This thesis consists of four self-contained essays on the various topics in finance.  The first essay, The Information Content of The Systematic Risk Structure of Corporate Yields for Future Real Activity: An Exploratory Empirical Investigation, constructs a proxy for the systematic component of the risk structure of corporate yields (or systematic risk structure), and tests how well it predicts real economic activity in the United States. It finds that the systematic risk structure predicts the growth rate of industrial production 3 to 18 months into the future even when other leading indicators are controlled for, outperforming other models. A regime-switching estimation also shows that the systematic risk structure is very successful in identifying and capturing different growth regimes of industrial production.  The second essay, How Much Leverage is Too Much, or Does Corporate Risk Determine the Severity of a Recession? investigates whether financial conditions of the U.S. corporate sector  can explain the probability and severity of recessions. It proposes a measure of corporate vulnerability, the Corporate Vulnerability Index (CVI) constructed as the default probability for the entire corporate sector. It finds that the CVI is a significant predictor of the probability of a recession 4 to 6 quarters ahead, even controlling for other leading indicators, and that an increase in the CVI is also associated with a rise in the probability of a more severe and lengthy recession 3 to 6 quarters ahead.  The third essay, Asian Flu or Wall Street Virus? Tech and Non-Tech Spillovers in the United States and Asia (with Jorge A. Chan-Lau), using TGARCH models, finds that U.S. stock markets have been the major source of price and volatility spillovers to stock markets in the Asia-Pacific region during three different periods: the pre-LTCM crisis period, the “tech bubble” period, and the “stock market correction” period. Hong Kong SAR, Japan, and Singapore were sources of spillovers within the region and affected the United States during the latter period. There is also evidence of structural breaks in the stock price and volatility dynamics induced during the “tech bubble” period.  The fourth essay, Coping with Financial Spillovers from the United States: The Effect of U. S. Corporate Scandals on Canadian Stock Prices, investigates the effect of U.S. corporate scandals on stock prices of Canadian firms interlisted  in the United States. It finds that firms interlisted during the pre-Enron period enjoyed increases in post-listing equilibrium prices, while firms interlisted during the post-Enron period experienced declines in post-listing equilibrium prices, relative to a model-based benchmark. Analyzing the entire universe of Canadian firms, it finds that interlisted firms, regardless of their listing time, were perceived as increasingly risky by Canadian investors after the Enron’s bankruptcy. / Diss. Stockholm : Handelshögskolan, 2003

Dans ma thèse doctorale, j'étudie trois facteurs importants qui caractérisent le commerce international : les différences technologiques entre les pays, les barrières à l'entrée sous la forme de coûts fixes et la migration internationale. Le premier chapitre analyse si les différences technologiques entre les pays peuvent expliquer la spécialisation dans le commerce international entre les pays. Pour mesurer le niveau de la spécialisation, je calcule les index de concentration pour la valeur des importations et des exportations et décompose la concentration totale dans la marge de produits extensive (nombre de produits commercialisés) et la marge de produits intensive (volume de produits commercialisés). En utilisant des données commerciales détaillées au niveau du produit dans 160 pays, mes résultats montrent que les exportations sont plus concentrées que les importations, que la spécialisation se produit principalement au niveau de la marge intensive du produit, et que les économies plus grandes disposent d'importations et d'exportations plus diversifiées, car elles commercialisent plus de produits. Compte tenu de ces faits, j'évalue la capacité du modèle Eaton-Kortum, le principal modèle de la théorie ricardienne du commerce, pour représenter les preuves empiriques. Les résultats montrent que la spécialisation à travers l'avantage comparatif induit par les différences de technologie peut expliquer les faits qualitatifs et quantitatifs. De plus, j'évalue le rôle des déterminants clés de la spécialisation : le degré de l'avantage comparatif, l'élasticité de la substitution et la géographie. Une implication de ces résultats est qu'il est important d’évaluer jusqu'à quel point la volatilité de production mesurée par la volatilité du PIB est motivée par la spécialisation des exportations et des importations. Étant donné le compromis entre l'ouverture du commerce et la volatilité de production, les bénéfices tirés du commerce peuvent s'avérer plus