|
on Central and Western Asia |
| By: | Ben Amor, Souhir; Althof, Michael; Härdle, Wolfgang Karl |
| Abstract: | The fast-growing Emerging Market (EM) economies and their improved transparency and liquidity have attracted international investors. However, the external price shocks can result in a higher level of volatility as well as domestic policy instability. Therefore, an efficient risk measure and hedging strategies are needed to help investors protect their investments against this risk. In this paper, a daily systemic risk measure, called FRM (Financial Risk Meter) is proposed. The FRM@ EM is applied to capture systemic risk behavior embedded in the returns of the 25 largest EMs' FIs, covering the BRIMST (Brazil, Russia, India, Mexico, South Africa, and Turkey), and thereby reflects the financial linkages between these economies. Concerning the Macro factors, in addition to the Adrian & Brunnermeier (2016) Macro, we include the EM sovereign yield spread over respective US Treasuries and the above-mentioned countries' currencies. The results indicated that the FRM of EMs' FIs reached its maximum during the US financial crisis following by COVID 19 crisis and the Macro factors explain the BRIMST' FIs with various degrees of sensibility. We then study the relationship between those factors and the tail event network behavior to build our policy recommendations to help the investors to choose the suitable market for investment and tail-event optimized portfolios. For that purpose, an overlapping region between portfolio optimization strategies and FRM network centrality is developed. We propose a robust and well-diversified tail-event and cluster risk- sensitive portfolio allocation model and compare it to more classical approaches. |
| Keywords: | FRM (Financial Risk Meter),Lasso Quantile Regression,Network Dynamics,Emerging Markets,Hierarchical Risk Parity |
| JEL: | C30 C58 G11 G15 G21 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:irtgdp:2021002&r=all |
| By: | Jean-Pierre Aubry; Anqi Chen; Patrick M. Hubbard; Alicia H. Munnell |
| Abstract: | Public pension funds have engaged in social investing since the early 1970s, when several states passed laws to screen out ÒsinÓ stocks, such as tobacco, alcohol, and gambling. The practice was broadened in the early 1980s in the wake of a major campaign to encourage pension funds and others to divest from companies doing business in South Africa. States have also aimed to achieve domestic goals, such as promoting union workers, economic development, and homeownership. In the mid-2000s, the focus shifted to Òterror-freeÓ investing in response to the Darfur genocide and to weapons proliferation in Iran. And, after mass shootings in Aurora, CO and Newtown, CT, some public funds shed their holdings in gun manufacturers. In the last few years, state legislation has renewed the call to divest from Iran and has increasingly targeted fossil fuels to combat climate change. Interestingly, a ÒnewÓ form of investing Ð called ESG (environmental, social, and governance) Ð has gained traction among public plans themselves Ð as opposed to being imposed by state legislatures. A key tenet of ESG investing is that certain non-financial factors Ð such as a firmÕs environmental impact, its relationship with communities where it operates, and its management culture Ð are also relevant to longterm value. Proponents believe that, by integrating these ESG factors into existing methods of financial analysis, investors can both earn higher returns and promote socially beneficial practices and outcomes. This brief explores whether this new form of investing can fulfill its claims. |
| Date: | 2020–10 |
| URL: | http://d.repec.org/n?u=RePEc:crr:slpbrf:slp74&r=all |
| By: | Nurdaulet Abilov (NAC Analytica, Nazarbayev University) |
| Abstract: | We analyze the role of banking sector and credit in business cycle fluctuations in Kazakhstan by adopting the dynamic stochastic general equilibium (DSGE) model with financial frictions and banks. We introduce financial frictions that lead to the amplification of the effects of shocks in the economy. We find that bank capital adjustment costs are essential in the model due to the large capital adjustment cost parameter. This implies that banks' capital adjusts very slowly to exogenous shocks in the economy. We also analyze impulse responses of endogenous variables to exogenous shocks, including a negative bank capital shock, in order to understand the propagation mechanisms of the shocks. The results from the historical decomposition exercise show us that the financial shocks have played an important role in business cycle fluctuations in Kazakhstan since 2015. |
| Keywords: | DSGE; financial frictions; banking sector; Kazakhstan |
| JEL: | C11 E32 E37 E44 E51 |
| Date: | 2020–12 |
| URL: | http://d.repec.org/n?u=RePEc:ajx:wpaper:8&r=all |
| By: | Ly Dai Hung (Vietnam Institute of Economics, Hanoi, Vietnam) |
| Abstract: | The paper asscesses the determinants of income convergence (absolute convergence) across provinces and central cities in Vietnam. The analysis methodology combines the theoretical model based on Solow (1956) with emprical evidence based on a dataset of 63 provinces and central cities over 2010-2019. The result shows that the initial income level, the difference on economic growth rate of each provinces and central cities compared with the leading province and the human capital jointly affect positively the convergence of income. Thus, the paper implies that the public policy for income convergence can focus on the human capital, one of three strategic breakthroughs for the next years. |
| Keywords: | Convergence of Income,Neo-classical Growth Model,Economics of Regions and Provinces |
| Date: | 2020–12 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-03140267&r=all |
| By: | Hashimoto, Ken-ichi; Ono, Yoshiyasu; Schlegl, Matthias |
| Abstract: | In this paper, we show that underemployment and not necessarily high unemployment becomes the main measure of economic slack under secular stagnation. Specifically, persistent underemployment occurs in the search and matching model, provided that households derive utility from holding wealth, and quickly dominates the total employment gap under stagnation. Wage and cost shocks can explain movements of unemployment and underemployment in opposite directions, while demand and supply shocks cause co-movements. Our analysis provides new insights into empirical puzzles such as Japan's seemingly decent employment record and the absence of wage pressures despite low unemployment rates after the Great Recession. |
| Date: | 2020–05 |
| URL: | http://d.repec.org/n?u=RePEc:dpr:wpaper:1088r&r=all |
| By: | Sangyup Choi (Yonsei Univ); Junhyeok Shin (Yonsei Univ) |
| Abstract: | During the recent COVID-19 pandemic, many commonalities shared by Bitcoin and gold raise the question of whether Bitcoin can hedge inflation or provide a safe haven as gold often does. By estimating a Vector Autoregression (VAR) model, we provide systematic evidence on the relationship among inflation, uncertainty, and Bitcoin and gold prices. Bitcoin appreciates against inflation (or inflation expectation) shocks, confirming its inflation-hedging property claimed by investors. However, unlike gold, Bitcoin prices decline in response to financial uncertainty shocks, rejecting the safe-haven quality. Interestingly, Bitcoin prices do not decrease after policy uncertainty shocks, partly consistent with the notion of Bitcoin’s independence from government authorities. We also find an interesting asymmetry in the drivers of Bitcoin price dynamics between the bullish and bearish market. The main findings hold with or without the COVID-19 pandemic episode. |
| Keywords: | Cryptocurrencies; Bitcoin; inflation-hedging; safe-haven; gold; COVID-19 |
| JEL: | E41 E44 F31 G10 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:yon:wpaper:2021rwp-185&r=all |
| By: | Jesús Fernández-Villaverde; Federico Mandelman; Yu Yang; Francesco Zanetti |
| Abstract: | This paper develops a dynamic general equilibrium model with heterogeneous firms that face search complementarities in the formation of vendor contracts. Search complementarities amplify small differences in productivity among firms. Market concentration fosters monopsony power in the labor market, magnifying profits and further enhancing high-productivity firms’ output share. Firms want to get bigger and hire more workers, in stark contrast with the classic monopsony model, where a firm aims to reduce the amount of labor it hires. The combination of search complementarities and monopsony power induces a strong “Matthew effect” that endogenously generates superstar firms out of uniform idiosyncratic productivity distributions. Reductions in search costs increase market concentration, lower the labor income share, and increase wage inequality. |
| Keywords: | market concentration, superstar firms, search complementarities, monopsony power in the labor market |
| JEL: | C63 C68 E32 E37 E44 G12 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_8897&r=all |
| By: | William Lefebvre (LPSM (UMR_8001) - Laboratoire de Probabilités, Statistiques et Modélisations - SU - Sorbonne Université - CNRS - Centre National de la Recherche Scientifique - UP - Université de Paris, Global Markets, BNP Paribas, Paris); Enzo Miller (LPSM (UMR_8001) - Laboratoire de Probabilités, Statistiques et Modélisations - SU - Sorbonne Université - CNRS - Centre National de la Recherche Scientifique - UP - Université de Paris) |
| Abstract: | We consider a class of stochastic control problems with a delayed control, both in drift and diffusion, of the type dX t = α t−d (bdt + σdW t). We provide a new characterization of the solution in terms of a set of Riccati partial differential equations. Existence and uniqueness are obtained under a sufficient condition expressed directly as a relation between the horizon T and the quantity d(b/σ) 2. Furthermore, a deep learning scheme is designed and used to illustrate the effect of delay on the Markowitz portfolio allocation problem with execution delay. |
| Keywords: | Linear-quadratic stochastic control,delay,Riccati PDEs,Markowitz portfolio allocation |
| Date: | 2021–02–18 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-03145949&r=all |
| By: | Bernhardt, Dan (University of Illinois and University of Warwick); Koufopoulos, Kostas (University of York); Trigilia, Giulio (University of Rochester) |
| Abstract: | Classical security design papers equate competitive capital markets to securities being fairly priced in expectation. We revisit Nachman and Noe (1994)'s adverse selection setting, modeling capital-market competition as free entry of investors, and allowing firms to propose prices of securities, as happens in private securities placements and bank lending. We show that separating equilibria exist in which high types issue under-priced debt, while low types issue more informationally-sensitive securities (e.g., equity). We also uncover pooling equilibria in which firms issue under-priced debt. These results provide foundations for the pecking-order theory of external finance, and positive profits for uninformed lenders. |
| Keywords: | Adverse selection ; strictly positive profits ; security design |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:wrk:warwec:1329&r=all |
| By: | Freeman, Richard B. (Harvard University); Huang, Wei (National University of Singapore); Li, Teng (National University of Singapore) |
| Abstract: | Using administrative data from a major Chinese insurance firm that raised its sales targets and rewards for insurance agents in a highly non-linear incentive system, we find that the improvement in productivity far outweighed the costs associated with bunching distortions and other gaming behaviors. Labor turnover decreased, which suggests that the extra pay for workers exceeded the non-pecuniary cost of extra effort by workers, and thus improved their well-being. The firm gained about two-thirds of the higher net output, making the reform profitable. Analysis of non-linear incentive systems should accordingly focus more on the productivity-enhancing than on the distortionary effects. |
| Keywords: | non-linear incentives, insurance commission, strategic gaming behavior, productivity, turnover rates |
| JEL: | J33 M52 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp14125&r=all |
| By: | Yeva Nersisyan; L. Randall Wray |
| Abstract: | Modern Money Theory (MMT) economists have used Japan as an example of a country that demonstrates that high deficits and debt do not lead to insolvency, high interest rates, or inflation. MMT insists that governments that issue their own sovereign currency cannot be forced into insolvency, that they can make all payments as they come due, and that they do not really spend tax revenue or borrow in their own currency--with Japan serving as an example of a country that does not face financial budget constraints as normally defined. In this paper we evaluate whether Japan is the poster child of MMT and argue that policy-wise Japan is not following MMT recommendations; in fact, it is generally adopting policies that are precisely the opposite of those proposed by MMT, consistently adopting the path of stop-go fiscal measures and engaging in inadequate and temporary fiscal stimuli in the face of recessions, followed by austerity whenever the economy has seemed to recover. |
| Keywords: | Modern Money Theory; Budget Deficits; Sovereign Debt; Japanese Government Debt; MMT Policy |
| JEL: | E12 E32 E42 E58 H62 H63 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:lev:wrkpap:wp_985&r=all |
| By: | Kukacka, Jiri; Sacht, Stephen |
| Abstract: | This paper offers a simulation-based method for the estimation of heuristic switching in nonlinear macroeconomic models. Heuristic switching is an important feature of modeling strategy since it uses simple decision rules of boundedly rational heterogeneous agents. The simulation study shows that the proposed simulated maximum likelihood method identifies the behavioral effects that stay hidden for standard econometric approaches. In the empirical application, we estimate the structural and behavioral parameters of the US economy. We are especially able to reliably identify the intensity of choice that governs the models' nonlinear dynamics. |
| Keywords: | Behavioral Heuristics,Heuristic Switching Model,Intensity of Choice,Simulated Maximum Likelihood |
| JEL: | C53 D83 E12 E32 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:cauewp:202101&r=all |
