Claremont McKenna College Robert Day School of Economics & Finance Research Paper Series最新文献

{"title":"Armageddon and the Stock Market: US, Canadian and Mexican Market Responses to the 1962 Cuban Missile Crisis","authors":"R. Burdekin, P. Siklos","doi":"10.2139/ssrn.3634943","DOIUrl":"https://doi.org/10.2139/ssrn.3634943","url":null,"abstract":"The threat of nuclear annihilation has never been higher than in 1962, when US President Kennedy and Soviet Premier Khruschev engaged in brinkmanship over the placement of Soviet missiles in Cuba during October 16-28. Although the resolution of the crisis was followed by a sustained recovery in the US, Canadian and Mexican stock markets, the stock market impact of the crisis itself, at first glance, seems relatively limited. Notwithstanding the fact that empirical analysis of 1962 US market data reveal a significant break on October 23, 1962, which is the day after President Kennedy’s television address about the Cuban missile crisis, the drop on this day was smaller than prior one day declines seen in the earlier part of the year. When we focus on the 1% left tail of the distribution, that is, just the very largest negative returns, a different story emerges, however. US uncertainty is now seen to have a significant negative impact on returns across each of the US, Canadian and Mexican markets. Moreover, the size of the negative response to the rise in uncertainty is comparable in all three cases notwithstanding the fact the pre-crisis Mexican stock market trajectory had been very different from that seen in the United States and Canada.","PeriodicalId":407431,"journal":{"name":"Claremont McKenna College Robert Day School of Economics & Finance Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130575765","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Time to Act: A Field Experiment on Overdraft Alerts","authors":"Financial Conduct Authority Submitter, P. Adams, Darragh Kelly, Michael Grubb, M. Osborne","doi":"10.2139/ssrn.3538529","DOIUrl":"https://doi.org/10.2139/ssrn.3538529","url":null,"abstract":"Despite the growth of digital banking and the rapidly expanding offering of money management applications, a substantial proportion of banking customers still incur overdraft and unpaid item charges. To the extent that such charges are incurred due to inattention, our previous research shows that automatically enrolling consumers into just-in-time warning alerts can reduce charges. In this paper, we report the findings of a large-scale field experiment with two UK retail banks on automatic enrolment of consumers into just-in-time and early-warning overdraft and unpaid item alerts. In line with our earlier research, we find that that just-in-time alerts lead to statistically and economically significant reductions in charges. The evidence on the effectiveness on early warning alerts, by contrast, is mixed. A survey with a sub-sample of participants reveals that automatic enrolment into alerts is supported by consumers, even those who opted out of receiving alerts.<br>","PeriodicalId":407431,"journal":{"name":"Claremont McKenna College Robert Day School of Economics & Finance Research Paper Series","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123914239","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Interest Rate in the Objective Function of the Central Bank and Monetary Policy Design","authors":"G. Segal","doi":"10.2139/ssrn.3482245","DOIUrl":"https://doi.org/10.2139/ssrn.3482245","url":null,"abstract":"We analyze two well-known specifications of the interest rate term in the central bank's objective function, and find that the inflation response to a positive demand shock is positive (intuitive) under one specification and negative (counter-intuitive) under the other. We show that the difference between the two responses can be mitigated by a Taylor-type rule and depends on the interest rate inertia. A super-inertial interest rate, which is more aggressive and leads to the counter-intuitive response, may be helpful in an environment of low inflation due to negative demand shocks, such as the current global economic environment.","PeriodicalId":407431,"journal":{"name":"Claremont McKenna College Robert Day School of Economics & Finance Research Paper Series","volume":"25 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116785577","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Mathematical Science of Finance Economy","authors":"Mustapha Akintona","doi":"10.2139/ssrn.3462134","DOIUrl":"https://doi.org/10.2139/ssrn.3462134","url":null,"abstract":"Currency, money economy and money management are the workmanship and profit of financial player intensity to take various routine precautions like meteorology, weather analysis and means of communication services including radio services, television services and information science to minimize the damaged information and volatility on finance economy. However, the systemic risk management is about managing the speculative relationship between risks and returns confronting the moral hazard and incomplete information in the model of efficient capital markets, financial networks and financial innovation technology but philosophy of banking is natural right of utilizing considerable finance and reasonable social condition in climaxing to a procession of mythic norm and reality in a value of money since information science of decision making is a state of affair in a the whole economy.","PeriodicalId":407431,"journal":{"name":"Claremont McKenna College Robert Day School of Economics & Finance Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130235493","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Design, Experimental