|
on South East Asia |
| By: | Matteo Manera (University of Milan-Bicocca and Fondazione Eni Enrico Mattei); Elisa Scarpa (Banca Intesa) |
| Abstract: | In this paper we discuss a simple econometric strategy for pricing and hedging illiquid financial products, such as the Japanese crude oil cocktail (JCC) index, the most popular OTC energy derivative in Japan. First, we review the existing literature for computing optimal hedge ratios (OHR) and we propose a critical classification of the existing approaches. Second, we compare the empirical performance of different econometric models (namely, regression models in price-levels, price first differences, price returns, as well as error correction and autoregressive distributed lag models) in terms of their computed OHR using monthly data on the JCC over the period January 2000-January 2006. Third, we illustrate and implement a procedure to cross-hedge and price two different swaps on the JCC: a one-month swap and a three-month swap with a variable oil volume. We explain how to compute a bid/ask spread and to construct the hedging position for the JCC swap. Fourth, we evaluate our swap pricing scheme with backtesting and rolling regression techniques. Our empirical findings show that it is not necessary to use sophisticated econometric techniques, since the price level regression model permits to compute a more reliable optimal hedge ratio relative to its competing alternatives. |
| Keywords: | Hedging Models, Cross-Hedging, Energy Derivatives, Illiquid Financial Products, Commodity Markets, JCC Price Index |
| JEL: | G13 G15 |
| Date: | 2006–10 |
| URL: | http://d.repec.org/n?u=RePEc:fem:femwpa:2006.130&r=sea |
| By: | Hiroshi Fujiki; Howard J. Wall |
| Abstract: | This paper argues that estimation of the Phillips curve for Japan should take account of the geographic dispersion of labor-market conditions. We find evidence that the relationship between wage inflation and the unemployment rate is convex. With such convexity, wage inflation can occur when unemployment rates across regions become more disperse, even if the aggregate unemployment rate is unchanged. We show that controlling for the geographic dispersion of unemployment rates yields a flatter Phillips curve and a higher natural rate of unemployment. |
| Keywords: | Phillips curve ; Japan ; Labor market |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedlwp:2006-057&r=sea |
| By: | Robert Dekle; Guillaume Vandenbroucke |
| Abstract: | Between 1978 and 2003 the Chinese economy experienced a remarkable 5.7 percent annual growth of GDP per labor. At the same time, there has been a noticeable transformation of the economy: the share of workers in agriculture decreased from over 70 percent to less than 50 percent. We distinguish three sectors: private agriculture and nonagriculture and public nonagriculture. A growth accounting exercise reveals that the main source of growth was TFP in the private nonagricultural sector. The reallocation of labor from agriculture to nonagriculture accounted for 1.9 percent out of the 5.7 percent growth in output per labor. The reallocation of labor from the public to the private sector also accounted for a significant part of growth in the 1996-2003 period. We calibrate a general equilibrium model where the driving forces are public investment and employment, as well as sectorial TFP derived from our growth accounting exercise. The model tracks the historical employment share of agriculture and the labor productivities of all three sectors quite well. |
| Keywords: | China |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedfwp:2006-37&r=sea |
| By: | R. Anton Braun; Daisuke Ikeda; Douglas H. Joines |
| Abstract: | This paper quantifies the role of alternative shocks in accounting for the recent declines in Japanese saving rates and interest rates and provides some projections about their future course. We consider three distinct sources of variation in saving rates and real interest rates: changes in fertility rates, changes in survival rates, and changes in technology. The empirical relevance of these factors is explored using a computable dynamic OLG model. We find that the combined effects of demographics and slower total factor productivity growth successfully explain both the levels and the magnitudes of the declines in the saving rate and the after-tax real interest rate during the 1990s. Model simulations indicate that the Japanese savings puzzle is over. |
| Keywords: | Interest rates - Japan |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedfwp:2006-39&r=sea |
| By: | Jaime Marquez; John W. Schindler |
| Abstract: | The rising current account deficit in the USA has attracted considerable attention in recent years. We use the "business cycle accounting" methodology to identify the principal distortions that have affected the external accounts of the US. In particular, we measure distortions in the optimality conditions of a simple two-country general equilibrium model using data from the US and the other G7 countries. We then feed these measured distortions into the model individually and use the simulated counterfactual paths of the current account to determine the contribution of each of these "wedges" to the overall external imbalance of the USA. We find that no single wedge in isolation can account closely for the observed current account. However, a combination of productivity differences and deviations from risk-sharing between the US and the rest of the G7 does the best job in accounting for most of the measured movement of the US current account. |