faibles que ceux estimés précédemment. Par conséquent, les politiques commerciales alternatives telles que l'ouverture graduelle au commerce combinée à la diversification de la production pour réduire la concentration de l'exportation peuvent se révéler être une meilleure stratégie que l'approche du laissez-faire. En utilisant la relation entre la taille du marché et l’entrée de firmes et produits, le deuxième chapitre évalue si les barrières à l'entrée sous la forme de coûts fixes à exporter sont au niveau de la firme ou au niveau du produit. Si les coûts fixes se trouvent au niveau de la firme, la firme multiproduits a un avantage de coût de production par rapport aux autres firmes parce qu’elles peuvent diviser les coûts fixes sur plusieurs produits. Dans ce cas, le commerce international sera caractérisé par peu de firmes qui exportent beaucoup des produits. Si les coûts fixes sont au niveau du produit, l’entrée d’un produit est associée avec l’entrée de plusieurs firmes. La raison est qu’une fois que la première firme entre et paye les coûts fixes du produit, elle crée un effet d’entrainement qui réduit les coûts fixes pour des firmes rivales. Dans ce cas, le commerce international sera caractérisé par plusieurs firmes qui vendent des variétés différentes du même produit. En utilisant des données détaillées provenant de 40 pays exportateurs à travers 180 marchés de destination, mes résultats montrent que les barrières à l'entrée se trouvent principalement au niveau du produit. Un marché plus large favorise l'expansion d'un plus grand nombre d’entreprises au sein d'une catégorie de produit plutôt que de permettre aux entreprises produisant plusieurs produits de croître dans une gamme de produits. En regardant la différence entre le nombre d'exportateurs au sein d'une catégorie de produit dans des destinations données, je trouve que le taux d'entrée de firmes augmente significativement après qu'un produit entre la première fois dans le marché. J'en déduis donc que le premier entrant réduit les coûts fixes pour les firmes suivantes. Mes recherches démontrent également que malgré une plus grande compétition sur le marché du produit, les entreprises disposent de revenus d'exportation supérieurs et sont plus susceptibles de rester sur les marchés internationaux. Ces résultats sont cohérents avec l’hypothèse que l’effet d’entrainement incite l'entrée de firmes rivales et permettent aux entreprises de produire à plus grande échelle. Cette recherche dévoile un nombre de conclusions importantes. D'abord, les politiques commerciales encouragent l'entrée de nouveaux produits, par exemple, en promouvant des produits dans les marchés de destination entraînant ainsi des retombées qui se traduiront par un taux de participation plus élevé de l'entreprise et une croissance de l'exportation. Deuxièmement, les consommateurs du pays importateur peuvent bénéficier de prix plus bas pour le produit en réduisant les barrières techniques du commerce. Troisièmement, lorsque l'on effectue des expérimentations politiques sous la forme de réduction des coûts commerciaux, il est de coutume de considérer uniquement une baisse des coûts marginaux et d'évaluer les répercussions sur le bien-être du consommateur. Cependant, un élément important des accords commerciaux est la réduction des barrières techniques au commerce grâce à la négociation de normes communes pour un produit. Négliger l'existence des barrières à l'entrée et les conséquences des réaffectations de l'industrie affaiblit l'impact des réformes commerciales. Le troisième chapitre prend en compte le rôle de l'information dans la facilitation du commerce international. Les immigrants réduisent les coûts de transaction dans le commerce international en fournissant des informations sur les possibilités d'échange avec leur pays d'origine. En utilisant des données géographiques détaillées sur l'immigration et les importations aux États-Unis entre 1970 et 2005, je quantifie l'incidence qu'ont les nouveaux immigrants sur la demande pour les importations de biens intermédiaires aux États-Unis. Pour établir le lien cause à effet entre le commerce et la migration, j’exploite l'important afflux d'immigrants d'Amérique centrale après l'ouragan Mitch. Les résultats montrent que l'augmentation de dix pour cent d'immigrants a fait croître la demande pour les importations de biens intermédiaires de 1,5 pour cent. Mes résultats sont robustes aux problèmes de la causalité inverse ou la décision d’émigrer est causée par des opportunités de faire du commerce. / In my PhD thesis I study three factors that shape international trade patterns: technological differences across countries, entry barriers in the form of fixed costs and international migration. The first chapter analyses whether technology differences across countries can explain specialization patterns in international trade. To measure specialization, I compute concentration indexes for the value