Keywords: | Government bond; Order imbalance; Euro |
| JEL: | G10 G15 G18 |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:vuarem:2006-6&r=fmk |
| By: | Antonio Montañés; Marcos Sanso-Navarro |
| Abstract: | Long-horizon uncovered interest parity during the post-Bretton Woods era in the G7 countries is analyzed in this paper. The main di¤erence with previous studies relies in the use of cointegration methods due to the non-stationary behavior of the variables involved. Moreover, the consideration of structural breaks becomes a key element for this relationship to hold. These shifts are identi.ed as sharp changes in the time-varying risk premium as a consequence of turning points in monetary policy and exchange rates regimes. Finally, the robustness of the obtained results to recent developments in the Eurozone is checked. |
| URL: | http://d.repec.org/n?u=RePEc:fda:fdaeee:221&r=fmk |
| By: | Rodolfo Apreda |
| Abstract: | State-owned enterprises set a clear example of a mixed governance, in which the public and private realms blend together to bring about a complex structure we are going to define as dual governance. This paper puts forth a new design of governance for state-owned banks. Firstly, the whole subject is framed within the transaction costs approach to financial intermediation. Next, we move on to the formal governance of state-owned banks. Afterwards, we focus on dual governance and expand on agency problems that arise from the fiduciary role, accountability, transparency, rent-seeking and soft-budget constraints. The paper's proposal hinges upon the subsidiarity portfolio, to which the state-owned bank should manage as a trustee only, so that dual governance could be enhanced. We conclude bringing forth a minimal set of dual governance principles. |
| Keywords: | governance, public governance, dual governance, state-owned banks, subsidiarity. |
| JEL: | G34 G21 D23 D73 H20 |
| Date: | 2006–04 |
| URL: | http://d.repec.org/n?u=RePEc:cem:doctra:319&r=fmk |
| By: | Edward J. Kane |
| Abstract: | Considered as a social contract, a financial safety net imposes duties and confers rights on different sectors of the economy. Within a nation, elements of incompleteness inherent in this contract generate principal-agent conflicts that are mitigated by formal agreements, norms, laws, and the principle of democratic accountability. Across nations, additional layers of incompleteness emerge that are hard to moderate. This paper shows that nationalistic biases and leeway in principles used to measure value-at-risk and bank capital make it unlikely that the crisis-prevention and crisis-resolution schemes incorporated in Basel II and EU Directives could allocate losses imbedded in troubled institutions efficiently or fairly across member nations. |
| JEL: | G21 G28 P51 |
| Date: | 2006–04 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:12170&r=fmk |
| By: | Jose Manuel Campa; Linda S. Goldberg |
| Abstract: | Border prices of traded goods are highly sensitive to exchange rates; however, the consumer price index (CPI) and the retail prices of goods that make up the CPI are more stable. This paper decomposes the sources of this price stability for twenty-one OECD (Organisation for Economic Co-operation and Development) countries, focusing on the important role of distribution margins and imported inputs in transmitting exchange rate fluctuations into consumption prices. We provide rich cross-country and cross-industry details on distribution margins and their sensitivity to exchange rates, imported inputs used in different categories of consumption goods, and weights in the consumption of nontradables, home tradables, and imported goods. While distribution margins damp the sensitivity of consumption prices of tradable goods to exchange rates, they also lead to enhanced pass-through when the prices of nontraded goods are sensitive to exchange rates. Such price sensitivity arises because imported inputs are used in the production of home nontradables. Calibration exercises show that, of all countries examined, the United States has the lowest expected CPI sensitivity to exchange rates-at less than 5 percent. On average, the calibrated exchange rate pass-through into CPI is expected to be closer to 15 percent. |
| Keywords: | Consumer price indexes ; Foreign exchange rates ; Organisation for Economic Co-operation and Development ; Prices |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednsr:247&r=fmk |
| By: | Frömmel, Michael |
| Abstract: | We investigate the exchange rate volatility of six Central and Eastern European countries (CEEC) between 1994 and 2004. The analysis merges two approaches, the GARCH-model (Bollerslev 1986) and the Markov Switching Model (Hamilton 1989). We discover switches between high and low volatility regimes which are consistent with policy settings for Hungary, Poland and, less pronounced, the Czech Republic, whereas Romania and Slovakia do not show a clear picture. Slovenia, finally, shows some kind of anticipation of the wide fluctuation margins in ERM2. |
| Keywords: | CEEC, exchange rate volatility, regime switching GARCH, Markov switching model, transition economies |
| JEL: | E42 F31 F36 |
| Date: | 2006–04 |
| URL: | http://d.repec.org/n?u=RePEc:han:dpaper:dp-333&r=fmk |
| By: | Carolyn Sissoko (Department of Economics, Occidental College) |
| Abstract: | This paper develops a monetary model based on a standard infinite horizon general equilibrium endowment economy by relaxing the general equilibrium assumption that every agent buys and sells simultaneously. The paper finds that fiat money can implement a Pareto optimum only if taxes are type-specific. We then consider intermediated money by assuming that financial intermediaries whose liabilities circulate as money have an important identifying characteristic: they are widely viewed as default-free. The paper demonstrates that default-free intermediaries who issue credit cards to consumers can resolve the monetary problem without type-specific policy. We argue that our idealized financial environment is a starting point for studying the monetary use of credit. |
| JEL: | E5 |
| Date: | 2006–03 |
| URL: | http://d.repec.org/n?u=RePEc:occ:wpaper:6&r=fmk |
| By: | Giuseppe RICCIARDO LAMONICA (Universita' Politecnica delle Marche, Dipartimento di Economia) |