| Keywords: | Foreign exchange rates - China ; Trade ; Econometric models |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedfwp:2006-41&r=sea |
| By: | Yoon-Jae Whang; Young-Hyun Cho; Oliver Linton |
| Abstract: | We provide a test of the Monday effect in daily stock index returns. Unlike previous studies we define the Monday effect based on the stochastic dominance criterion. This is a stronger criterion than those based on comparing means used in previous work and has a well defined economic meaning. We apply our test to a number of stock indexes including large caps and small caps as well as UK and Japanese indexes. We find strong evidence of a Monday effect in many cases under this stronger criterion. The effect has reversed or weakened in the Dow Jones and S&P 500 indexes post 1987, but is still strong in more broadly based indexes like the NASDAQ, the Russell 2000 and the CRSP.Keywords: Efficient Markets; stock market anomalies; subsamplingJEL Classification: C12, C14, C15, G13, G14 |
| Date: | 2006–09 |
| URL: | http://d.repec.org/n?u=RePEc:fmg:fmgdps:dp568&r=sea |
| By: | Somsupa Nopprach |
| Abstract: | This paper uses agglomeration theory to analyze the impact of Thai government policies on the development of the Thai automotive industry and cluster formation in Central and Eastern Thailand. Using cross-section data on 162 auto-parts suppliers from the Thailand Automotive Directory 2003-2004, the paper examines the criteria of supplier selection in the Thai automotive industry. Using logit models and cross-section data on 162 auto-parts suppliers from the Thailand Automotive Directory 2003-2004, the paper examines the effects of economies of scale, technology, distance between suppliers and assembler plants, and nationality on the likelihood of a supplier being selected as a subcontractor. Furthermore, the paper compares the role of these factors for different types of assemblers-Japanese and American, automobile and motorcycle. The findings suggest that scale of production is a dominant factor while there is no significant preference for suppliers of the same nationality as the assembler. In addition, assemblers are more likely to choose parts makers located in close proximity as their subcontractors, as the agglomeration theory predicts. Finally, the comparison of supplier selection criteria for different types of assemblers shows that there exists commonalities in valuing economies of scale while the automobile assemblers is the group that mostly concern technological level of suppliers. |
| Date: | 2006–10 |
| URL: | http://d.repec.org/n?u=RePEc:hst:hstdps:d06-186&r=sea |
| By: | Kyoji Fukao; Ryo Kambayashi; Daiji Kawaguchi; Hyeog Ug Kwon; Young Gak Kim; Izumi Yokoyama |
| Abstract: | Wage increases, along with job tenure, are one of the most robust empirical regularities found in labor economics. Several theories explain these empirical regularities, and such theories offer sharp empirical predictions for the relation between productivity-tenure and wage-tenure profiles. The human capital model, with cost and benefit sharing between workers and employers, predicts a steeper productivity-tenure profile than wage-tenure profile. The matching quality model predicts that the two profiles will overlap. Theories that involve the information asymmetry between employers and employees predict a steeper wage-tenure profile than productivity-tenure profile to induce workers' effort and enhance efficiency. This paper estimates the productivity-tenure profile and the wage-tenure profile by estimating the plant-level production function and the wage equation using employer-employee matched data from Japan. These estimations offer a comprehensive test for the relative applicability of the two theories on the wage-tenure profile. Estimation results indicate a steeper wage-tenure profile than productivity-tenure profile and point to the relative importance of the deferred wage payment contract. |
| Keywords: | Wage, Productivity, Employer-Employee Matched Data, Japan |
| JEL: | J24 J31 |
| Date: | 2006–10 |
| URL: | http://d.repec.org/n?u=RePEc:hst:hstdps:d06-187&r=sea |
| By: | Kyoji Fukao; Hyeog Ug Kwon; Miho Takizawa |
| Date: | 2006–10 |
| URL: | http://d.repec.org/n?u=RePEc:hst:hstdps:d06-188&r=sea |
| By: | Kyoji Fukao; Keiko Ito; Shigesaburo Kabe; Deqiang Liu; Fumihide Takeuchi |
