|
on Central and Western Asia |
| By: | Anvar Kobilov (Department of “Economics and Service†, Faculty of Social Sciences, Kashkadarya region, Karshi sity, Kuchabag street, 17, Karshi State University, Uzbekistan); Oybek Kurbanov (Department of “Economics and Service†, Faculty of Social Sciences, Kashkadarya region, Karshi sity, Kuchabag street, 17, Karshi State University, Uzbekistan) |
| Abstract: | This paper investigates the determinants of Foreign direct investment (FDI) in selected 78 countries. The paper uses the data sets from 2000 to 2018, according to World Bank Statistics. The chosen empirical model is based on FDI theories and previous empirical studies on this subject. Due to availability of data, selected counties are divided into 4 groups (advanced economies, developing countries, transition economies and low income counties). The results indicate trade openness is significant factor for FDI inflows in selected countries. |
| Keywords: | Foreign direct investment, grows rate of per capita GDP, age dependency ratio, gross domestic savings, trade openness, inflation, real interest rate. |
| JEL: | E22 E44 |
| Date: | 2020–09 |
| URL: | http://d.repec.org/n?u=RePEc:aly:journl:202063&r=all |
| By: | Dzingai Francis Chapfuwa (1 University of Johannesburg, Faculty of Economics and Econometrics, Johannesburg, South Africa); Peter Baur (Economics, University of Johannesburg, Faculty of Economics and Econometrics, Johannesburg, South Africa) |
| Abstract: | The paper analysed the interlinkages among institutions, FDI and economic growth. The paper analysed whether institutions play a role in determining the effect of FDI on economic growth and whether the existence of strategic natural resources matter. Dynamic Panel General Method of Moments Technique (GMM) model with Weidmeijer corrected errors and orthogonal deviations is applied for the period 1996 to 2016. The results show that the effect of FDI on economic growth is both negative and positive across the estimated models indicating the heterogeneity in terms of the initial host country conditions. The thesis found that institutions as a whole are weak for SADC countries hence a negative relationship between institutions and economic growth for the SADC countries. What is however key is that FDI on its own without institutional indicators can lead to an increase in economic growth for the SADC countries. The effect of institutions on FDI and hence economic growth was not significant in the full sample. However, after taking out countries endowed with strategic natural resources, good institutional indicators leads to an increase in economic growth eliminating the natural resource endowment bias. |
| Keywords: | FDI, Institutions, Economic growth, SADC, MNCs, GMM |
| JEL: | E E02 |
| Date: | 2020–09 |
| URL: | http://d.repec.org/n?u=RePEc:aly:journl:202061&r=all |
| By: | Venelin Terziev (Full Member of the Russian Academy of Natural History, Professor, Eng., D.Sc. (National Security), D.Sc. (Economics), D.Sc. (Social Activities), Ph.D. Georgi Rakovski Military Academy, Sofia, Bulgaria University of Rousse, Rousse, Bulgaria Kaneff University Hospital, Rousse, Bulgaria Russian Academy of Natural History, Moscow, Russia) |
| Abstract: | Defining social efficiency and social technology is the core element of assessment methods and models, taking into account a wide range of objective and subjective factors. The assessment methods of social programmes (projects) efficiency are related to the social system’s orientation towards social protection and social services of the population and the use of the process approach and the transition to programme-target methods, outlining the main issues and mechanisms for social services and tasks for assessment, determining the basic requirements for efficiency assessment of social programming and the various stages. Considering all these matters, the research offers social programming efficiency assessment model based on “organizational efficiency†approach that covers a number of certain elements: system for resources acquisition, choice of goals, assessment of the impact on the external environment, choice of strategy, following the “what if†principle and the priorities of social activity, arising from the dynamic changes in social environment. Special emphasis is put on the differentiated effect on higher education institutions, depending on the field in which universities carry out teaching and research activities, as well as on the peculiarities of the university business model in the changing environment for development of the higher education institutions. |
| Keywords: | Social economy, social development,higher education, science, WoS |
| JEL: | O00 O20 I20 I21 P41 |
| Date: | 2020–09 |
| URL: | http://d.repec.org/n?u=RePEc:aly:journl:202065&r=all |
| By: | Adel Almasarwah (Business School at Hashemite University, Jordan) |
| Abstract: | This study investigates the nature of association between profit warnings and stock price informativeness in the context of Jordan as an emerging country. The analysis is based on the response of stock price synchronicity to profit warnings percentages that have been published in Jordanian firms throughout the period spanning 2005–2016 in the Amman Stock Exchange. The standard of profit warnings indicators have related negatively to stock price synchronicity in Jordanian firms, meaning that firms with a high portion of profit warnings integrate with more firm-specific information into stock price. Robust regression was used rather than OLS as a parametric test to overcome the variances inflation factor (VIF) and heteroscedasticity issues recognized as having occurred during running the OLS regression; this enabled us to obtained stronger results that fall in line with our prediction that higher profit warning encourages firm investors to collect and process more firm-specific information than common market information. |
| Keywords: | Profit Warnings, Jordanian Firms, Stock Price Informativeness, Synchronicity, Whites Robust Regression |
| Date: | 2020–10 |
| URL: | http://d.repec.org/n?u=RePEc:smo:bpaper:001aa&r=all |
| By: | Auboin, Marc |
| Abstract: | Developments in trade finance in 2020 were largely driven by the impact of the COVID-19 pandemic. Twelve years after the great financial crisis of 2008-09, the issue of trade finance re-emerged as a matter of urgency. While the current pandemic-related crisis did not have a financial cause, one of its results has been that many countries are experiencing difficulties in accessing trade credit. This is occurring notably in countries - particularly developing countries - in which structural trade finance gaps were high even before the pandemic. As the health crisis developed and persisted, banks experienced an increase in failures by traders to fulfil payments, including in industries and sectors beyond those initially impacted by lockdowns, such as airlines, aeronautics and tourism. It quickly became evident that one-off extensions of terms of payment by creditors would be insufficient to alleviate the trade finance crisis. Based on the experience of the 2008-09 crisis, governments, export credit agencies and international financial institutions, including multilateral development banks, rapidly intervened to support private markets. Multilateral development banks have provided record amounts of trade finance guarantees and liquidity in developing countries, while governments have implemented payment deferral schemes. Large central banks have supplied foreign exchange resources to other central banks through swap agreements. Efforts to date have been substantial, but challenges remain in 2021, connected first with how to support the importation and exportation of vaccines against COVID-19, and then with how to encourage the recovery of trade flows. Recent events, policy responses and upcoming challenges are discussed and analysed in this paper. |
