|
on Business Economics |
| By: | Le Pen, Yannick; Sévi, Benoît |
| Abstract: | Résumé : A l’aide de données quotidiennes sur la période mars 2001 à juin 2005, nous estimons un modèle VAR‐BEKK et montrons l’existence de transmissions au niveau des rendements et des volatilités entre les marchés forward de l’électricité pour l’Allemagne, les Pays‐Bas et la Grande‐Bretagne. Nous appliquons la fonction VIRF de Hafner and Herwartz [2006, Journal of International Money and Finance 25, 719‐740] afin de mesurer l’impact d’un choc sur la volatilité conditionnelle. Nous observons qu’un choc a un impact positif important seulement si son amplitude est grande en regard du niveau de la volatilité à cet instant. Finalement, nous estimons la densité des fonctions VIRF pour différents horizons de prévisions. Ces distributions lissées sont asymétriques et montrent que des évènements extrêmes sont possibles même si leur probabilité est faible. Ces résultats on t des implications intéressantes pour le s participants au marché dont la politiq ue de gestion des risques est basée sur les prix des options, eux‐mêmes dépendan t du niveau de volatilité. |
| Abstract: | Using daily data from March 2001 to June 2005, we estimate a VAR-BEKK model and find evidence of return and volatility spillovers between the German, the Dutch and the British forward electricity markets. We apply Hafner and Herwartz [2006, Journal of International Money and Finance 25, 719–740] Volatility Impulse Response Function (VIRF) to quantify the impact of shock on expected conditional volatility. We observe that a shock has a high positive impact only if its size is large compared to the current level of volatility. The impact of shocks are usually not persistent, which may be a consequence of the non-storability of power. Finally, we estimate the density of the VIRF at different forecast horizons. These fitted distributions are asymmetric and show that large increases in expected conditional volatilities are possible even if their probability is low. These results have interesting implications for market participants whose risk management policy depends on option prices which themselves depend on the characteristics of volatility. |
| Keywords: | Fonction impulsion réponse de volatilité; GARCH multivarié; marché forward de l’électricité; transmission de volatilité; volatility impulse response function; multivariate GARCH; electricity forward markets; volatility spillovers; |
| JEL: | Q43 G1 C3 |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:ner:dauphi:urn:hdl:123456789/5450&r=bec |
| By: | Casadio, Paolo; Paradiso, Antonio |
| Abstract: | Purpose – Considering the sectoral balance approach of Godley, and focusing only on the two main components of the private sector balance for the U.S. economy (household and non-financial corporate balance), we investigate the relationship between these two sectors, the financial variables, and economic cycle. In particular, we consider all these relationships endogenously. Design/methodology/approach – We estimate a structural VAR model between household and (non-financial) corporate financial balances, financial markets, and economic cycle and we perform an impulse response analysis. All the variables are expressed as cyclical components applying the Hodrick-Prescott filter. Findings - The main result is that: (1) household and corporate balances react to financial markets in the way we expected and discussed; (2) the economic cycle influences the two financial balances; (3) the corporate balance has a positive impact on the cycle; (4) the economic cycle and financial balances influence the financial variables. In particular, point (3) shows that the corporate balance is a leading component of the cycle as suggested by Casadio and Paradiso (2009) and accords with Minsky’s theory of financial instability. Research limitations/implications – The analysis does not include the foreign sector (current-account balance). Originality/value – Our contribution is an important step forward with respect to the two main contributions in literature which use this approach: the Levy Institute macroeconomic team and Goldman Sachs. Methodologically their models are based on some assumptions (such as exogeneity or market clearing price mechanism for the financial markets) which we overcome considering all the relationships studied in an endogenous manner. |
| Keywords: | Household financial balance; Corporate financial balance; Business cycle; Financial markets; SVAR |
| JEL: | C32 E12 E20 |
| Date: | 2010–12–18 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:28105&r=bec |
| By: | Marcella Lucchetta |