of exports and imports and decomposes the overall concentration into the extensive product margin (number of products traded) and intensive product margin (volume of products traded). The results show that exports are more concentrated than imports, specialization occurs mainly in the volume of trade and larger economies have more diversified exports and imports because they trade more products. I then evaluate the ability of the Eaton-Kortum model, the workhorse model of Ricardian trade theory, to account for the observed facts. The results show that technology-induced specialization through comparative advantage can explain the qualitative and quantitative facts. The key determinants of specialization are the degree of comparative advantage, the elasticity of substitution and geography. Based on the relationship between entry and market size, the second chapter evaluates whether fixed costs are at the firm or at the product level. Within an empirical framework, I argue that fixed costs at the firm level induce a cost advantage for multi-product firms and international trade will be characterized by few firms selling many products. On the other hand, if fixed costs are at the product level, product entry is accompanied with lots of firms entry and international trade will be characterized by many firms selling different varieties of the same product. Using detailed product level data from 40 exporting countries to 180 destination markets, the results indicate that entry barriers operate at the product level. The key implication of the product fixed cost is that the firm that pays the fixed cost creates a positive externality that lowers entry costs for rival exporters and increases firm entry. Looking at firm entry within products across time and destinations, I find evidence consistent with these spillover effects. Combined these results have important implications for the effects of trade policy on market structure and on the resulting gains from trade in the exporting as well as in the importing country. The third chapter considers the role of migration in facilitating international trade. Immigrants can increase international trade by shifting preferences towards the goods of their country of origin and by reducing bilateral transaction costs. Using geographical variations across US states for the period 1970 to 2005, we quantify the impact of immigrants on intermediate goods imports. We address endogeneity and reverse causality - which arises if migration from a country of origin to a US state is driven by trade opportunities between the two locations - by exploiting the exogenous allocation of refugees within the US refugee resettlement program. Our results are robust to an alternative identification strategy, based on the large influx of Central American immigrants to the United States after hurricane Mitch. We find that a 10 percent increase in recent immigrants to a given US state raises intermediate imports from those immigrants' country of origin by 1.5 percent.

In the past ten years the Foreign Direct Investment (FDI) has become a phenomenon, which is nowadays considered to be one of the major future perspectives of an economy. For many economists and politicians, the FDI is perceived as a saving instrument, which should help solve problems such as structure, regional discrepancies and most importantly a high unemployment rate especially under the conditions of global economic and financial crisis. The inflow of the FDI to host economy brings many positive effects that cannot be substituted. In fact, it is considered as a positive externality that must be paid. In order to attract the FDI in a country, the investment incentives are proposed and current incentives are being rebuilt. But attracting FDI at all costs can also be counterproductive. The intended aim of this thesis is to analyze positive and negativ effects of the FDI.

Diese Dissertation behandelt Fragen des Wettbewerbs auf Softwaremärkten. Konkret geht es um folgende Frage: Welchen Einfluss haben kleine und mittelständische Unternehmen (KMUs) auf die Wettbewerbskonditionen in der Softwarebranche vor dem Hintergrund des zunehmenden Einsatzes von rechtlichen Maßnahmen zum Schutze des geistigen Eigentums? Theoretischer Teil: Wir untersuchen theoretisch Übertragungseffekte (Spillovers) zwischen KMUs und größeren Softwareunternehmen im Kontext von gebündelten Produkten (bundling). Während Bundling und die resultierenden wettbewerbspolitischen Optionen in einem statischen Kontext gut verstanden sind, gibt es noch offene Fragen im dynamischen Kontext. Hier untersuchen wir, inwieweit die Standardargumente gegen Bundling an Gültigkeit verlieren. Wir kommen zum Schluss, dass Wettbewerbspolitik in Softwaremärkten in einem dynamischen Kontext Bundling durchaus in Betracht ziehen sollte. Empirischer Teil: Wir untersuchen, ob der zunehmende Einsatz von Schutzrechten durch KMUs dazu führt, dass der Wettbewerb