| Abstract: | This paper analyzes the degree and the current status of localization of Japanese affiliates in China. For this purpose, we (1) compare the localization (measured in terms of the number of expatriates, local sales, local procurement, and local management) of Japanese and U.S. affiliates in China and other major regions; (2) analyze the impact of localization on the profitability of Japanese affiliates in China and in other major regions; and (3) conduct a detailed investigation of inter-firm transactional relationships in China between automobile manufacturers and parts suppliers. We find that compared with U.S. affiliates, Japanese affiliates tend to be less localized. Using a comprehensive affiliate-level panel data set on Japanese multinationals and concentrating on China, we then examine the effect of localization quantitatively and find that Japanese affiliates with higher procurement ratios and/or local CEOs and procurement managers enjoyed high profits. Next, turning to the factors determining trading relationships between assemblers and suppliers of different nationalities in China, our analysis suggests that even when taking various control variables into account, such as suppliers' productivity level and the distance between assembler and supplier, the transactional relationships of Japanese suppliers are more limited than those of suppliers of other nationalities. Moreover, Japanese automobile assemblers do not choose suppliers based on their current labor productivity level and transactional relationships between assemblers and suppliers are more closed in the case of Japanese firms than in the case of firms of other nationalities. On the other hand, we find that auto parts suppliers dealing with Japanese assemblers see their productivity grow faster regardless of the supplier's nationality. The results indicate that Japanese assemblers may well be choosing business partners which they expect to realize sustainable productivity increases in the future rather than focusing on present productivity levels. This finding provides evidence of business practices based on a long-term perspective characteristic of Japanese enterprises. |
| Date: | 2006–11 |
| URL: | http://d.repec.org/n?u=RePEc:hst:hstdps:d06-191&r=sea |
| By: | Yukako Murakami; Kyoji Fukao |
| Abstract: | This paper shows that in the short run an increase in foreign firms' industry share lowers the TFP growth of Japanese firms as a result of the decrease in market power. However, in the long run, the entry of foreign-owned firms has a positive effect on the productivity of local firms as a result of technology spillovers. In addition, the results suggest that foreign firms exert competitive pressure that forces Japanese firms with a high level of technological capabilities raise their productivity growth. |
| Keywords: | Technology Spillovers, Market Power, FDI, Productivity, Absorptive Capacity |
| JEL: | F11 |
| Date: | 2006–11 |
| URL: | http://d.repec.org/n?u=RePEc:hst:hstdps:d06-192&r=sea |
| By: | Michel Normandin (IEA, HEC Montréal) |
| Abstract: | This paper studies the effects of fiscal policies on external and budget deficits. From a tractable small open-economy, overlapping-generation model, the effects are measured by the responses of the external deficit to an increase in the budget deficit due to a tax-cut. The responses are positively affected by the birth rate and the degree of persistence of the budget deficit. Empirical results for the G7 countries over the post-1975 period reveal that the values of birth rate are small for all, but one, countries; but the responses of external and budget deficits are substantial and persistent for most countries. In particular, the fiscal policy has the most important effects on the external deficits for Canada, Japan, and the United States; somewhat smaller impacts for France, Germany, and the United Kingdom; and negligible effects for Italy. |
| Keywords: | Agents’ superior information; birth rate; impact and dynamic responses; G7 Countries; orthogonality restrictions. |
| JEL: | E62 F32 F41 |
| Date: | 2006–05 |
| URL: | http://d.repec.org/n?u=RePEc:iea:carech:0605&r=sea |
| By: | Roberto Pereira Guimarães; Olaf Unteroberdoerster |
| Abstract: | Private sector investment has been a key source of growth in Malaysia over the last three decades, but after an unprecedented decline in the wake of the Asian crisis it has remained sluggish in recent years. Using aggregate and firm-level data, this paper aims to explain these trends and their implications for Malaysia's investment and growth outlook. Aggregate data point to sustained overinvestment in the years prior to the Asian crisis and the role of shifts in investor perceptions as important determinants of the recent decline in private investment. Meanwhile, firm-level data suggest that low profitability, along with financing constraints affecting smaller firms and those in the services sector, has also been important. |
| Keywords: | private investment , long- and short-run dynamics , Tobin's Q , corporate investment , panel data analysis , Private investment , Malaysia , Economic growth , |
| Date: | 2006–08–23 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:06/190&r=sea |
| By: | David Cowen; Hemant Shah; Ranil Salgado; Leslie Teo; Alessandro Zanello |
| Abstract: | This Working Paper brings together three papers prepared as background for discussions at the Second High-Level Conference on Asian Integration cohosted by the Monetary Authority of Singapore and the IMF on May 25, 2006. The first documents recent trends in the intraregional flow of goods and capital and explores linkages between real and financial integration. The second focuses on the institutional and regulatory reforms needed to reap the benefits-and contain the risks-of financial integration in Asia. The third considers the implications of economic integration for the choice of the exchange rate regime and the conduct of macroeconomic policies. |