| Keywords: | trade credit,financial and economic crises,trade |
| JEL: | F13 F34 G21 G23 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:wtowps:ersd20215&r=all |
| By: | Ivana Marinovic Matovic (Addiko Bank AD Belgrade, Serbia); Miloš Pavlovic (University of Pristina, Serbia) |
| Abstract: | Performance management has gained in importance, especially in recent times, as managers are under constant pressure to improve organizational performances. Performance management, as a process of efficient management of executive compensation, is a relatively new concept. This paper analyzes the concept of business performances, as well as the concept of performance management. It shows the evolution of business performances over time. Finally, the paper elaborates the purpose, goals, principles, characteristics and significance of the organizational performances for the operationalization of policy and strategy of managerial compensation. |
| Keywords: | performance measurement, executive compensation, motivation |
| Date: | 2020–08 |
| URL: | http://d.repec.org/n?u=RePEc:smo:apaper:004im&r=all |
| By: | Hampus Engsner |
| Abstract: | In this paper we explore ways of numerically computing recursive dynamic monetary risk measures and utility functions. Computationally, this problem suffers from the curse of dimensionality and nested simulations are unfeasible if there are more than two time steps. The approach considered in this paper is to use a Least Squares Monte Carlo (LSM) algorithm to tackle this problem, a method which has been primarily considered for valuing American derivatives, or more general stopping time problems, as these also give rise to backward recursions with corresponding challenges in terms of numerical computation. We give some overarching consistency results for the LSM algorithm in a general setting as well as explore numerically its performance for recursive Cost-of-Capital valuation, a special case of a dynamic monetary utility function. |
| Date: | 2021–01 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2101.10947&r=all |
| By: | Martin Holmen; Felix Holzmeister; Michael Kirchler; Matthias Stefan; Erik Wengström |
| Abstract: | Since the financial crisis, the behavior and personality traits of finance professionals have come under scrutiny. As comprehensive scientific findings are lacking, we run artefactual field experiments with finance professionals and a random sample of the working population to investigate differences across industry-relevant economic preferences and personality traits. We report that finance professionals are more risk tolerant, more selfish, less trustworthy, and show higher levels of narcissism, psychopathy, and Machiavellianism. However, we find that many of these differences disappear after adjusting for socioeconomic characteristics, indicating that finance professionals are similar to employees in other industries with a comparable socio-economic background. |
| Keywords: | experimental finance, economic preferences, personality traits, finance professionals, general working population |
| JEL: | C93 G11 G41 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:inn:wpaper:2021-03&r=all |
| By: | Adrian, Tobias (Monetary and Capital Markets Department); Borowiecki, Karol Jan (Department of Business and Economics); Tepper, Alexander (Columbia University) |
| Abstract: | The size and the leverage of financial market investors and the elasticity of demand of unlevered investors define MinMaSS, the smallest market size that can support a given degree of leverage. The financial system's potential for financial crises can be measured by the stability ratio, the fraction of total market size to MinMaSS. We use that financial stability metric to gauge the buildup of vulnerability in the run-up to the 1998 Long-Term Capital Management crisis and argue that policymakers could have detected the potential for the crisis. |
| Keywords: | Leverage; financial crisis; financial stability; minimum market size for stability; MinMaSS; stability ratio; Long-Term Capital Management; LTCM |
| JEL: | G01 G10 G20 G21 |
| Date: | 2021–02–17 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:sdueko:2021_003&r=all |
| By: | Sapkota, Jeet Bahadur |
| Abstract: | Market-led regional integration in Asia is moving fast, despite the slow progress in establishing an effective Asia-wide regional integration institution. However, how South Asian economies are integrating into the Asian economy remains unclear. Using trade statistics from the Asian Development Bank’s regional integration database, this paper investigates the situation and determinants of trade integration of South Asia into Asia. While the trade volume from South Asia to broader Asia rose sharply from US $18.12 billion in 1990 to US $381.84 billion in 2017, the trade share (of total trade) rose from 27.35% to 40.1% during the same period. However, the regional trade intensity index (TII) of South Asia to Asia declined from 1.27% in 1990 to 1.16% in 2017, indicating the declining importance of Asia vis-à-vis the outside world for South Asia. Using the dynamic panel data approach on the cross-country panel data of five South Asian countries for the period 1990–2017, this study explores the determinants of South Asian trade volumes and share into Asia. The results indicate that the past record of the dependent variables and the aid flows from Asian bilateral donors significantly increased both trade volume and share. Other positive determinants of trade volume are the economy size, trade openness, FDI inflows and ICT access. While the number of FTAs is a positive determinant, a country’s level of economic development, size of economy and FDI inflows are the negative determinants of trade share. The military expenditure is a negative determinant for both trade volume and share. The finding suggests that more FTA participations and foreign aids from within the region should be promoted, and militarization should be minimized to accelerate the economic integration of South Asia into Asia. |
| Keywords: | Asia, South Asia, regional integration, globalization, trade statistics, panel data econometrics |
| JEL: | F1 F13 F15 |
| Date: | 2020 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:106097&r=all |
| By: | Gilbert Cette (Banque de France - Banque de France - Banque de France, AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique) |
| Abstract: | Measuring Economic Growth and Productivity is not only a book on an essential topic, namely that of "growth and productivity", it is also a fabulous ensemble, bringing together contributions from many top specialists. But, in addition, it is a tribute to Dale W. Jorgenson, who has for decades been an exceptional contributor to gaining a better knowledge of the mechanisms of growth and productivity. The volume is dedicated to him. I was present in January 2020 at the annual IPM dinner at the AEA conference, when a preprint of the book was presented to him by the editor, Barbara Fraumeni. I openly admit that it was a very emotional moment. |
| Date: | 2020–10 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-03117536&r=all |
| By: | Ken-ichi Hashimoto (Graduate School of Economics, Kobe University); Ryonghun Im (Kyoto University); Takuma Kunieda (Kwansei Gakuin University); Akihisa Shibata (Kyoto University) |
| Abstract: | This paper uses a dynamic general equilibrium model to examine whether financial innovations destabilize an economy. Applying a neoclassical production function, we demonstrate that as financial frictions are mitigated, the economy loses stability and a flip bifurcation occurs at a certain level of financial frictions under an empirically plausible elasticity of substitution between capital and labor. Furthermore, the amplitude of fluctuations increases as financial frictions are mitigated and is maximized when the financial market approaches perfection. These outcomes imply that financial innovations are likely to destabilize an economy. |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:koe:wpaper:2103&r=all |