| Abstract: | The CAPM is one of the most popular models to find prices of risky assets. This model, has been and is still object of empirical verifications. In this paper, using the method of the multiple regression, we test the CAPM for the Italian stock exchange market in the period 1996-2004. The results show in unequivocal way the validity of the model. |
| Date: | 2006–03 |
| URL: | http://d.repec.org/n?u=RePEc:anc:wpaper:256&r=fmk |
| By: | J. Christina Wang; Susanto Basu |
| Abstract: | What is the output of financial institutions? And how can we measure their nominal and, more importantly, real value, especially since many financial services are provided without explicit charges? This paper summarizes the theoretical result that, to correctly impute the nominal value of implicit financial service output, the “user cost of money” framework needs to be extended to take account of the systematic risk in financial instruments. This extension is easy to implement in principle: One can continue using the current imputation procedure, and the only change needed is to adjust the reference rates of interest for risk. ; The paper clarifies why the risk-related income is not part of the output—or equivalently, why risk bearing is not a service—of financial institutions. The paper next argues that, to measure real output, one must first explicitly specify and define the economic services produced by financial firms, a step that is absent from the “user cost of money” theory. Once it is established that only financial services, and not instruments, should be counted as the value added of financial firms, it follows that the quantity of services provided by these institutions is not necessarily in fixed proportion to the volume of instruments. The corollary is that the implicit price of financial services bears no definitive relationship with any reference rate. Instead, price deflators for financial services should be constructed using methods similar to those used for other services. |
| Keywords: | Financial services industry |
| Date: | 2005 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedbpp:06-3&r=fmk |
| By: | E. Agliardi; R. Andergassen |
| URL: | http://d.repec.org/n?u=RePEc:bol:bodewp:458&r=fmk |
| By: | Asani Sarkar; Robert A. Schwartz |
| Abstract: | We show that equity markets are typically two-sided and that trades cluster in certain trading intervals for both NYSE and Nasdaq stocks under a broad range of conditions-news and non-news days, different times of the day, and a spectrum of trade sizes. By "two-sided" we mean that the arrivals of buyer-initiated and seller-initiated trades are positively correlated; by "trade clustering" we mean that trades tend to bunch together in time with greater frequency than would be expected if their arrival were a random process. Controlling for order imbalance, number of trades, news, and other microstructure effects, we find that two-sided clustering is associated with higher volatility but lower trading costs. Our analysis has implications for trading motives, market structure, and the process by which new information is incorporated into market prices. |
| Keywords: | Stock exchanges ; Securities ; Markets |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednsr:246&r=fmk |
| By: | Bhat Ramesh; Jain Nishant |
| Abstract: | This paper analyses financial performance of corporate hospitals in India. While studying the financial performance of hospitals in our previous work we observed that there are some distinct differences between unlisted and listed hospitals. It is hypothesised that corporate hospitals which are listed on the stock exchanges are likely to be more aware about corporate governance issues and ensure better utilisation of resources and meet expectation of various stakeholders. We study the differences in listed and unlisted hospitals in this paper. The findings suggest that operating cost ratio of listed hospitals is significantly different and lower from the unlisted hospitals. We also find that borrowings of unlisted hospitals are much higher than listed hospitals because they have no access to capital markets to raise money. This increase the financial vulnerability of unlisted hospitals as their ability to service the debt is low. We discuss the implications of these results. |
| Date: | 2006–03–29 |
| URL: | http://d.repec.org/n?u=RePEc:iim:iimawp:2006-03-07&r=fmk |
| By: | L. Lambertini; R. Rovelli |
| URL: | http://d.repec.org/n?u=RePEc:bol:bodewp:460&r=fmk |
| By: | Domenico Giannone (European Centre for Advanced Research in Economics and Statistics (ECARES) Université Libre de Bruxelles, CP 114, Av. F.D. Roosevelt, 50. B-1050 Brussels, Belgium); Lucrezia Reichlin (European Central Bank, Kaiserstrasse 29, Postfach 16 03 19, 60066 Frankfurt am Main, Germany.) |
| Abstract: | Not so much and we should not, at least not yet. |
| Keywords: | International Business Cycles, Euro Area, Risk Sharing, European Integration, Income Insurance. |
| JEL: | E32 C33 C53 F2 F43 |
| Date: | 2006–03 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20060595&r=fmk |
| By: | Justin Wolfers; Eric Zitzewitz |
| Abstract: | While most empirical analysis of prediction markets treats prices of binary options as predictions of the probability of future events, Manski (2004) has recently argued that there is little existing theory supporting this practice. We provide relevant analytic foundations, describing sufficient conditions under which prediction markets prices correspond with mean beliefs. Beyond these specific sufficient conditions, we show that for a broad class of models prediction market prices are usually close to the mean beliefs of traders. The key parameters driving trading behavior in prediction markets are the degree of risk aversion and the distribution on beliefs, and we provide some novel data on the distribution of beliefs in a couple of interesting contexts. We find that prediction markets prices typically provide useful (albeit sometimes biased) estimates of average beliefs about the probability an event occurs. |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedfwp:2006-11&r=fmk |
| By: | Matthew Pritsker |