| Keywords: | Globalization , Regional Integration , Asia , Globalization , Asia , Production , |
| Date: | 2006–09–05 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:06/196&r=sea |
| By: | Amadou N. R. Sy; Jorge A. Chan-Lau |
| Abstract: | In contrast to corporate defaults, regulators typically take a number of statutory actions to avoid the large fiscal costs associated with bank defaults. The distance-to-default, a widely used market-based measure of corporate default risk, ignores such regulatory actions. To overcome this limitation, this paper introduces the concept of distance-to-capital that accounts for pre-default regulatory actions such as those in a prompt-corrective-actions framework. We show that both risk measures can be analyzed using the same theoretical framework but differ depending on the level of capital adequacy thresholds and asset volatility. We also use the framework to illustrate pre-default regulatory actions in Japan in 2001-03. |
| Keywords: | Banks , insolvency , closure , prompt corrective action , distance-to-default , distance-to-capital , Banks , Financial stability , |
| Date: | 2006–10–06 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:06/215&r=sea |
| By: | Steven Vincent Dunaway; Lamin Leigh; Xiangming Li |
| Abstract: | Increased attention is being paid to assessments of the actual values of countries' real exchange rates relative to their "equilibrium" values as suggested by "fundamental" determining factors. This paper assesses the robustness of alternative approaches and models commonly used to derive equilibrium real exchange rate estimates. Using China's currency to illustrate this analysis, the variance in estimates raises serious questions regarding how robust the results are. The basic conclusion from the tests used here is that, at least for China, small changes in model specifications, explanatory variable definitions, and time periods used in estimation can lead to very substantial differences in equilibrium real exchange rate estimates. Thus, such estimates should be treated with great caution. |
| Keywords: | China's equilibrium real exchange rate , robustness tests , |
| Date: | 2006–10–13 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:06/220&r=sea |
| By: | Romain Ranciere; Olivier Jeanne |
| Abstract: | We present a model of the optimal level of international reserves for a small open economy that is vulnerable to sudden stops in capital flows. Reserves allow the country to smooth domestic absorption in response to sudden stops, but yield a lower return than the interest rate on the country's long-term debt. We derive a formula for the optimal level of reserves, and show that plausible calibrations can explain reserves of the order of magnitude observed in many emerging market countries. However, the recent buildup of reserves in Asia seems in excess of what would be implied by an insurance motive against sudden stops. |
| Keywords: | Foreign exchange reserves , balance of payments crises , sudden stops , capital flows , |
| Date: | 2006–10–20 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:06/229&r=sea |
| By: | Pipat Luengnaruemitchai; Barry J. Eichengreen |
| Abstract: | We use data on the extent to which residents of one country hold the bonds of issuers resident in another as a measure of financial integration or interrelatedness, asking how Asia compares with Europe and Latin America and with the base case in which the purchaser and issuer of the bonds reside in different regions. Not surprisingly, we find that Europe is more financially integrated than other regions. Asia, more interestingly, already seems to have made more progress on this front than Latin America and other parts of the world. The contrast with Latin America is largely explained by stronger creditor and investor rights, better contract enforcement, and greater transparency, all of which are conducive to foreign participation in local markets and to intraregional cross holdings of Asian bonds generally. Further results based on a limited sample suggest that one factor holding back investment in foreign bonds in East Asia may be limited geographical diversification by mutual funds, in turn reflecting a dearth of appropriate assets. Asian Bond Fund 2, by creating a passively managed portfolio of local currency bonds potentially attractive to mutual fund managers and investors, may help to relax this constraint. |
| Keywords: | Asia , bond markets , cross-border investment , gravity model , |
| Date: | 2006–10–26 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:06/238&r=sea |
| By: | Abhisek Banerjee; Manmohan Singh |