| Abstract: | This paper explores theoretically the implications of bank market structure and banking system risks concentration for the functioning of interbank markets. It employs a simple model where banks are exposed to both credit and liquidity risk, there is no asymmetric information, no market power, no friction in secondary markets and deposit contracts are fully contingent. We show that (a) the concentration of risks induced by changes in bank market structure makes interbank market breakdowns more likely; (b) welfare monotonically decreases in risk concentration; and (c) risk concentration and a high probability of interbank market breakdowns can be driven by risk control diseconomies of scale and scope and increases in financial firms’ size. As banking systems become more concentrated, improvement of risk control technologies in financial institutions and in regulatory bodies appear as important as other policies considered in the literature to minimize the probability of interbank market breakdowns. |
| Keywords: | bank market structure; systemic risk; interbank markets |
| Date: | 2010–10–01 |
| URL: | http://d.repec.org/n?u=RePEc:rsc:rsceui:2010/76&r=bec |
| By: | Jan P. A. M. Jacobs; Simon van Norden |
| Abstract: | La croissance de la productivité est examinée par les macro-économistes car elle joue des rôles clés dans la compréhension de l’épargne dans le secteur privé, les sources des chocs macroéconomiques, l’évolution de la compétitivité internationale et la solvabilité des régimes de retraite publics. Toutefois, les estimations des taux de croissance de la productivité anticipées et conjoncturelles souffrent de deux problèmes potentiels : (i) les estimations des tendances récentes sont imprécises, et (ii) les données récemment publiées subissent souvent d’importantes révisions. Cette étude met en évidence la (non-) fiabilité de plusieurs mesures de croissance de la productivité agrégée aux États-Unis en examinant la mesure dans laquelle elles sont révisées au fil du temps. Nous examinons également dans quelle mesure ces révisions contribuent aux erreurs dans les prévisions de croissance de la productivité des États-Unis. Nous constatons que les révisions de données provoquent généralement des changements appréciables des estimations des taux de croissance de la productivité publiés à travers une gamme de différentes mesures de la productivité. D'importantes révisions surviennent souvent des années après la première publication des données, ce qui contribue significativement à l'incertitude générale à laquelle nos décideurs politiques doivent faire face. Cela souligne le besoin de moyens pour réduire l'incertitude à laquelle sont confrontés les décideurs politiques et les politiques robustes à l'incertitude sur les conditions économiques actuelles. <P>La croissance de la productivité est examinée par les macro-économistes car elle joue des rôles clés dans la compréhension de l’épargne dans le secteur privé, les sources des chocs macroéconomiques, l’évolution de la compétitivité internationale et la solvabilité des régimes de retraite publics. Toutefois, les estimations des taux de croissance de la productivité anticipées et conjoncturelles souffrent de deux problèmes potentiels : (i) les estimations des tendances récentes sont imprécises, et (ii) les données récemment publiées subissent souvent d’importantes révisions. Cette étude met en évidence la (non-) fiabilité de plusieurs mesures de croissance de la productivité agrégée aux États-Unis en examinant la mesure dans laquelle elles sont révisées au fil du temps. Nous examinons également dans quelle mesure ces révisions contribuent aux erreurs dans les prévisions de croissance de la productivité des États-Unis. Nous constatons que les révisions de données provoquent généralement des changements appréciables des estimations des taux de croissance de la productivité publiés à travers une gamme de différentes mesures de la productivité. D'importantes révisions surviennent souvent des années après la première publication des données, ce qui contribue significativement à l'incertitude générale à laquelle nos décideurs politiques doivent faire face. Cela souligne le besoin de moyens pour réduire l'incertitude à laquelle sont confrontés les décideurs politiques et les politiques robustes à l'incertitude sur les conditions économiques actuelles. |
| Keywords: | Productivité, analyses en temps réel, révisions de données, projections Greenbook projections , Productivité, analyses en temps réel, révisions de données, projections Greenbook projections |
| JEL: | C22 J24 O47 |
| Date: | 2010–12–01 |
