计量经济分析 = Econometric analysis

This paper employs recently developed techniques for testing hypotheses in cointegrated panels to test the strong version of purchasing power parity for a panel of post Bretton Woods data. We compare results using fully modified and dynamic OLS approaches, and strongly reject the hypothesis. We also introduce a new between-dimension dynamic OLS estimator and find that the between-dimension FMOLS and DOLS estimates of the long-run deviation from purchasing power parity are larger than the corresponding within-dimension estimates. Finally, we attempt to reconcile these rejections with the mixed findings that have been reported in panel unit root studies.

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Purchasing power parity tests in cointegrated panels

Testing for a Unit Root in the Nonlinear STAR Framework

Focuses on international portfolio choice and corporation finance. Micro-theory of individual portfolio choice; Equilibrium pricing relationships and risk-return tradeoffs; Objectives for value maximizing firms. (Из Ebsco)

International Portfolio Choice and Corporation Finance: A Synthesis

This paper solves explicitly a simple equilibrium model with liquidity risk. In our liquidityadjusted capital asset pricing model, a security s required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with the market return and liquidity. In addition, a persistent negative shock to a security s liquidity results in low contemporaneous returns and high predicted future returns. The model provides a unified framework for understanding the various channels through which liquidity risk may affect asset prices. Our empirical results shed light on the total and relative economic significance of these channels and provide evidence of flight to liquidity. r 2005 Elsevier B.V. All rights reserved.

Market Liquidity: Asset Pricing with Liquidity Risk

With transaction costs for trading goods, the nominal exchange rate moves within a band around the nominal purchasing power parity (PPP) value. We model the behavior of the band and of the exchange rate within the band. The model explains why there are below-unity slope coefficients in regression tests of PPP, and why these increase toward unity under hyperinflation or with low-frequency data. Our results are independent of the presence of nontraded goods in the economy. THE OBJECTIVE OF THIS article is to develop a model of the exchange rate that explains the following two stylized empirical facts about deviations from relative purchasing power parity (PPP). First, in a simple regression of changes in (nominal) exchange rates on inflation differentials, the slope coefficient is typically below unity. Second, the slope coefficient increases with the length of the observation interval, and the PPP link is also stronger under hyperinflation than under modest inflation.1 The low coefficients in the relative PPP regression, especially when tested over short periods of time, are often ascribed to errors-in-variables biases that arise from, for example, infrequent price sampling for some items, nonsynchroneity among the prices composing the index, relative price effects in price indices that are weighted differently across countries, and the presence of nontradable goods.2 In this article we present a complementary explanation for the stylized empirical facts, and show that below-unity regression coefficients are expected even when none of these errors in variables are present. We focus on the effect of costs for trading goods-such as shipping and insurance costs, tariffs, and information costs-on the nominal exchange rate.

/pdf/the-exchange-rate-in-the-presence-of-transaction-costs-3u8q130w3h.pdf

The Exchange Rate in the Presence of Transaction Costs: Implications for Tests of Purchasing Power Parity

Manuscript Type: Empirical Research Question/Issue: Prior studies have failed to unequivocally establish a positive relationship between corporate-governance ratings and company performance, although theoretically, we would expect to find one. In this paper, we try to establish whether a positive relationship exists through modeling the relationship more carefully. Research Findings/Insights: After controlling for selection bias and endogeneity simultaneously, we find a significant positive relationship between corporate-governance ratings and performance. However, the strength of this relationship seems to depend on the quality of the institutional environment. Finally, we find that improvements in corporate-governance ratings over time result in decreasing marginal benefits in terms of performance. Theoretical/Academic Implications: Our paper contributes to the literature by showing that improved corporate-governance ratings lead to better performance, but that econometric problems might obscure this relationship. We also show that for a sample of developed countries the institutional environment affects the relationship between governance ratings and performance. Finally, this paper contributes to the literature on the impact, regarding compliance and effectiveness, of codes of good governance. Practitioner/Policy Implications: Our results are relevant for both companies and policy makers. They indicate that companies can improve performance by adhering to good corporate-governance practices. For policy makers, the findings suggest that soft laws and the invisible hand of the market lead to companies improving their corporate governance.

/pdf/corporate-governance-ratings-and-company-performance-a-cross-4sdx4p9zf9.pdf

Corporate‐Governance Ratings and Company Performance: A Cross‐European Study

Increased exchange rate volatility positively affects the value of exporting firms via the price and volume impacts of exchange rates, and also makes an exporting strategy more attractive relative to the direct investment. Investment in export production capacity could therefore be a positive function of exchange rate volatility. Firms would also be more willing to sustain losses (i.e., to engage in dumping) before they abandon their export markets. The effect on the volume and value of trade is ambiguous.

Exchange rate volatility, international trade, and the value of exporting firms

https://lirias.kuleuven.be/bitstream/123456789/85631/1/OR_8002.pdf

A generalisation of the international asset pricing model

This paper reviews the recent literature on equity home bias - the empirical finding that people over invest in domestic stocks relative to the theoretically optimal investment portfolio. We cover different home bias measures and we illustrate the extent and the evolution of equity home bias both with recent portfolio holdings data and longer time series. Institutional-based and behavior-based explanations for the puzzle are considered and discussed. We conclude that none of the proposed theories can explain the full extent of the bias by itself, thus we argue that international portfolio choice should be explained by a mixture of rational and irrational behavior.

/pdf/home-bias-in-international-equity-portfolios-a-review-vgii6jd6rj.pdf

Piet Sercu

Papers

The Exchange Rate in the Presence of Transaction Costs: Implications for Tests of Purchasing Power Parity

Corporate‐Governance Ratings and Company Performance: A Cross‐European Study

Exchange rate volatility, international trade, and the value of exporting firms

A generalisation of the international asset pricing model

Home bias in international equity portfolios: a review