| By: | Matthew J. Easterbrook |
| Abstract: | In this review, I provide an overview of the literature investigating the social psychology of economic inequality, focusing on individuals' understandings, perceptions, and reactions to inequality. I begin by describing different ways of measuring perceptions of inequality, and conclude that absolute measures?which ask respondents to estimate inequality in more concrete terms?tend to be more useful and accurate than relative measures. |
| Keywords: | Inequality, Economic inequality, Psychological aspects (Economics), Inequality measurement, review |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:unu:wpaper:wp-2021-43&r=all |
| By: | Sompa, Andi Tenri |
| Abstract: | This study focuses attention on the application of the principle of accountability in the management of the Village Fund. The purpose of this study was to determine the accountability of the management of the Village Fund in Bincau Muara Village in the Martapura District, Banjar Regency. The approach used in this study refers to a descriptive approach using a value for money data analysis tool that is by measuring the economic level, efficiency, and effectiveness. Data collection methods used in this study are documentation and verification of documents to related parties. The results showed that the accountability of Village Fund management from 2015 to 2018 in Bincau Muara Village, Martapura District, Banjar District was based on evaluating value for money in economic valuation aspects, namely, in 2016, it was recorded to be very economical while in 2015, 2017 and 2018 it was recorded to be quite economical. Then based on the aspect of efficient assessment the results obtained are that 2016 recorded quite efficient while in 2015-2017 and 2018 recorded very efficient. Furthermore, in the aspect of effectiveness assessment, the results obtained are that in 2015 recorded ineffective which then decreased in 2016 to become ineffective and in 2017 increased to be quite effective which then declined again in 2018 to become less effective. 2017 and 2018 are quite economical. |
| Date: | 2021–01–31 |
| URL: | http://d.repec.org/n?u=RePEc:osf:osfxxx:x3ndw&r=all |
| By: | Geoffrey M. Ngene (Stetson-Hatcher School of Business (SHSB), Mercer University, 1501 Mercer University Drive, Macon, GA 32107, USA); Rangan Gupta (Department of Economics, University of Pretoria, Pretoria, 0002, South Africa) |
| Abstract: | This study investigates the impact of housing policy uncertainty on the herding behavior in the UK's regional housing markets. Using a sample of thirteen regional housing markets and quarterly data from 1973Q4 to 2019Q2, we find that the probability of herding behavior is increasing in policy uncertainty in nine of the thirteen regions and the national housing market. However, London and the Outer Metro regions, which have a high presence of institutional investors and high population, exhibit decreasing probability of herding as policy uncertainty increases. We attribute this to the presence of informed investors and low asset value uncertainty. Therefore, since herding amplify market volatility, instability, fragility and asset mispricing, policy makers need to minimize policy uncertainties and implement regulatory mechanisms such as circuit breakers to circumvent the policy information risk from inducing non-information and irrational herding behavior among the investors. |
| Keywords: | Herding, Regional Housing Markets, Housing Policy Uncertainty, United Kingdom |
| JEL: | C32 G11 G14 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:pre:wpaper:202115&r=all |
| By: | Petar Jolakoski; Branimir Jovanovic (The Vienna Institute for International Economic Studies, wiiw); Joana Madjoska; Viktor Stojkoski; Dragan Tevdovski |
| Abstract: | If firm profits rise to a level far above than what would have been earned in a competitive economy, this might give the firms market power, which might in turn influence the activity of the government. In this paper, we perform a detailed empirical study on the potential effects of firm profits and markups on government size and effectiveness. Using data on 30 European countries for a period of 17 years and an instrumental variables approach, we find that there exists a robust relationship between firm gains and the activity of the state, in the sense that higher firm profits reduce government size and effectiveness. Even in a group of developed countries, such as the European countries, firm power may affect state activity. |
| Keywords: | firm profits, government size, government effectiveness |
| JEL: | C23 H11 H50 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:wii:wpaper:194&r=all |
| By: | Sharma, Chanchal Kumar |
| Abstract: | What kept the Goods and Services Tax (GST) from becoming a reality in India for a quarter of a century after the adoption of the structural adjustment programme in 1991? What made it possible in 2016? To what extent the Indian model of GST reflects a compromise between the need to keep fiscal federalism intact and to respond to a more global economic impera-tive? To what extent India's transition to a concurrent dual GST has brought about a change in the principles, rules, frameworks, and institutions guiding intergovernmental fiscal interactions? This paper investigates these issues and shows that the shifts in the indirect tax regime in India since independence have taken place within the structural context of constitutional rules, the economic policy paradigm and political dynamics. Party congruence after 2014 helped to facilitate the introduction of the GST, but the shape thereof was strongly marked by path-dependent logics and the role of state governments as institutional veto players. In addition, the paper examines the ways in which India's transition to a concurrent dual GST has brought about a fundamental change in the principles, rules, frameworks, and institutions guiding intergovernmental fiscal interactions. |
| Keywords: | India,fiscal federalism,indirect tax reforms,GST,intergovernmental relations,fiscal autonomy |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:gigawp:325&r=all |
| By: | Luigi Guiso (EIEF); Luana Zaccaria (EIEF) |
| Abstract: | We estimate a novel measure of gender norms on intra-household financial decision making by leveraging dramatic variation across Italian cohorts and regions in the gender of the spouse in charge of household finances that occurred over the last 30 years. We use these estimates to identify the effects of gender parity on household financial decisions. We find that more egalitarian norms increase household participation in financial markets, equity holdings and asset diversification. Egalitarian couples earn higher returns on investments which can raise wealth at retirement up to 15% compared to couples that strictly comply with patriarchal norms. This evidence suggests that gender roles in household financial management can have large economic costs. Consistent with this view, we show that patriarchal norms began receding in the early 1990s, when a pension reform made it too costly to comply with traditional roles. |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:eie:wpaper:2101&r=all |
| By: | Kim, Minseong |
| Abstract: | New Keynesian models assume that inflation rate and output level are endogenous variables. However, given that firms are price setters and suppliers in the models, it is more reasonable to assume that, absent equilibrium coordination (or tatonnement) issues usually abstracted away, both variables actually are state variables determined by expectations in the past. This secures global equilibrium determinacy and a previously unavailable account of inflation rate for New Keynesian models. Furthermore, the principle of effective demand is implemented via the expectation channel. |
| Date: | 2021–02–14 |
| URL: | http://d.repec.org/n?u=RePEc:osf:osfxxx:ygd9x&r=all |
| By: | Cândida Ferreira |
| Abstract: | We test the existence of long-term relations, measured through cointegration, between all the IMF financial development indices and some macroeconomic performance indicators, applying panel cointegration tests in a panel with 46 countries over the interval 1990-2017. The results obtained clearly point to the existence of cointegration between the financial development indices not only with the real Gross Domestic Product, but also with the inflation, the unemployment rate, with the current account, and with the net international investment position. Moreover, the results related to the specific aspects addressed by the IMF indices very well demonstrate that much more important than the simple access to or the depth of the financial institutions and markets is the efficiency of these institutions and markets. |
| JEL: | F |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:inf:wpaper:2021.02&r=all |
| By: | Bucher-Koenen, Tabea; Hackethal, Andreas; Koenen, Johannes; Laudenbach, Christine |
| Abstract: | We show that financial advisors recommend more costly products to female clients, based on minutes from about 27,000 real-world advisory meetings and client portfolio data. Funds recommended to women have higher expense ratios controlling for risk, and women less often receive rebates on upfront fees for any given fund. We develop a model relating these findings to client stereotyping, and empirically verify an additional prediction: Women (but not men) with higher financial aptitude reject recommendations more frequently. Women state a preference for delegating financial decisions, but appear unaware of associated higher costs. Evidence of stereotyping is stronger for male advisors. |
| Keywords: | credence goods,financial aptitude,consumer protection,financial literacy,discrimination |
| JEL: | G2 E2 D8 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:safewp:309&r=all |
| By: | Mavropoulos, Antonios |
| Abstract: | With the increasing concerns that accompany the rising trends of house sharing economies, regulators impose new laws to counteract housing supply scarcity. In this paper, I investigate whether the ban on short-term entire house listings activated in Berlin in May 2016 had any adverse effects from a household finance perspective. More specifically, I derive short-term rental income and counter-factually compare it with long-term rental income to find that the ban, by decreasing the supply of short-term housing, accelerated short-term rental income but did not have any direct effect on long-term rental income. Commercial home-owners therefore would find renting on the short-term market to be financially advantageous. |
| Keywords: | Airbnb,housing markets,sharing economy regulation,short-term rental markets |
| JEL: | D31 R30 R31 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:iwhdps:12021&r=all |
| By: | Toptancı, Ali İskan |
| Abstract: | To combat food scandals around the world, Walmart, the retail giant, is trying to ensure food security in its supply chain using blockchain technology. In 2016, the Food Safety Cooperation Center was established in Walmart Beijing and plans to invest $ 25 million by 2021 to improve global food security. Leveraging IBM's Hyperledger Fabric-based blockchain solution, Walmart has successfully implemented two pilot blockchain projects: pork from China and mango from America. With an on-farm approach, Walmart's blockchain solution reduces the time to trace the origin of the mango from 7 days to 2.2 seconds. This has enabled Walmart to promote more transparency across the food supply chain. IBM defines this as "full end-to-end traceability. This research was conducted to provide opportunities to use blockchain solutions in the global food ecosystem to implement blockchain technology in the food supply chain, increase food security and reduce food waste. |
| Keywords: | Food Safety,Food Supply Chain,Walmart,IBM Food Trust |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:esrepo:231307&r=all |
| By: | Eppinger, Peter S.; Neugebauer, Katja |
| Abstract: | How do financial market conditions affect real economic performance? Empirical investigations of this question have often relied on measures of external financial dependence (EFD) that are constructed using U.S. data and applied to other countries under the assumption of a stable industry ranking across countries. This paper exploits unique, comparable survey data from seven European countries to show that correlations of EFD across countries are weak, casting some doubt on this assumption. We then use the novel survey-based EFD index to show that the global financial crisis had a disproportionately negative impact on the real performance of financially dependent firms. Further investigations highlight the importance of supply chains in propagating the credit shock. |
| Keywords: | External financial dependence,financial constraints,financial crisis,firm performance |
| JEL: | G10 G30 L25 F14 G01 D22 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:tuewef:141&r=all |
| By: | Olivier Coibion; Yuriy Gorodnichenko; Michael Weber |
| Abstract: | Rising government debt levels around the world are raising the specter that authorities might seek to inflate away the debt. In theoretical settings where fiscal policy “dominates” monetary policy, higher debt without offsetting changes in primary surpluses should lead households to anticipate this higher inflation. Are household inflation expectations sensitive to fiscal considerations in practice? We field a large randomized control trial on U.S. households to address this question by providing randomly chosen subsets of households with information treatments about the fiscal outlook and then observing how they revise their expectations about future inflation as well as taxes and government spending. We find that information about the current debt or deficit levels has little impact on inflation expectations but that news about future debt leads them to anticipate higher inflation, both in the short run and long run. News about rising debt also induces households to anticipate rising spending and a higher rate of interest for government debt. |
| JEL: | E31 E62 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:28485&r=all |
| By: | Lechthaler, Wolfgang; Mileva, Mariya |
