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作者：BOLLERSLEV, T; MELVIN, M
作者单位：Arizona State University; Arizona State University-Tempe; Northwestern University
摘要：Consistent with the implications from a simple asymmetric information model for the bid-ask spread, we present empirical evidence that the size or the bid-ask spread in the foreign exchange market is positively related to the underlying exchange rate uncertainty. The estimation results are based on an ordered probit analysis that captures the discreteness in the spread distribution, with the uncertainty of the spot exchange rate being quantified through a GARCH type model. The data sets consis...
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作者：BRANCO, F
作者单位：Banco de Portugal
摘要：This paper studies the rationale for giving preference to domestic firms in the award of government contracts when the regulator is interested in maximizing domestic welfare. It is seen that, in the absence of comparative advantages, the regulator should discriminate in favor of the domestic firms, because foreign firms' profits do not enter in domestic welfare. Furthermore, I show that the form of the discrimination function depends on the mechanism being used. In order to simplify the implem...
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作者：BEKAERT, G
摘要：This paper examines time-series properties of exchange rate changes, the forward premium and the forward bias in the context of a variant of Svensson's cash-in-advance model. The model is solved and simulated using realistic forcing processes whose law of motion is estimated from U.S.-Japan data and then approximated by a Markov chain. Although method of moments estimation shows that the over-identifying restrictions implied by the model are not rejected, it fails dramatically in producing a s...
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作者：HOGAN, KC; MELVIN, MT
作者单位：Arizona State University; Arizona State University-Tempe; McGill University
摘要：We examine the role that news and heterogeneous expectations play in the persistence of exchange rate volatility, or so-called 'meteor shower' effects. Our empirical focus is on the U.S. trade balance news, which is shown to have a significant and persisting effect on the exchange rate and its conditional variance. Furthermore, the impact of U.S. trade balance 'news' is not isolated to the U.S. foreign exchange market. The degree to which U.S. trade balance 'news' affects other geographical ma...
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作者：BRECHER, RA; CHOUDHRI, EU
作者单位：Carleton University
摘要：This paper questions whether commodity taxation can ensure Pareto gains from trade liberalization in the presence of unemployment. To address this question, we extend the standard multi-consumer model of international trade to include efficiency-wage unemployment. Even if trade liberalization does not cause aggregate unemployment to rise, individual workers may lose jobs and would require compensation to maintain their pre-liberalization levels of welfare. This compensation would weaken the in...
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作者：TAKEMORI, S; TSUMAGARI, M
摘要：This paper investigates the question of the optimal trade policies in the presence of foreign ownership, extending the framework of the pioneering studies by Brecher and Bhagwati. Trade in the ownership claims is explicitly modelled using a stochastic trade model. The paper concludes that the results of the above studies crucially depend on the policy not being expected at the time foreign investment takes place.
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作者：TYBOUT, JR
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作者：VOUSDEN, N; CAMPBELL, N
摘要：This paper offers another explanation for the proposition that protection induces slack. It employs a model of a hierarchic firm in which the firm's owner cannot observe the cost type or the effort level of his manager. A production subsidy, by stimulating output, may increase the marginal information rents that have to be paid to the manager for higher effort. The resulting increase in the firm's marginal cost of effort leads to reduced managerial effort amplifying the intra-firm effort disto...
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作者：FUNG, KC
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作者：GOLDBERG, LS
作者单位：National Bureau of Economic Research
摘要：This paper predicts ex ante probabilities of currency crises and sizes of expected devaluations month by month for Mexico between 1980 and 1986. The forces contributing to speculative attacks on the Mexican peso include domestic fiscal and monetary shocks, external credit shocks and relative price shocks. Reducing domestic credit growth, increasing the uncertainty surrounding this growth, and reducing the size and perhaps increasing the frequency of currency realignments might have greatly red...