| Abstract: | I present a fully-rational symmetric-information model of an IPO, and a dynamic imperfectly competitive model of trading in the IPO aftermarket. The model helps to explain IPO underpricing, underperformance, and why share allocations favor large institutional investors. In the model, underwriters need to sell a fixed number of shares at the IPO or in the aftermarket. To maximize revenue and avoid selling into the aftermarket where they can be exploited by large investors, underwriters distort share allocations towards investors with market power, and set the IPO offer price below the aftermarket trading price. Large investors who receive IPO share allocations sell them slowly afterwards to reduce their trade's price-impact. This curtails the shares that are available to small price-taking investors, causing them to bid up prices and bid down returns. In some simulations, the distorted share allocations and slow unwinding behavior generate post-IPO return underperformance that persists for several years. |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgfe:2006-12&r=fmk |
| By: | Kimmo Soramaki; Morten L. Bech; Jeffrey Arnold; Robert J. Glass; Walter Beyeler |
| Abstract: | We explore the network topology of the interbank payments transferred between commercial banks over the Fedwirer Funds Service. We find that the network is compact despite low connectivity. The network includes a tightly connected core of money-center banks to which all other banks connect. The degree distribution is scale-free over a substantial range. We find that the properties of the network changed considerably in the immediate aftermath of the attacks of September 11, 2001. |
| Keywords: | Fedwire ; Payment systems ; Electronic funds transfers ; Banking structure |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednsr:243&r=fmk |
| By: | Bartholdy, Jan (Department of Business Studies); Mateus, Cesário (Department of Business Studies) |
| Abstract: | This paper analyzes the capital structure decision of non-listed bank-financed firms using a rich and unique new data set of Portuguese firms. These firms are rarely studied in capital structure contexts and differ from large listed firms in terms of agency and asymmetric information problems and funding sources. It is argued that the solution of agency and asymmetric information problems for large firms shows up on the balance sheet (as restrictions on debt) whereas for small firms these problems are solved by financial institutions and are therefore less apparent on the balance sheet. This makes it easier for small firms to exploit tax advantages of debt. The empirical analysis shows that debt tax shields and provisions for tax loss carry-forwards have an important impact on the capital structure of small firms. It is also found that the balance sheet variables used for large listed firms in different countries to model agency costs and asymmetric information do not work well for small non-listed firms. The only significant variables (besides tax variables) for small firms are bankruptcy (collateral) variables |
| Keywords: | Capital Structure; Debt; Marginal Tax Rate; Trade-off Theory; |
| Date: | 2006–04–19 |
| URL: | http://d.repec.org/n?u=RePEc:hhb:aaracc:06-002&r=fmk |
| By: | Aoun, Dany (Seoul National University); Heshmati, Almas (Ratio) |
| Abstract: | In this study, we intend to examine the Information and Communication Technology (ICT) firms, from a financial perspective. The causal relationship between capital structure and cost of capital is investigated in a simultaneous equation framework. On the one hand, we relate international diversification to the firm’s capital structure, and on the other, we test their individual and collective inferences on the combined debt and equity cost of capital. Even though ICT companies are subject to the same market forces as other firms, the rapid development of the industry, complexity of their technologies and presence of the network effect may have valuable implications in determining their financing patterns. Using information pertaining to ICT and non-ICT firms listed on the NASDAQ stock exchange, we expect a negative correlation between international diversification and higher total and long-term debt ratios, and a reduction in the overall cost of capital. Results suggest significant heterogeneity among ICT and non-ICT firms and within each group by a number of firm characteristics. |
| Keywords: | International diversification; Capital structure; Cost of capital; Debt; ICT; NASDAQ |
| JEL: | C33 D21 G32 |
| Date: | 2006–04–25 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:ratioi:0087&r=fmk |
| By: | Erik Hjalmarsson |
| Abstract: | Using Monte Carlo simulations, I show that typical out-of-sample forecast exercises for stock returns are unlikely to produce any evidence of predictability, even when there is in fact predictability and the correct model is estimated. |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgif:855&r=fmk |
| By: | L. Bottazzi; P. Manasse |
| URL: | http://d.repec.org/n?u=RePEc:bol:bodewp:444&r=fmk |
| By: | Bartholdy, Jan (Department of Business Studies); Olson, Dennis (American University of Sharjah); Peare, Paula (Department of Business Studies) |
| Abstract: | This paper analyses whether it is possible to perform an event study on a small stock exchange with thinly trade stocks. The main conclusion is that event studies can be performed provided that certain adjustments are made. First, a minimum of 25 events appears necessary to obtain acceptable size and power in statistical tests. Second, trade to trade returns should be used. Third, one should not expect to consistently detect abnormal performance of less than about 1% (or perhaps even 2%), unless the sample contains primarily thickly traded stocks. Fourth, nonparametric tests are generally preferable to parametric tests of abnormal performance. Fifth, researchers should present separate results for thickly and thinly traded stock groups. Finally, when nonnormality, event induced variance, unknown event day, and problems of very thin trading are all considered simultaneously, no one test statistic or type of test statistic dominates the others |
| Keywords: | Event studies; Thin trading |
| Date: | 2006–04–25 |
| URL: | http://d.repec.org/n?u=RePEc:hhb:aaracc:07-003&r=fmk |
| By: | Robert A. Eisenbeis; W. Scott Frame; Larry D. Wall |