| Abstract: | We use a dynamic trade model with two sectors and two types of workers to analyze the optimal setting of income-generating tariffs. We study dynamic and distributional aspects focusing on the time horizon of policymakers and workers. The level of tariffs preferred by workers depends on the sector where they are employed as well as their skill class, with the relative weight of both aspects determined by the time horizon of the workers. Unskilled workers in the unskilled-intensive sector are the ones most in favor of protectionism and might even benefit from a trade war. |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:ifwkie:230938&r=all |
| By: | Ioana Marinescu; Yue Qiu; Aaron Sojourner |
| Abstract: | Wage inequality does not fully capture differences in job quality. Jobs also differ along other key dimensions, including the prevalence of labor rights violations. We construct novel measures of labor violation rates using data from federal agencies. Within local industries over time, a 10% increase in the average wage is associated with a 0.15% decrease in the number of violations per employee and a 4% decrease in fines per dollar of pay. Reduced labor market concentration and increased union coverage rate are also associated with reductions in labor violations. Overall, labor violations are regressive: they increase inequality in job quality. |
| JEL: | J28 J31 J32 J33 J83 K31 K42 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:28475&r=all |
| By: | David López-Rodríguez (Banco de España); María de los Llanos Matea (Banco de España) |
| Abstract: | In recent years, residential rental prices have experienced remarkable growth in many of the major metropolitan areas of advanced economies. On occasions, these increases in rental prices have caused a significant increase in the cost of rental housing in the household consumption basket and difficulties in access to housing for certain groups. In this context, there has been a resurgence of the debate about the role of public policies in the rental housing market, designed to mitigate both the problems of access to housing and the potential negative effects of the growth of rental prices on workers’ mobility or on the macro-financial stability of the economy. In this paper we review the main instruments of public intervention in the residential rental market, in the light of international experience among the main advanced economies. Broadly speaking, the different policies can be classified into three main groups: rent controls; public provision of rental housing; and a wide range of heterogeneous measures aimed at both incentivising the supply of private rental housing and containing the increase in household spending caused by rising rents. The experience accumulated over decades in the development of these policies and the increasing availability of quantitative evaluations of their impact illustrate some of the implementation challenges presented by support policies for residential rentals, as well as the wanted and unwanted consequences associated with this type of intervention. |
| Keywords: | rental market, rent control, public provision of housing, incentives for housing rental |
| JEL: | R31 R21 R38 O18 H20 H42 K12 K23 K25 R52 |
| Date: | 2020–03 |
| URL: | http://d.repec.org/n?u=RePEc:bde:opaper:2002e&r=all |
| By: | Massimo Ferrari; Frederik Kurcz; Maria Sole Pagliari |
| Abstract: | In this paper, we apply textual analysis and machine learning algorithms to construct an index capturing trade tensions between US and China. Our indicator matches well-known events in the US-China trade dispute and is exogenous to the developments on global financial markets. By means of local projection methods, we show that US markets are largely unaffected by rising trade tensions, with the exception of those firms that are more exposed to China, while the same shock negatively affects stock market indices in EMEs and China. Higher trade tensions also entail: i) an appreciation of the US dollar; ii) a depreciation of EMEs currencies; iii) muted changes in safe haven currencies; iv) portfolio re-balancing between stocks and bonds in the EMEs. We also show that trade tensions account for around 15% of the variance of Chinese stocks while their contribution is muted for US markets. These findings suggest that the US-China trade tensions are interpreted as a negative demand shock for the Chinese economy rather than as a global risk shock. |
| Keywords: | Trade Shocks; Machine Learning; Stock Indexes; Exchange Rates. |
| JEL: | D53 E44 F13 F14 C55 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:bfr:banfra:802&r=all |
| By: | Francesca Carta (Bank of Italy); Marta De Philippis (Bank of Italy) |
| Abstract: | This paper analyses the effects of raising the statutory full retirement age on the labour force participation of middle-aged individuals and their partners. Identification relies on a difference-in-differences setting that exploits the large heterogeneous increase in the age eligibility for retirement caused by an unexpected Italian pension reform. We detect a sizeable increase in the participation rate of middle-aged women that spills over into their husbands' labour supply, who choose to postpone their retirement decision. |
| Keywords: | family economics, labour supply, retirement |
| JEL: | J16 J22 J26 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:bdi:wptemi:td_1314_21&r=all |
| By: | Benedikt Vogt (CPB Netherlands Bureau for Economic Policy Analysis) |
| Abstract: | Banks often demand collateral for business loans. Apart from business assets, for many small entrepreneurs their own home is the most important security they can offer. The interaction between the housing market and entrepreneurial credit can therefore amplify the consequences of an economic crisis. Because of declining collateral values, the probability of obtaining credit could be lower, making it more difficult to finance entrepreneurial activities. Between 2008 and 2013, real house prices declined by nearly 25 percent in the Netherlands. Such a decline in house prices can amplify the effect of an economic crisis via the credit channel for small entrepreneurs. In the economic literature this effect is known as collateral lending channel. In this study we answer three questions: to what extent did the decrease in house prices impact the incidence of bank credit of small companies? what is the relationship between the housing market status of an entrepreneur and the costs of credit? Is there, as a consequence, an association between the housing market status and entrepreneurial exits? |
| JEL: | G23 L26 R2 R31 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:cpb:discus:420.rdf&r=all |
| By: | Hüser, Anne-Caroline (Bank of England); Lepore, Caterina (International Monetary Fund); Veraart, Luitgard (London School of Economics and Political Science) |
| Abstract: | We examine how the overnight gilt repo market operates during three episodes of liquidity stress, using novel transaction-level data on repurchase agreements on gilts. Using network analysis we document that the structure of the repo market significantly changes during stress relative to normal times, with a focus on how sectors adjust volumes, spreads and haircuts in their repo transactions. We find several common patterns in the two most recent stress episodes (the US repo turmoil in 2019 and the Covid-19 crisis in 2020): a preference for dealers and banks to transact in the cleared rather than the bilateral segment of the market, increased usage of the market by hedge funds and central counterparties increasing their reinvestment of cash margin into reverse repo. |
| Keywords: | Repo market; liquidity risk; financial networks; market microstructure; Brexit referendum; US repo turmoil; Covid-19 crisis |
| JEL: | D85 G01 G21 G23 |
| Date: | 2021–02–26 |
| URL: | http://d.repec.org/n?u=RePEc:boe:boeewp:0910&r=all |
| By: | Vincent Bodart (UNIVERSITE CATHOLIQUE DE LOUVAIN, Institut de Recherches Economiques et Sociales (IRES)); Jean-François Carpantier (UNIVERSITE CATHOLIQUE DE LOUVAIN, Institut de Recherches Economiques et Sociales (IRES)) |
| Abstract: | In this paper, we explore whether falls in commodity prices can explain the simultaneous occurence of currency crises in emerging and developing countries. For our empirical analysis, we use a panel of 104 emerging and developing countries, covering the period 1970-2018. Using event studies, we find that currency crises in commodity dependent countries are preceded by commodity price growth 2 to 4 percentage points below normal. In addition, using Poisson regression analysis, we find that a 10% decrease in global commodity price indices leads to a rise of about 7% in the number of currency crises hitting commodity exporting countries. |
| Keywords: | Currency crises, Commodity prices, Commodity dependence, Commodity currencies |
| JEL: | C32 C33 E31 F32 |
| Date: | 2020–10–08 |
| URL: | http://d.repec.org/n?u=RePEc:ctl:louvir:2021003&r=all |
| By: | BiN Ni (Faculty of Economics, Hosei University, Machida, Tokyo, Japan.); Hayato Kato (Graduate School of Economics, Osaka University); Yang Liu (Research Institute of Economy, Trade and Industry (RIETI)) |
| Abstract: | This study uses unique division-level data of Japanese firms to examine how foreign direct investment (FDI) affects domestic employment. Contrary to most previous studies focusing on the effect on net employment growth, we decompose it into gross job creation and gross job destruction. We find that FDI destination plays an important role: FDI to Asia increases job creation, while FDI to Europe or North America decreases it. A frictional search-and-matching model with heterogeneous jobs can explain the differential effects. The model provides additional predictions on job creation and destruction by job type, which are also empirically confirmed. |
| Keywords: | Outward FDI, firm-establishment-division-level data, multinational enterprises(MNEs), large-firm search model, high/low-skilled jobs |
| JEL: | F23 J21 J23 |
| Date: | 2021–01 |
| URL: | http://d.repec.org/n?u=RePEc:osk:wpaper:2018&r=all |
| By: | Thanh Tam Nguyen-Huu (Métis Lab EM Normandie - EM Normandie - École de Management de Normandie); Ngoc-Sang Pham (Métis Lab EM Normandie - EM Normandie - École de Management de Normandie) |
| 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: | fixed cost,R&D,Optimal growth,FDI,MNE |
| Date: | 2021–02–16 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:halshs-03143087&r=all |
| By: | Roberto Ganau; Andres Rodriguez-Pose; |
| Abstract: | This paper uses a novel, globally-harmonised city-level dataset —with cities defined at the Functional Urban Area (FUA) level— to revisit the link between urban concentration and country-level economic dynamics. The empirical analysis, involving 108 low- and high-income countries, examines how differences in urban concentration impinge on changes in employment, Gross Domestic Product (GDP) per capita, and labour productivity at country level over the period 2000-2016. The results indicate that urban concentration reduces employment growth but increases GDP per capita and labour productivity growth. The returns of urban concentration are higher for high- than for low-income countries and are mainly driven by the ‘core’ of FUAs, rather than by sub-urban areas. |
| Keywords: | Urban concentration; Long-run economic dynamics; Employment growth; GDP per capita growth; Labour productivity growth; Cross-country analysis |
| JEL: | E24 O47 O57 R12 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:egu:wpaper:2106&r=all |
| By: | Jakob B. Madsen; Antonio Minniti; Francesco Venturini |
| Abstract: | The gradually changing nature of production and the move away from tangible investment towards intangible investment over the past century suggests that the effects of the tax structure on investment need to be reassessed. To address this issue, we establish an endogenous growth model in which investment in tangible assets, R&D and education are influenced by different types of taxes. We test the long-run implications of the model using annual data for 21 OECD countries over the period 1890-2015. We find that corporate taxes reduce investment in tangible assets and R&D. However, while personal income taxes reduce investment in tertiary education, they enhance the investment in R&D. Thus, a revenue-neutral switch from corporate to personal income taxes is growth enhancing. |
| Keywords: | taxation, innovation, Tangible and Intangible Capital, economic growth |
| JEL: | E10 E62 O38 O40 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:nsr:niesrd:527&r=all |
| By: | Böhl, Gregor; Lieberknecht, Philipp |
| Abstract: | The recently observed disconnect between inflation and economic activity can be explained by the interplay between the zero lower bound (ZLB) and the costs of external financing. In normal times, credit spreads and the nominal interest rate balance out; factor costs dominate firms' marginal costs. When nominal rates are constrained, larger spreads can more than offset the effect of lower factor costs and induce only moderate inflation responses. The Phillips curve is hence flat at the ZLB, but features a positive slope in normal times and thus a hockey stick shape. Via this mechanism, forward guidance may induce deflationary effects. |
| Keywords: | Phillips Curve,Financial Frictions,Zero Lower Bound,Disinflation,Forward Guidance |
| JEL: | C62 C63 E31 E32 E44 E52 E58 E63 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:imfswp:153&r=all |
| By: | Alberto Locarno (Bank of Italy); Alessandra Locarno (Libera Universita Internazionale degli Studi Sociali "Guido Carli") |
| Abstract: | In this paper we compare alternative monetary policy strategies to assess which one is best suited (1) to reduce output and inflation volatility and at the same time (2) minimise the frequency and costs of ZLB episodes. We consider only targeting rules, i.e. rules that minimise the loss function assigned by the Government to the monetary policymaker, who is assumed to set the policy rate under discretion. We run a horse race among eight different strategies. Our analysis confirms the theoretical findings by Svensson (1999) and Vestin (2006) that price-level targeting can guarantee a better performance than inflation targeting in terms of both of the criteria described above. These findings are valid regardless of whether interest-rate variability is included in the loss function or not and are robust to changes in model parameters. Nominal GDP-level targeting also performs well: though it is not uniformly superior to inflation targeting or average inflation targeting, it succeeds in ensuring better outcomes over a large range of model parameters and social preferences. |