| URL: | http://d.repec.org/n?u=RePEc:cir:cirwor:2010s-46&r=bec |
| By: | Sandra Bilek-Steindl (WIFO) |
| Abstract: | This paper analyses the change in the Austrian business cycle over time using data back to 1954. The change in the cyclical pattern is captured using a nonlinear univariate structural time series model where the time of the break point is estimated. Results for GDP series suggest a break in the frequency of the cycle and in the parameter covering the variance of the disturbances of the cycle taking place in the mid 1970s and early 1980s, respectively. Using data for GDP components a break in these variables is found, too, but the timing of the break differs among the series. In a further step the paper assesses the relevance of these findings for forecasting purposes. It is shown that during certain periods the out-of-sample forecasting performance of GDP does improve when a break in one of the two parameters is explicitly modeled. |
| Keywords: | Structural time series models, Business cycles, Forecasting performance |
| Date: | 2011–01–12 |
| URL: | http://d.repec.org/n?u=RePEc:wfo:wpaper:y:2011:i:384&r=bec |
| By: | Rafał Woźniak (Faculty of Economic Sciences, University of Warsaw; National Bank of Poland) |
| Abstract: | In the paper, two indicators, the coincident and the leading indicator, are proposed to represent the aggregated economic activity in Poland. The indicators are constructed with stochastic cycle and trend model. Not only does the presented approach solve the problem of existence of stochastic trends in the observed series, but it also allows to account for a different data span of each series in dataset. |
| Keywords: | business cycles, leading indicators, coincident indicators, dynamic factor model, stochastic cycle, stochastic trend |
| JEL: | C32 E32 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:war:wpaper:2011-01&r=bec |
| By: | Michael McAleer (Erasmus University Rotterdam, Tinbergen Institute, The Netherlands, and Institute of Economic Research, Kyoto University); Juan-Ángel Jiménez-Martín (Department of Quantitative Economics, Complutense University of Madrid); Teodosio Pérez-Amaral (Department of Quantitative Economics, Complutense University of Madrid) |
| Abstract: | A risk management strategy that is designed to be robust to the Global Financial Crisis (GFC), in the sense of selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al. (2010c). The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility models. Such a risk management strategy is robust to the GFC in the sense that, while maintaining the same risk management strategy before, during and after a financial crisis, it will lead to comparatively low daily capital charges and violation penalties for the entire period. This paper presents evidence to support the claim that the median point forecast of VaR is generally GFC-robust. We investigate the performance of a variety of single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord, as well as other criteria. In the empirical analysis, we choose several major indexes, namely French CAC, German DAX, US Dow Jones, UK FTSE100, Hong Kong Hang Seng, Spanish Ibex35, Japanese Nikkei, Swiss SMI and US S&P500. The GARCH, EGARCH, GJR and Riskmetrics models, as well as several other strategies, are used in the comparison. Backtesting is performed on each of these indexes using the Basel II Accord regulations for 2008-10 to examine the performance of the Median strategy in terms of the number of violations and daily capital charges, among other criteria. The Median is shown to be a profitable and safe strategy for risk management, both in calm and turbulent periods, as it provides a reasonable number of violations and daily capital charges. The Median also performs well when both total losses and the asymmetric linear tick loss function are considered |
| Keywords: | Median strategy, Value-at-Risk (VaR), daily capital charges, robust forecasts, violation penalties, optimizing strategy, aggressive risk management, conservative risk management, Basel II Accord, global financial crisis (GFC). |
| JEL: | G32 G11 C53 C22 |
| Date: | 2011–01 |
| URL: | http://d.repec.org/n?u=RePEc:kyo:wpaper:757&r=bec |
| By: | Corrado Benassi (Dipartimento di Scienze Economiche, Alma Mater Studiorum - Università di Bologna; The Rimini Centre for Economic Analysis) |
| Abstract: | We consider the standard model of spatial Cournot competition and show that a necessary condition for dispersion equilibria is that the distribution be not unimodal. |
| Keywords: | Spatial Cournot competition, consumers’ distribution |
| JEL: | D31 D40 |
| Date: | 2011–01 |