| Abstract: | Fannie Mae and Freddie Mac are government-sponsored enterprises that are central players in U.S. secondary mortgage markets. Over the past decade, these institutions have amassed enormous mortgage- and non-mortgage-oriented investment portfolios that pose significant interest-rate risks to the companies and a systemic risk to the financial system. This paper describes the nature of these risks and systemic concerns and then evaluates several policy options for reducing the institutions’ investment portfolios. We conclude that limits on portfolio size (assets or liabilities) would be the most desirable approach to mitigating the systemic risk posed by Fannie Mae and Freddie Mac. |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedawp:2006-02&r=fmk |
| By: | Ariño, Miguel A. (IESE Business School); Canela, Miguel A. (Universitat de Barcelona) |
| Abstract: | En este informe se describen los rasgos principales de la evolución de la tasa de cambio dólar-euro, usando datos diarios, desde la adopción efectiva del euro a principios de 1999 hasta finales de 2005. Se muestra cómo la trayectoria de esta tasa de cambio se puede caracterizar de distinta forma según la escala temporal adoptada. En primer lugar, al examinar las variaciones en períodos superiores a seis meses, la trayectoria de la tasa dólar-euro se puede caracterizar mediante una sucesión de tendencias lineales. Sobre esta tendencia poligonal se superponen unos ciclos de entre uno y tres meses de duración. Por último, a escala diaria, muestra un comportamiento prácticamente impredictible, muy cercano a lo que en econometría se denomina ruido blanco. Estas pautas no son exclusivas de la tasa dólar-euro, sino compartidas, en general, por las tasas de cambio contra el dólar de las monedas de flotación libre. Tomando el valor de cambio del dólar contra una cesta de monedas utilizada por la Reserva Federal, se muestra que las pautas observadas pueden ser atribuidas a las variaciones en el valor "intrínseco" del dólar. |
| Keywords: | Tasa cambio; volatilidad; indice cesta monedas; |
| Date: | 2006–03–25 |
| URL: | http://d.repec.org/n?u=RePEc:ebg:iesewp:d-0620&r=fmk |
| By: | M. Marzo |
| URL: | http://d.repec.org/n?u=RePEc:bol:bodewp:411&r=fmk |
| By: | Mark Furletti; Christopher Ody |
| Abstract: | This paper describes the Federal Reserve System’s monthly estimate of revolving consumer credit as published in the G.19 statistical release. It analyzes the source data, sampling methods, and calculations on which this estimate currently relies. In addition, it proposes a framework for analyzing the revolving credit statistic and suggests modifications to how the estimate is calculated and presented. The paper concludes that the revolving credit estimate is highly accurate and proposes that the System consider five modifications that would improve its usefulness to researchers. |
| Keywords: | Consumer credit ; Credit cards ; Debt |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedpdp:06-03&r=fmk |
| By: | Marco Castellani; Emanuel Santos |
| Abstract: | This paper evaluates several artificial intelligence and classical algorithms on their ability of forecasting the monthly yield of the US 10-year Treasury bonds from a set of four economic indicators. Due to the complexity of the prediction problem, the task represents a challenging test for the algorithms under evaluation. At the same time, the study is of particular significance for the important and paradigmatic role played by the US market in the world economy. Four data-driven artificial intelligence approaches are considered, namely, a manually built fuzzy logic model, a machine learned fuzzy logic model, a self-organising map model and a multi-layer perceptron model. Their performance is compared with the performance of two classical approaches, namely, a statistical ARIMA model and an econometric error correction model. The algorithms are evaluated on a complete series of end-month US 10-year Treasury bonds yields and economic indicators from 1986:1 to 2004:12. In terms of prediction accuracy and reliability of the modelling procedure, the best results are obtained by the three parametric regression algorithms, namely the econometric, the statistical and the multi-layer perceptron model. Due to the sparseness of the learning data samples, the manual and the automatic fuzzy logic approaches fail to follow with adequate precision the range of variations of the US 10-year Treasury bonds. For similar reasons, the self-organising map model gives an unsatisfactory performance. Analysis of the results indicates that the econometric model has a slight edge over the statistical and the multi-layer perceptron models. This suggests that pure data-driven induction may not fully capture the complicated mechanisms ruling the changes in interest rates. Overall, the prediction accuracy of the best models is only marginally better than the prediction accuracy of a basic one-step lag predictor. This result highlights the difficulty of the modelling task and, in general, the difficulty of building reliable predictors for financial markets. |
| Keywords: | interest rates; forecasting; neural networks; fuzzy logic. |
| URL: | http://d.repec.org/n?u=RePEc:ise:isegwp:wp42006&r=fmk |
| By: | Narayana R. Kocherlakota; Luigi Pistaferri |
| Abstract: | Typical incomplete markets models in international economics make two assumptions. First, households are not able to fully insure themselves against country-specific shocks. Second, there is a representative household within each country, so that households are fully insured against idiosyncratic shocks. We assume instead that cross-household risk-sharing is limited within countries, but cross-country risk-sharing is complete. We consider two types of limited risk-sharing: domestically incomplete markets (DI) and private information-Pareto optimal (PIPO) risk-sharing. We show that the models imply distinct restrictions between the cross-sectional distributions of consumption and real exchange rates. We evaluate these restrictions using household-level consumption data from the United States and the United Kingdom. We show that the PIPO restriction fits the data well when households have a coefficient of relative risk aversion of around 5. The analogous restrictions implied by the representative agent model and the DI model are rejected at conventional levels of significance. |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedmsr:372&r=fmk |