| Keywords: | E ective lower bound, infl ation targeting, price-level targeting |
| JEL: | E31 E37 E52 E58 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:bdi:wptemi:td_1316_21&r=all |
| By: | Anton Löf; Olof Löf; Magnus Ericsson |
| Abstract: | The focus of this study is rent in the diamond industry. Based on extensive datasets and a discussion of all relevant costs, we present resource rent statistics from the diamond industry in key producer countries in emerging economies such as Angola, Botswana, Democratic Republic of the Congo, Lesotho, Namibia, Sierra Leone, and South Africa, as well as the Russian Federation. Resource rents give an indication of the available space for taxation. |
| Keywords: | resource rent, diamond, Tax, Minerals, Industrial policy, World Bank, Africa, Rents |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:unu:wpaper:wp-2021-39&r=all |
| By: | Arthur Blouin; Julian Dyer |
| Abstract: | This paper empirically investigates whether potential gains from trade influence cultural convergence. We develop a model of linguistic convergence where individuals adopt another language to facilitate trade with that group, and diffuse elements of the language throughout their own culture. The model maps to a dataset of linguistic adoption, featuring nearly all words in all languages. We construct a society-pair measure of language adoption that we show is related to welfare gains from agricultural trade. In particular, we show empirically that (1) improved trade-partner quality can cause cultural convergence; (2) adoption is inverse-U shaped in the quantity of trade-partners; (3) economic leverage determines the direction of convergence. We also provide evidence that the language adoption we identify is cultural rather than purely functional by showing that religious and social organization word-types (amongst others) are heavily adopted. |
| Keywords: | Language Evolution; Linguistic Distance; Linguistic Exchange; Loanwords; Trade Incentives |
| JEL: | O11 O12 O13 |
| Date: | 2021–02–25 |
| URL: | http://d.repec.org/n?u=RePEc:tor:tecipa:tecipa-691&r=all |
| By: | Damir Cosic; C. Eugene Steuerle |
| Abstract: | This paper examines the effect of the increase in the Social Security Full Retirement Age (FRA) and the associated decrease in benefits for early claimants on retirement rates at ages 62 to 65. It uses information on age, sex, and labor force participation from the monthly Current Population Survey from 1976 to 2019. Critical components of the analysis include a difference-in-difference framework, comparison of three measures of retirement status, estimation of nonparametric and parametric models, and a test of the assumptions underlying the difference-in-difference approach. Although our model satisfied that test, the results do not guarantee that our specification is valid. The paper found that: ¥ The increase in the FRA decreased the retirement rate at age 62 by about 5 percentage points (or 30 percent) for men and by about 2 percentage points (or about 20 percent) for women. The retirement rate at age 63 to 65 was not affected. ¥ Estimates of the parametric model show that a 1 percent increase in the early claiming reduction decreases the retirement rate by between 0.7 and 0.9 percentage points for men and between 0.2 and 0.4 percentage points for women. The policy implications of the findings are: ¥ Our findings can inform evaluations of policy proposals to further increase the Social Security FRA. ¥ Our findings contribute to the understanding of the effects that the availability and generosity of pension benefits have on retirement decisions. |
| Date: | 2021–01 |
| URL: | http://d.repec.org/n?u=RePEc:crr:crrwps:wp2021-01&r=all |
| By: | Tom Coupé (University of Canterbury) |
| Abstract: | This paper uses Google Trends to rank economists and discusses the advantages and disadvantages of using Google Trends compared with other ranking methods, like those based on citations or downloads. I find that search intensity rankings based on Google Trends data are only modestly correlated with more traditional measures of scholarly impact; hence, search intensity statistics can provide additional information, allowing one to show a more comprehensive picture of academics’ impact. In addition, search intensity rankings can help to illustrate the variety in economists’ careers that can lead to fame and allows a comparison of the current impact of both contemporaneous and past economists. Complete rankings can be found at https://doi.org/10.7910/DVN/NHZJLA. |
| Keywords: | Economists, rankings, Google Trends, performance measurement |
| JEL: | A11 B30 |
| Date: | 2021–02–01 |
| URL: | http://d.repec.org/n?u=RePEc:cbt:econwp:21/02&r=all |
| By: | Rangan Gupta (Department of Economics, University of Pretoria, Private Bag X20, Hatfield, 0028, South Africa); Jacobus Nel (Department of Economics, University of Pretoria, Private Bag X20, Hatfield, 0028, South Africa); Christian Pierdzioch (Department of Economics, Helmut Schmidt University, Holstenhofweg 85, P.O.B. 700822, 22008 Hamburg, Germany) |
| Abstract: | Using a machine-learning technique known as random forests, we analyze the role of investor confidence in forecasting monthly aggregate realized stock-market volatility of the United States (US), over and above a wide-array of macroeconomic and financial variables. We estimate random forests on data for a period from 2001 to 2020, and study horizons up to one year by computing forecasts for recursive and a rolling estimation window. We find that investor confidence, and especially investor confidence uncertainty has out-of-sample predictive value for overall realized volatility, as well as its “good†and “bad†variants. Our results have important implications for investors and policymakers. |
| Keywords: | Investor Confidence, Realized Volatility, Macroeconomic and Financial Predictors, Forecasting, Machine Learning |
| JEL: | C22 C53 G10 G17 |
| URL: | http://d.repec.org/n?u=RePEc:pre:wpaper:202118&r=all |
| By: | Anjan K. Saha; Vinod Mishra; Russell Smyth |
| Abstract: | We use instrumental variable regression to isolate the causal impact of financial development on top income shares a panel of 14 OECD countries - five Anglo-Saxon countries, eight continental European countries and Japan - over a 110-year period. Our main finding is that financial development has a significant positive effect on top income shares, and that the most affluent are the biggest beneficiaries of financial development. In distribution terms, a onestandard-deviation increase in the private credit-GDP ratio corresponds to around a onestandard-deviation increase in the top 1% income share, with the top 1% income group deriving more benefits from financial development than the top 5%, and the top 5% deriving more benefit than the top 10%. The effects are robust to various measures of top income shares and financial development and alternative estimation techniques, including nonparametric modelling. Financial development is typically viewed in positive terms in that it makes it easier to access credit and facilitates economic growth. Our results are important because they contribute to understanding of the potential negative effects of financial development. |
| Keywords: | Financial development; top income shares. |
| JEL: | O15 O50 G00 E62 |
| Date: | 2019–06 |
| URL: | http://d.repec.org/n?u=RePEc:mos:moswps:2019-03&r=all |
| By: | Cécile Couharde; Hamza Bennani; Yoan Wallois |
| Abstract: | We introduce an original dataset based on the qualitative content of the Regional Economic Outlook (REO) reports published by the International Monetary Fund (IMF). Exploiting this rich database, we gauge several measures of IMF sentiment based on the REO reports towards 16 countries in three regions, Asia and Pacific, Europe and Western Hemisphere, from 2007 to 2018 and examine their impact on financial markets. We find that the qualitative content of the REO reports has significant repercussions on stock market returns in Europe and bond yields in Asia and Pacific over short time horizons, these impacts disappearing over time. We also demonstrate that the impact of IMF sentiment is robust to the use of analternative sentiment measure that focuses exclusively on negative words. |
| Keywords: | Financial markets, High frequency, IMF, Sentiment index, Text analysis |
| JEL: | F53 G15 Z13 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:drm:wpaper:2021-6&r=all |
| By: | Jha, Praveen K.; Kumar, Dinesh |
| Abstract: | This paper maps the integration of India's automobile sector in the context of the structural transformation of contemporary capitalism, in particular with reference to what is variously described as Global Commodity Chains, Global Value Chains, Global Supply Chains etc. It explores the multiple dimensions of economic and social upgrading within the Indian auto sector as a consequence of its deepening participation in these 'chains'. The paper is divided into six sections. Section 1 provides a brief introduction; Section 2 gives a brief profile of the Indian automobile sector and also discusses briefly its major constituents, namely, original equipment manufacturers (henceforth OEM) and auto component segment, and their geographical distributions; Section 3 provides an overview of the data and methodology; Section 4 analyses India's GVCs participation, using a couple of indicators, and examines some aspects of economic and social upgrading in both the organised and unorganised sectors; Section 5 flags a few recent policies and plans adopted by India's central government in this industry; Section 6 concludes the chapter with a recap of major findings. |
| Keywords: | Global Value Chains,Automobile Sector,Employment,Wages,Neoliberal Policy |
| JEL: | F66 L62 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:ipewps:1562021&r=all |
| By: | David Chaum; Christian Grothoff; Thomas Moser |
| Abstract: | With the emergence of Bitcoin and recently proposed stablecoins from BigTechs, such as Diem (formerly Libra), central banks face growing competition from private actors offering their own digital alternative to physical cash. We do not address the normative question whether a central bank should issue a central bank digital currency (CBDC) or not. Instead, we contribute to the current research debate by showing how a central bank could do so, if desired. We propose a token-based system without distributed ledger technology and show how earlier-deployed, software-only electronic cash can be improved upon to preserve transaction privacy, meet regulatory requirements in a compelling way, and offer a level of quantum-resistant protection against systemic privacy risk. Neither monetary policy nor financial stability would be materially affected because a CBDC with this design would replicate physical cash rather than bank deposits. |
| Keywords: | Digital currencies, central bank, CBDC, blind signatures, stablecoins |
| JEL: | E42 E51 E52 E58 G2 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:snb:snbwpa:2021-03&r=all |
| By: | Enrique Esteban García-Escudero (Banco de España); Elisa J. Sánchez Pérez (Banco de España) |
| Abstract: | As the US dollar plays a pivotal role in international trade and financial markets, non-US banks’ reliance on short-term wholesale funding markets (such as repo, commercial paper, certificate of deposit and swap markets) to finance their dollar assets makes them especially vulnerable to shocks in these markets, such as those arising from the global financial and COVID-19 crises. The crisis management mechanisms in place before the global financial crisis (the International Monetary Fund and international reserves) were overwhelmed by it. Only the rapid deployment of an international currency swap network, as a result of policy cooperation between the main global central banks, allowed equilibrium between dollar supply and demand to be restored and the severest consequences of the market strains for non-US banks to be avoided. |
| Keywords: | central bank swap lines, IMF, International Monetary System, dollar funding, non-US banks, global financial crisis, COVID-19 crisis, cross-currency basis, international lender of last resort |
| JEL: | E41 E51 E58 F34 |
| Date: | 2020–09 |
| URL: | http://d.repec.org/n?u=RePEc:bde:opaper:2025e&r=all |
| By: | Roth, Christopher (University of Warwick, briq, CESifo, CEPR, CAGE Warwick); Sonja Settele (Department of Economics and CEBI, University of Copenhagen); Wohlfart, Johannes (Department of Economics and CEBI, University of Copenhagen, CESifo, Danish Finance Institute) |
| Abstract: | We conduct an experiment with a representative sample from the US to study households’ demand for macroeconomic information. Respondents who learn of a higher personal exposure to unemployment risk during recessions increase their demand for an expert forecast about the likelihood of a recession. This finding is consistent with macroeconomic models of endogenous information acquisition, according to which the demand for information depends on its expected benefits. Moreover, respondents’ updating about their personal unemployment risk suggests that households are imperfectly informed about their exposure to aggregate fluctuations, which may distort their beliefs about the benefits of acquiring macroeconomic information. |
| Keywords: | Risk Exposure ; Macroeconomic Conditions ; Information Acquisition ; Experiment JEL Classification: D12 ; D14 ; D83, D84 ; E32 ; G11 Creation date: 2021 |
| URL: | http://d.repec.org/n?u=RePEc:wrk:warwec:1331&r=all |
| By: | Marcelle Chauvet; Rafael R. S. Guimaraes |
| Abstract: | A transfer learning strategy is proposed to identify business cycles phases when data are limited or there is no business cycle dating committee. The approach integrates the idea of storing knowledge gained from one region’s economics experts and applying it to other geographic areas. The first is captured with a supervised deep neural network model, and the second by applying it to another dataset, a domain adaptation procedure. The results indicate the method proposed leads to successful business cycle identification. |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:bcb:wpaper:545&r=all |
| By: | Robert Dur; Dimitry Fleming; Marten van Garderen; Max van Lent |