| By: | Alessandro Bitetto (University of Pavia); Paola Cerchiello (University of Pavia); Charilaos Mertzanis (University of Pavia) |
| Abstract: | We use a fully data-driven approach and information provided by the IMF’s financial soundness indicators to measure the soundness of a country’s financial system around the world. Given the nature of the measurement problem, we apply principal component analysis (PCA) to deal with the presence of strong cross-sectional dependence in the data due to unobserved common factors. Using this comprehensive sample and various statistical methods, we produce a data-driven measure of financial soundness that provides policy makers and financial institutions with a tool that is easy to implement and update. |
| Keywords: | Financial soundness, Data-driven, Cross-country, Policy framework, Principal Component Analysis, Random Forest |
| JEL: | E32 E42 E61 E02 F02 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:pav:demwpp:demwp0199&r=all |
| By: | Marie Briere; Ariane Szafarz |
| Abstract: | We examine the profitability of multifactor portfolios on the U.S. stock market. Using passive sector investing as the benchmark, we assess the performances of factor-based asset management strategies in good and bad times. When short selling is unrestricted, factor investing outperforms sector investing in all respects. For long-only portfolios, our results reveal a trade-off between the risk premia associated with factors and the diversification potential of sectors. Multifactor investing tends to be more profitable than the benchmark during good times but less attractive during bad times, when diversification is needed the most. |
| Keywords: | Portfolio management; asset allocation; factor; industry; sector; crisis |
| JEL: | G11 C61 E44 G01 |
| Date: | 2021–02–10 |
| URL: | http://d.repec.org/n?u=RePEc:sol:wpaper:2013/319463&r=all |
| By: | Ly Dai Hung (Vietnam Institute of Economics, Hanoi, Vietnam) |
| Abstract: | We characterize a macro-finance model of government bonds yields in Vietnam. The evidence is based on a time-varying structural vector autoregression (TVC-VAR) model with a monthly sample from 02/2012 to 10/2018. The bonds yields serve as effective indicators for the macroeconomic variables. For the two-month horizon of forecasting, the model tends to forecast the inflation more effectively than the economic growth and exchange rate's change. Moreover, the macroeconomic fundamentals also drive the bonds yields curve: the output growth move closely with the long-run value of curve, the depreciation rate of domestic currency is consistent with the medium-run of curve, and the inflation rate goes in line with the short-run of curve. |
| Keywords: | Government Bonds,Vector Autoregression,Macro-Finance |
| Date: | 2020–06 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-03133807&r=all |
| By: | Dalibor Rohac |
| Abstract: | Giving up on the institutions underpinning the current trade regime would be extremely unwise, particularly at a time of historically unprecedented economic distress accompanying the COVID-19 pandemic. Without the constraints imposed by the WTO and PTAs, nothing would stop politicians from reverting back to trade policies that cater to special interests while distributing the costs over the wider public. As the example of the Great Depression shows, such danger would be imminent in bad economic times when the temptation to impose discriminatory trade barriers would be strong and doing so would amplify the size of adverse economic shocks. A zero- or negative-sum economic environment provides fuel for extremist ideologies, militarism, and war. Avoiding such a scenario is precisely the challenge facing the world today. |
| Keywords: | globalism, free trade, tariff, WTO, USA, COVID-19 |
| JEL: | B17 B27 F13 |
| Date: | 2021–01–20 |
| URL: | http://d.repec.org/n?u=RePEc:sec:mbanks:0166&r=all |
| By: | Le Van, Cuong; Pham, Ngoc-Sang |
| Abstract: | Productivity is a key concept in economics and crucial for economic growth. By using different theoretical models, we show the role of several kinds of productivity, including total factor productivity (TFP) and labor productivity. |
| Keywords: | Productivity, TFP, labor productivity, competitiveness, growth. |
| JEL: | E2 O4 |
| Date: | 2021–01–06 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:106042&r=all |
| By: | Ling Li (University of Wisconsin-Parkside); Perry Singleton (Center for Policy Research, Maxwell School, Syracuse University, 426 Eggers Hall, Syracuse, NY 13244) |
| Abstract: | This study measures the effect of industrial robots on workplace safety at the commuting zone level, exploiting potentially exogenous variation in robot exposure due to technological progress. Workplace safety is measured by workers involved in severe or fatal accidents inspected by the Occupational Safety and Health Administration. From 2000 to 2007, we find that one additional robot in exposure per 1,000 workers decreased the OSHA accident rate at the mean by 15.1 percent. We also find that robot exposure decreased OSHA violations and accidents more likely to be affected by robot penetration, specifically those involving machinery or electrical. |
| Keywords: | Industrial Robots, Automation, Workplace Safety, Occupational Safety |
| JEL: | J81 I10 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:max:cprwps:239&r=all |
| By: | Marco Ortu; Nicola Uras; Claudio Conversano; Giuseppe Destefanis; Silvia Bartolucci |
| Abstract: | This work aims to analyse the predictability of price movements of cryptocurrencies on both hourly and daily data observed from January 2017 to January 2021, using deep learning algorithms. For our experiments, we used three sets of features: technical, trading and social media indicators, considering a restricted model of only technical indicators and an unrestricted model with technical, trading and social media indicators. We verified whether the consideration of trading and social media indicators, along with the classic technical variables (such as price's returns), leads to a significative improvement in the prediction of cryptocurrencies price's changes. We conducted the study on the two highest cryptocurrencies in volume and value (at the time of the study): Bitcoin and Ethereum. We implemented four different machine learning algorithms typically used in time-series classification problems: Multi Layers Perceptron (MLP), Convolutional Neural Network (CNN), Long Short Term Memory (LSTM) neural network and Attention Long Short Term Memory (ALSTM). We devised the experiments using the advanced bootstrap technique to consider the variance problem on test samples, which allowed us to evaluate a more reliable estimate of the model's performance. Furthermore, the Grid Search technique was used to find the best hyperparameters values for each implemented algorithm. The study shows that, based on the hourly frequency results, the unrestricted model outperforms the restricted one. The addition of the trading indicators to the classic technical indicators improves the accuracy of Bitcoin and Ethereum price's changes prediction, with an increase of accuracy from a range of 51-55% for the restricted model, to 67-84% for the unrestricted model. |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2102.08189&r=all |
| By: | Alexis Stenfor (University of Portsmouth); Masayuki Susai (Nagasaki University) |
| Abstract: | We investigate if and how other traders react to algorithmic order-splitting tactics. Studying over 1.4 million limit orders in the EUR/USD foreign exchange (FX) spot market, we find that stealth-trading strategies adopted by algorithmic traders seem to go detected and are perceived as more market-moving than orders of the corresponding size typically submitted by human traders. We also document that algorithmic traders appear to be more sensitive to limit orders submitted from the opposite side (free-option risk) than to the same side of the order book (non-execution risk). Once human traders have had time to react, however, the pattern reverses. |