| By: | F. Bonaglia; L. Picci |
| URL: | http://d.repec.org/n?u=RePEc:bol:bodewp:374&r=fmk |
| By: | Elizabeth Klee |
| Abstract: | Time is a significant cost of conducting transactions, and theoretical models predict that transactions costs significantly affect the type of media of exchange buyers use. However, there is little empirical work documenting the magnitude of this effect. This paper uses grocery store scanner data to examine how time affects consumer choices of checks and debit cards. On average, check transactions take thirty percent longer than debit card transactions. This time difference is a significant factor in the choice to use a debit card over a check and offers empirical evidence for transactions costs affecting the use of media of exchange. |
| Keywords: | Consumer behavior ; Checks |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgfe:2006-02&r=fmk |
| By: | M. Baldini; L. Lambertini |
| URL: | http://d.repec.org/n?u=RePEc:bol:bodewp:435&r=fmk |
| By: | Jean Bonnet (CREM - Centre de Recherche en Economie et Management - http://crem.univ-rennes1.fr/ - [CNRS : UMR6211] - [Université Rennes I][Université de Caen] - []); Sylvie Cieply (CREM - Centre de Recherche en Economie et Management - http://crem.univ-rennes1.fr/ - [CNRS : UMR6211] - [Université Rennes I][Université de Caen] - []); Marcus Dejardin (CREW - Centre de Recherche sur l'Economie Wallonne - http://www.fundp.ac.be/facultes/eco/departements/economie/recherche/centres/crew - [Facultés Universitaires Notre Dame de la Paix Namur] - [] - []) |
| Abstract: | Abstract: Financial constraints affecting new firms are some of the factors most cited for<br />impeding entrepreneurial dynamics from flourishing. This article introduces the problem of<br />regional patterns of financial constraints. The research is conducted with regard to the French<br />regions and the new French firms being tracked at the firm level. It refers to entrepreneurial<br />projects that are concretized in new firms. General entrepreneurial intentions in the French<br />population that are aborted due to financial constraints are not reported. The point is of<br />importance as the firm financing conditions are considered. First, an assessment of the<br />regional banking activity leads to the conclusion of a relatively homogeneous situation, the<br />activity in the core-region Île-de-France appearing however more contrasted. Second, the<br />financial constraints affecting new firms are distinguished according to a four-case typology<br />of credit rationing. It appears, inter alia, that a majority of firms is not facing credit rationing,<br />but also that a non-negligible share is “self-constrained”. The classification is, third and<br />finally, differentiated according to the regions. Despite the relatively homogeneous banking<br />supply, some differences may still be at work. The explanations are hypothetical at this stage but<br />evidence suggests that the regional dimension should definitely deserve further attention. |
| Keywords: | Financial constraints; Credit rationing; New Firms; Regional Disparities |
| Date: | 2006–04–21 |
| URL: | http://d.repec.org/n?u=RePEc:hal:papers:halshs-00010330_v1&r=fmk |
| By: | G. Chiesa |
| URL: | http://d.repec.org/n?u=RePEc:bol:bodewp:397&r=fmk |
| By: | Zekeriya Eser; Joe Peek |
| Date: | 2006–03 |
| URL: | http://d.repec.org/n?u=RePEc:hst:hstdps:d05-157&r=fmk |
| By: | Kalemli-Ozcan, Sebnem; Reshef, Ariell; Sorensen, Bent E; Yosha, Oved |
| Abstract: | We study the determinants of net capital income flows within the United States. We analyze a simple multi-state neoclassical model in which total factor productivity varies across states and over time and capital flows freely across state borders. The model predicts that capital will flow to states with relatively high output growth. Since relative growth patterns are persistent such states are also high output states, which implies that high output will be associated with inflows of capital and net outflows of capital income. Our empirical findings correspond well to the predictions of the model and indicate persistent net capital income flows and net cross-state investment positions between states which are an order of magnitude larger than observed capital income flows between countries. Thus, our results imply that frictions associated with national borders are likely to be the main explanation for 'low' international capital flows. |
| Keywords: | capital flows; historical income; net factor income; ownership |
| JEL: | F21 F41 |
| Date: | 2006–04 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:5635&r=fmk |
| By: | Etsuro Shioji |
| Abstract: | China has recently announced its intention to fundamentally reform its currency regime in the future. This paper studies how the country's choice of its exchange rate regime interacts with the rest of East Asia's choice. For that purpose, I build a four country new open economy macroeconomic model that consists of East Asia, China, Japan and the US. It is assumed that both East Asia and China peg their respective currencies to certain weighted averages of the Japanese yen and the US dollar. Each side takes the other's choice as given and chooses its own basket weight. The game is characterized by strategic complementarity. It is shown that the currency in which the traded goods prices are quoted plays an important role. The paper considers two alternative cases, the standard producer currency pricing (PCP) case and the vehicle currency pricing (VCP) case in which all the prices of traded goods are preset in the units of US dollars. In the PCP case, trade volume is the important determinant of the equilibrium basket weights, and the balances of trade are inconsequential. However, in the VCP case, trade balances between the four economies are shown to play an important role. Under VCP, and starting from realistic initial trade balances, the equilibrium basket weights far exceed what are implied by Japan's presence in international trade. |
| Date: | 2006–04 |
| URL: | http://d.repec.org/n?u=RePEc:eti:dpaper:06024&r=fmk |
| By: | Claude Montmarquette |