| Abstract: | A large fraction of households have very little savings buffer and are therefore vulnerable to financial shocks. This paper examines whether a social norm nudge can induce such households to save more. We ran a large-scale field experiment at a retail bank in the Netherlands. We find that households who are exposed to the social norm nudge click more often on a link to a personal web page where they can start or adjust an automatic savings plan. However, analyzing detailed bank data, we find no treatment effect on actual savings, neither in the short run nor in the long run. Our null findings are quite precisely estimated. A complementary small-scale survey experiment suggests that people did notice the social norm nudge and also that it had an impact on savings intentions. |
| Keywords: | household savings, field experiment, nudges, social norms |
| JEL: | C93 D14 D90 E21 G40 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_8894&r=all |
| By: | Bucher-Koenen, Tabea; Alessie, Rob; Lusardi, Annamaria; van Rooij, Maarten |
| Abstract: | Women are less financially literate than men. It is unclear whether this gap reflects a lack of knowledge or, rather, a lack of confidence. Our survey experiment shows that women tend to disproportionately respond 'do not know' to questions measuring financial knowledge, but when this response option is unavailable, they often choose the correct answer. We estimate a latent class model and predict the probability that respondents truly know the correct answers. We find that about one-third of the financial literacy gender gap can be explained by women's lower confidence levels. Both financial knowledge and confidence explain stock market participation. |
| Keywords: | financial knowledge,gender gap,financial decision making,confidence,measurement error,latent class model,finite mixture model |
| JEL: | G53 C81 D91 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:zewdip:21015&r=all |
| By: | Sophia Schmitz; C. Katharina Spieß |
| Abstract: | Social norms have been put forward as prominent explanations for the changing labour supply decisions of women. This paper studies the intergenerational formation of these norms, examining how they affect subsequent female labour supply decisions, taking into account not only the early socialization of women but also that of their partner. Using large representative panel data sets from West Germany, results suggest that women with partners who grew up with a working mother are more likely to participate in the labour force, work longer hours, and earn higher labour income. Our study can assess a variety of potential mechanisms for this intergenerational link. It cannot be explained by other confounding patterns. We find no evidence that this finding reflects assortative mating; rather, analysis suggests that the partner’s preferences play a decisive role for the labour supply decision of partnered women. Our results suggest that policy measures supporting the labour force participation of today’s mothers will increase the female labour force participation of the next generation |
| Keywords: | social norms, labour supply, gender, Germany |
| JEL: | J22 Z13 J16 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:diw:diwwpp:dp1932&r=all |
| By: | Kempkes, Gerhard; Stähler, Nikolai |
| Abstract: | What are the macroeconomic implications of re-allocating taxing rights away from source countries (where goods are produced) to market countries (where goods are consumed) and introducing minimum rates in international profit taxation? We assess this question in a dynamic macroeconomic model that gives a meaningful role to profit taxation. We find that, in low tax economies, the average profit tax rate will rise. On the one hand, this reduces price competitiveness of firms located in these regions and, thereby, output. On the other hand, higher profit tax revenues help to reduce other taxes. Moreover, lower expected future output requires less capital in production in the long run. Firms hence invest less and (temporarily) augment dividend payments. This raises disposable income of households, who (at least temporarily) increase consumption. The opposite holds for high tax economies. When taxing rights are re-allocated, wealth transfers between regions mitigate these effects. In terms of welfare, low tax economies can benefit from an increase in profit taxation. |
| Keywords: | Re-Allocating Profit Taxing Rights,Minimum Taxation,InternationalMacro |
| JEL: | H25 L52 E20 E62 L10 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bubdps:032021&r=all |
| By: | Dur, Robert (Erasmus University Rotterdam); Kvaloy, Ola (University of Stavanger); Schöttner, Anja (HU Berlin) |
| Abstract: | Why do some leaders use praise as a means to motivate workers, while other leaders use social punishment? This paper develops a simple economic model to examine how leadership styles depend on the prevailing labor-market conditions for workers. We show that the existence of a binding wage floor for workers (e.g., due to trade union wage bargaining, minimum-wage legislation, or limited-liability protection) can make it attractive for firms to hire a leader who makes use of social punishment. While the use of social punishments generally is socially inefficient, it lessens the need for high bonus pay, which allows the firm to extract rents from the worker. In contrast, firms hire leaders who provide praise to workers only if it is socially efficient to do so. Credible use of leadership styles requires either repeated interaction or a leader with the right social preferences. In a single-period setting, only moderately altruistic leaders use praise as a motivation tool, whereas only moderately spiteful leaders use social punishment. Lastly, we show that when the leaders\' and workers\' reservation utilities give rise to a bigger income gap between leaders and workers, attracting spiteful leaders becomes relatively less costly and unfriendly leadership becomes more prevalent. |
| Keywords: | leadership styles; incentives; motivation; social preferences; labor-market conditions; wage-setting; |
| Date: | 2021–02–26 |
| URL: | http://d.repec.org/n?u=RePEc:rco:dpaper:278&r=all |
| By: | António Afonso; José Alves; João Tovar Jalles |
| Abstract: | We empirically assess whether a usually expected negative response of private consumption and private investment to a fiscal consolidation is reversed. We focus on a large sample of 174 countries between 1970 and 2018. We also employ three alternative measures of the Cyclically Adjusted Primary Balance used to determine fiscal episodes: i) the IMF-WEO based; ii) the HP-based; and iii) the Hamilton (2018)-based. We find that: i) increases in government consumption have a Keynesian effect on real per capita private consumption; ii) there is a positive effect of tax increases on private consumption when there is a fiscal consolidation; iii) there is a crowding-in effect for private investment, from fiscal contractions. Moreover, expansionary fiscal consolidations occur particularly in highly indebted advanced economies following an increase in taxes. Finally, the negative effect of taxation on private consumption is larger when an economy is experiencing a financial crisis but it is not consolidating. |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:econwp:_55&r=all |
| By: | Manfred M. Fischer; Niko Hauzenberger; Florian Huber; Michael Pfarrhofer |
| Abstract: | Time-varying parameter (TVP) regressions commonly assume that time-variation in the coefficients is determined by a simple stochastic process such as a random walk. While such models are capable of capturing a wide range of dynamic patterns, the true nature of time variation might stem from other sources, or arise from different laws of motion. In this paper, we propose a flexible TVP VAR that assumes the TVPs to depend on a panel of partially latent covariates. The latent part of these covariates differ in their state dynamics and thus capture smoothly evolving or abruptly changing coefficients. To determine which of these covariates are important, and thus to decide on the appropriate state evolution, we introduce Bayesian shrinkage priors to perform model selection. As an empirical application, we forecast the US term structure of interest rates and show that our approach performs well relative to a set of competing models. We then show how the model can be used to explain structural breaks in coefficients related to the US yield curve. |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2102.13393&r=all |
| By: | Barbara Bratta (Ministry of Economy and Finance of Italy); Vera Santomartino (Ministry of Economy and Finance of Italy); Paolo Acciari (Ministry of Economy and Finance of Italy) |
| Abstract: | We analyze profit-shifting behavior of Multinational Enterprises (MNEs) using a novel and unique dataset composed of Country-by-Country Reports (CbCRs) for year 2017 compiled worldwide by all MNEs having at least a subsidiary in Italy. By accessing CbCRs we are able to estimate BEPS - base erosion and profit shifting - using a firm-level data with a better representativeness than commonly used dataset. In fact, many studies are based on available large financial accounts databases that under-represent specific subset of firms and locations such as activities carried out in investment hubs. We provide evidence of this under-representativeness in this work. Our paper, apart from providing an estimation of BEPS as a response to CIT rates by applying the standard linearity assumption, follows recent work into analysing the existence of nonlinear responses to taxation. We go beyond preceding work by exploring non-linearity in a dataset composed of MNEs of all nationalities - thus providing evidence of the existence of a strong non-linear response in a more diversified dataset - and by focussing on the non-linear response of profit shifting to tax rate differentials and not only to CIT rates. We find that profit allocation in a country is non-linearly dependant to the differences in tax rate with respect to the average CIT rate faced by the MNEs in the rest of the world. We further investigate non-linearity pointing out that quadratic estimation presents some issues in countries with high CIT rate. We therefore provide a higher degree, cubic, estimation as a solution to these caveats. We find that the effect of changes in CIT rate differential over profit allocation is statistically and economically significant when allowing for an inverse U shaped semi-elasticity. Finally, we estimate profit shifting and revenue losses. We find that in 2017 a total of � 887 billion of profits was shifted due to differences in tax rates with a global revenue loss of � 245 billion. The distribution of shifted profits is found to be highly concentrated in few countries and this result may have relevant policies implications, suggesting that international tax reforms aimed at guaranteeing a minimum level of taxation may be very effective in reducing the incentive for MNEs to locate profits in these jurisdictions only based on tax reasons, thus may be a very efficient way to reduce BEPS. |
| Keywords: | BEPS, Profit shifting, International taxation, corporate income tax, multinationals |
| JEL: | H25 H26 H32 F23 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:ahg:wpaper:wp2021-11&r=all |
| By: | Christian Abele; Agnes Benassy-Quere; Lionel Fontagné; Lionel Gérard Fontagné |
| Abstract: | We analyse the impact of both the Global Financial Crisis of 2008 and the European sovereign and banking crisis of 2011-13 on firm-level productivity in France, Italy and Spain. We show that relying on a single break date in 2008 misses both the Eurozone crisis and countries' institutional specificities. Although leverage and financial constraints affect firm-level productivity negatively, high-leverage firms suffer more from financial constraints only in Italy, when they are relatively small or when their debt is of short maturity. These results call for approaches taking into consideration country-level characteristics of financial institutions and time varying financing constraints of the firms, instead of pooling data and adopting a common break date. One size does not fit all when it comes to identifying the impact of financial crises on firm level productivity. |
| Keywords: | total factor productivity, firm-level data, financial constraints, crises |
| JEL: | E22 E23 E44 D24 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_8891&r=all |
| By: | Koetter, Michael; Marek, Philipp; Mavropoulos, Antonios |
| Abstract: | We exploit staggered real estate transaction tax (RETT) hikes across German states to identify the effect of house price changes on mortgage credit supply. Based on approximately 33 million real estate online listings, we construct a quarterly hedonic house price index (HPI) between 2008:q1 and 2017:q4, which we instrument with state-specific RETT changes to isolate the effect on mortgage credit supply by all local German banks. First, a RETT hike by one percentage point reduces HPI by 1.2%. This effect is driven by listings in rural regions. Second, a 1% contraction of HPI induced by an increase in the RETT leads to a 1.4% decline in mortgage lending. This transmission of fiscal policy to mortgage credit supply is effective across almost the entire bank capitalization distribution. |
| Keywords: | Fiscal Shocks,Real Estate Markets,Mortgage Lending,Price-to-Rentratio |
| JEL: | H30 R00 R31 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bubdps:042021&r=all |
| By: | Esteban García-Miralles (CEBI, Department of Economics, University of Copenhagen); Jonathan M. Leganza (University of California, San Diego) |
| Abstract: | We study how social security influences joint retirement of couples. We exploit three decades of administrative data from Denmark to explore joint retirement in two complementary settings. In the first setting, we exploit the discontinuous increase in retirement observed when individuals become eligible for public pension benefits to identify the causal effects on their spouses. We find that spouses are more likely to retire right when their partners reach pension eligibility age, with a spillover effect across spouses of 7.5%. We further unpack this result by studying additional margins of adjustment such as benefit claiming and earnings, and by documenting meaningful response heterogeneity. We find age differences within couples to be a crucial determinant of joint retirement, which is primarily driven by older spouses who continue to work until their younger partners reach pension eligibility. Controlling for these age differences uncovers a gender gap where female spouses are more likely to adjust their behavior to retire jointly, and this gap remains after controlling for earnings shares within couples. In the second setting, we study to what extent couples adapt their behavior to retire jointly after a reform increases pension eligibility ages. We find spillover effects across spouses comparable to those from the first setting, in which eligibility ages were stable and known by couples well in advance. This suggests that spouses do not face adjustment costs limiting their capacity to retire together after the reform. |
