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Book part
Publication date: 14 October 2009

Rune Elvik, Alena Høye, Truls Vaa and Michael Sørensen

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The Handbook of Road Safety Measures
Type: Book
ISBN: 978-1-84855-250-0

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Article
Publication date: 3 October 2016

Sheung Chi Chow, Yongchang Hui, João Paulo Vieito and ZhenZhen Zhu

This paper aims to examine the impact of stock market liberalization on efficiency of the stock markets in Latin America.

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Abstract

Purpose

This paper aims to examine the impact of stock market liberalization on efficiency of the stock markets in Latin America.

Design/methodology/approach

Daily stock indices from Latin American countries, including Brazil, Mexico, Chile, Peru, Jamaica and Trinidad and Tobago, are used in the analysis. To examine the impact of stock market liberalization on efficiency, the authors use several approaches, including the runs test, Chow–Denning multiple variation ratio test, Wright variance ratio test, the martingale hypothesis test and the stochastic dominance (SD) test, on the above Latin American stock market indices.

Findings

The authors find that stock market liberalization does not improve stock market efficiency in Latin America.

Originality/value

This investigation is among the first to examine the impact of stock market liberalization on the efficiency of the stock markets. It is among the first to examine the impact of stock market liberalization on the efficiency of the Latin American stock markets. It is also among the first to apply the martingale hypothesis test and a SD approach on issue about efficient market.

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Studies in Economics and Finance, vol. 33 no. 4
Type: Research Article
ISSN: 1086-7376

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Publication date: 1 July 1925

We issue a double Souvenir number of The Library World in connection with the Library Association Conference at Birmingham, in which we have pleasure in including a special…

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We issue a double Souvenir number of The Library World in connection with the Library Association Conference at Birmingham, in which we have pleasure in including a special article, “Libraries in Birmingham,” by Mr. Walter Powell, Chief Librarian of Birmingham Public Libraries. He has endeavoured to combine in it the subject of Special Library collections, and libraries other than the Municipal Libraries in the City. Another article entitled “Some Memories of Birmingham” is by Mr. Richard W. Mould, Chief Librarian and Curator of Southwark Public Libraries and Cuming Museum. We understand that a very full programme has been arranged for the Conference, and we have already published such details as are now available in our July number.

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New Library World, vol. 28 no. 2
Type: Research Article
ISSN: 0307-4803

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Book part
Publication date: 19 December 2012

Francesco Bravo, Juan Carlos Escanciano and Taisuke Otsu

This chapter proposes a simple, fairly general, test for global identification of unconditional moment restrictions implied from point-identified conditional moment restrictions…

Abstract

This chapter proposes a simple, fairly general, test for global identification of unconditional moment restrictions implied from point-identified conditional moment restrictions. The test is a Hausman-type test based on the Hausdorff distance between an estimator that is consistent even under global identification failure of the unconditional moment restrictions, and an estimator of the identified set of the unconditional moment restrictions. The proposed test has a χ2 limiting distribution and is also able to detect weak identification. Some Monte Carlo experiments show that the proposed test has competitive finite sample properties already for moderate sample sizes.

Abstract

Many jurisdictions fine illegal cartels using penalty guidelines that presume an arbitrary 10% overcharge. This article surveys more than 700 published economic studies and judicial decisions that contain 2,041 quantitative estimates of overcharges of hard-core cartels. The primary findings are: (1) the median average long-run overcharge for all types of cartels over all time periods is 23.0%; (2) the mean average is at least 49%; (3) overcharges reached their zenith in 1891–1945 and have trended downward ever since; (4) 6% of the cartel episodes are zero; (5) median overcharges of international-membership cartels are 38% higher than those of domestic cartels; (6) convicted cartels are on average 19% more effective at raising prices as unpunished cartels; (7) bid-rigging conduct displays 25% lower markups than price-fixing cartels; (8) contemporary cartels targeted by class actions have higher overcharges; and (9) when cartels operate at peak effectiveness, price changes are 60–80% higher than the whole episode. Historical penalty guidelines aimed at optimally deterring cartels are likely to be too low.

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The Law and Economics of Class Actions
Type: Book
ISBN: 978-1-78350-951-5

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Book part
Publication date: 21 September 2022

Michael Chin, Ferre De Graeve, Thomai Filippeli and Konstantinos Theodoridis

Long-term interest rates of small open economies (SOE) correlate strongly with the USA long-term rate. Can central banks in those countries decouple from the United States? An

Abstract

Long-term interest rates of small open economies (SOE) correlate strongly with the USA long-term rate. Can central banks in those countries decouple from the United States? An estimated Dynamic Stochastic General Equilibrium (DSGE) model for the UK (vis-á-vis the USA) establishes three structural empirical results: (1) Comovement arises due to nominal fluctuations, not through real rates or term premia; (2) the cause of comovement is the central bank of the SOE accommodating foreign inflation trends, rather than systematically curbing them; and (3) SOE may find themselves much more affected by changes in USA inflation trends than the United States itself. All three results are shown to be intuitive and backed by off-model evidence.