| Keywords: | algorithmic trading, foreign exchange, limit order book, market microstructure, order splitting, stealth trading |
| JEL: | D4 F3 |
| Date: | 2021–02–12 |
| URL: | http://d.repec.org/n?u=RePEc:pbs:ecofin:2021-02&r=all |
| By: | Ionut-Alexandru Horhogea (University of Birmingham, Birmingham, United Kingdom) |
| Abstract: | Zoon Politikon may be considered the main byname of human beings. It is ought to the similarities between each individual and animal, regarding involuntary instincts. The fundamental reason for our top placement as humans, in nature, is given by ability to think and promptly react according to it. Considering that, should we take advantage of others’ involuntary instincts when it comes about marketing? As the concept of marketing is a truly complex matter, we could minimize the stress of understanding it by arranging it like a family tree. All we have to do is to exchange our relatives from it with fundamental principles of marketing and psychology and place them from bottom to top, former representing the most important aspects and latter, the least. But what if we want to “cut this tree†as a metaphor for selling a product to a customer while taking advantage of his involuntary instincts? Let’s find out in the following. |
| Keywords: | psychology, marketing, selling products, exploit |
| Date: | 2020–10 |
| URL: | http://d.repec.org/n?u=RePEc:smo:bpaper:018hi&r=all |
| By: | Jose Luis Cruz Alvarez; Esteban Rossi-Hansberg |
| Abstract: | Global warming is a worldwide and protracted phenomenon with heterogeneous local economic effects. In order to evaluate the aggregate and local economic consequences of higher temperatures, we propose a dynamic economic assessment model of the world economy with high spatial resolution. Our model features a number of mechanisms through which individuals can adapt to global warming, including costly trade and migration, and local technological innovations and natality rates. We quantify the model at a 1° × 1° resolution and estimate damage functions that determine the impact of temperature changes on a region’s fundamental productivity and amenities depending on local temperatures. Our baseline results show welfare losses as large as 15% in parts of Africa and Latin America but also high heterogeneity across locations, with northern regions in Siberia, Canada, and Alaska experiencing gains. Our results indicate large uncertainty about average welfare effects and point to migration and, to a lesser extent, innovation as important adaptation mechanisms. We use the model to assess the impact of carbon taxes, abatement technologies, and clean energy subsidies. Carbon taxes delay consumption of fossil fuels and help flatten the temperature curve but are much more effective when an abatement technology is forthcoming. |
| JEL: | F63 F64 Q51 Q54 Q56 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:28466&r=all |
| By: | Oleg Szehr |
| Abstract: | The construction of approximate replication strategies for derivative contracts in incomplete markets is a key problem of financial engineering. Recently Reinforcement Learning algorithms for pricing and hedging under realistic market conditions have attracted significant interest. While financial research mostly focused on variations of $Q$-learning, in Artificial Intelligence Monte Carlo Tree Search is the recognized state-of-the-art method for various planning problems, such as the games of Hex, Chess, Go,... This article introduces Monte Carlo Tree Search for the hedging of financial derivatives in realistic markets and shows that there are good reasons, both on the theoretical and practical side, to favor it over other Reinforcement Learning methods. |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2102.06274&r=all |
| By: | Arnaud Dupuy; Alfred Galichon |
| Abstract: | In the context of the Beckerian theory of marriage, when men and women match on a single-dimensional index that is the weighted sum of their respective multivariate attributes, many papers in the literature have used linear canonical correlation, and related techniques, in order to estimate these weights. We argue that this estimation technique is inconsistent and suggest some solutions. |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2102.07489&r=all |
| By: | José G. Vargas-Hernández (1 Research Professor, Department of Administration, University Center for Economic and Managerial Sciences. University of Guadalajara, Periférico Norte 799 Edif. G201-7 Núcleo Universitario los Belenes. Zapopan, Jalisco, 45100, México) |
| Abstract: | The purpose of this work is to analyze the economic-cultural effects that globalization has in each link of the value chain in the commercialization of coffee in the world. Starting from the fact that coffee is the second most consumed beverage globally after water, in the same way it is the second most exported product after oil, the economic influence that has due to the fact that it is a grain that can grow simultaneously in the tropical belt around the world and because the coffee farmer tends to be poor. We will address its influence and contribution to the world economy by analyzing the process from the coffee farmer to the industrialization, uncovering the industrial supply chain to the different distribution channels that reach and delight the final consumer. |
| Keywords: | Value chain, commercialization, culture, globalization, chopped coffee segmen |
| JEL: | D46 F10 M21 |
| Date: | 2020–12 |
| URL: | http://d.repec.org/n?u=RePEc:aly:journl:202069&r=all |
| By: | ; Tom Phelan |
| Abstract: | In this paper we explore some of the benefits of using the finite-state Markov chain approximation (MCA) method of Kushner and Dupuis (2001) to solve continuous-time optimal control problems. We first show that the implicit finite-difference scheme of Achdou et al. (2017) amounts to a limiting form of the MCA method for a certain choice of approximating chains and policy function iteration for the resulting system of equations. We then illustrate the benefits of departing from policy function iteration by showing that using variations of modified policy function iteration to solve income fluctuation problems in two and three dimensions can lead to an increase in the speed of convergence of more than an order of magnitude. We then show that the MCA method is also well-suited to solving portfolio problems with highly correlated state variables, a setting that commonly occurs within general equilibrium models with financial frictions and for which it is difficult to construct monotone (and hence convergent) finite-difference schemes. |
| Keywords: | Dynamic programming; financial frictions |
| JEL: | C63 E00 G11 |
| Date: | 2021–02–10 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedcwq:89860&r=all |
| By: | Linh, Nguyen Thuy |
| Abstract: | This study examines the effects of the Bank of Japan’s (BOJ’s) exchange traded fund (ETF) and corporate bond (CB) purchases on the capital structure of Japanese listed firms. The results suggest that following the expansion of ETF purchases, treatment firms actively issued more stocks and became less dependent on bond debt and bank loans than control firms, resulting in a lower level of leverage. In contrast, following the introduction of CB purchases, firms whose bonds were eligible for CB purchases issued more corporate bonds, while reducing long-term bank debt by a smaller extent, thus they have a higher leverage ratio than ineligible firms. Moreover, evidence further suggests the existence of an interaction between these two purchasing programs. These results indicate that the BOJ’s ETF and CB purchases have had a considerable impact, implying that the supply of capital plays an important role in determining firms’ capital structure. |