| Abstract: | The paper finds significant deviations between short-term emerging market real interest rates and world real interest rates primarily due to the inflationary expectations of the local investor base. We test for long-run real interest convergence in emerging markets using a time varying panel unit root test proposed by Pesaran to capture the improved macro-economic fundamentals since early 1990s. We also estimate the speed of convergence in the presence of a shock. The paper suggests that real interest rates in the emerging markets show some convergence in the long run but real interest parity does not hold. Our results also find that the speed of adjustment of real rates to a shock is estimated to differ significantly across the emerging markets. Measured by their half-life, some emerging markets in Asia, E.Europe and S.Africa, where real interest rates are generally low, take much longer to adjust than where real interest rates are generally high (Latin America, Turkey). From a policy perspective, encouraging foreign investors to take direct exposure at the short end of the local debt market could lower the real interest rates in some emerging markets. |
| Keywords: | Real interest parity , short-term local emerging market debt , Pesaran's CADF test , |
| Date: | 2006–11–03 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:06/249&r=sea |
| By: | Martin D. Cerisola; Anoop Singh |
| Abstract: | This paper looks at the historical lessons that might serve to entrech Latin America's newly resurgent growth phase. It briefly reviews the post-World War II experiences in Latin America and Asia, focusing on the conditions that favored capital accumulation and productivity growth in the faster growing economies. Among these, the paper highlights the importance of stable macroeconomic policies, especially fiscal policy. |
| Keywords: | Macroeconomic Policy; Policy Design and Consistency; Economic Growth and Open Economies , |
| Date: | 2006–11–13 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:06/252&r=sea |
| By: | Dong, Fengxia; Fuller, Frank H. |
| Abstract: | China’s economic reforms, which began in 1978, resulted in remarkable income growth, and urban Chinese consumers have responded by dramatically increasing their consumption of meat, other livestock products, and fruits and by decreasing consumption of grain-based foods. Economic prosperity, a growing openness to international markets, and domestic policy reforms have changed the food marketing environment for Chinese consumers and may have contributed to shifts in consumer preferences. The objective of this paper is to uncover evidence of structural change in food consumption among urban residents in China. Both parametric and nonparametric methods are used to test for structural change in aggregate household data from 1981 to 2004. The tests provided a reasonably clear picture of changing food consumption over the study period. |
| Keywords: | China, demand models, food consumption, nonparametric analysis, parametric tests, structural change. |
| Date: | 2006–11–15 |
| URL: | http://d.repec.org/n?u=RePEc:isu:genres:12695&r=sea |
| By: | Heather Antecol (Simon Fraser University and IZA Bonn); Deborah A. Cobb-Clark (SPEAR, RSSS, Australian National University and IZA Bonn) |
| Abstract: | We use the exogenous assignment of Army personnel to duty locations to analyze the relationship between the characteristics of local markets and the propensity for consumers to be subjected to racial discrimination in their everyday commercial transactions. Overall, one in ten soldiers report that they or their families have experienced racial discrimination in finding non-government housing or in patronizing businesses in their local communities. Discrimination is related to a community’s demographic profile with white and Asian soldiers feeling more unwelcome in local businesses as the local population becomes more heavily weighted towards other groups. Moreover, there is evidence that increased economic vulnerability in the community results in more housing discrimination amongst minorities. While the evidence that increased competition reduces consumer market discrimination is mixed, it is clear that discrimination is related to the nature of a soldier’s interaction with the local community. |
| Keywords: | consumer markets, discrimination, U.S. military, economics of minorities |
| JEL: | J15 D12 D40 |
| Date: | 2006–10 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp2389&r=sea |
| By: | Eva Rytter Sunesen (Department of Economics, University of Copenhagen) |
| Abstract: | This paper offers two refinements of the traditional risk measure based on the volatility of growth. First, we condition GDP growth on structural characteristics of the host country that move only slowly and therefore can be partly predicted by an investor. Second, we adjust conditional risk for the systematic components due to the global and regional interdependence between alternative investment locations. The decomposition of conditional risk into its systematic and idiosyncratic components reveals that not only are African countries on average characterised by a larger conditional risk than Asian and Latin American countries, but the idiosyncratic risk factor also represents a larger share than in other developing countries. As a final contribution, we search the empirical literature on foreign direct investment and risk in order to determine which of the suggested risk measures provide the best description of idiosyncratic risk. Using a general-to-specific methodology, we find that both economic and political risk factors are important elements in the investment decision. We also find that commercial risk factors applied in the literature so far are poor determinants of idiosyncratic risk. |