im Bereich der Informations- und Kommunikationstechnologien (IuK) zunimmt. Diese empirisch fundierte Arbeit analysiert einen Datensatz von KMUs aus der IuK-Industrie unter besonderer Berücksichtigung von Softwareherstellern. Mit Hilfe einer Varianzanalyse untersuchen wir den Einfluss von vier Faktoren auf den Einsatz von Schutzrechten, nämlich: Globalisierung, rechtliches Umfeld, kooperative Forschung und Open Source Software-Nutzung. / This dissertation focuses on competition within the software market. Specifically it aims to provide further understanding and insights to the following question: In the context of intellectual property rights (IPR), what impact do small and medium sized enterprises (SME) have on competition in the software industry? Normative contribution to the dynamic policy literature: Bundling and the resulting competition policy measures are well understood under static conditions. In this essay, we theoretically examine the spillover exchange between SME and large software firms in the context of bundling. Based on the findings of our static model, we suggest that competition policy in the software market should consider bundling under dynamic competition because it could lead to a different conclusion resulting from the factors unique to the software market e.g., OSS programmers. Positive contribution to IPR literature: We empirically examine whether increased IPR adoption by small and medium sized enterprises enables greater competition within the information and communications sector. The analysis is based on a dataset of SME in the information and communications sector which also includes the software industry. We make use of the analysis of variance in order to study the impact of four factors on SME adoption of intellectual property rights, namely; globalization, legal frameworks, cooperative research and open source software use and development. i

Cette thèse analyse comment les pays en développement pourraient attirer davantage de capitaux privés, en bénéficier avec une amélioration de leur productivité, tout en évitant les éventuels effets pervers tel que l'appréciation du taux de change réel. La première partie de la thèse analyse les déterminants macroéconomiques des capitaux privés. Les résultats montrent que les infrastructures, et le développement financier favorisent les investissements directs étrangers (IDE) et les investissements de portefeuille (chapitre 2). La politique monétaire expansive réduit à terme les investissements de portefeuille. Une analyse des déterminants des IDE à partir de données de firmes renforce les résultats macroéconomiques (chapitre 3) en concluant qu'une meilleure qualité des infrastructures, des institutions et un développement financier stimulent les IDE dans le secteur manufacturier. Les firmes étrangères exportant leur production souffrent davantage des insuffisances de capital humain alors que les contraintes de financement sont des obstacles plus importants pour les firmes étrangères desservant le marché local. Contrairement aux autres pays en développement, les incitations fiscales ne semblent pas être utiles dans le secteur manufacturier des pays d'Afrique Sub-saharienne. La seconde partie de la thèse montre que les flux de capitaux privés et publics apprécient le taux de change de réel, réduisant la compétitivité des pays (chapitre 4). L'appréciation du taux de change réel est plus élevée pour les capitaux privés de court terme tels que les investissements de portefeuille relativement aux flux de long terme (IDE et transferts de migrants). La flexibilité du taux de change permet aux pays d'atténuer l'appréciation du taux de change réel émanant des flux de capitaux. Le climat d'investissement plus favorable des firmes étrangères explique significativement leur plus grande productivité par rapport aux firmes locales (chapitre 5). La productivité agrégée des pays est significativement améliorée lorsque toutes les firmes font face de façon hypothétique au climat d'investissement des firmes étrangères. Les firmes locales fournissant les firmes étrangères en matières premières ont une productivité plus élevée. Cela valide l'importance des spillovers verticaux au travers des liens fournisseurs-clients.

La prima parte della Tesi si occupa dello studio delle strategie di investimento ottime nel settore energetico e in ricerca e sviluppo, nell'ambito di politiche di stabilizzazione dei gas serra nell'atmosfera. La seconda parte tratta invece metodi per la quantificazione degli impatti economici dei cambiamenti climatici sul settore agricolo, considerando tutte le possibilità di adattamento. / The first part of the Thesis discusses optimal investment strategies in the energy sector and in R&D for knowledge advancements to stabilize atmospheric concentrations of GHG. The second part deals instead with the measurement of impacts of climate change on agriculture considering all possible adaptation options.