| Keywords: | Unconventional monetary policy, Risk asset purchases, Difference in differences, Capital structure, Supply-side effects |
| JEL: | E52 E58 G32 |
| Date: | 2021–01 |
| URL: | http://d.repec.org/n?u=RePEc:hit:rcesrs:dp21-1&r=all |
| By: | Arzu Hajiyeva (World Economy, Azerbaijan State Economics University, Baku, Azerbaijan) |
| Abstract: | Modern trends in economic development, characterized by increased competition and globalization of markets, lead to a significant increase in mergers and acquisitions (M&A). Companies from emerging capital markets are beginning to play an increasingly significant role in these processes. It is very necessary to identify whether M&A deals create value for companies or are they just a convenient way for management to expand and strengthen its position. The article presents the results of a study of the effectiveness of transactions for the transfer of corporate control on a sample of companies from the BRICS countries in the period from 2009 to 2012. Based on the method of analysis of financial statements, we found an increase in the operating indicators of companies (EBITDA / Sales) as a result of mergers and acquisitions two years after their completion. The main determinants of the effectiveness of transactions initiated by companies from the BRICS countries are: deal size of acquitting company, friendly focus of the transaction and the stake share. |
| Keywords: | Mergers and acquisitions, BRICS, capital movement, emerging markets |
| JEL: | G34 F21 |
| Date: | 2020–12 |
| URL: | http://d.repec.org/n?u=RePEc:aly:journl:202067&r=all |
| By: | Su, Huei-Chun; Colander, David; Assistant, JHET |
| Abstract: | Some well-known economists suggest that a good economist should act like an engineer, a surgeon, a dentist, or even a plumber. These metaphors are useful in helping economists reflect the nature of economics and their role in society. But which is the most sensible one? This paper argues that economists should be playing all these roles and more, because economics is not a single entity, and each entity has separate goals, methods, and boundaries. To take this multiplicity of roles into account this paper argues that in addition to the traditional boundary that delineates the disciplinary domain of economics against other sciences, an overarching boundary between economic science and applied policy needs to be recognized. It then examines Duflo’s economist as plumber metaphor and suggests that a better metaphor for Duflo’s purpose would be “general contractor”, a metaphor that, if accepted, would suggest radical change in training applied policy economists. |
| Date: | 2021–02–12 |
| URL: | http://d.repec.org/n?u=RePEc:osf:osfxxx:c98mu&r=all |
| By: | Eduardo Abi Jaber (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique); Enzo Miller (LPSM (UMR_8001) - Laboratoire de Probabilités, Statistiques et Modélisations - UPD7 - Université Paris Diderot - Paris 7 - SU - Sorbonne Université - CNRS - Centre National de la Recherche Scientifique); Huyên Pham (LPSM (UMR_8001) - Laboratoire de Probabilités, Statistiques et Modélisations - UPD7 - Université Paris Diderot - Paris 7 - SU - Sorbonne Université - CNRS - Centre National de la Recherche Scientifique) |
| Abstract: | This paper concerns portfolio selection with multiple assets under rough covariance matrix. We investigate the continuous-time Markowitz mean-variance problem for a multivariate class of affine and quadratic Volterra models. In this incomplete non-Markovian and non-semimartingale market framework with unbounded random coefficients, the optimal portfolio strategy is expressed by means of a Riccati backward stochastic differential equation (BSDE). In the case of affine Volterra models, we derive explicit solutions to this BSDE in terms of multi-dimensional Riccati-Volterra equations. This framework includes multivariate rough Heston models and extends the results of \cite{han2019mean}. In the quadratic case, we obtain new analytic formulae for the the Riccati BSDE and we establish their link with infinite dimensional Riccati equations. This covers rough Stein-Stein and Wishart type covariance models. Numerical results on a two dimensional rough Stein-Stein model illustrate the impact of rough volatilities and stochastic correlations on the optimal Markowitz strategy. In particular for positively correlated assets, we find that the optimal strategy in our model is a `buy rough sell smooth' one. |
| Keywords: | Stein-Stein and Wishart models,Riccati equations,non-Markovian Heston,multi- dimensional Volterra process,rough volatility,Mean-variance portfolio theory,correlation matrices |
| Date: | 2020 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-02877569&r=all |
| By: | Heyman, Fredrik (Research Institute of Industrial Economics (IFN)); Norbäck, Pehr-Johan (Research Institute of Industrial Economics (IFN)); Persson, Lars (Research Institute of Industrial Economics (IFN)) |
| Abstract: | We propose a model with asymmetric firms where new technologies displace workers. We show that both leading (low-cost) firms and laggard (high-cost) firms increase productivity when automating but that only laggard firms hire more automation-susceptible workers. The reason for this asymmetry is that in laggard firms, the lower incentive to invest in new technologies implies a weaker displacement effect and thus that the output-expansion effect on labor demand dominates. Using novel firm-level automation workforce probabilities, which reveal the extent to which a firms’ workforce can be replaced by new AI and robotic technology and a new shiftshare instrument to address endogeneity, we find strong empirical evidence for these predictions in Swedish matched employer-employee data. |
| Keywords: | AI&R Technology; Automation; Job displacement; Firm Heterogeneity; Matched employer-employee data |
| JEL: | J70 L20 M50 |
| Date: | 2021–02–09 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:iuiwop:1382&r=all |
| By: | Jos\'e Manuel Corcuera |
| Abstract: | This paper is devoted, mainly, to show that the last quarter of the past century can be considered as the golden age of the Mathematical Finance. In this period the collaboration of great economist and the best generation of probabilists, most of them from the Strasbourg's School led by Paul Andr\'e Meyer, gave rise to the foundations of this discipline. They established the two fundamentals theorems of arbitrage theory, close formulas for options, the main modelling approaches and created the appropriate framework for the posterior development.12 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2102.06693&r=all |
| By: | Fukai, Hiroki |
| Abstract: | A search theoretic model of repurchase agreements is constructed wherein the sellers' incentives to fail to deliver securities are explicitly incorporated. In equilibrium, too many sellers choose to fail relative to the social optimum. Two types of interventions are studied: a fails charge and an interest reset. These interventions improve efficiency by lowering the fraction of sellers who fail and making it easier for buyers to find their counterparties. In extensions of the model, the two types of optimal interventions are differently affected by fundamental variables. Thus, a policymaker needs to carefully distinguish between the workings of the two. |
| Keywords: | fails charge; over-the-counter market; repo interest; repo market |
| JEL: | D53 G01 G18 |
| Date: | 2021–01–30 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:106090&r=all |
| By: | Nguyen-Huu, Thanh Tam; Pham, Ngoc-Sang |
