Ronald SCHRAMM - Academia.edu (original) (raw)

Papers by Ronald SCHRAMM

Research paper thumbnail of International market segmentation, and the CME Quanto Nikkei Future

The CME Nikkei 225 "Quanto" futures contract settles against the Nikkei Index but taken... more The CME Nikkei 225 "Quanto" futures contract settles against the Nikkei Index but taken to refer to US dollars. In contrast, the corresponding "Vanilla" instruments trading in Singapore and Osaka, settle in Yen. We show that the returns to the Quanto future are correlated with returns to the US market, as represented by the CME S&P500 future, even after controlling for the returns to the Vanilla contract, translated into dollars, and the dollar/Yen returns. This correlation is partially reversed the next day. This result goes against the usual analysis of Quanto instruments, which asserts that they can be hedged via the corresponding vanilla instrument, and a currency position. In fact, we show that our Quanto and Vanilla investment strategies should not differ in their currency exposure, and this is reflected in the significance of the dollar/Yen return not being high or consistent from year to year in our regressions. Our results point to the international mark...

Research paper thumbnail of Monetary Policy in Action

Research paper thumbnail of Measuring and Accounting for the Output of a Nation: GDP

Research paper thumbnail of China’s Path of Investment

Research paper thumbnail of Public Finances and Fiscal Policy in Action

Research paper thumbnail of China and the United States and the Balance of Payments

Research paper thumbnail of The Keynesian Model: Extensions to China and Beyond

Research paper thumbnail of International debt rescheduling and default in a model with implicit contracts

Research paper thumbnail of The Chinese macro economy and financial system

Asia Pacific Business Review, 2015

Research paper thumbnail of IMF 10 Editorial Note

Journal of Nuclear Materials, 2006

IMF 10 Editorial Note Over the last 12 years specialists devoting work on inert matrix fuel (IMF)... more IMF 10 Editorial Note Over the last 12 years specialists devoting work on inert matrix fuel (IMF) have meet exchanging their samples, data or modeling results and sharing activities in projects such as calculations or irradiations. At the 10th-IMF workshop it was important to focus on new orientations on the basis of the last 10 years activities. The inert matrix fuel workshop has a long tradition in presenting, discussing and publishing innovations and research in the IMF field. The Inert Matrix Fuel workshop has always attracted both experimentalists and computational researchers. The topics that are addressed are the development of inert matrix fuels and targets and the behaviour of the reactors loaded with these materials. The first IMF workshop was thus held at PSI, Switzerland on 20 September 1995 with 12 participants from four institutions of three countries, Italy, Japan and Switzerland. It built the basis of the IMF activities in the field of IMF reactor sciences and IMF material sciences.

Research paper thumbnail of Consumption and Savings in China and the United States

Research paper thumbnail of The Chinese Macroeconomy and Financial System: A U.S. Perspective

1. Introduction 2. Measuring and Accounting for the Output of a Nation: GDP 3. China and the Unit... more 1. Introduction 2. Measuring and Accounting for the Output of a Nation: GDP 3. China and the United States and the Balance of Payments 4. Long Run Economic Growth 5. Consumption and Savings in China and the United States 6. China's Path of Investment 7. Monetary Policy and Institutions in China and the United States 8. Monetary Policy in Action 9. The Keynesian Model: Extensions to China and Beyond 10. Public Finances and Fiscal Policy in Action

Research paper thumbnail of Fulbright Scholar at the University of International Business and Economics Beijing

This paper takes a closer look at the process of China’s foreign exchange reform since 1979. It d... more This paper takes a closer look at the process of China’s foreign exchange reform since 1979. It describes major policy changes, assesses their effects and identifies challenges in furthering the process of capital account liberalization. The paper concludes that the core of China ’ foreign exchange reform since 1979 has been a gradual transformation of its exchange allocation mechanism from one that was governed by central planning to one in which market forces play a significant role. The entire reform process is characterized by substantial trade liberalization, initial official exchange rate adjustments, exchange market development, easing restrictions for current international transactions and the establishment of a capital account control framework. China has moved to the last frontier of its exchange reform. Prior reforms had generally focused on the gradual liberalization of the current account and inward direct investment, aimed at strengthening the real sector and export ca...