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Essays in Honour of Fabio Canova
Type: Book
ISBN: 978-1-80382-832-9

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Book part
Publication date: 13 December 2013

Todd E. Clark and Michael W. McCracken

This article surveys recent developments in the evaluation of point and density forecasts in the context of forecasts made by vector autoregressions. Specific emphasis is placed…

Abstract

This article surveys recent developments in the evaluation of point and density forecasts in the context of forecasts made by vector autoregressions. Specific emphasis is placed on highlighting those parts of the existing literature that are applicable to direct multistep forecasts and those parts that are applicable to iterated multistep forecasts. This literature includes advancements in the evaluation of forecasts in population (based on true, unknown model coefficients) and the evaluation of forecasts in the finite sample (based on estimated model coefficients). The article then examines in Monte Carlo experiments the finite-sample properties of some tests of equal forecast accuracy, focusing on the comparison of VAR forecasts to AR forecasts. These experiments show the tests to behave as should be expected given the theory. For example, using critical values obtained by bootstrap methods, tests of equal accuracy in population have empirical size about equal to nominal size.

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VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims
Type: Book
ISBN: 978-1-78190-752-8

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Book part
Publication date: 18 January 2022

Andrew B. Martinez, Jennifer L. Castle and David F. Hendry

We investigate whether smooth robust methods for forecasting can help mitigate pronounced and persistent failure across multiple forecast horizons. We demonstrate that naive…

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We investigate whether smooth robust methods for forecasting can help mitigate pronounced and persistent failure across multiple forecast horizons. We demonstrate that naive predictors are interpretable as local estimators of the long-run relationship with the advantage of adapting quickly after a break, but at a cost of additional forecast error variance. Smoothing over naive estimates helps retain these advantages while reducing the costs, especially for longer forecast horizons. We derive the performance of these predictors after a location shift, and confirm the results using simulations. We apply smooth methods to forecasts of UK productivity and US 10-year Treasury yields and show that they can dramatically reduce persistent forecast failure exhibited by forecasts from macroeconomic models and professional forecasters.

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Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling
Type: Book
ISBN: 978-1-80262-062-7

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Book part
Publication date: 22 June 2021

John N. Moye

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The Psychophysics of Learning
Type: Book
ISBN: 978-1-80117-113-7

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Book part
Publication date: 27 November 2017

Tarek Ibrahim Eldomiaty, Islam Azzam, Mohamed Bahaa El Din, Wael Mostafa and Zahraa Mohamed

The main objective of this study is to examine whether firms follow the financing hierarchy as suggested by the Pecking Order Theory (POT). The External Funds Needed (EFN) model…

Abstract

The main objective of this study is to examine whether firms follow the financing hierarchy as suggested by the Pecking Order Theory (POT). The External Funds Needed (EFN) model offers a financing hierarchy that can be used for examining the POT. As far as the EFN considers growth of sales as a driver for changing capital structure, it follows that shall firms plan for a sustainable growth of sales, a sustainable financing can be reached and maintained. This study uses data about the firms listed in two indexes: Dow Jones Industrial Average (DJIA30) and NASDAQ100. The data cover quarterly periods from June 30, 1999, to March 31, 2012. The methodology includes (a) cointegration analysis in order to test for model specification and (b) causality analysis in order to show the generic and mutual associations between the components of EFN. The results conclude that (a) in the majority of the cases, firms plan for an increase in growth sales but not necessarily to approach sustainable rate; (b) in cases of observed and sustainable growth of sales, firms reduce debt financing persistently; (c) firms use equity financing to finance sustainable growth of sales in the long run only, while in the short run, firms use internal financing, that is, retained earnings as a flexible source of financing; and (d) the EFN model is quite useful for examining the hierarchy of financing. This study contributes to the related literature in terms of utilizing the properties of the EFN model in order to examine the practical aspects of the POT. These practical considerations are extended to examine the use of the POT in cases of observed and sustainable growth rates. The findings contribute to the current literature that there is a need to offer an adjustment to the financing order suggested by the POT. Equity financing is the first source of financing current and sustainable growth of sales, followed by retained earnings, and debt financing is the last resort.

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Growing Presence of Real Options in Global Financial Markets
Type: Book
ISBN: 978-1-78714-838-3

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