| Abstract: | The paper investigates the country receiving FDI's optimal strategy in an optimal growth context. First, if the multinational enterprise has high productivity or the entry cost is high, no domestic firm enters the new industry. Still, the host economy's investment stock converges to a higher steady state than that of the closed economy. Second, if the old sector is strong enough and the domestic firm's productivity is high, the foreign firm will be dominated, even eliminated by the domestic one. Third, we show that if the host country invests in R\&D, its economy may grow without bounds. In this case, FDI helps the host country only at the first stages of its development process. We present empirical evidence that supports our theoretical findings. |
| Keywords: | Optimal growth, FDI, MNE, R\&D, fixed cost |
| JEL: | E2 F23 F4 O3 O4 |
| Date: | 2021–01–16 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:106151&r=all |
| By: | Zihao Zhang; Bryan Lim; Stefan Zohren |
| Abstract: | Market by order (MBO) data - a detailed feed of individual trade instructions for a given stock on an exchange - is arguably one of the most granular sources of microstructure information. While limit order books (LOBs) are implicitly derived from it, MBO data is largely neglected by current academic literature which focuses primarily on LOB modelling. In this paper, we demonstrate the utility of MBO data for forecasting high-frequency price movements, providing an orthogonal source of information to LOB snapshots. We provide the first predictive analysis on MBO data by carefully introducing the data structure and presenting a specific normalisation scheme to consider level information in order books and to allow model training with multiple instruments. Through forecasting experiments using deep neural networks, we show that while MBO-driven and LOB-driven models individually provide similar performance, ensembles of the two can lead to improvements in forecasting accuracy -- indicating that MBO data is additive to LOB-based features. |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2102.08811&r=all |
| By: | Pavel Ciaian; d'Artis Kancs; Miroslava Rajcaniova |
| Abstract: | We study to what extent the Bitcoin blockchain security permanently depends on the underlying distribution of cryptocurrency market outcomes. We use daily blockchain and Bitcoin data for 2014-2019 and employ the ARDL approach. We test three equilibrium hypotheses: (i) sensitivity of the Bitcoin blockchain to mining reward; (ii) security outcomes of the Bitcoin blockchain and the proof-of-work cost; and (iii) the speed of adjustment of the Bitcoin blockchain security to deviations from the equilibrium path. Our results suggest that the Bitcoin price and mining rewards are intrinsically linked to Bitcoin security outcomes. The Bitcoin blockchain security's dependency on mining costs is geographically differenced - it is more significant for the global mining leader China than for other world regions. After input or output price shocks, the Bitcoin blockchain security reverts to its equilibrium security level. |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2102.08378&r=all |
| By: | Riza Demirer (Department of Economics & Finance, Southern Illinois University Edwardsville, Alumni Hall 3145, Edwardsville IL, 62026-1102, USA); Rangan Gupta (Department of Economics, University of Pretoria, Private Bag X20, Hatfield, 0028, South Africa); He Li (School of International Economics and Politics, Liaoning University, Shenyang, Liaoning, China); Yu You (Li Anmin Advanced Institute of Finance and Economics, Liaoning University, Shenyang, Liaoning, China) |
| Abstract: | This paper establishes a predictive relationship between financial vulnerability and volatility in emerging stock markets. Focusing on China and India and utilizing GARCH-MIDAS models, we show that incorporating financial vulnerability can substantially improve the forecasting power of standard macroeconomic fundamentals (output growth, inflation and monetary policy interest rate) for stock market volatility. The findings have significant implications for investors to improve the accuracy of volatility forecasts. |
| Keywords: | Stock Market Volatility, Financial Vulnerability, GARCH-MIDAS, Emerging Markets |
| JEL: | C32 C53 G15 G17 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:pre:wpaper:202112&r=all |
| By: | Balboa, Marina; Rodrigues, Paulo MM; Rubia, Antonio; Taylor, AM Robert |
| Abstract: | We introduce a new joint test for the order of fractional integration of a multivariate fractionally integrated vector autoregressive [FIVAR] time series based on applying the Lagrange multiplier principle to a feasible generalised least squares estimate of the FIVAR model obtained under the null hypothesis. A key feature of the test we propose is that it is constructed using a heteroskedasticity-robust estimate of the variance matrix. As a result, the test has a standard x² limiting null distribution under considerably weaker conditions on the innovations than are permitted in the extant literature. Specifically, we allow the innovations driving the FIVAR model to follow a vector martingale difference sequence allowing for both serial and cross-sectional dependence in the conditional second-order moments. We also do not constrain the order of fractional integration of each element of the series to lie in a particular region, thereby allowing for both stationary and non-stationary dynamics, nor do we assume any particular distribution for the innovations. A Monte Carlo study demonstrates that our proposed tests avoid the large over-sizing problems seen with extant tests when conditional heteroskedasticity is present in the data. We report an empirical case study for a sample of major U.S. stocks investigating the order of fractional integration in trading volume and different measures of volatility in returns, including realized variance. Our results suggest that both return volatility and trading volume are fractionally integrated, but with the former generally found to be more persistent (having a higher fractional exponent) than the latter, when more reliable proxies for volatility such as the range or realized variance are used. |
| Date: | 2021–02–12 |
| URL: | http://d.repec.org/n?u=RePEc:esy:uefcwp:29777&r=all |
| By: | Kondor, Peter; Vayanos, Dimitri |
| Abstract: | We develop a continuous-time model of liquidity provision in which hedgers can trade multiple risky assets with arbitrageurs. Arbitrageurs have constant relative risk-aversion (CRRA) utility, while hedgers' asset demand is independent of wealth. An increase in hedgers' risk aversion can make arbitrageurs endogenously more risk-averse. Because arbitrageurs generate endogenous risk, an increase in their wealth or a reduction in their CRRA coefficient can raise risk premia despite Sharpe ratios declining. Arbitrageur wealth is a priced risk factor because assets held by arbitrageurs offer high expected returns but suffer the most when wealth drops. Aggregate illiquidity, which declines in wealth, captures that factor. |
| Keywords: | liquidity risk; wealth effects; heterogeneous agents; intermediary asset pricing; endogenous risk; 336585 |
| JEL: | F3 G3 |
| Date: | 2019–06–01 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:lserod:87520&r=all |
| By: | Soumya Kanti Ghosh (State Bank of India, Mumbai (India)); Hiranya K. Nath (Department of Economics and International Business, Sam Houston State University) |