Research paper thumbnail of A Decade of Flow of Funds in China (1995-2005) (Preliminary Draft: Not to be Quoted Without Authors' Consent)

In this paper we examine the balance between savings and investment (the flow of funds) for the P... more In this paper we examine the balance between savings and investment (the flow of funds) for the People's Republic of China (China) at both a macroeconomic level and at disaggregated sectoral levels. Specifically, we look at the flow of funds at the national level and then at the sectoral level as divided into the Government sector, the Production sector and the Individual economy sector. Finally, we subdivide the Production sector into three component sectors: the State-Owned Enterprise sector (SOE), the Collective sector (COE) and the Corporate sector. Finally, we attempt to measure the extent to which China's domestic savings are intermediated through formal channels as opposed to informal channels.

Research paper thumbnail of International Default and Rescheduling under Interest Rate Uncertainty

This chapter follows in the line of Eaton and Gersovitz (1981), Sachs and Chen (1982) and Krugman... more This chapter follows in the line of Eaton and Gersovitz (1981), Sachs and Chen (1982) and Krugman (1984). The penalty for default in the model used here is identical to the one used by Sachs; the borrower suffers a loss of output when it defaults. We endogenise the behaviour of the lender and also introduce borrower’s risk-aversion in a three-period model, and this helps to enrich some of the analysis, both in describing the term structure of loans, the behaviour of the borrower under uncertainty and the determination of lending ceilings.

Research paper thumbnail of Financial System

The SAGE Handbook of Contemporary China

Research paper thumbnail of Agglomeration and Technological Spillovers: Firm-Level Evidence from China's Electric Apparatus Industry

We use a spatial autoregressive model to study the determinants of firm-level productivity growth... more We use a spatial autoregressive model to study the determinants of firm-level productivity growth using longitudinal data on China's electric apparatus industry over the period of 1999-2007. Factors considered include technological spillover, R&D and export behavior, agglomeration economies, and public expenditure. We propose modifications to Kelejian and Prucha's (1998) FE-2SLS procedure and Mutl and Pfaffermayr's (2011) RE-FG2SLS procedure to cope with the technical difficulties with our unbalanced panel. Statistical evidence strongly favors the fixed effects model over the random effects model. According to our estimates, there are large and signiffcant technological spillovers among firms. Individually, firms benefit from their own R&D and export activities. Market competition and public expenditure in the local and neighboring jurisdictions are found to be important determinants to productivity. Our model also provides direct evidence that the technological spillove...

Research paper thumbnail of China's Progression Toward Currency Convertibility : A Review and Assessment

Chinese Economy, 2004

This article takes a closer look at the process of China's foreign exchange reform since 1979... more This article takes a closer look at the process of China's foreign exchange reform since 1979. It describes major policy changes, assesses their effects, and identifies challenges in furthering the process of capital account liberalization. The paper concludes that the core of China's foreign exchange reform since 1979 has been a gradual transformation of its exchange allocation mechanism, from one that was governed by central planning to one in which market forces play a significant role. The entire reform process is characterized by substantial trade liberalization, initial official exchange-rate adjustments, exchange-market development, easing restrictions for current international transactions, and the establishment of a capital account control framework. China has moved to the last frontier of its exchange reform. Prior reforms had generally focused on the gradual liberalization of the current account and inward direct investment, aimed at strengthening the real sector and export capacity of the economy.