| Keywords: | joint retirement, pension eligibility age, couples labor supply |
| JEL: | J14 J26 D10 H55 |
| Date: | 2021–01–29 |
| URL: | http://d.repec.org/n?u=RePEc:kud:kucebi:2101&r=all |
| By: | Gaurav Chiplunkar; Pinelopi K. Goldberg |
| Abstract: | We develop a framework for identifying and quantifying barriers to entry and operation faced by female entrepreneurs in developing countries, and apply it to the Indian economy. We find that despite considerable progress over time, female entrepreneurs still face substantial entry and business registration costs (almost twice their male counterparts’). The costs of expanding a business, conditional on entry, are also substantially higher for women. However, there is one area in which female entrepreneurs have an advantage: hiring female workers is easier for them. We show that this pattern is not driven by the sectoral composition of female employment. Counterfactual simulations indicate that removing all excess barriers faced by women entrepreneurs would: (a) increase the fraction of female-owned firms significantly (nine times); (b) increase the real wages of female relative to male workers; and (c) generate substantial aggregate productivity and welfare gains (ca. 7% and 18% respectively). These large gains are due to reallocation: low productivity male-owned firms previously sheltered from female competition are replaced by higher productivity female-owned firms previously excluded from the economy. |
| JEL: | J16 J70 O17 O40 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:28486&r=all |
| By: | Horan, David (Central Bank of Ireland); Lydon, Reamonn (Central Bank of Ireland); McIndoe-Calder, Tara (Central Bank of Ireland) |
| Abstract: | The distribution of wealth, incomes and spending is crucial to understanding the differential impacts of econmic shocks and recoveries across households. Household wealth in Ireland increased by over 76,000 euro, or 74 per cent, for the median household between 2013 and 2018. House price growth and declining mortgage debt were the primary drivers of this development. Median incomes grew by more than 18 per cent, while wealth inequality – as measured by the gini coefficient – fell over the five year period. The decline in the number of negative equity households – down from 33 to 4 per cent of mortgaged households – is one driver of the fall in inequality. Home ownership has fallen slightly from 2013, and the age at which households take out their first mortgage has risen. Despite wealth in 2018 exceeding the previous peak in 2007, most households are not using this wealth to fund spending or further housing investment, as was previously the case. We find that the household sector continues to inject housing equity at a rate of 10 per cent of disposable income, reflecting, amongst other factors, the continued repayment of mortgage debt taken out at the height of the credit boom in the mid-2000s. |
| Keywords: | Wealth distribution; Consumption, savings and wealth; Household finance. |
| JEL: | D31 E21 G5 |
| Date: | 2020–09 |
| URL: | http://d.repec.org/n?u=RePEc:cbi:wpaper:07/rt/20&r=all |
| By: | Montagna, Mattia (European Central Bank); Torri, Gabriele (University of Bergamo); Covi, Giovanni (Bank of England) |
| Abstract: | Systemic risk in the banking sector is usually associated with long periods of economic downturn and very large social costs. On one hand, shocks coming from correlated exposures towards the real economy may induce correlation in banks’ default probabilities thereby increasing the likelihood for systemic tail events like the 2008 Great Financial Crisis. On the other hand, financial contagion also plays an important role in generating large-scale market failures, amplifying the initial shocks coming from the real economy. To study the sources of these rare phenomena, we propose a new definition of systemic risk (ie the probability of a large number of banks going into distress simultaneously) and thus we develop a multilayer microstructural model to study empirically the determinants of systemic risk. The model is then calibrated on the most comprehensive granular dataset for the euro-area banking sector, capturing roughly 96% or €23.2 trillion of euro-area banks’ total assets over the period 2014–2018. The outputs of the model decompose and quantify the sources of systemic risk showing that correlated economic shocks, financial contagion mechanisms, and their interaction are the main sources of systemic events. The results obtained with the simulation engine resemble common market-based systemic risk indicators and empirically corroborate findings from existing literature. This framework gives regulators and central bankers a tool to study systemic risk and its developments, pointing out that systemic events and banks’ idiosyncratic defaults have different drivers, hence implying different policy responses. |
| Keywords: | Systemic risk; financial contagion; microstructural models |
| JEL: | D85 G17 G33 L14 |
| Date: | 2021–01–29 |
| URL: | http://d.repec.org/n?u=RePEc:boe:boeewp:0906&r=all |
| By: | Prados de la Escosura, Leandro |
| Abstract: | The study of international well-being and its distribution remains focused on income. This paper addresses multidimensional well-being from a capabilities perspective during the last one-and-a-half centuries. Relative inequality (population-weighted) fell in health and education since the late 1920s, due to the globalisation of mass schooling and the health transition, but only dropped from 1970 onwards in terms of political and civil liberties, and declined since 1900 for augmented human development. These results are at odds with per capita income inequality that rose over time and only shrank from 1990 onwards. Relative and absolute well-being distribution behaved differently, with the distance between countries shrinking in relative terms but widening in absolute terms. Countries in the middle and lower deciles of the world distribution achieved the largest relative gain over the last century. Education and political and civil liberties were the main contributors to the evolution of augmented human development inequality, although longevity made a substantial contribution until the 1920s. |
| Keywords: | Augmented Human Development; GDP; Civil And Political Liberties; Schooling; Life Expectancy; Well-Being; Inequality |
| JEL: | O50 O15 N30 I00 |
| Date: | 2021–02–26 |
| URL: | http://d.repec.org/n?u=RePEc:cte:whrepe:32049&r=all |
| By: | Riehm, Tobias; Fugger, Nicolas; Gillen, Philippe; Gretschko, Vitali; Werner, Peter |
| Abstract: | We test the importance of social norms for market interactions associated with negative real-world externalities in a large-scale experiment with a heterogeneous population sample from Germany. The majority of experimental participants refuses to trade, thus behaving in a moral way. Our data suggest the importance of norm conformity for the decision to trade as a significant share of buyers and sellers condition market entry on the decisions of others. Moreover, a majority of observers is willing to incur personal costs to sanction trading. Moral behavior is significantly linked to demographic characteristics and stated preferences and attitudes of the participants. |
| Keywords: | Markets,moral behavior,negative externalities,social norms,punishment,large population sample,experiment |
| JEL: | D01 D62 D64 C93 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:zewdip:21017&r=all |
| By: | Vasilios Plakandaras (Department of Economics, Democritus University of Thrace, Komotini, 69100, Greece); Rangan Gupta (Department of Economics, University of Pretoria, Private Bag X20, Hatfield, 0028, South Africa); Mehmet Balcilar (Eastern Mediterranean University, Famagusta, via Mersin 10, Northern Cyprus, Turkey); Qiang Ji (Institutes of Science and Development, Chinese Academy of Sciences, Beijing, China; School of Public Policy and Management, University of Chinese Academy of Sciences, Beijing, China) |
| Abstract: | Despite the econometric advances of the last 30 years, the effects of monetary policy stance during the boom and busts of the stock market are not clearly defined. In this paper, we use a structural heterogenous vector autoregressive (SHVAR) model with identified structural breaks to analyze the impact of both conventional and unconventional monetary policies on the U.S. stock market volatility. We find that contractionary monetary policy enhances stock market volatility, but the importance of monetary policy shocks in explaining volatility evolves across different regimes and is relative to supply shocks (and shocks to volatility itself). In comparison to business cycle fluctuations, monetary policy shocks explain a greater fraction of the variance of stock market volatility at shorter horizons, as in medium to longer horizons. Our basic findings of a positive impact of monetary policy on equity market volatility (being relatively stronger during calmer stock markets periods) is also corroborated by analyses conducted at the daily frequency based on an augmented heterogenous autoregressive model of realized volatility (HAR-RV) and a multivariate k-th order nonparametric causality-in-quantiles framework, respectively. Our results have important implications both for investors and policymakers. |
| Keywords: | Stock Market Volatility, Conventional and Unconventional Monetary Policies, Structural Breaks, Structural Heterogenous Vector Autoregressive Model, Multivariate Nonparametric higher-Order Causality-in-Quantiles Test, Intraday Data |
| JEL: | C22 C32 E32 E52 G10 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:pre:wpaper:202113&r=all |
| By: | Paolina C. Medina; Vrinda Mittal; Michaela Pagel |
| Abstract: | In this study, we quantify the effects of receiving stocks from certain brands on spending in the brand's stores. We use data from a new FinTech company called Bumped that opens brokerage accounts for its users and rewards them with stocks when they shop at previously elected stores. For identification, we use 1) the staggered distribution of brokerage accounts over time after individuals sign up for a waitlist and 2) randomly distributed stock grants. We find that individuals spend 40% more per week at elected brands and stores after being allocated an account. In response to receiving a stock grant, individuals increase their weekly spending by 100% on the granted brands. Beyond documenting a causal link between stock ownership and individual spending, we show that weekly spending in certain brands of our users is strongly correlated with stock holdings of that brand by Robinhood brokerage clients. Finally, we present survey evidence to argue that loyalty is the dominant psychological mechanism explaining our findings. We thus provide micro evidence for the idea that stock ownership drives brand loyalty, which is an intangible asset that leads to lower firm cash flow volatility. |
| JEL: | G02 G4 G41 G5 G51 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:28479&r=all |
| By: | Denise Hoffman; Jonah Deutsch; Britta Seifert |
| Abstract: | This study uses insights from the behavioral economics literature to provide a comprehensive diagnosis of seven SSA written communications that include information on earnings reporting. We conducted a behavioral assessment of the documentsÕ contents on earnings reporting to identify bottlenecks that may prevent beneficiaries from taking desired actions in four key domains: notice and open the document, locate and read the material on earnings reporting, decide to act, and act. The findings from this exercise are only suggestive and the extent to which modifying any of the components reviewed would affect earnings reporting is unknown. The paper found that: ¥ Only one of the reviewed documents is sent at a time when the reporting requirement is likely to be actionable. ¥ Although the documents are generally formatted so that readers can locate material on earnings reporting, much of the text is dense and key content could be missed. ¥ The guidance on earnings reporting varies in clarity and salience; no document includes a concrete reporting deadline that would help beneficiaries avoid overpayments. ¥ Three of the seven documents provide comprehensive, accessible, and actionable information to facilitate earnings reporting. ¥ None of the seven documents reviewed contain communication strategies that are likely to be effective in all four categories. The policy implications of the findings are: ¥ In our assessment, potential shortcomings in SSA communications on earnings reporting may contribute to beneficiary lack of awareness about reporting, which other research has linked to overpayments. ¥ We provide sample reporting reminders, designed based on behavioral economics insights, as a potential starting point for SSA to consider and test earnings reporting reminders. |
| Date: | 2020–11 |
| URL: | http://d.repec.org/n?u=RePEc:crr:crrwps:wp2020-15&r=all |
| By: | Schulz, Jan; Milaković, Mishael |
| Abstract: | Underreporting and undersampling biases in top tail wealth, although widely acknowledged, have not been statistically quantified so far, essentially because they are not readily observable. Here we exploit the functional form of power law-like regimes in top tail wealth to derive analytical expressions for these biases, and employ German microdata from a popular survey and rich list to illustrate that tiny differences in non-response rates lead to tail wealth estimates that differ by an order of magnitude, in our case ranging from one to nine trillion euros. Underreporting seriously compounds the problem, and we find that the estimation of totals in scale-free systems oftentimes tends to be spurious. Our findings also suggest that recent debates on the existence of scale- or type-dependence in returns to wealth are ill-posed because the available data cannot discriminate between scale- or typedependence on the one hand, and statistical biases on the other. Yet both economic theory and mathematical formalism indicate that sampling and reporting biases are more plausible explanations for the observed data than scale- or type-dependence. |