| Abstract: | <P>Le système RPR est un moyen efficace pour faire face à un dégel inévitable des frais de scolarité au Québec sans compromettre l’accès aux études. Il permet une plus grande efficacité dans les décisions dans les choix éducationnels des étudiants, en resserrant les liens entre le marché du travail et le secteur de l’éducation. Le système de remboursement proportionnel au revenu (RPR) peut servir de fer de lance dans une réforme majeure du financement du système d’éducation postsecondaire du Québec. Dans ce parcours hausse de frais de scolarité et système RPR, des questions inévitables sur la structure de rémunérations des enseignants et professeurs et la responsabilisation des étudiants dans leur choix d’investir en capital humain devront être abordées. |
| Date: | 2006–04–01 |
| URL: | http://d.repec.org/n?u=RePEc:cir:cirpro:2006rp-08&r=fmk |
| By: | Csóka Péter; Herings P. Jean-Jacques; Kóczy László Á. (METEOR) |
| Abstract: | Coherent measures of risk defined by the axioms of monotonicity, subadditivity, positive homogeneity, and translation invariance are recent tools in risk management to assess the amount of risk agents are exposed to. If they also satisfy law invariance and comonotonic additivity, then we get a subclass of them: spectral measures of risk. Expected shortfall is a well-known spectral measure of risk is. We investigate the above mentioned six axioms using tools from general equilibrium (GE) theory. Coherent and spectral measures of risk are compared to the natural measure of risk derived from an exchange economy model, that we call GE measure of risk. We prove that GE measures of risk are coherent measures of risk.We also show that spectral measures of risk can be represented by GE measures of risk only under stringent conditions, since spectral measures of risk do not take the regulated entity’s relation to the market portfolio into account. To give more insights, we characterize the set of GE measures of risk. |
| Keywords: | microeconomics ; |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:umamet:2006015&r=fmk |
| By: | Fernandez, Pablo (IESE Business School); Martinez, Jon (IESE Business School) |
| Abstract: | En este documento se analiza la evolución del IBEX y de las 72 empresas españolas que cotizaron en bolsa (en el mercado continuo) desde diciembre de 1992 hasta diciembre de 2005. Los apartados del documento son: 1. El IBEX 35. Rentabilidad y creación de valor para los accionistas. 2. Nivel del IBEX 35 necesario para obtener la rentabilidad exigida por los accionistas. 3. Entradas y salidas del IBEX 35. 4. Creación de valor de 72 empresas españolas. 4.1. Aumento del valor para los accionistas. 4.2. Rentabilidad para los accionistas. 4.3. Creación de valor. 4.4. Mayor crecimiento de las empresas grandes hasta el año 2000. 5. Relación de la rentabilidad para los accionistas con el tamaño de las empresas. 6. Relación de la rentabilidad para los accionistas con la rentabilidad del año anterior. 7. Rentabilidad y volatilidad. 8. El ROE no es la rentabilidad para los accionistas. 9. Creación de valor y rentabilidad para los accionistas en 2004. 10. Crisis bursátiles históricas y plazos de recuperación. |
| Keywords: | Rentabilidad; creación de valor; creación valor para accionistas; IBEX 35; |
| JEL: | G12 G31 G32 |
| Date: | 2006–03–10 |
| URL: | http://d.repec.org/n?u=RePEc:ebg:iesewp:d-0617&r=fmk |
| By: | Thinggaard, Frank (Aalborg University); Kiertzner, Lars (Department of Business Studies) |
| Abstract: | This paper adds to the scarce evidence on the determinants of audit fees in European countries outside the UK. The paper examines audit fees paid by companies listed on the Copenhagen Stock Exchange in 2002, which is the first year in which the disclosure of both audit fees and other fees paid to the auditor at the consolidated group level has been required by the Danish Financial Statements Act. Until 1/1-2005, listed companies are required to be audited by two independent auditors. Here, we have especially focused on the effect of this requirement on the pricing of audit fees. Our results indicate that having two independent auditors reduces total audit fees (most likely due to competitive pressure), but only for larger companies. We have used the core audit fee determinants model, which is a result of international research, with generic proxy variables for client size, complexity, risk profile and auditor size. Our findings indicate similarities with respect to the determining factors, but again a distinction has to be made between large and small companies. In small Danish companies, client size and complexity in a formal technical sense are decisive, which might indicate that audits of such companies involve a relatively large proportion of accessory accounting services in the audit service. In the generic large company, other decisive factors than client size include complexity of substance and general client risk, indicating that the typical audit of such companies is to a greater extent planned as regards risk and materiality. In contrast to most previous international research, analyses of the Danish data showed no general Big Four effect. However, our results indicate that PWC is lowballing in large companies and highballing in small companies. Finally, our results confirm international findings of a positive association between other fees and audit fees |
| Keywords: | No; keywords |
| Date: | 2006–04–25 |
| URL: | http://d.repec.org/n?u=RePEc:hhb:aaracc:91-004&r=fmk |
| By: | Patrick Eugster (Socioeconomic Institute, University of Zurich); Peter Zweifel (Socioeconomic Institute, University of Zurich) |
| Abstract: | This contribution starts out by noting a conflict of interest between consumers and insurers. Consumers face positive correlation in their assets (health, wealth, wisdom, i.e. skills), causing them to demand a great deal of insurance coverage. Insurers on the other hand eschew positively correlated risks. It can be shown that insurance contributes to a reduction of their asset volatility only if unexpected deviations of payments from expected value correlate negatively across lines of insurance. Analyzing deviations from trend in aggregate insurance payments, one finds the following for the United States and Switzerland. Private U.S. but not Swiss insurance has a hedging effect for consumers, while both social insurance schemes expose consumers to excess asset volatility. In the insurance systems of both countries, the private component fails to offset deviations in the social component (and vice versa). As to the supply of insurance, cointegration analysis indicates the absence of common trends. Therefore, insurance companies could offer combined policies to the benefit of consumers, hedging their underwriting risks both domestically and internationally. |