Laboratory Testing and Implementation of a Large, Multi-Market, Policy Constrained, State Gaming Machines Auction","authors":"C. Plott, T. Cason, B. Gillen, H. Lee, Travis Maron","doi":"10.2139/ssrn.3456314","DOIUrl":"https://doi.org/10.2139/ssrn.3456314","url":null,"abstract":"The paper reports on the theory, design, laboratory experimental testing, field implementation and results of a large, multiple market and policy constrained auction. The auction involved the sale of 18,788 ten-year entitlements for the use of electronic gaming machines in 176 interconnected markets to 363 potential buyers representing licensed gaming establishments. The auction was conducted in one day and produced over $600M in revenue. The experiments and revealed dynamics of the multi-round auction provide evidence about basic principles of multiple market convergence found in classical theories of general equilibrium using new statistical tests of the abstract properties of tatonnement.","PeriodicalId":407431,"journal":{"name":"Claremont McKenna College Robert Day School of Economics & Finance Research Paper Series","volume":"102 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124673939","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Solving the Reswitching Paradox in the Sraffian Theory of Capital","authors":"C. Milana","doi":"10.2139/ssrn.3499058","DOIUrl":"https://doi.org/10.2139/ssrn.3499058","url":null,"abstract":"The possibility of the reswitching of techniques in Piero Sraffa’s intersectoral model, namely the recurring capital-intensive techniques with monotonic changes in the interest rate, is traditionally considered as a paradoxical violation of the assumed convexity of technology putting at stake the viability of the neoclassical theory of production. It is argued here that this phenomenon can be rationalized within the neoclassical paradigm. Sectoral interdependencies can give rise to the well-known price Wicksell effect, which is the revaluation of capital goods due to changes in relative prices triggered by monotonic variations in income distribution. The reswitching of techniques is, therefore, the result of cost-minimizing technical choices facing returning ranks of relative input prices in full consistency with the pure marginalist theory of factor rewards. The theoretical analysis proposed in this article is applied empirically to the counterexamples of various case studies presented in the literature.","PeriodicalId":407431,"journal":{"name":"Claremont McKenna College Robert Day School of Economics & Finance Research Paper Series","volume":"321 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123474006","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Do Research Joint Ventures Serve a Collusive Function?","authors":"Eric A. Helland, Michelle Sovinsky","doi":"10.2139/ssrn.1163268","DOIUrl":"https://doi.org/10.2139/ssrn.1163268","url":null,"abstract":"\u0000 Every year thousands of firms are engaged in research joint ventures (RJV), where all knowledge gained through R&D is shared among members. Most of the empirical literature assumes members are non-cooperative in the product market. But many RJV members are rivals leaving open the possibility that firms may form RJVs to facilitate product market collusion. We examine this by exploiting variation in RJV formation generated by a policy change that affects the collusive benefits but not the research synergies associated with a RJV. We use data on RJVs formed between 1986 and 2001 together with firm-level information from Compustat to estimate a RJV participation equation. After correcting for the endogeneity of R&D and controlling for RJV characteristics and firm attributes, we find the decision to join is impacted by the policy change. We also find the magnitude is significant: the policy change resulted in an average drop in the probability of joining a RJV of $41%$ among computer and semiconductor manufacturers, $34%$ among telecommunications firms, and $33%$ among petroleum refining firms. Our results are consistent with research joint ventures serving a collusive function.","PeriodicalId":407431,"journal":{"name":"Claremont McKenna College Robert Day School of Economics & Finance Research Paper Series","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132675147","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Key Factors of Islamic Finance Perception: Tunisia Case Using the Cognitive Map","authors":"S. Daly","doi":"10.2139/ssrn.3310998","DOIUrl":"https://doi.org/10.2139/ssrn.3310998","url":null,"abstract":"In last three decades, the appearance of strong Islamic movements has generated a renewed interest in Islamic finance, particularly in Islamic interest free banking. This work hopes to analyze and determine the factors that influence the Islamic finance perception in Tunisia. We provide an average cognitive map of 65 Tunisian Islamic banks such as Al-baraka and Zitouna, in order to clarify the perception factors of Islamic banking by the Tunisian population. The findings revealed that the perception of Islamic financial industry is mainly the result of cultural, socio-demographic, personal and psychological variables and the type of financing. By using the MICMAC program, the empirical results showed that the cognitive approach is a relevant way for the interpretation of this phenomenon. <br><br>This study contributes to the existing literature and previous studies by addressing to Al Baraka and Zitouna's bankers instead of the bank customers. Move to bankers to know the perception of Islamic finance by customers