Showing papers in "The Quarterly Review of Economics and Finance in 2000"

TL;DR: In this article, the authors applied recently developed unit root and cointegration models to determine the appropriate Granger relations between stock prices and exchange rates using recent Asian flu data, and found that data from South Korea are in agreement with the traditional approach.

TL;DR: In this article, the existence of a significant, long-run relationship between stock prices and domestic and international economic activity in six European economies has been investigated using the Johansen Cointegration tests.

TL;DR: This article investigated the financial characteristics of banks that use derivatives and those that do not, finding that user banks, compared to nonusers, are associated with riskier capital structures (more notes and debentures and less equity capital), larger maturity mismatches between assets and liabilities, greater net loan charge-offs, and lower net interest margins.

TL;DR: In this article, the authors examined the effect of tax reform on bank dividend policy and found that the lower the taxes, the higher the payout, contrary to the dividend irrelevancy argument, and the results were not robust in tests using data from a later period meant to more closely examine changing capitalization requirements' impact on dividend policy.

TL;DR: The authors examines the origins of Brazil's state and private banks and how the decades of inflation produced distortions in the way they functioned and describes the crises that emerged with the end of inflation and the measures taken by the Central Bank to deal with them.

TL;DR: In this article, the authors investigated the measurement and valuation of intangible capital in the wireless telecommunications industry and found that the failure of financial accounting statements to reasonably value licenses plays a substantial role in causing these extraordinarily high q ratios.

TL;DR: In this article, the authors examined the motives for government banking in Brazil and found that the dependency of the government financial institutions for financial support on the Federal Government created loopholes that have made problematic the execution of monetary policy.

TL;DR: In this article, the authors claim that in the 1990s and for the first time in its post-war history, due to the developments both in the international and in the domestic financial markets, there existed opportunities to develop non-inflationary private sources of long-term finance and to reduce its dependency on foreign savings.

TL;DR: The authors found that the observed negative market reaction reflects the market's economic assessment of the impact of the event on these firms, and that it is not caused by anticipation or confounding events.

TL;DR: The socioeconomic factors that have impeded the Brazilian government's attempts to privatize its banking sector in a privatizing global economy are identified in this paper. But, the authors do not consider the impact of the socioeconomic factors on the privatization process.

TL;DR: In this paper, the authors investigate the incidence of such extreme beta observations in order to establish whether they are a response by the market to the arrival of news or alternatively are a result of the model picking up noise from the mean.

TL;DR: A cross-state empirical analysis reveals that mainstream physicians’ incomes are higher in states with more restrictive regulations governing the practice of homeopathy, suggesting that regulatory barriers to alternative medicine are motivated more by the interests of orthodox physicians in seeking protection from competition than by the interest of consumers in quality assurance.

TL;DR: In this article, the authors explore how embedded options in assets and liabilities of financial institutions impact interest rate risk, which is measured by equity value change with interest rate movements, and find that both asset and liability durations decline when embedded options are present where liability duration declines more substantially.

TL;DR: In this paper, the authors analyzed the differences in small business financing sources among various groups in Puerto Rico (Island-born Puerto Ricans, U.S. born in the United States, and immigrants).

TL;DR: In this article, the authors examined the performance and ownership structure characteristics of financial institutions that chose to expand by acquiring other institutions and found that benefits are more likely to be created when the expansion strategy is implemented by making large acquisitions rather than numerous small acquisitions.

TL;DR: In this article, the authors examined the relationship between stock returns and inflation during the German hyperinflation period and found that stock returns, inflation, expected inflation, and unexpected inflation are cointegrated.

TL;DR: In this article, the authors apply Ramsey pricing to the U.S. electric utility industry, with particular emphasis on the "elasticity of exit", which optimally has a larger unbundled access price mark-up.

TL;DR: This paper argued that the maturity structure of private debt decreases with inflation and that this occurs because of the relative price variability that tends to accompany inflation, which encourages debtors to overexpose themselves to changes in relative prices by holding inventories which are too low and by engaging in too little forward-selling.

TL;DR: In this paper, the authors compare capital budget announcements by firms with anti-takeover mechanisms in place to announcements without takeover barriers during the period 1980 to 1995, and find evidence consistent with managerial entrenchment when firms are insulated from the threat of takeover and have enough free cash flow to avoid raising external capital.

TL;DR: In this article, the relationship between the price of corporate debt and the share price of a levered firm in an equilibrium framework where corporate debt is a non-redundant asset is analyzed.

TL;DR: The authors empirically tested for the existence of bank contagion at the local level using bank-specific data for thirteen counties in Colorado and Kansas, using regression analysis to test the hypothesis that the uninsured CD pricing behavior of a failing bank affects the prefailure uninsured CD purchasing behavior of solvent banks within the same county as the failing institution.

TL;DR: In this article, the authors show that investors that mistakenly assume stationarity are bound to underestimate the total and systematic risk (and overestimate the risk-adjusted returns) of European stocks.

TL;DR: The authors examines the role of economics and economists in shaping public policy by examining the employment of economists in government, academe, and the private sector and concludes that academic economists must become more directly involved with policy makers in government and decision makers in business.

TL;DR: This paper examined the impact of working wives on the distribution of family earnings at various life-cycle stages, with particular emphasis on comparisons between the early 1970s and the early 1990s, and found that the actual gap between rich and poor families is narrower than if all wives were out of the labor force, and that this equalizing influence of female employment is least pronounced when a child under age six is present in the household.

TL;DR: This paper showed that the CD-Treasury yield spreads vary over time in ways predicted by option pricing theory, and that changes in the spread are negatively related to expected interest-rate levels (represented by the slope of the yield curve), negative related to levels of interest rates (representing by the short-term riskless rate), and negatively related with expectations of interest rate volatility, represented by implied volatility from exchange traded options.

TL;DR: In this article, the combined effects of efficiency wages and labor market matching frictions are explored, and a combined efficiency wage-frictional model is developed in which separate efficiency wage, frictional, and undistorted models are nested.

TL;DR: In this paper, the authors argue that the improved trade-off has resulted, in part, from improved labor quality in the form of increased average years of work experience and education, and use these variables to calculate new estimates of the natural unemployment rate.

TL;DR: This paper examined the determinants of share prices of two United States companies over a 14-year period during the late 19 th century, when America had an emerging equity market, and found that outside investors received sufficient compensation for their ignorance, and that these outsiders set the market price.

TL;DR: In this article, the authors explain why the value and riskiness of an identical project can be different for firms with different assets in place, and why value of a project as stand-alone may be irrelevant for a firm's investment decisions.

TL;DR: The authors developed an augmented Phillips curve model to test whether there are any structural shifts in wage dynamics in the 1990s using state data from 1980 to 1996, the empirical results are consistent with wages becoming more cyclically responsive.