| Keywords: | Insurance, Portfolio Theory, International Diversification, Combined Contracts |
| JEL: | G22 G15 G11 D14 C22 |
| Date: | 2006–04 |
| URL: | http://d.repec.org/n?u=RePEc:soz:wpaper:0604&r=fmk |
| By: | Pontoppidan, Iens Christian (Department of Business Studies) |
| Abstract: | Formål – Formålet med dette paper er at konstruere begreber og metoder, som kan anvendes i værdibaseret ledelse til styring af risiko. <p> Design/metodologi/approach – Risikobegrebet gøres til genstand for en litteraturgennemgang og en logisk analyse ligesom risikohåndteringen i hovedværkerne indenfor værdibaseret ledelse gennemgåes. Med anvendelse af vidensmodellens ”ved-ved ikke”- felter argumenteres for risiko som et mulighedsrum, hvor valg af ambitionsniveau er en ny central styringsopgave med usikkerheden for værdiskabelse som ”core risk”. <p> Resultater – Resultatet viser at begrebet vækstgearing vil kunne håndtere en sådan usikkerhed. Papiret foreslår også en alternativ metode til integration af risiko og almindelig økonomistyring end den gængse CAPM-metode, som blot lægger en risikopræmie til forrentningskravet. Med denne alternative metode vil risiko i praksis kunne blive inddraget i den almindelige økonomistyring, ligesom corporate governance kravet mht. risiko og mht. transparens vil kunne tilgodeses. <p> Begrænsninger og implikationer – Begrebsapparatet er opstillet teoretisk deduktivt, baseret på den indre, formelle logik i værdibaseret ledelse. Anvendeligheden i praksis efterstår således at blive afprøvet. <p> Praktiske implikationer – Modellen er et første forsøg på at integrere risiko-dimensionen i økonomistyringen. Troværdigheden og udbyttet af konceptet, er i første omgang indsigt i begrebet risiko i relation til virksomhedens værdibaserede økonomiske styring, samt at skabe en model som også kan anvendes i undervisningen. Næste skrift vil være at afprøve modellen i praksis, f.eks. via et casestudie. <p> Originalitet/værdi – Et stort antal artikler, case studier og surveys er tilgængelig indenfor feltet. Imidlertid findes der kun ganske få bidrag som kaster lys på usikkerhedsaspektet indenfor økonomistyringslitteraturen. Dette papir kaster lys på denne problemstilling, specielt indenfor værdibaseret ledelse |
| Keywords: | Risiko; Værdibaseret Ledelse; Økonomistyring; Risk Adjusted; Performance Measures; VaR; Risk-Return: Gearing |
| Date: | 2006–04–26 |
| URL: | http://d.repec.org/n?u=RePEc:hhb:aaracc:93-012&r=fmk |
| By: | Frédéric Marty (IDEFI - Institut de droit et d'économie de la firme et de l'industrie - http://www.idefi.cnrs.fr/ - [CNRS : FRE2814] - [Université de Nice Sophia-Antipolis] - []) |
| Abstract: | Le propos de cet article tient à l'analyse du modèle économique mis en place par la firme Enron et dans un questionnement quant à son rôle dans la crise de l'électricité californienne au début des années 2000. |
| Keywords: | Marchés de l'électricité, pouvoir de marché, incitations |
| Date: | 2006–04–24 |
| URL: | http://d.repec.org/n?u=RePEc:hal:papers:halshs-00010371_v1&r=fmk |
| By: | Paul Willen; Felix Kubler |
| Abstract: | We examine the effects of collateralized borrowing in a realistically parameterized life-cycle portfolio choice problem. We provide basic intuition in a two-period model and then solve a multi-period model computationally. Our analysis provides insights into life-cycle portfolio choice relevant for researchers in macroeconomics and finance. In particular, we show that standard models with unlimited borrowing at the riskless rate dramatically overstate the gains to holding equity when compared with collateral-constrained models. Our results do not depend on the specification of the collateralized borrowing regime: The gains to trading equity remain relatively small even with the unrealistic assumption of unlimited leverage. We argue that our results strengthen the role of borrowing constraints in explaining the portfolio participation puzzle, that is, why most investors do not own stock. |
| Keywords: | Margin accounts ; Investments ; Securities |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedbpp:06-4&r=fmk |
| By: | Souphala Chomsisengphet; Anthony Pennington-Cross |
| Abstract: | This paper examines the choice of borrowers to extract wealth from housing in the high-cost (subprime) segment of the mortgage market while refinancing and assesses the prepayment and default performance of these cash-out refinance loans relative to the rate refinance loans. Consistent with survey evidence the propensity to extract equity while refinancing is sensitive to interest rates on other forms of consumer debt. After the loan is originated, our results indicate that cash-out refinances perform differently from non cash-out refinances. For example, cash-outs are less likely to default or prepay, and the termination of cash-outs is more sensitive to changing interest rates and house prices. |
| Keywords: | Mortgages ; Mortgage loans |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedlwp:2006-023&r=fmk |
| By: | Kim, Hyesung (Seoul National University); Heshmati, Almas (Ratio); Aoun, Dany |
| Abstract: | firms is developed in this paper and results compared with the classical static model. This paper specifies and estimates the unobservable optimal capital structure using a wide range of observable determinants. Uunbalanced panel data of Korean listed firms for the period 1985 to 2002 is used in this study. In addition to identification and estimation of the effects of the determinants of capital structure and capital structure optimality, some Korea-specific features such as the structural break before and after the financial crisis, as well as affiliation to a chaebol business groups, are taken into account to verify whether the optimal capital structure was affected by the financial crisis or whether belonging to a chaebol has any effect, and if so, to what extent. |
