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on International Finance |
| By: | J. Bradford Jensen; Dennis P. Quinn; Stephen Weymouth |
| Abstract: | We examine firm participation in global supply chains to help explain a puzzling decline in protectionist demands in the U.S. despite increased import competition and ongoing currency undervaluation. To explain firm responses to undervaluation, we rely on advances in the international trade literature that uncover intraindustry heterogeneity in firm trade and investment activities. We propose that firm foreign direct investments in, and subsequent related party trade with, countries with undervalued exchange rates will lead to fewer antidumping filings. Examining the universe of U.S. manufacturing firms, we find that antidumping petition filers are more internationally engaged than non-filing peers, but conduct less related party trade with filed-against countries. High levels of related-party imports (arm’s length imports) from countries with undervalued currencies significantly decrease (increase) the likelihood of U.S. antidumping petitions. Our study highlights the centrality of global supply chains in understanding political mobilization over international economic policy. |
| JEL: | F1 F13 F23 F31 F5 |
| Date: | 2013–07 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:19239&r=ifn |
| By: | Gary Koop (Department of Economics, University of Strathclyde); Dimitris Korobilis (Department of Economics, University of Glasgow) |
| Abstract: | We use factor augmented vector autoregressive models with time-varying coefficients to construct a financial conditions index. The time-variation in the parameters allows for the weights attached to each .financial variable in the index to evolve over time. Furthermore, we develop methods for dynamic model averaging or selection which allow the financial variables entering into the FCI to change over time. We discuss why such extensions of the existing literature are important and show them to be so in an empirical application involving a wide range of .financial variables. |
| Keywords: | financial stress, dynamic model averaging, forecasting |
| JEL: | C11 C32 C52 C53 |
| Date: | 2013–06 |
| URL: | http://d.repec.org/n?u=RePEc:str:wpaper:1307&r=ifn |
| By: | Mehdi Lallouache; Fr\'ed\'eric Abergel |
| Abstract: | Using a new high frequency data set we provide a precise empirical study of the interdealer spot market. We check that the main stylized facts of financial time series also apply to the FX market: fat-tailed distribution of returns, aggregational normality and volatility clustering. We report two standard microstructure phenomena: microstructure noise effects in the signature plot and the Epps effect. We find an unusual shape for the average book and a bimodal spread distribution. We construct the order flow and analyse its main characteristics: volume, placement, arrival intensity and sign. Many quantities have been dramatically affected by the decrease of the tick size in March 2011. We argue that the coexistence of manual traders and algorithmic traders, who react differently to the new tick size, leads to a strong price clustering property in all types of orders, thus affecting price formation. |
| Date: | 2013–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1307.5440&r=ifn |