The Relationship Between HR Practices and Firm Performance: Examining Causal Order

Significant research attention has been devoted to examining the relationship between HR practices and firm performance, and the research support has assumed HR as the causal variable. Using data from 45 business units (with 62 data points), this study examines how measures of HR practices correlate with past, concurrent, and future operational performance measures. The results indicate that correlations with performance measures at all three times are both high and invariant, and that controlling for past or concurrent performance virtually eliminates the correlation of HR with future performance. Implications are discussed

Real-time price discovery in stock, bond and foreign exchange markets

We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean jumps; hence high-frequency stock, bond and exchange rate dynamics are linked to fundamentals. The details of the linkages are particularly intriguing as regards equity markets. We show that equity markets react differently to the same news depending on the state of the economy, with bad news having a positive impact during expansions and the traditionally-expected negative impact during recessions. We rationalize this by temporal variation in the competing "cash flow" and "discount rate" effects for equity valuation. This finding helps explain the time-varying correlation between stock and bond returns, and the relatively small equity market news effect when averaged across expansions and recessions. Lastly, relying on the pronounced heteroskedasticity in the high-frequency data, we document important contemporaneous linkages across all markets and countries over-and-above the direct news announcement effects. JEL Klassifikation: F3, F4, G1, C

Factor proportions and international business cycles

Positive investment comovements across OECD economies as observed in the data are difficult to replicate in open-economy real business cycle models, but also vary substantially in degree for individual country-pairs. This paper shows that a two-country stochastic growth model that distinguishes sectors by factor intensity (capital-intensive vs. labor-intensive) gives rise to an endogenous channel of the international transmission of shocks that first, can substantially ameliorate the “quantity anomalies” that mark large open-economy models, and second, generate a cross-sectional prediction that is strongly supported by the data: investment correlations tend to be stronger for country-pairs that exhibit greater disparity in the factor-intensity of trade. In addition, three new pieces of evidence support the central mechanism: (1) the production composition of capital versus labor-intensive sectors changes over the business cycle; (2) the prices of capital-intensive goods and labor-intensive goods are respectively, procyclical and countercyclical; (3) a positive productivity shock in the U.S. tilts the composition of production towards capital-intensive sectors in other countries

Business support within business incubators

Business incubators (BI) have been established worldwide as tools for company creation and small businesses support. BIs claim to help their tenants by providing them with the optimal conditions for increasing early stage survival. Practitioners and researchers agree that business support is a crucial dimension of BI. Yet this feature is seldom researched. In this study we investigate to what extent business incubators support their tenants overcome their developmental problems. Results show that tenants do not experience many problems and when they do business support is not necessarily sought. Furthermore, our data suggests that business support is not preferentially sought within incubator environment. When this happens, support provided by the BI does not contribute to problem solving. Finally, we discuss the impact of the type of BI in helping their tenants

Free Trade Agreements and Volatility of Stock Returns and Exchange Rates: Evidence from NAFTA

This paper uses GARCH models and daily data to investigate the effect of the Canada – U.S. Free Trade Agreement (CUSFTA) and NAFTA on the volatility of, and the relationship between stock market returns and changes in bilateral exchange rates of the member countries. Empirical results indicate that the CUSFTA had a stabilizing effect on the Canadian and U.S. equity markets while increasing the volatility of the CAD/USD exchange rate. NAFTA further reduced the two stock markets’ volatility, however unlike CUSFTA, NAFTA also reduced the volatility of the CAD/USD exchange rate. Additional results indicate that during NAFTA, the Mexican stock market is more volatile than the other stock and bilateral exchange markets. Moreover, the exchange rate of the Mexican peso against both the U.S. and Canadian dollars has been more volatile than the Canadian dollar/US dollar exchange rate. Evidence also suggests that all three stock markets are positively correlated with each other with the U.S. market being much less correlated with the Canadian and Mexican stock markets than the latter two markets are correlated with each other. Evidence found in this paper suggests a negative relationship between the stock and bilateral currency markets that is statistically significant except for the U.S. equity market when paired with an exchange rate that involves the Mexican peso

Dynamic correlations across REIT sub-sectors

The issue of whether Real Estate Investment Trusts should pursue a focused or diversified investment strategy remains an ongoing debate within both the academic and industry communities. This paper considers the relationship between REITs focused on different property sectors in a GARCH-DCC framework. The daily conditional correlations reveal that since 1990 there has been a marked upward trend in the coefficients between US REIT sub-sectors. The findings imply that REITs are behaving in a far more homogeneous manner than in the past. Furthermore, the argument that REITs should be focused in order that investors can make the diversification decision is reduced

The Impact of Human Resource Practices on Business-Unit Operating and Financial Performance

This study examined the impact of HR practices and organizational commitment on business-unit operating performance and profitability. Using a predictive design with a sample of 50 autonomous business-units within the same corporation, the study revealed that both organizational commitment and HR practices were significantly related to operational measures of performance as well as operating expenses and pre-tax profits

Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries

The paper investigates the time-varying correlation between stock market prices and oil prices for oil-importing and oil-exporting countries. A DCC-GARCH-GJR approach is employed to test the above hypothesis based on data from six countries; Oil-exporting: Canada, Mexico, Brazil and Oil-importing: USA, Germany, Netherlands. The contemporaneous correlation results show that i) although time-varying correlation does not differ for oil-importing and oil-exporting economies, ii) the correlation increases positively (negatively) in respond to important aggregate demand-side (precautionary demand) oil price shocks, which are caused due to global business cycle’s fluctuations or world turmoil (i.e. wars). Supply-side oil price shocks do not influence the relationship of the two markets. The lagged correlation results show that oil prices exercise a negative effect in all stock markets, regardless the origin of the oil price shock. The only exception is the 2008 global financial crisis where the lagged oil prices exhibit a positive correlation with stock markets. Finally, we conclude that in periods of significant economic turmoil the oil market is not a safe haven for offering protection against stock market losses

Economic Fluctuations and Crime : Temporary and Persistent Effects

Publisher PD

How hard is the euro area core? A wavelet analysis of growth cycles in Germany, France and Italy

Using recent advances in time-varying spectral methods, this research analyses the growth cycles of the core of the euro area in terms of frequency content and phasing of cycles. The methodology uses the continuous wavelet transform (CWT) and also Hilbert wavelet pairs in the setting of a non-decimated discrete wavelet transform in order to analyse bivariate time series in terms of conventional frequency domain measures from spectral analysis. The findings are that coherence and phasing between the three core members of the euro area (France, Germany and Italy) have increased since the launch of the euro