| URL: | http://d.repec.org/n?u=RePEc:rim:rimwps:05_11&r=bec |
| By: | Kjell Bjørn Nordal (Norges Bank (Central Bank of Norway)); Randi Næs (Norwegian Ministry of Trade and Industr) |
| Abstract: | We investigate the relationship between bankruptcy risk and expected future sales growth for Norwegian non-listed firms for the period 1988-2007. We find that firms with high bankruptcy risk also have high expected future growth. Financial ratios characterizing firms with high bankruptcy risk also characterize firms with high future expected growth. Small firms, firms with low levels of equity and retained earnings, firms with low profitability and low levels of sales per unit of capital, have all higher expected future growth rates than other firms. These findings suggest a tradeoff between the upside potential of high growth and the downside risk of bankruptcy. |
| Keywords: | Non-listed firms, growth, bankruptcy risk |
| JEL: | G10 G30 G33 |
| Date: | 2010–12 |
| URL: | http://d.repec.org/n?u=RePEc:bno:worpap:2010_31&r=bec |
| By: | Michal Król |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:man:sespap:1103&r=bec |
| By: | Michal Król |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:man:sespap:1102&r=bec |
| By: | Decker, Carolin; Bresser, Rudi K. F.; Mellewigt, Thomas |
| Abstract: | Business exit has implications for a firm's corporate strategy. Two types of exit events are distinguished: those that involve strategic change and those that are status quo-preserving. This study investigates the impact of CEO turnover and succession on strategic versus status quo-preserving business exits. Based on a sample of CEO turnover and succession events and subsequent business exits of German corporations from different industries, our results suggest that neither voluntary nor involuntary CEO turnover is relevant to business exit. In contrast, outsider succession significantly affects the likelihood of strategic business exit, while a corporation's performance does not moderate this relationship. -- |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:fubsbe:201025&r=bec |
| By: | Nelen, Annemarie (ROA, Maastricht University); de Grip, Andries (ROA, Maastricht University); Fouarge, Didier (ROA, Maastricht University) |
| Abstract: | This paper analyzes whether part-time employment is beneficial for firm productivity in the service sector. Using a unique dataset on the Dutch pharmacy sector that includes the work hours of all employees and a “hard” physical measure of firm productivity, we estimate a production function including heterogeneous employment shares based on work hours. We find that a larger part-time employment share leads to greater firm productivity. Additional data on the timing of labor demand show that part-time employment enables firms to allocate labor more efficiently. First, firms with part-time workers can bridge the gap between opening hours and a full-time work week. Second, we find that during opening hours part-time workers are scheduled differently than full-timers. For example, we find that part-time workers enable their full-time colleagues to take lunch breaks so that the firm can remain open during these times. |
| Keywords: | heterogeneous labor, matched employer-employee data, allocation of labor, timing of labor demand |
| JEL: | J24 L23 L25 |
| Date: | 2011–01 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp5423&r=bec |
| By: | Balsmeier, Benjamin; Czarnitzki, Dirk |
| Abstract: | This paper analyzes the relationship of ownership concentration and firm performance in the context of different institutional environments in 28 Central and Eastern European transition economies. Using the BEEPS data for the period from 2002 to 2009 we find an inverted u-shaped relation of ownership concentration and firm performance for those firms that operate in non-EU-member countries as well as those firms that are situated in less developed legal systems according to Freedom House ratings. We interpret these findings as evidence for a classic agency problem in the lower part of the ownership concentration distribution that is dominated by a 'private benefits of control' problem with rising ownership concentration. -- |
| Keywords: | corporate governance,firm growth,transition economies,ownership concentration |
| JEL: | G32 L25 O16 P31 |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:zewdip:10096&r=bec |
| By: | Marco Celentani; Rosa Loveira; Pablo Ruiz-Verdú |