| Abstract: | This paper uses annual data from 1960 to 2016 to examine the determinants of private and household saving behavior in India. The results indicate that per capita real income and access to banks are significant determinants with favorable impacts on private as well as household saving rates in short as well as long run. Further, as inflation accelerates, the uncertainty about the future value of their accumulated savings and expected real rate of return discourage households and other private agents from saving. A desire to maintain a certain level of real expenditures also contributes to this decrease in saving rate. An increase in dependent population reduces private and household saving rates in the short run while it increases the private saving rate in the long run. The results further indicate that a rise in the real interest rate increases household saving rate in the short run but reduces both private and household saving in the long run. It does not seem to have any significant impact on total private saving in the short run. Additionally, increased corporate saving tends to reduce household saving in both time horizons. Further, both private and household saving rates have declined significantly after the global financial crisis. Finally, any deviation from the long run equilibrium for saving rates dissipates rather quickly. Overall, these results seem to suggest that policies intended to increase per capita income, lower inflation, and increase accessibility to banking will go a long way in increasing private and household saving in India. |
| Keywords: | Private saving rate, household saving rate, Autoregressive Distributed Lag (ARDL), Bounds test, India |
| JEL: | E21 E43 |
| Date: | 2021–01 |
| URL: | http://d.repec.org/n?u=RePEc:shs:wpaper:2101&r=all |
| By: | Nicol\`o Cesa-Bianchi (TSE); Tommaso Cesari (TSE); Roberto Colomboni (IIT); Federico Fusco; Stefano Leonardi |
| Abstract: | Bilateral trade, a fundamental topic in economics, models the problem of intermediating between two strategic agents, a seller and a buyer, willing to trade a good for which they hold private valuations. Despite the simplicity of this problem, a classical result by Myerson and Satterthwaite (1983) affirms the impossibility of designing a mechanism which is simultaneously efficient, incentive compatible, individually rational, and budget balanced. This impossibility result fostered an intense investigation of meaningful trade-offs between these desired properties. Much work has focused on approximately efficient fixed-price mechanisms, i.e., Blumrosen and Dobzinski (2014; 2016), Colini-Baldeschi et al. (2016), which have been shown to fully characterize strong budget balanced and ex-post individually rational direct revelation mechanisms. All these results, however, either assume some knowledge on the priors of the seller/buyer valuations, or a black box access to some samples of the distributions, as in D{\"u}tting et al. (2021). In this paper, we cast for the first time the bilateral trade problem in a regret minimization framework over rounds of seller/buyer interactions, with no prior knowledge on the private seller/buyer valuations. Our main contribution is a complete characterization of the regret regimes for fixed-price mechanisms with different models of feedback and private valuations, using as benchmark the best fixed price in hindsight. More precisely, we prove the following bounds on the regret: $\bullet$ $\widetilde{\Theta}(\sqrt{T})$ for full-feedback (i.e., direct revelation mechanisms); $\bullet$ $\widetilde{\Theta}(T^{2/3})$ for realistic feedback (i.e., posted-price mechanisms) and independent seller/buyer valuations with bounded densities; $\bullet$ $\Theta(T)$ for realistic feedback and seller/buyer valuations with bounded densities; $\bullet$ $\Theta(T)$ for realistic feedback and independent seller/buyer valuations; $\bullet$ $\Theta(T)$ for the adversarial setting. |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2102.08754&r=all |
| By: | Ahmad Al-Haji (Professor of finance at the School of Management, CDPQ Research Chair in Portfolio Management, Université du Québec à Montréal (UQAM), Department of Finance. 315 Rue Sainte-Catherine Est, Montréal, Québec, CANADA) |
| Abstract: | I study the introduction of decimalization in U.S. stock markets and the implementation of the Hybrid system on NYSE, and I examine the impact of these two events on liquidity, conditionally on firm size. I argue that such liquidity-improving events offer more pronounced benefits to the typically-illiquid small stocks. The basis of this conjecture lies in the notion of diminishing marginal utility. That is, the benefit from improvement in liquidity is more pronounced at stages where illiquidity is higher. Consistent with my conjecture, I find that the improvement in liquidity post decimalization and Hybrid is an inverse function of firm size. I also find that the documented positive association between size and liquidity is rendered weaker after these two events. It seems that such liquidity-improving events reduce the overlap between size and liquidity, and help make them two distinct features. The framework of this paper can be utilized in the pursuit to explain the variation of the size effect over time, by examining whether recent market changes has “cleaned†the smallsize premium from the illiquidity component. |
| Keywords: | Decimalization, Trade Automation, Liquidity, Size Effect |
| JEL: | G12 G14 |
| Date: | 2020–12 |
| URL: | http://d.repec.org/n?u=RePEc:aly:journl:202068&r=all |
| By: | Julia Kielmann (Technical University of Munich, Germany); Hans Manner (University of Graz, Austria); Aleksey Min (Technical University of Munich, Germany) |
| Abstract: | Crude oil plays a significant role in economic developments in the world. Understanding the relationship between oil price changes and stock market returns helps to improve portfolio strategies and risk positions. Kilian (2009) proposes to decompose the oil price into three types of oil price shocks by using a structural vector autoregression (SVAR) model. This paper investigates the dynamic, non-linear dependence and risk spillover effects between BRICS stock returns and the different types of oil price shocks using an appropriate multivariate and dynamic copula model. Risk is measured using the conditional Value-at-Risk, conditioning on one or more simultaneous oil and stock market shocks. For this purpose, a D-vine based quantile regression model and the GAS copula model are combined. Our results show, inter alia, that the early stages of the Covid-19 crisis leads to increasing risk levels in the BRICS stock markets except for the Chinese one, which has recovered quickly and therefore shows no changes in the risk level. |
| Keywords: | Oil prices; risk management; time-varying copula; D-vine copula; CoVaR. |
| JEL: | C12 C32 C52 C53 |
| Date: | 2021–01 |
| URL: | http://d.repec.org/n?u=RePEc:grz:wpaper:2021-01&r=all |
| By: | Patankar, Archana (Green Globe Consultancy) |
| Abstract: | Extreme precipitation and flooding cause large-scale impacts on people, and are further intensified by rapid urbanization, infrastructure expansion, and large numbers of people residing in informal settlements in destitute conditions. This underscores the need to characterize the impacts of extreme precipitation on different stakeholders and help formulate policies and plans to mitigate them. The focus of this paper is on characterizing and analyzing the impacts of extreme precipitation events at the micro level on vulnerable households and small and medium-sized enterprises in three locations in India: Mumbai, Chennai, and Puri district. These areas have faced devastating extreme rainfall events in recent years and offer critical insights into asset the exposure of, and direct and indirect impacts on, urban and rural entities. The flood impact analysis in this paper provides a multidimensional view with quantitative damage estimates and qualitative insights into the devastation and distress caused. It also highlights the heterogeneity of flood impacts and the potential to push the poor into a debt trap and further poverty. |
| Keywords: | disaster risk management; extreme events; flooding; household survey; urban poverty |
| JEL: | I32 I38 Q54 Q56 |
| Date: | 2019–12–23 |
| URL: | http://d.repec.org/n?u=RePEc:ris:adbewp:0603&r=all |
| By: | Park , Cyn-Young (Asian Development Bank); Tian , Shu (Asian Development Bank); Zhao , Bo (Asian Development Bank) |