Research paper thumbnail of China's foreign exchange policies since 1979: A review of developments and an assessment

China Economic Review, 2003

This paper takes a closer look at the process of China's foreign exchange reform since 1979.... more This paper takes a closer look at the process of China's foreign exchange reform since 1979. It describes major policy changes, assesses their effects, and identifies challenges in furthering the process of capital account liberalization. The paper concludes that the core of China' foreign exchange reform since 1979 has been a gradual transformation of its exchange allocation mechanism from one

Research paper thumbnail of International market segmentation, and the CME Quanto Nikkei Future

The CME Nikkei 225 "Quanto" futures contract settles against the Nikkei Index but taken... more The CME Nikkei 225 "Quanto" futures contract settles against the Nikkei Index but taken to refer to US dollars. In contrast, the corresponding "Vanilla" instruments trading in Singapore and Osaka, settle in Yen. We show that the returns to the Quanto future are correlated with returns to the US market, as represented by the CME S&P500 future, even after controlling for the returns to the Vanilla contract, translated into dollars, and the dollar/Yen returns. This correlation is partially reversed the next day. This result goes against the usual analysis of Quanto instruments, which asserts that they can be hedged via the corresponding vanilla instrument, and a currency position. In fact, we show that our Quanto and Vanilla investment strategies should not differ in their currency exposure, and this is reflected in the significance of the dollar/Yen return not being high or consistent from year to year in our regressions. Our results point to the international mark...

Research paper thumbnail of Monetary Policy in Action

Research paper thumbnail of Measuring and Accounting for the Output of a Nation: GDP

Research paper thumbnail of China’s Path of Investment

Research paper thumbnail of Public Finances and Fiscal Policy in Action

Research paper thumbnail of China and the United States and the Balance of Payments

Research paper thumbnail of The Keynesian Model: Extensions to China and Beyond

Research paper thumbnail of International debt rescheduling and default in a model with implicit contracts

Research paper thumbnail of The Chinese macro economy and financial system

Asia Pacific Business Review, 2015

Research paper thumbnail of IMF 10 Editorial Note

Journal of Nuclear Materials, 2006

IMF 10 Editorial Note Over the last 12 years specialists devoting work on inert matrix fuel (IMF)... more IMF 10 Editorial Note Over the last 12 years specialists devoting work on inert matrix fuel (IMF) have meet exchanging their samples, data or modeling results and sharing activities in projects such as calculations or irradiations. At the 10th-IMF workshop it was important to focus on new orientations on the basis of the last 10 years activities. The inert matrix fuel workshop has a long tradition in presenting, discussing and publishing innovations and research in the IMF field. The Inert Matrix Fuel workshop has always attracted both experimentalists and computational researchers. The topics that are addressed are the development of inert matrix fuels and targets and the behaviour of the reactors loaded with these materials. The first IMF workshop was thus held at PSI, Switzerland on 20 September 1995 with 12 participants from four institutions of three countries, Italy, Japan and Switzerland. It built the basis of the IMF activities in the field of IMF reactor sciences and IMF material sciences.

Research paper thumbnail of Consumption and Savings in China and the United States

Research paper thumbnail of The Chinese Macroeconomy and Financial System: A U.S. Perspective

1. Introduction 2. Measuring and Accounting for the Output of a Nation: GDP 3. China and the Unit... more 1. Introduction 2. Measuring and Accounting for the Output of a Nation: GDP 3. China and the United States and the Balance of Payments 4. Long Run Economic Growth 5. Consumption and Savings in China and the United States 6. China's Path of Investment 7. Monetary Policy and Institutions in China and the United States 8. Monetary Policy in Action 9. The Keynesian Model: Extensions to China and Beyond 10. Public Finances and Fiscal Policy in Action

Research paper thumbnail of Fulbright Scholar at the University of International Business and Economics Beijing

This paper takes a closer look at the process of China’s foreign exchange reform since 1979. It d... more This paper takes a closer look at the process of China’s foreign exchange reform since 1979. It describes major policy changes, assesses their effects and identifies challenges in furthering the process of capital account liberalization. The paper concludes that the core of China ’ foreign exchange reform since 1979 has been a gradual transformation of its exchange allocation mechanism from one that was governed by central planning to one in which market forces play a significant role. The entire reform process is characterized by substantial trade liberalization, initial official exchange rate adjustments, exchange market development, easing restrictions for current international transactions and the establishment of a capital account control framework. China has moved to the last frontier of its exchange reform. Prior reforms had generally focused on the gradual liberalization of the current account and inward direct investment, aimed at strengthening the real sector and export ca...