| Keywords: | Wealth inequality,stochastic growth,differential non-response,Hill estimator,tail index bias |
| JEL: | C46 C81 D31 |
| Date: | 2020 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bamber:166&r=all |
| By: | Xiang Hui; Tobias J. Klein; Konrad Stahl |
| Abstract: | Anonymous markets would be very difficult to successfully operate without the possibility that buyers rate the seller. Yet many empirical results yield that ratings are non-random and concentrate on extreme experiences. We develop a model of rating decisions in which the buyer is willing to share publicly her opinion about a transaction, if its realized quality differs much from the quality expected by her, where expected quality is influenced by an aggregate of the seller’s past ratings. We demonstrate our results empirically using raw data from eBay. In spite of the non-randomness of responses, unweighted rating aggregates appear to rather well reflect reported buyer experience as long as expectations are not extreme. |
| Keywords: | Online Markets, Rating, Reputation |
| JEL: | D83 L12 L13 L81 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:bon:boncrc:crctr224_2021_267&r=all |
| By: | Stefano Grassi (University of Rome 'Tor Vergata', Department of Economics and Finance, Facoltà di Economia, and CREATES); Francesco Violante (CREST, GENES, ENSAE Paris, Institut Polytechnique de Paris, and CREATES) |
| Abstract: | Starting from the Cholesky-GARCH model, recently proposed by Darolles, Francq, and Laurent (2018), the paper introduces the Block-Cholesky GARCH (BC-GARCH). This new model adapts in a natural way to the asset pricing framework. After deriving conditions for stationarity, uniform invertibility and beta tracking, we investigate the finite sample properties of a variety of maximum likelihood estimators suited for the BC-GARCH by means of an extensive Monte Carlo experiment. We illustrate the usefulness of the BC-GARCH in two empirical applications. The first tests for the presence of beta spillovers in a bivariate system in the context of the Fama and French (1993) three factor framework. The second empirical application consists of a large scale exercise exploring the cross-sectional variation of expected returns for 40 industry portfolios. |
| Keywords: | Cholesky decomposition, Multivariate GARCH, Asset Pricing, Time Varying Beta,Two Pass Regression |
| JEL: | C12 C22 C58 G12 G13 |
| Date: | 2021–03–01 |
| URL: | http://d.repec.org/n?u=RePEc:aah:create:2021-05&r=all |
| By: | J. Ignacio Conde-Ruiz; Juan-José Ganuza; Manu García; Luis A. Puch |
| Abstract: | We analyze all the articles published in Top 5 economic journals between 2002 and 2019 in order to find gender differences in their research approach. Using an unsupervised machine learning algorithm (Structural Topic Model) developed by Roberts et al. (2019) we characterize jointly the set of latent topics that best fits our data (the set of abstracts) and how the documents/abstracts are allocated in each latent topic. This latent topics are mixtures over words were each word has a probability of belonging to a topic after controlling by year and journal. This latent topics may capture research fields but also other more subtle characteristics related to the way in which the articles are written. We find that females are uneven distributed along these latent topics by using only data driven methods. The differences about gender research approaches we found in this paper, are "automatically" generated given the research articles, without an arbitrary allocation to particular categories (as JEL codes, or research areas). |
| Keywords: | machine learning, structural topic model, gender, research fields |
| JEL: | I20 J16 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:bge:wpaper:1241&r=all |
| By: | Kovacevic, Vlado; Subić, Jonel; Jankovic, Irena |
| Abstract: | This aim of this paper is to analyse possibilities and potential effects of soft commodity derivative market on the development of risk management practice within the CEE. Agricultural producers and other participants in the soft commodity market in CEE are lacking local commodity market. As a consequence, they are relying on hedging strategies on remote derivative markets that results in basis risk. The local soft commodity derivative market with delivery in CEE ports could significantly improve the risk management practice. One of the most important barriers in developing commodity derivatives market is market liquidity. Joint commodity market between different commodity exchanges in the CEE could lead to increase of necessary liquidity. Attempts to develop commodity derivative markets in individual countries within the region were proven to be inefficient lacking the volume of trade. Methodology used in this paper is based on relevant literature review, consultation with experts in commodity tradeand market participants and descriptive statistics applied in order to determine grain price volatility. Results of the research indicate that grain price volatility is high causing the need for application of hedging strategies at the commodity exchanges markets. Second, new EU common regulative is providing improved framework for joint commodity exchange clearing by single clearinghouse. Established market with delivery on Black See ports is of special importance for regional stakeholders. |
| Keywords: | derivative commodity exchanges, hedging strategies, commodity market, futures contract, basis risk. |
| JEL: | G23 Q14 Q2 |
| Date: | 2020–11–19 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:106303&r=all |
| By: | Khowaja, Kainat; Saef, Danial; Sizov, Sergej; Härdle, Wolfgang Karl |
| Abstract: | Strategic planning in a corporate environment is often based on experience and intuition, although internal data is usually available and can be a valuable source of information. Predicting merger & acquisition (M&A) events is at the heart of strategic management, yet not sufficiently motivated by data analytics driven controlling. One of the main obstacles in using e.g. count data time series for M&A seems to be the fact that the intensity of M&A is time varying at least in certain business sectors, e.g. communications. We propose a new automatic procedure to bridge this obstacle using novel statistical methods. The proposed approach allows for a selection of adaptive windows in count data sets by detecting significant changes in the intensity of events. We test the efficacy of the proposed method on a simulated count data set and put it into action on various M&A data sets. It is robust to aberrant behaviour and generates accurate forecasts for the evaluated business sectors. It also provides guidance for an a-priori selection of fixed windows for forecasting. Furthermore, it can be generalized to other business lines, e.g. for managing supply chains, sales forecasts, or call center arrivals, thus giving managers new ways for incorporating statistical modeling in strategic planning decisions. |
| JEL: | C00 |
| Date: | 2020 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:irtgdp:2020026&r=all |
| By: | Wursten, Jesse; Reich, Michael |
| Abstract: | We examine how the racial patchwork of federal and state minimum wage changes between 1990 and 2019 has affected racial wage gaps, with specific attention to effects on labor market frictions. Black workers on average are less likely to live in high-wage states that have raised their wage floors. The effect of state minimum wages on the national racial wage gap is thus not self-evident. Using five different causal specifications, including the “bunching” estimator of Cengiz et al. (2019), and data from the CPS and the QWI, we find that minimum wage changes since 1990 did reduce the 2019 racial wage gaps, by 12 percent among all workers and 60 percent among less-educated workers. The reductions are greater among black women and among black prime age workers. The gains for black workers are concentrated well above the new minimum wage, beyond the usual spillover estimates. Earnings of all race/ethnic/gender groups grew, with larger effects among black workers. We do not find disemployment effects for any group. Surprisingly, racial differences in initial wages do not explain the reduction in the racial wage gap. Rather, minimum wages expand job opportunities for black workers more than for white workers. We present a model in which minimum wages assist the job search of workers who do not own automobiles and who live farther from jobs. Our causal results using the ACS show that minimum wages increase commuting via automobile among black workers, supporting our model. Minimum wages also reduce racial gaps in separations and hires, further suggesting the policies especially enhance job opportunities for black workers. |
| Keywords: | Social and Behavioral Sciences, racial wage gaps, minimum wages, black wages, Hispanic wages, labor markets |
| Date: | 2021–02–04 |
| URL: | http://d.repec.org/n?u=RePEc:cdl:indrel:qt01n6g4dz&r=all |
| By: | Eveillé, F.; Schiettecatte, L.-S.; Toudert, A. |
| Abstract: | The present technical study provides the results and a summary of the most important lessons learned from implementation of a series of climate-smart agriculture (CSA) practices in the rice supply chains of Gagnoa in Côte d’Ivoire. The aim of the CSA practices was to enhance the adaptive capacity of the rice sector against climate change, as erratic rainfall patterns and droughts events have, historically, significantly impacted production. This study relies on data collected at farm and processing levels during two field missions to two pilot sites in August 2017 and September 2018 under the project “Contribution à l’atteinte des objectifs liés au changement climatique et à la sécurité alimentaire via l’agriculture intelligente face au climat en Côte d’Ivoire – cas de la filière riz”. This project is a technical cooperation project implemented by the Food and Agriculture Organization of the United Nations (FAO) from 2016 and 2018. The study provides a series of recommendations for policymakers, including incentives for the development of a modern bioenergy sector in Côte d’Ivoire which are still nascent. |
| Keywords: | Agricultural and Food Policy, Crop Production/Industries, Farm Management |
| Date: | 2020–09–27 |
| URL: | http://d.repec.org/n?u=RePEc:ags:faoets:309367&r=all |
| By: | Alessandro Bitetto (University of Pavia); Paola Cerchiello (University of Pavia); Stefano Filomeni (University of Essex); Alessandra Tanda (University of Pavia); Barbara Tarantino (University of Pavia) |
| Abstract: | In this paper we assess credit risk of SMEs by testing and comparing a classic parametric approach fitting an ordered probit model with a non-parametric one calibrating a machine learning historical random forest (HRF) model. We do so by exploiting a unique and proprietary dataset comprising granular firm-level quarterly data collected from a large European bank and an international insurance company on a sample of 810 Italian small- and medium-sized enterprises (SMEs) over the time period 2015-2017. Our results provide novel evidence that a dynamic Historical Random Forest (HRF) approach outperforms the traditional ordered probit model, highlighting how advanced estimation methodologies that use machine learning techniques can be successfully implemented to predict SME credit risk. Moreover, by using Shapley values for the first time, we are able to assess the relevance of each variable in predicting SME credit risk. Traditionally, credit risk evaluation of informationally-opaque SMEs has relied on soft information-intensive relationship banking. However, the advent of large banking conglomerates and the limits to successfully "harden" and transmit soft information across large banking organizations, challenge the traditional role of relationship banking, urging the need to evaluate SME credit risk by implementing alternative methodologies mostly based on hard information. |
| Keywords: | Credit Rating, SME, Historical Random Forest, Machine Learning, Relationship Banking, Soft Information |
| JEL: | C52 C53 D82 D83 G21 G22 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:pav:demwpp:demwp0201&r=all |
| By: | Kevin J. Lansing |
| Abstract: | This paper develops a real business cycle model with eight fundamental shocks and one ìequity sentiment shockî that captures belief-driven áuctuations. I solve for the time series of shock realizations that allow the model to exactly replicate the observed time paths of U.S. macroeconomic variables and asset returns over the past six decades. The representative agentís perception that movements in equity value are partly driven by sentiment is close to self-fulÖlling. The model-identiÖed sentiment shock is strongly correlated with other fundamental shocks and implies ìpessimismîrelative to fundamental equity value in steady state. Counterfactual scenarios show that the sentiment shock and shocks that appear in the law of motion for capital (representing Önancial frictions) have large impacts on the levels of macroeconomic variables and the size of the equity risk premium. Other shocks have large impacts on the growth rates of macroeconomic variables. Four of the model-identiÖed shocks help to predict the equity risk premium or the bond term premium in the next quarter. Overall, the results support a narrative in which a large number of correlated shocks have combined to deliver the historical outcomes observed in U.S. data. |
| Keywords: | Belief-driven business cycles; Sentiment; Animal spirits; Risk aversion; Equity risk premium; Bond term premium |
| JEL: | E32 E44 O41 |
| Date: | 2021–01–11 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedfwp:89624&r=all |
| By: | Zhijun Chen; pch346; Chongwoo Choe; Jiajia Cong; Noriaki Matsushima |
| Abstract: | Recent years have seen growing cases of data-driven tech mergers such as Google/Fitbit, in which a dominant digital platform acquires a relatively small firm possessing a large volume of consumer data. The digital platform can consolidate the consumer data with its existing data set from other services and use it for personalization in related markets. We develop a theoretical model to examine the impact of such mergers across the two markets that are related through a consumption synergy. The merger links the markets for data collection and data application, through which the digital platform can leverage its market power and hurt competitors in both markets. Personalization can lead to exploitation of some consumers in the market for data application. But insofar as competitors remain active, the merger increases total consumer surplus in both markets by intensifying competition. When the consumption synergy is large enough, the merger can result in monopolization of both markets, leading to further consumer harm when stand-alone competitors exit in the long run. Thus there is a tradeoff where potential dynamic costs can outweigh static benefits. We also discuss policy implications by considering various merger remedies. |