| Keywords: | Capital structure; debt; firm; panel data; adjustment; Korea |
| JEL: | C33 D21 G32 |
| Date: | 2006–04–25 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:ratioi:0093&r=fmk |
| By: | M. Hashem Pesaran; Ron P. Smith; Takashi Yamagata; Liudmyla Hvozdyk |
| Abstract: | In this paper we adopt a new approach to testing for purchasing power parity, PPP, that is robust to base country effects, cross-section dependence, and aggregation. We test for PPP applying a pairwise approach to the disaggregated data set recently analysed by Imbs, Mumtaz, Ravan and Rey (2005, QJE). We consider a variety of tests applied to all 66 possible pairs of real exchange rate among the 12 countries and estimate the proportion of the pairs that are stationary, for the aggregates and each of the 19 commodity groups. To deal with small sample problems, we use a factor augmented sieve bootstrap approach and present bootstrap pairwise estimates of the proportions that are stationary. The bootstrapped rejection frequencies at 26%-49% based on unit root tests suggest some evidence in favour of the PPP in the case of the disaggregate data as compared to 6%-14% based on aggregate price series. |
| Keywords: | Purchasing Power Parity, Panel Data, Pairwise Approach, Cross Section Dependence. |
| JEL: | C23 F31 F41 |
| Date: | 2006–04 |
| URL: | http://d.repec.org/n?u=RePEc:cam:camdae:0634&r=fmk |
| By: | Kang, Jae-Won; Heshmati, Almas (Ratio); Choi, Gyong-Gyu (Gyong-Gyu Choia) |
| Abstract: | This study evaluates the impact of provision of credit guarantee in Korea at the firm level. The data is assembled from two public funds providing credit guarantees covering the period 2000 to 2003. The sample firms consist of SMEs mainly. To measure the effects of credit guarantee, the relationship between credit guarantees, survival of firms, and their productive performance is analyzed. Since the data is collected as repeated cross sections and firms are not identified over time, the analysis is carried out by using a pseudo panel data approach. The pseudo panel data is created using time invariant firm characteristics. The result from regression analysis conducted indicates that the amounts of credit guarantee and the number of times a firm receives credit guarantees have effects on their survival and growth. The amounts of credit guarantee increase the growth of sales and productivity while frequency of credit guarantees decreases business failure. Size and age play a decisive role in survival of firms and their employment growth as well. Moreover, survival and performance of firms are different across periods, industries, and locations. |
| Keywords: | Credit guarantee; SMEs; Pseudo panel data; survival; performance |
| JEL: | C23 C41 G28 |
| Date: | 2006–04–25 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:ratioi:0092&r=fmk |
| By: | Carolyn Sissoko (Department of Economics, Occidental College) |
| Abstract: | This paper develops a mechanism that links the combined monetary and financial role of intermediaries to the division of labor and endogenous growth. The mechanism is based on an analysis of the late 18th century British environment. At this time the money supply was composed mainly of circulating private debt, which was liquid because of the intermediation of bankers. The model builds on an augmented Ramsey Cass Koopmans (RCK) model of optimal growth. First, by relaxing the assumption that each agent buys and sells at the same time an endogenous cash-in-advance constraint is created. The cash constraint is not binding for agents who borrow from intermediaries at the start of a period and repay the debt at the end of the period. Thus intermediated short-term credit is a solution to the monetary friction. Second to address the division of labor the symmetric n-good n-type structure of Kiyotaki and Wright’s search model of money is nested into each period of the model. Because each type of agent is more productive when his production is specialized, relaxing the cash constraint leads to a division of labor. Finally the exogenous growth of the RCK model is reinterpreted as endogenous growth due to a process of learning-by-doing. We find that financial intermediaries by relaxing the cash constraint promote the division of labor which generates a process of endogenous growth. Because the growth rate of the economy is increasing in the quantity of credit in the economy, the model provides a theoretic explanation for the empirical findings of Levine, Loayza and Beck and Rousseau and Wachtel. |
| JEL: | E5 O3 O4 |
| Date: | 2002–08 |
| URL: | http://d.repec.org/n?u=RePEc:occ:wpaper:8&r=fmk |
| By: | Balling, Morten (Department of Business Studies); Holm, Claus (Department of Business Studies); Poulsen, Thomas (Department of Business Studies) |
| Abstract: | Can corporate governance ratings reduce problems of asymmetric information between companies and investors? To answer this question, we set out to examine the information basis for providing such ratings by reviewing corporate governance attributes that are required or recommended in laws, accounting standards and codes, respectively. After that, we scrutinize and organize the publicly available information on the methodologies actually used by rating providers. However, important details of these methodologies are treated as confidential property, thus we approach the evaluation of corporate governance ratings as a means to reduce asymmetric information in a more general manner. We propose that the rating process may be seen as consisting of two general activities, namely a data reduction phase, and a data weighting, aggregation and classification phase. Findings based on a Danish data set suggest that rating providers by selecting relevant attributes in an intelligent way can improve the screening of companies according to governance quality. In contrast, it seems questionable that weighting, aggregation and classification of corporate governance attributes considerably improve discrimination according to governance quality |
| Keywords: | No; keywords |
| Date: | 2006–04–25 |
| URL: | http://d.repec.org/n?u=RePEc:hhb:aaracc:91-005&r=fmk |
| By: | R. Cesari |
| URL: | http://d.repec.org/n?u=RePEc:bol:bodewp:418&r=fmk |