Le relazione tra R&S e produttività in Italia è di crescente interesse. L'analisi effettuata utilizza dati settoriali per verificare la relazione tra R&D e produttività in Italia tra il 1991 e il 2002. I risultati ottenuti sono confrontati con quelli ottenuti sugli stessi 21 settori in Germania. Le principali conclusioni sono che l'elasticità del valore aggiunto al capitale tecnologico (deprezzato al 15%) è uguale a 0.14 in Germania e 0.04 in Italia, che in Italia il capitale tecnologico si deprezza più lentamente e che un ruolo decisivo è svolto dall'interazione tra quota di ricercatori e capitale tecnologico e dagli spillover / The relation between R&D and productivity in Italy is of increasing interest. The analysis carried out uses industry data in order to verify the relation between R&D and productivity in Italy between 1991 and 2002. The results obtained were compared to those obtained on the same 21 manufacturing and commercial industries in Germany. The main findings are that elasticity of value added to technological capital (depreciated at 15%) is equal to 0.14 in Germany and 0.04 in Italy, that in Italy technological capital depreciates more slowly and that a decisive role is played by interaction between share of researchers and technological capital and by spillovers.

本文研究目的，在於探討台灣資訊科技（information technology）產業廠商的研發資本存量及產業內（intra-industry）研發資本存量的外溢效果（spillover effect）對於生產技術效率的影響。文中所採用的資料，主要來自於台灣經濟新報資料庫及廠商的財務報表，利用1997-2003年402家於台灣證券交易所上市及上櫃廠商的財務資料，並對Battese and Coelli（1995）所提出隨機邊界生產函數（stochastic frontier production function）與技術無效率效果（technical inefficiency effect）模型，同時進行實證估計。本文主要研究發現為，不論是以整體IT產業的廠商來看，或是分別就電腦硬體產業、半導體產業、通訊產業及光電產業的廠商來看，產業內R&D資本的外溢對於廠商的生產技術效率有正向的影響。但廠商自身的R&D資本存量對於其生產技術效率卻無顯著的影響，而軟體產業的廠商，卻現負面影響。另外，台灣IT產業廠商亦存在著技術進步的情形，但其技術效率則隨著時間而遞減。再則，本文研究也發現，台灣的IT產業中，半導體產業的廠商在生產技術效率方面表現最好，光電產業的廠商則最差。此外，上市廠商的技術效率較上櫃廠商佳。而有在科學園區設立工廠的廠商，除了半導體產業的廠商之外，其他四個產業的在科學工業園區設立工廠的廠商生產技術效率與未於科學園區設立工廠的廠商並無顯著差異。 / This paper aims to investigate the influence of and intra-industry spillovers of R&D spending on firm’s technical efficiency of production in Taiwan’s information technology (IT) industry. Firm-level panel data of 402 firms in IT industry from 1997~2003 provided by Taiwan Economic Journal (TEJ) data bank and the stochastic frontier production function and technical inefficiency function proposed by Battese and Coelli (1995) are adopted in this study. The primary finding of this study is that the intra-industry spillovers of R&D spending on firm’s technical efficiency exist in Taiwan’s IT industry. This finding also exists in sub-industries of IT industry: computer hardware industry, semi-conductor industry, software industry, telecom industry, and photoelectric industry. However, influence of R&D capital on firm’s technical efficiency is insignificant in whole IT industry in Taiwan. Besides, in the period, there are technical advancements in firms of whole IT industry. Finally, the performance of the IT firms inside the Science Park is insignificant better than the firms outside in terms of technical efficiency, but excluding semi-conductor firms.

Mi tesis utiliza la noción de contrato relacional para explicar pautas aparentemente contraintuitivas de organización vertical. El primer capitulo muestra que, cuando existen externalidades entre empresas, la integración vertical reduce la tentación de sus ejecutivos de bajar el esfuerzo, haciendo sus promisas de cooperar más creibles. El segundo capitulo muestra que, cuando una regulación europea prohibió los territorios exclusivos en la distribución de automóviles, los fabricantes impusieron estándares de servicio y precios maximos, estos últimos para reducir la tentación de los concesionarios de romper pactos informales para no competir. El tercer capitulo muestra que, pese a la asignación simétrica de derechos de decisión en sus contratos de franquicia, los fabricantes de coches dictan estándares a los concesionarios, remunerandolos con descuentos discrecionales. Eso sugiere que los fabricantes son delegados informalmente para tomar decisiones, y usan sus podéres contractuales como recurso extremo contra la tentación de los concesionarios de rechazarlas. / My thesis applies the notion of relational contracts to explain seemingly counterintuitive vertical arrangements. The first chapter shows that, in the presence of spillovers between an upstream and a downstream firm, vertical integration reduces the downstream manager's present gains from shirking, making her promise to cooperate with the upstream firm credible. The second chapter shows that, after a European regulation prohibited exclusive territories, car dealership contracts switched to a mix of service standards and price ceilings, and argues that price ceilings were introduced to reduce the dealers' short-run profits from reneging on an informal "no-compete" agreement. The third chapter shows that, despite the even allocation of decision rights in dealership contracts, car manufacturers dictate performance standards ex post, and reward dealers through discretionary discounts. This suggests manufacturers are informally delegated to set standards, and use formal decision rights as a last resort against the dealers' temptation to overturn their decisions.