| Abstract: | Since the launch of Bitcoin in 2009, the spectacular rise and fall of cryptocurrencies and the underlying blockchain technology have attracted global attention. While the application of distributed ledger technology presents great economic and business potential, significant volatility and speculative trading of cryptocurrencies have raised concerns over investor and consumer protection and prompted government interventions within their respective jurisdictions. This study focuses on the six Bitcoin trading markets comprising 99% of global trading volume as of February 2018. Adopting the event study methodology to newly compiled information about local regulation events, we find that the effect of government regulations on the Bitcoin price is only short-lived, but regulations discourage trading activities for a longer term in local markets. Interestingly, however, the repressive effect of domestic regulations on trading activities can be mitigated by the domestic financial market openness. Together, these findings are consistent with the view that Bitcoin markets are globally integrated and that, to uphold market integrity, international cooperation would be essential. |
| Keywords: | Bitcoin; cryptocurrency; financial market openness; international cooperation; regulation |
| JEL: | E61 G10 G14 G18 |
| Date: | 2020–01–23 |
| URL: | http://d.repec.org/n?u=RePEc:ris:adbewp:0605&r=all |
| By: | Dieckelmann, Daniel |
| Abstract: | Using new quarterly U.S. data for the past 120 years, I show that sudden reversals in equity and credit market sentiment approximated by several measures of corporate securities issuance are highly predictive of banking crises and recessions. Deviations in equity issuance from historical averages also help to explain economic activity over the business cycle. Crises and recessions often occur independently of domestic leverage, making the credit-to-GDP gap a deficient early-warning indicator historically. The fact that equity issuance reversals predict banking crises without elevated private credit levels, suggests that changes in investor sentiment can trigger financial crises even in the absence of underlying banking fragility. |
| Keywords: | Corporate securities issuance,market sentiment,nancial fragility,banking crises,recessions |
| JEL: | E32 G01 G32 G41 N11 N12 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:fubsbe:20216&r=all |
| By: | Nicholas Bloom (Stanford University - Department of Economics; NBER); Stephen J. Davis (University of Chicago - Booth School of Business; Hoover Institution; NBER); Lucia Foster (U.S. Census Bureau - Center for Economic Studies); Brian Lucking (Charles River Associates); Scott Ohlmacher (U.S. Census Bureau - Center for Economic Studies); Itay Saporta Eksten (Tel Aviv University - Eitan Berglas School of Economics) |
| Abstract: | The Census Bureau’s 2015 Management and Organizational Practices Survey (MOPS) utilized innovative methodology to collect five-point forecast distributions over own future shipments, employment, and capital and materials expenditures for 35,000 U.S. manufacturing plants. First and second moments of these plant-level forecast distributions covary strongly with first and second moments, respectively, of historical outcomes. The first moment of the distribution provides a measure of business’ expectations for future outcomes, while the second moment provides a measure of business’ subjective uncertainty over those outcomes. This subjective uncertainty measure correlates positively with financial risk measures. Drawing on the Annual Survey of Manufactures and the Census of Manufactures for the corresponding realizations, we find that subjective expectations are highly predictive of actual outcomes and, in fact, more predictive than statistical models fit to historical data. When respondents express greater subjective uncertainty about future outcomes at their plants, their forecasts are less accurate. However, managers supply overly precise forecast distributions in that implied confidence intervals for sales growth rates are much narrower than the distribution of actual outcomes. Finally, we develop evidence that greater use of predictive computing and structured management practices at the plant and a more decentralized decision-making process (across plants in the same firm) are associated with better forecast accuracy. |
| Keywords: | Subjective forecast distributions, business-level uncertainty, forecast quality |
| JEL: | L2 M2 O32 O33 |
| Date: | 2020 |
| URL: | http://d.repec.org/n?u=RePEc:bfi:wpaper:2020-181&r=all |
| By: | Jérôme Maucourant (TRIANGLE - Triangle : action, discours, pensée politique et économique - ENS Lyon - École normale supérieure - Lyon - UL2 - Université Lumière - Lyon 2 - IEP Lyon - Sciences Po Lyon - Institut d'études politiques de Lyon - Université de Lyon - UJM - Université Jean Monnet [Saint-Étienne] - CNRS - Centre National de la Recherche Scientifique, UJM - Université Jean Monnet [Saint-Étienne]) |
| Abstract: | A key argument of Karl Polanyi's work is that market society needs policies to emerge, develop and survive, money being an essential institution in this process. But, fictituously transforming that which was not made to be sold into commodities, such as man, money or nature, entails unexpected effects, as State interventions. This total subversion of the liberal view enables new perspectives for understanding the crisis of 2008 and the continuing crisis of the Eurozone. Furthermore, it could highlight the usual critiques of many leftwing thinkers. Actually, they were blinded by the apparent success of globalisation during the 1990's and the cosmopolitical rhetoric of neoliberalism. The case of European Union and Euro is interesting because these social machines are labs of neoliberalism. A time is coming when the consent of free trade and a single currency-which unites many neoliberals, far leftists, "socialists" and some trade union leaders-must come to an end. |
| Keywords: | markets,mainstream Critique,Euro,money order,Karl Polanyi,fictitious commodity,globalism,Institutional analysis |
| Date: | 2020 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:halshs-03104773&r=all |
| By: | Jost, Thomas; Seitz, Franz |
| Abstract: | The so-called Troika, consisting of the EU-Commission, the European Central Bank (ECB) and the International Monetary Fund (IMF), was supposed to support the member states of the euro area which had been hit hard by a sovereign debt crisis. For that purpose, economic adjustment programs were drafted and monitored in order to prevent the break-up of the euro area and sovereign defaults. The cooperation of these institutions, which was born out of necessity, has been partly successful, but has also created persistent problems. With the further increase of public debt, especially in France and Italy, the danger of a renewed crisis in the euro area was growing. The European Stability Mechanism (ESM) together with the (strongly politicized) European Commission will replace the Troika in the future, following decisions of the EU Summit of December 2018. It shall play the role of a European Monetary Fund in the event of a crisis. The IMF, on the other side, will no longer play an active role in solving sovereign debt crises in the euro area. The current course is, however, inadequate to tackle the core problems of the euro zone and to avoid future crises, which are mainly structural in nature and due to escalating public debt and lack of international competitiveness of some member countries. The current Corona crisis will aggravate the institutional problems. It has led to a common European fiscal response ("Next Generation EU"). This rescue and recovery program will not be financed by ESM resources and will not be monitored by the ESM. One important novelty of this package is that it involves the issuance of substantial common European debt. |
| Keywords: | euro area,European Monetary Fund,International Monetary Fund,euro crisis,European Stability Mechanism |
| JEL: | E61 F02 F33 F55 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:imfswp:151&r=all |