| Abstract: | We propose a model of delegated expertise designed to analyze executive compensation. An expert has to pick one of two possible decisions. By exerting effort the expert can obtain private information on these decisions. The expert’s decision and its ultimate performance realization are publicly observed, but the expert’s information is not. In other words, the principal observes the expert’s decision and its realization, but does not know whether the expert expended effort to obtain information and whether he made an efficient decision conditional on the information he received. We characterize the optimal compensation contract among those that give the expert incentives to obtain information to determine the efficient decision and to make the decision that is efficient contingent on the obtained information. We show that: 1) It is generically optimal to make pay contingent on the decision made by the expert, not only on performance; 2) The expert is often rewarded for choosing alternatives that are ex-ante inefficient. 3) When decisions differ in their complexity, optimal pay-performance may be zero if the expert chooses the complex alternative. Our model highlights novel factors that should be considered in the design of executive compensation contracts, sheds light on existing compensation practices, such as rewarding executives for acquisitions, and suggests mechanisms to promote managerial innovation. |
| Date: | 2010–12 |
| URL: | http://d.repec.org/n?u=RePEc:fda:fdaddt:2010-29&r=bec |
| By: | Bandyopadhyay, Subhayu (Federal Reserve Bank of St. Louis); Marjit, Sugata (Centre for Studies in Social Sciences, Calcutta); Yang, Lei (Hong Kong Polytechnic University) |
| Abstract: | Barriers to outsourcing that are being currently implemented in the US effectively tax its companies who "export" jobs through outsourcing. The objective is to raise domestic employment. Given that many of the important international markets where the US has a comparative advantage feature non-atomistic firms, we evaluate the implications of such policies in an oligopolistic context. We find that while an outsourcing tax favors domestic workers by causing firms to switch to a greater use of domestic sources (the substitution effect), the loss in international competitiveness has a negative volume effect (the output effect), which pulls in the other direction. First, we identify the conditions that determine the relative strengths of these effects, which inform us about the conditions under which such a tax achieves its stated objective. Next, we consider the international policy interdependence that arises when a competing nation also engages in such a policy. An interesting finding is that even if a unilateral tax by the US raises its employment, this may turn around in a Nash policy equilibrium, where the competing nation abandons free trade and also engages in unilateral outsourcing policies. Finally, we extend the basic model to look at the effects of credit shortage and product differentiation. Interesting findings are that both a credit crisis (as in recent years) and increased product differentiation tend to worsen the employment effects of the outsourcing tax. The qualitative nature of our findings is similar between Cournot and Bertrand competition, suggesting that our results are robust to the mode of strategic behavior. |
| Keywords: | outsourcing tax, employment effects, oligopolistic competition, product differentiation |
| JEL: | F13 |
| Date: | 2011–01 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp5426&r=bec |
| By: | Sugato Chakravarty (Purdue University); Meifang Xiang (University of Wisconsin, Whitewater) |
| Abstract: | We investigate the cross-country key factors of profit reinvestment decisions, using data compiled by the World Bank from over 7,000 businesses in 36 countries. We find that, compared to the security of property rights, it is a firm’s access to external financing that plays a significant role in a firm’s reinvestment decision in emerging economies. The extent of private ownership and the level of competition faced by firms are additional significant factors correlated with the reinvestment decision. Furthermore, we uncover a firm size effect in that the above factors driving firm reinvestment decision appears to impact small firms more than the relatively larger firms. Our findings complement, as well as build on, those from China and a few Eastern European countries. |
| Keywords: | Reinvestment,investment,external financing, property rights,private ownership, competition |
| JEL: | G21 D82 O16 |
| Date: | 2011–01 |
| URL: | http://d.repec.org/n?u=RePEc:csr:wpaper:1005&r=bec |
| By: | Daniele Nosenzo (School of Economics, University of Nottingham); Theo Offerman (CREED, Department of Economics, University of Amsterdam); Martin Sefton (School of Economics, University of Nottingham); Ailko van der Veen (CREED, Department of Economics, University of Amsterdam) |