This thesis presents a collection of papers that has been published, accepted or submitted for publication. They assess price, volatility and market relationships in the five regional electricity markets in the Australian National Electricity Market (NEM): namely, New South Wales (NSW), Queensland (QLD), South Australia (SA), the Snowy Mountains Hydroelectric Scheme (SNO) and Victoria (VIC). The transmission networks that link regional systems via interconnectors across the eastern states have played an important role in the connection of the regional markets into an efficient national electricity market. During peak periods, the interconnectors become congested and the NEM separates into its regions, promoting price differences across the market and exacerbating reliability problems in regional utilities. This thesis is motivated in part by the fact that assessment of these prices and volatility within and between regional markets allows for better forecasts by electricity producers, transmitters and retailers and the efficient distribution of energy on a national level. The first two papers explore whether the lagged price and volatility information flows of the connected spot electricity markets can be used to forecast the pricing behaviour of individual markets. A multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model is used to identify the source and magnitude of price and volatility spillovers within (intra-relationship) and across (inter-relationship) the various spot markets. The results show evidence of the fact that prices in one market can be explained by their own price lagged one-period and are independent of lagged spot prices of any other markets when daily data is employed. This implies that the regional spot electricity markets are not fully integrated. However, there is also evidence of a large number of significant ownvolatility and cross-volatility spillovers in all five markets indicating that shocks in some markets will affect price volatility in others. Similar conclusions are obtained when the daily data are disaggregated into peak and off-peak periods, suggesting that the spot electricity markets are still rather isolated. These results inspired the research underlying the third paper of the thesis on modelling the dynamics of spot electricity prices in each regional market. A family of generalised autoregressive conditional heteroskedasticity (GARCH), RiskMetrics, normal Asymmetric Power ARCH (APARCH), Student APARCH and skewed Student APARCH is used to model the time-varying variance in prices with the inclusion of news arrival as proxied by the contemporaneous volume of demand, time-of-day, day-of-week and month-of-year effects as exogenous explanatory variables. The important contribution in this paper lies in the use of two latter methodologies, namely, the Student APARCH and skewed Student APARCH which take account of the skewness and fat tailed characteristics of the electricity spot price series. The results indicate significant innovation spillovers (ARCH effects) and volatility spillovers (GARCH effects) in the conditional standard deviation equation, even with market and calendar effects included. Intraday prices also exhibit significant asymmetric responses of volatility to the flow of information (that is, positive shocks or good news are associated with higher volatility than negative shocks or bad news). The fourth research paper attempts to capture salient feature of price hikes or spikes in wholesale electricity markets. The results show that electricity prices exhibit stronger mean-reversion after a price spike than the mean-reversion in the normal period, suggesting the electricity price quickly returns from some extreme position (such as a price spike) to equilibrium; this is, extreme price spikes are shortlived. Mean-reversion can be measured in a separate regime from the normal regime using Markov probability transition to identify the different regimes. The fifth and final paper investigates whether interstate/regional trade has enhanced the efficiency of each spot electricity market. Multiple variance ratio tests are used to determine if Australian spot electricity markets follow a random walk; that is, if they are informationally efficient. The results indicate that despite the presence of a national market only the Victorian market during the off-peak period is informationally (or market) efficient and follows a random walk. This thesis makes a significant contribution in estimating the volatility and the efficiency of the wholesale electricity prices by employing four advanced time series techniques that have not been previously explored in the Australian context. An understanding of the modelling and forecastability of electricity spot price volatility across and within the Australian spot markets is vital for generators, distributors and market regulators. Such an understanding influences the pricing of derivative contracts traded on the electricity markets and enables market participants to better manage their financial risks.