| Keywords: | big data, personalization, tech mergers |
| JEL: | D43 L13 L41 K21 |
| Date: | 2020–12 |
| URL: | http://d.repec.org/n?u=RePEc:mos:moswps:2020-16&r=all |
| By: | Trimborn, Simon; Härdle, Wolfgang Karl |
| Abstract: | The cryptocurrency market is unique on many levels: Very volatile, frequently changing market structure, emerging and vanishing of cryptocurrencies on a daily level. Following its development became a difficult task with the success of cryptocurrencies (CCs) other than Bitcoin. For fiat currency markets, the IMF offers the index SDR and, prior to the EUR, the ECU existed, which was an index representing the development of European currencies. Index providers decide on a fixed number of index constituents which will represent the market segment. It is a challenge to fix a number and develop rules for the constituents in view of the market changes. In the frequently changing CC market, this challenge is even more severe. A method relying on the AIC is proposed to quickly react to market changes and therefore enable us to create an index, referred to as CRIX, for the cryptocurrency market. CRIX is chosen by model selection such that it represents the market well to enable each interested party studying economic questions in this market and to invest into the market. The diversified nature of the CC market makes the inclusion of altcoins in the index product critical to improve tracking performance. We have shown that assigning optimal weights to altcoins helps to reduce the tracking errors of a CC portfolio, despite the fact that their market cap is much smaller relative to Bitcoin. The codes used here are available via www.quantlet.de. |
| Keywords: | Index construction,Model selection,Bitcoin,Cryptocurrency,CRIX,Altcoin |
| JEL: | C51 C52 G10 |
| Date: | 2020 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:irtgdp:2020009&r=all |
| By: | Anqi Chen; Alicia H. Munnell |
| Abstract: | To evaluate their retirement resources, households approaching retirement will examine their Social Security statements, defined benefit pensions, defined contribution balances, and other financial assets. However, many households may forget that not all of these resources belong to them; they will need to pay some portion to federal and state government in taxes. It is unclear, however, just how large the tax burden is for the typical retired household and for households with different income levels. This project aims to shed light on the tax burdens that retirees face by estimating lifetime taxes for a group of recently retired households. The project uses data from the Health and Retirement Study (HRS) linked to administrative earnings to determine Social Security benefits and administrative records on state of residence to estimate state tax liabilities. Income is then projected over the expected retirement of each household. Federal and state taxes, are estimated with TAXSIM, for each household on its reported and projected income. The paper found that: ¥ These estimates show that households in the aggregate will have to pay about 6 percent of their income in federal and state income taxes. ¥ But this liability rests primarily with the top quintile of the income distribution. ¥ For the lowest four quintiles, taxes are negligible Ð ranging from 0 percent to 1.9 percent. ¥ In contrast, the average liability is 11.3 percent for the top quintile, 16.4 percent for the top 5 percent, and 22.7 percent for the top 1 percent. The policy implications of the findings are: ¥ Taxes are meaningful for the top quintile, who are mostly married couples with average combined Social Security benefits of $50,900, 401(k)/IRA balances of $325,400 and financial wealth of $441,400. ¥ If these retirement and financial assets were fully annuitized, the amount a household would receive is equivalent to about $3,000 a month, and these households face tax liabilities of about 11 percent. ¥ Thus, for many households reliant on 401(k)/IRA or financial assets for security in retirement, taxes are an important consideration. |
| Date: | 2020–11 |
| URL: | http://d.repec.org/n?u=RePEc:crr:crrwps:wp2020-16&r=all |
| By: | Afees A. Salisu (Centre for Econometric and Allied Research, University of Ibadan, Ibadan, Nigeria); Rangan Gupta (Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa); Ahamuefula E. Ogbonna (Centre for Econometric and Allied Research and Department of Statistics, University of Ibadan, Ibadan, Oyo State, Nigeria) |
| Abstract: | This study examines the out-of-sample predictability of market risks measured as tail risks for stock returns of eight (Canada, France, Germany, Japan, Italy, Switzerland, the United Kingdom (UK), and the United States (US)) advanced countries using a long-range monthly data of over a century. We follow the Conditional Autoregressive Value at Risk (CAViaR) of Engle and Manganelli (2004) to measure the tail risks since it utilizes the tail distribution rather the whole distribution. Consequently, we produce results for both 1% and 5% VaRs across four variants (Adaptive, Symmetric absolute value, Asymmetric slope and Indirect GARCH) of the CAViaR. Thereafter, we use relevant model diagnostics such as the Dynamic Quantile test (DQ) test and %Hits to determine the model that best fits the data. The results obtained are then used in the return predictability following the Westerlund and Narayan (2012, 2015) method which allows us to account for some salient features such as persistence, endogeneity and conditional heteroscedasticity effects. We consequently partition our models into three variants (one-predictor, two-predictor and three-predictor models) and examine their forecast performance in contrast with a driftless random walk model. Three findings are discernible from the empirical analysis. First, we find that the choice of VaR matters when determining the “best†fit CAViaR model for each return series as the outcome seems to differ between 1% and 5% VaRs. Second, the predictive model that incorporates both stock tail risk and oil tail risk produces better forecast outcomes than the one with own tail risk indicating the significance of both domestic and global risks in the return predictability of advanced countries. |
| Keywords: | Stock returns, Tail risks, Forecasting, Advanced equity markets |
| JEL: | C22 G15 G17 Q02 |
| URL: | http://d.repec.org/n?u=RePEc:pre:wpaper:202117&r=all |
| By: | Barbara A. Butrica; Stipica Mudrazija |
| Abstract: | This paper uses financial data from a major credit bureau for a nationally representative 2 percent random sample from more than 250 million consumer records to examine the financial health and indebtedness of older adults. The data cover the years 2010 through 2019 and follow the same consumers over time. Consumer records include numerous sources of debt and information on their total credit available, total balances, amounts past due, debt in collections, and bankruptcies and foreclosures. They also include a nationally recognized credit score that is becoming increasingly utilized by creditors. We supplement these data with the zip-code level information from the American Community Survey on neighborhood characteristics, including racial and ethnic composition, median household income, homeownership, median housing prices, housing cost burdens, and unemployment rates. The paper found that: ¥ Consumers ages 50 and older are decreasingly indebted since the Great Recession. ¥ This trend masks the increase in indebtedness among adults ages 70 and older due primarily to mortgages. Not only are they more indebted, but our findings suggest that their financial health Ð reflected by their credit scores and capacity to borrow Ð has worsened over time. ¥ Where older people live matters for their use of debt. Older adults from socioeconomically disadvantaged areas carry debt well into their retirement years, whereas those who live in wealthier zip codes appear to deleverage as they age. ¥ More than other sources of debt, credit card debt is the most highly correlated with spells of poor credit Ð increasing both the likelihood of experiencing a spell and reducing the likelihood of exiting a spell. This has negative implications for consumers ages 70 and older since credit cards are their largest source of non-mortgage debt. |
| Date: | 2020–12 |
| URL: | http://d.repec.org/n?u=RePEc:crr:crrwps:wp2020-19&r=all |
| By: | Elena Borsetto (Dept. of Management, Università Ca' Foscari Venice) |
| Abstract: | The use of mission statements as effective strategic tools is common for companies, but also in not-for-profit organisations, such as higher education institutions. In business schools, in particular, mission and vision play a role in communicating the school’s values and its learning and research objectives, driven by the internationalisation process and the need to develop strategies to improve a school’s academic reputation and positioning on a global level. Although studies have already investigated the characteristics of mission statements in higher education, more research is needed on how they are affected by external quality criteria, such as the ones set by accrediting agencies, which have established a benchmark for educational practices. In this study, a qualitative content analysis has been carried out to understand the core values expressed in the mission and vision statements of the European business schools which have received a 5-years certification from the EFMD. The analysis also aimed to investigate whether these values are linked with the three main dimensions described in the EQUIS “Standards and Criteria” manuals (EFDM, 2020) that are transversal to the accreditation guidelines, namely: “Internationalisation”, “Connections with Practice”, and “Ethics, Responsibility & Sustainability”. The findings of this study may offer insightful reflections on the content of mission and vision statements, and on the strategic choices and values expressed by EQUIS-accredited business schools that have been influenced by the quality standards set in the accreditation process. |
| Keywords: | Mission statements, Business Schools, Higher education, Internationalisation, Quality assurance, Educational accreditation, Content analysis |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:vnm:wpdman:178&r=all |
| By: | Zamani, Omid; Pelikan, Janine; Schott, Johanna |
| Abstract: | The present report provides the results of the first work package of the IMMPEX project which aims to investigate the impact of German and European livestock product exports on agri-food sectors in selected African countries. Based on various criteria like trade statistics and a literature review, we identified the poultry and dairy sectors in Senegal and Ghana for further analysis in the course of the project. In this report, we provide an overview of the poultry and dairy product trade flows from Germany, the EU, and from the rest of the world to West Africa. We also show how imports, domestic production, and consumption of poultry and dairy products have developed over time. Our analysis reveals an upward trend of dairy and poultry products imports in both countries. Apart from the 28 EU countries, Brazil and the US are the main exporters of poultry to Ghana. However, the share of the EU increased since 2011. Senegal’s domestic production has considerably expanded under the import ban on uncooked poultry meat in 2006. Nevertheless, compared with poultry production growth rates in Ghana, Senegal still has lower growth rates. With regard to dairy, intra-African trade plays an important role in this sector, however, there is evidence that intra-African trade flows might be related to re-exports. The EU and New Zealand are the main competitors in the dairy markets of Ghana and Senegal. |
| Keywords: | Agribusiness, International Relations/Trade |
| Date: | 2021–03–05 |
| URL: | http://d.repec.org/n?u=RePEc:ags:jhimwp:309676&r=all |
| By: | Ranjan Ray; Parvin Singh |
| Abstract: | The period spanned by the last decade of the 20th century and the first decade of the 21st century has been characterised by political and economic developments on a scale rarely witnessed before over such a short period. This study on inequality within and between countries is based on a data set constructed from household unit records in over 80 countries collected from a variety of data sources and covering over 80 % of the world’s population. The departures of this study from the recent inequality literature include its regional focus within a ‘world view’ of inequality leading to evidence on difference in inequality magnitudes and their movement between continents and countries. Comparison between the inequality magnitudes and trends in three of the largest economies, China, India, and the USA is a key feature of this study. The use of household unit records allowed us to go beyond the aggregated view of inequality and provide evidence on how household based country and continental representations of the income quintiles have altered in this short period. A key message of this exercise in that, in glossing over regional differences, a ‘global view’ of inequality gives a misleading picture of the reality affecting individual countries located in different continents and with sharp differences in their institutional and colonial history. In another significant departure, this study compares the intercountry and global inequality rates between fixed and time varying PPPs and reports that not only do the inequality magnitudes vary sharply between the two but, more significantly, the trend as well. For example, the consensus on decline in global inequality based on time invariant PPPs is not sustained once we move to time varying PPPs as suggested by the ‘Penn effect’. |
| Keywords: | PPP, Gini Coefficient, Income Inequality, Global Income Shares, Penn effect. |
| JEL: | E01 E13 E31 F15 F61 F63 I31 O15 |
| Date: | 2019–06 |
| URL: | http://d.repec.org/n?u=RePEc:mos:moswps:2019-08&r=all |