| Keywords: | foreign direct investment; global and regional business cycles; risk decomposition |
| JEL: | E32 F21 O16 C23 |
| Date: | 2006–10 |
| URL: | http://d.repec.org/n?u=RePEc:kud:kuiedp:0620&r=sea |
| By: | Dimitri B. Papadimitriou; Gennaro Zezza; Greg Hannsgen |
| Abstract: | In this new Strategic Analysis, we review what we believe is the most important economic policy issue facing policymakers in the United States and abroad: the prospect of a growth recession in the United States, linked to the imbalances in the U.S. current account, government, and private sector deficits. The current account balance, which is a negative addition to U.S. aggregate demand, is now likely to be above 6.5 percent of GDP and has been rising steadily for some time. The government balance has improved, again giving no stimulus to demand, which has therefore relied entirely on a large and growing private sector deficit. A rapidly cooling housing market is one of the signs showing that this growth path is likely to break down. We focus first on the current account deficit. Our analysis suggests that a necessary and sufficient condition to address this problem, without dire consequences for unemployment and growth, is that net export demand grow by a sufficient amount. For this to happen, three conditions need to be satisfied: foreign saving has to fall, especially in Europe and East Asia; U.S. saving has to rise; and some mechanism, such as a change in relative prices, should be put in place to help the previous two phenomena translate into an improvement in the U.S. balance of trade. |
| Date: | 2006–11 |
| URL: | http://d.repec.org/n?u=RePEc:lev:levysa:sa_nov_06&r=sea |
| By: | Douglas Laxton; Papa N'Diaye; Paolo Pesenti |
| Abstract: | The paper considers the macroeconomic transmission of demand and supply shocks in an open economy under alternative assumptions on whether the zero interest floor (ZIF) is binding. It uses a two-country general-equilibrium simulation model calibrated to the Japanese economy vis-a-vis the rest of the world. Negative demand shocks have more prolonged and startling effects on the economy when the ZIF is binding than when it is not binding. Positive supply shocks can actually extend the period of time over which the ZIF may be expected to bind. More open economies hit the ZIF for a shorter period of time, and with less harmful effects. Deflationary supply shocks have different implications according to whether they are concentrated in the tradables rather than the nontradables sector. Price-level-path targeting rules are likely to provide better guidelines for monetary policy in a deflationary environment, and have desirable properties in normal times when the ZIF is not binding. |
| JEL: | E17 E52 F41 |
| Date: | 2006–11 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:12703&r=sea |
| By: | Yasuo Takatsuki (Graduate School of Economics, Osaka University) |
| Abstract: | The first modern futures market is said to date back to the Chicago Board of Trade established in 1848. However, there existed an older precedent; the Dojima Rice Market established in 1730 in Osaka. The past literature on Dojima has made it clear that Dojima had well-established trading systems. However, a fundamental question remains unanswered: was the first well-established futures market effcient or not? This paper applies the classic measure of market effciency; "weak form effciency" to Dojima Rice Market, and shows that there existed this very type of effciency. Finding an example of this type of effciency in Dojima should come as a pleasant surprise to us, as the Dojima was developed at a time when no modern judicial system and other modern institutions were formed. |
| Keywords: | Tokugawa Period Japan, Futures Market, Unbiasedness Hypothesis, Informational Effciency |
| JEL: | G14 L11 N25 |
| Date: | 2006–11 |
| URL: | http://d.repec.org/n?u=RePEc:osk:wpaper:0628&r=sea |
| By: | Hideaki Sakawa (Graduate School of Economics, Osaka University); Naoki Watanabel (Osaka School of International Public Policy) |
| Abstract: | This paper examines the relationship between the level of Japanese business managers' compensation and the quality of corporate governance, and whether weaker governance structures lead to poorer future performance. The conclusions of this paper are as follows. First, the level of Japanese business managers' compensation increases as the percentage of 'old', 'bank' and 'gray' outside directors increases. Compensation also increases with board stockholding and block holding. This suggests weak monitoring by old, bank and gray outside directors and block holders. Second, our results show that firms with weaker governance structures have poorer performance. These results suggest the existence of an overcompensation problem with Japanese managers similarly to the US. |
| Keywords: | Board of Directors, Corporate Governance, Managers' Compensation, Ownership Structure. |
| JEL: | G30 G32 J33 L22 |