Research paper thumbnail of A Decade of Flow of Funds in China (1995-2005) (Preliminary Draft: Not to be Quoted Without Authors' Consent)

In this paper we examine the balance between savings and investment (the flow of funds) for the P... more In this paper we examine the balance between savings and investment (the flow of funds) for the People's Republic of China (China) at both a macroeconomic level and at disaggregated sectoral levels. Specifically, we look at the flow of funds at the national level and then at the sectoral level as divided into the Government sector, the Production sector and the Individual economy sector. Finally, we subdivide the Production sector into three component sectors: the State-Owned Enterprise sector (SOE), the Collective sector (COE) and the Corporate sector. Finally, we attempt to measure the extent to which China's domestic savings are intermediated through formal channels as opposed to informal channels.

Research paper thumbnail of International Default and Rescheduling under Interest Rate Uncertainty

This chapter follows in the line of Eaton and Gersovitz (1981), Sachs and Chen (1982) and Krugman... more This chapter follows in the line of Eaton and Gersovitz (1981), Sachs and Chen (1982) and Krugman (1984). The penalty for default in the model used here is identical to the one used by Sachs; the borrower suffers a loss of output when it defaults. We endogenise the behaviour of the lender and also introduce borrower’s risk-aversion in a three-period model, and this helps to enrich some of the analysis, both in describing the term structure of loans, the behaviour of the borrower under uncertainty and the determination of lending ceilings.

Research paper thumbnail of Financial System

The SAGE Handbook of Contemporary China

Research paper thumbnail of Agglomeration and Technological Spillovers: Firm-Level Evidence from China's Electric Apparatus Industry

We use a spatial autoregressive model to study the determinants of firm-level productivity growth... more We use a spatial autoregressive model to study the determinants of firm-level productivity growth using longitudinal data on China's electric apparatus industry over the period of 1999-2007. Factors considered include technological spillover, R&D and export behavior, agglomeration economies, and public expenditure. We propose modifications to Kelejian and Prucha's (1998) FE-2SLS procedure and Mutl and Pfaffermayr's (2011) RE-FG2SLS procedure to cope with the technical difficulties with our unbalanced panel. Statistical evidence strongly favors the fixed effects model over the random effects model. According to our estimates, there are large and signiffcant technological spillovers among firms. Individually, firms benefit from their own R&D and export activities. Market competition and public expenditure in the local and neighboring jurisdictions are found to be important determinants to productivity. Our model also provides direct evidence that the technological spillove...

Research paper thumbnail of China's Progression Toward Currency Convertibility : A Review and Assessment

Chinese Economy, 2004

This article takes a closer look at the process of China's foreign exchange reform since 1979... more This article takes a closer look at the process of China's foreign exchange reform since 1979. It describes major policy changes, assesses their effects, and identifies challenges in furthering the process of capital account liberalization. The paper concludes that the core of China's foreign exchange reform since 1979 has been a gradual transformation of its exchange allocation mechanism, from one that was governed by central planning to one in which market forces play a significant role. The entire reform process is characterized by substantial trade liberalization, initial official exchange-rate adjustments, exchange-market development, easing restrictions for current international transactions, and the establishment of a capital account control framework. China has moved to the last frontier of its exchange reform. Prior reforms had generally focused on the gradual liberalization of the current account and inward direct investment, aimed at strengthening the real sector and export capacity of the economy.

Research paper thumbnail of China's foreign exchange policies since 1979: A review of developments and an assessment

China Economic Review, 2003

This paper takes a closer look at the process of China's foreign exchange reform since 1979.... more This paper takes a closer look at the process of China's foreign exchange reform since 1979. It describes major policy changes, assesses their effects, and identifies challenges in furthering the process of capital account liberalization. The paper concludes that the core of China' foreign exchange reform since 1979 has been a gradual transformation of its exchange allocation mechanism from one