is interesting. Bankers give a general idea of all clients which reduces the task when contacting each client separately and improve the credibility of qualitative findings. Moreover, our investigation is proposed a new approach to building an average cognitive map for the explanation of Islamic finance perception. <br>","PeriodicalId":407431,"journal":{"name":"Claremont McKenna College Robert Day School of Economics & Finance Research Paper Series","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132975964","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Marxian ‘Alienation’, Polanyian ‘Fictitious Commodification’, and ‘Keynes’ ‘Love of Money’: An Enquiry Into the Diminution of ‘The Social’ in Contemporary Economic Thought","authors":"A. Lodhi","doi":"10.2139/ssrn.3166770","DOIUrl":"https://doi.org/10.2139/ssrn.3166770","url":null,"abstract":"The gradual diminution and effective erasure of ‘the social’ as a formal category of analysis in contemporary, ‘neoclassical’, economics is here referred to as the issue of ‘a-sociality’. An avowed a-sociality, both in this programmatic sense as well as in a general intuitive sense, may be said to be the thematic constant uniting the various analytical shortcomings of the economics discipline in its present state. A-sociality describes first and foremost a methodological habit — namely, that of theorizing the economy as an autonomous entity unto itself, distinct from extant non-economic realms of human social life. We trace the genealogy of this practice, finding its foundations in the endogenous market logic of the so-called ‘catallactic’ framework of economy-society theorization, wherein the market is conceptualized as a closed referential system, severed in its functionality from surrounding social institutions. The point is this: that a failure to theorize about the market system in conjunction with the non-economic, non-contractual, social context within which it is everywhere and always embedded, and upon which it depends for its reproduction, occults the causal channels between these two objects of analysis and, as a consequence, removes from analytical remit an understanding of the manner in which markets often tend to destroy their own conditions of possibility, through their jeopardizing of the human capacity to maintain social bonds. This is shown through a demonstration of the explanatory efficacy to be garnered from the employment of the framework lying in contradistinction to the catallactic framework, namely, the ‘sociologic’ framework — predicated upon the fact of the structural, social embeddedness of the market economy — through a survey of the adverse sociological consequences of capitalist marketization, documented in the works of three renowned adherents of this framework, Karl Marx, Karl Polanyi, and John Maynard Keynes. These ‘consequences’, specifically, are ‘mechanisms’ through which the market effectuates, within its social basis, a generalized Durkheimian anomie, hence undermining its own existential presuppositions. Marxian ‘alienation’, Polanyian ‘fictitious commodification’, and Keynes' ‘love of money’ all in some way contribute to the ‘breakdown of the social’ witnessed under capitalism: the atrophy of the sociocultural processes that supply the solidarity relations, effective dispositions and value horizons — the general capacities for social reproduction — that underpin social cooperation and market exchange. The epistemological constraints of a-sociality renders neoclassical thought blind to these realities in their totality, attaching a certain troubling superfluity to the conclusions therein reached. The bringing of the social back into economics, through the realization of the embeddedness postulate both in theory and in practice, along with the repudiation of the catallactic mode of thought, is proposed to am","PeriodicalId":407431,"journal":{"name":"Claremont McKenna College Robert Day School of Economics & Finance Research Paper Series","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124144897","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"El sector financiero ante la turbulencia del entorno y los nuevos desafíos competitivos en un marco de incertidumbre radical (The Financial Sector: Turbulence and Competitive Challenges Within a Radically Uncertain Environment)","authors":"Manuel Rodríguez - López, Carlos Piñeiro-Sánchez, Pablo de Llano-Monelos","doi":"10.2139/ssrn.3493609","DOIUrl":"https://doi.org/10.2139/ssrn.3493609","url":null,"abstract":"<b>Spanish Abstract:</b> Las entidades financieras se enfrentan al gran reto de mantener su actividad financiera en un entorno de grandes cambios y diversidad de factores que en su conjunto configuran un entorno cuya principal característica es de incertidumbre radical. En esta línea de trabajo se analizan de forma meramente descriptiva, dada su complejidad y envergadura, cuáles son los principales factores, cuál es su posible impacto y cómo tienen que adaptarse las entidades financieras a este nuevo escenario. <br><br><b>Spanish Abstract:</b> Financial institutions face the great challenge of maintaining their financial activity in a changing environment determined by a set of factors characterized by radical uncertainty. This work descriptively analyzes these factors; their impacts are discussed, and the way in which financial institutions can adapt to this new scenario.","PeriodicalId":407431,"journal":{"name":"Claremont McKenna College Robert Day School of Economics & Finance Research Paper Series","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132584927","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}