| Date: | 2006–11 |
| URL: | http://d.repec.org/n?u=RePEc:osk:wpaper:0629&r=sea |
| By: | Tetsuji Okazaki (Faculty of Economics, University of Tokyo) |
| Abstract: | This paper explores how the Bank of Japan (BOJ) dealt with the trade-off between stability of the financial system and the moral hazard of banks in pre-war Japan. The BOJ concentrated Lender of Last Resort (LLR) loans with those banks that had an established transaction relationship with the BOJ. At the same time, the BOJ carefully selected its transaction counterparts, and did not hesitate to end the relationship if the performance of a counterpart declined. Further, the BOJ was selective in providing LLR loans. Through this policy, the BOJ could avoid the moral hazard that the LLR policy might otherwise have incurred. |
| Date: | 2006–11 |
| URL: | http://d.repec.org/n?u=RePEc:tky:fseres:2006cf447&r=sea |
| By: | Marchese, Carla |
| Abstract: | Monetary or in-kind transfers can be used as an incentive for consumers to request o.cial receipts for goods they purchase. A novel system of in-kind transfers in the form of lottery tickets has recently been introduced in China. Price subsidies (often granted through tax deductions or refunds) are also widely used. This paper extends the standard model of commodity tax evasion for firms (in a competitive market and under the conjectural variation approach) in order to describe the e.ects of subsidies on tax evasion and in terms of incidence and of government revenue. The role of search costs and of enforcement costs is also taken into account. |
| JEL: | H31 H32 K42 |
| Date: | 2006–11 |
| URL: | http://d.repec.org/n?u=RePEc:uca:ucapdv:72&r=sea |
| By: | James Boyce; Matthew Riddle; Mark D Brenner |
| Abstract: | The introduction of carbon charges on the use of fossil fuels in China would have a progressive impact on income distribution. This outcome, which contrasts to the regressive distributional impact found in most studies of carbon charges in industrialized countries, is driven primarily by differences between urban and rural expenditure patterns. If carbon revenues were recycled on an equal per capita basis via a ‘sky trust,’ the progressive impact would be further enhanced: low-income (mainly rural) households would receive more in sky-trust dividends than they pay in carbon charges, and high-income (mainly urban) households would pay more than they receive in dividends. Thus a Chinese sky trust would contribute to both lower fossil fuel consumption and greater income equality. |
| Keywords: | carbon charges, fossil fuels, China, income distribution, carbon revenues, fuel consumption, income equality |
| JEL: | Q32 Q52 |
| Date: | 2005 |
| URL: | http://d.repec.org/n?u=RePEc:uma:periwp:wp_brenner_riddle_boyce&r=sea |
| By: | Chaudhuri, Shubham; Ravallion, Martin |
| Abstract: | The paper examines the ways in which recent economic growth has been uneven in China and India and what this has meant for inequality and poverty. Drawing on analyses based on existing household survey data and aggregate data from official sources, the authors show that growth has indeed been uneven-geographically, sectorally, and at the household level-and that this has meant uneven progress against poverty, less poverty reduction than might have been achieved had growth been more balanced, and an increase in income inequality. The paper then examines why growth was uneven and why this should be of concern. The discussion is structured around the idea that there are both " good " and " bad " inequalities-drivers and dimensions of inequality and uneven growth that are good or bad in terms of what they imply for both equity and long-term growth and development. The authors argue that the development paths of both China and India have been influenced by, and have generated, both types of inequalities and that while good inequalities-most notably those that reflect the role of economic incentives-have been critical to the growth experience thus far, there is a risk that bad inequalities-those that prevent individuals from connecting to markets and limit investment and accumulation of human capital and physical capital-may undermine the sustainability of growth in the coming years. The authors argue that policies are needed that preserve the good inequalities-continued incentives for innovation and investment-but reduce the scope for bad ones, notably through investments in human capital and rural infrastructure that help the poor connect to markets. |
| Keywords: | Rural Poverty Reduction,Pro-Poor Growth and Inequality,Inequality,Population Policies |
| Date: | 2006–11–01 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wbrwps:4069&r=sea |
| By: | Marc Levy (Centre Emile Bernheim, Solvay Business School, Université Libre de Bruxelles, Brussels.) |
| Abstract: | Today, the shareholding structure of companies is sometimes so complex that it can be difficult to find back their actual owners and controllers. In particular, in continental Europe and in Asia, control tunnelling appears frequently through pyramidal structure. After describing the ownership structure through a graph association, this paper analyses the voting game at stake in the race for control. It compares existing methods and algorithms to identify the owners and controllers of a firm in a pyramidal structure without cross-ownership. As a real life example, the case of the Belgian retail company, Colruyt, is used to apply these different methods and compare their results. |