| Abstract: | We examine the effectiveness of bonuses and fines in an ‘inspection game’ where an employer can learn the effort of a worker through costly inspection. Standard game theoretic analysis predicts that fines discourage shirking, whereas bonuses encourage shirking. In contrast, ownpayoff effects suggest that both fines and bonuses discourage shirking. In an experiment we find that fines are more effective than bonuses in reducing shirking. However, we do not find that bonuses encourage shirking. Behavioral theories based on Impulse Balance Equilibrium or Quantal Response Equilibrium provide a good account of deviations from Nash equilibrium predictions. |
| Keywords: | Inspection Games; Costly Monitoring; Rewards and Punishments; Bonuses and Fines; Quantal Response Equilibrium; Impulse Balance Equilibrium; Experiment |
| JEL: | C70 C72 C92 |
| Date: | 2010–12 |
| URL: | http://d.repec.org/n?u=RePEc:cdx:dpaper:2010-21&r=bec |
| By: | C. Sofia Machado (Instituto Politécnico do Cávado e do Ave); Miguel Portela (Universidade do Minho - NIPE and IZA) |
| Abstract: | Using a panel of new firms and their employees, this paper studies the promotion opportunities for older workers within the same firm. Survival analysis suggests that younger employees experience shorter times to promotion than older workers and, therefore, the latter face a smaller likelihood of promotion. Although men are promoted more often than women, empirical results show that women have shorter survival times to promotion than men. Also, previous promotions are stronger determinants of subsequent ones and this finding provides support to the evidence on promotion “fast-tracks”. |
| Keywords: | aging, older workers, employment relationships, promotion |
| JEL: | J14 J21 D21 J62 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:nip:nipewp:03/2011&r=bec |
| By: | Silviano Esteve-Pérez (University of Valencia); Vicente Pallardó-López (University of Valencia); Francisco Requena-Silvente (University of Valencia) |
| Abstract: | This paper uses survival analysis to investigate the duration of Spanish firms’ trade relationships by destination over 1997-2006. Whereas firm export status is highly persistent, firms’ destination portfolio is very dynamic: a typical firm-country exporting relationship has a median duration of two years. Yet, if a firm manages to export to a country beyond two years the risk of exiting that market sharply falls afterwards. The results indicate that not only firm heterogeneity but also destination heterogeneity are crucial to explain survival in export markets. In particular, country (political) risk heavily shapes the effect of firm, product and other destination characteristics on the length of trade relationships. Whereas firm productivity, comparative advantage, partners’ GDP and proximity enhance duration of trade with low-risk countries, they have no effect on trade survival with high-risk countries. On the contrary, information spill-overs are particularly relevant to enhance survival of trade relationships with high-risk countries. |
| Keywords: | firm exports, export destinations, survival analysis |
| JEL: | C41 F10 F14 |
| Date: | 2011–01 |
| URL: | http://d.repec.org/n?u=RePEc:eec:wpaper:1102&r=bec |
| By: | Halvor Briseid Storrøsten (Statistics Norway) |
| Abstract: | This paper shows that tradable emissions permits and an emissions tax have a risk-related technology choice effect. We first examine the first- and second-order moments in the probability distributions of optimal abatement and production under the two instruments. The two instruments will, in general, lead to different expected aggregate production levels when technology choice is endogenous, given that regulation is designed to induce equal expected aggregate emissions. Moreover, either regulatory approach may induce larger variance in optimal production and optimal abatement levels, depending on the specification of the stochastic variables. Finally, because firms’ valuation of a flexible technology increases if the variance in abatement is inflated and vice versa, either of the two instruments may induce the most flexible technology. Specifically, a tax encourages the most flexibility if and only if abatement costs and the equilibrium permit price have sufficiently strong positive covariance compared with the variance in the price on the good produced. |
| Keywords: | Regulation; Technology choice; Uncertainty; Investment. |
| JEL: | H23 Q55 Q58 |
| Date: | 2011–01 |
| URL: | http://d.repec.org/n?u=RePEc:ssb:dispap:643&r=bec |