| Keywords: | Ownership, Governance, Pyramidal structure, Control, Banzhaf, Weakest link |
| JEL: | G32 |
| Date: | 2006–10 |
| URL: | http://d.repec.org/n?u=RePEc:sol:wpaper:06-023&r=sea |
| By: | Fengxia Dong (Center for Agricultural and Rural Development (CARD); Food and Agricultural Policy Research Institute (FAPRI)); Frank H. Fuller (Center for Agricultural and Rural Development (CARD); Food and Agricultural Policy Research Institute (FAPRI); Midwest Agribusiness Trade Research and Information Center (MATRIC)) |
| Abstract: | China's economic reforms, which began in 1978, resulted in remarkable income growth, and urban Chinese consumers have responded by dramatically increasing their consumption of meat, other livestock products, and fruits and by decreasing consumption of grain-based foods. Economic prosperity, a growing openness to international markets, and domestic policy reforms have changed the food marketing environment for Chinese consumers and may have contributed to shifts in consumer preferences. The objective of this paper is to uncover evidence of structural change in food consumption among urban residents in China. Both parametric and nonparametric methods are used to test for structural change in aggregate household data from 1981 to 2004. The tests provided a reasonably clear picture of changing food consumption over the study period. |
| Keywords: | China, demand models, food consumption, nonparametric analysis, parametric tests, structural change. |
| Date: | 2006–11 |
| URL: | http://d.repec.org/n?u=RePEc:ias:cpaper:06-wp437&r=sea |
| By: | Carlo Carraro (Department of Economics, University Of Venice Cà Foscari); Johan Eyckmans (European University College Brussels EHSAL and Center for Economic Studies, Katholieke Universiteit Leuven.); Michael Finus (Department of Economics, University of Hagen and National University of Singapore) |
| Abstract: | The literature on international environmental agreements has recognized the role transfers play in encouraging participation in international environmental agreements. However, the results achieved so far are overly specific. Therefore, we develop a more general framework that enables us to study the role of transfers in a systematic way. We propose transfers using both internal and external financial resources for making “welfare optimal agreements” self-enforcing. To illustrate the relevance of our transfer scheme, we use a stylized integrated assessment simulation model of climate change to show how appropriate transfers may induce almost all countries into signing a self-enforcing climate treaty. |
| Keywords: | Self-enforcing International Environmental Agreements, Climate Policy, Transfers |
| JEL: | C72 H23 Q25 Q28 |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:ven:wpaper:44_06&r=sea |
| By: | Baba, Naohiko; Nakashima, Motoharu; Shigemi, Yosuke; Ueda, Kazuo |
| Abstract: | Using the interest rates on negotiable certificates of deposit issued by individual banks, we first show that under the Bank of Japan's zero interest rate policy and quantitative monetary easing policy, not just the levels of money market rates but also the dispersion of rates across banks have fallen to near zero. We next show that the fall in the dispersion of the rates is not fully explained by a fall in the dispersion of credit ratings of the banks. We also present some evidence on the role of the Bank of Japan's monetary policy in reducing risk premiums. |
| Keywords: | Monetary policy; Zero Interest Rate Policy; Quantitative Monetary Easing Policy; Negotiable Certificate of Deposit; Credit Risk Premium |
| JEL: | G00 G0 |
| Date: | 2005–10–17 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:816&r=sea |
| By: | Rockerbie, Duane |
| Abstract: | The posting system used in major league baseball to obtain free agent players from Japan has some similarities and many differences from the transfer system used to obtain foreign free agents in European football. This paper uses auction theory to assess the efficiencies (or lack of) in the posting system and to suggest alternatives. |
| Keywords: | posting system; baseball; auction theory; winner's curse |
| JEL: | L83 J44 |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:891&r=sea |
| By: | Situngkir, Hokky |
| Abstract: | The article discussed about the research opportunities in social complexity studies, especially in Indonesia. This issue is connected to the establishment a social research institute in Indonesia, how to establish and maintain it regarding the interdisciplinary research field. However a lot of localities are taken into the consideration to maintain the social complexity research institute, there would always things that can be learnt by any other similar research institute. |
| Keywords: | research institute; social complexity studies; interdiscplinary research |
| JEL: | L31 B40 |
| Date: | 2006–11–11 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:893&r=sea |