|
on Central and Western Asia |
| By: | Gloria González-Rivera (University of California, Riverside); Carlos Vladimir Rodríguez-Caballero (Mexico Autonomous Institute of Technology (ITAM) and CREATES); Esther Ruiz Ortega (Universidad Carlos III de Madrid) |
| Abstract: | Large and unexpected moves in the factors underlying economic growth should be the main concern of policy makers aiming to strengthen the resilience of the economies. We propose measuring the effects of these extreme moves in the quantiles of the distribution of growth under stressed factors (GiS) and compare them with the popular Growth at Risk (GaR). In this comparison, we consider local and global macroeconomic and financial factors affecting US growth. We show that GaR underestimates the extreme and unexpected fall in growth produced by the COVID19 pandemic while GiS is much more accurate. |
| Keywords: | Growth vulnerability, Multi-level factor model, Stressed growth |
| JEL: | C32 C55 E32 E44 F44 F47 O41 |
| Date: | 2021–03–15 |
| URL: | http://d.repec.org/n?u=RePEc:aah:create:2021-06&r=all |
| By: | Svanidze, Miranda |
| Abstract: | This doctoral thesis studies the spatial market efficiency of wheat markets in selected post-Soviet countries; particularly in Russia, the largest wheat exporting country in the world, and in the grain import-dependent countries of Central Asia and the South Caucasus. Increased grain production in the Black Sea region, and in Russia specifically, is crucial for meeting increasing global agricultural demand and global food security. Grain production in Russia could be boosted by increasing grain production efficiency and also by re-cultivating formerly abandoned agricultural land. However, to increase Russia's role in global wheat supply, additional grain production potential has to coincide with improving the country's grain export perspectives. On the other hand, the realization of Russia's export capacity largely depends on the performance of its regional grain markets domestically. Using price transmission and panel data analyses in a comparative context, this study finds the wheat market of Russia segmented, with the primary wheat export region poorly integrated into the domestic market. This thesis also demonstrates that regional wheat market integration in Russia is relatively low and heterogeneous and trade costs are relatively high compared to the USA, mostly due to large distances between grain producing regions. In addition, by including the USA as benchmark country, a comparative approach enables a more comprehensive assessment of the spatial market efficiency of the wheat market in Russia. The results also provide evidence on the dissimilarity of the underlying fundamental mechanism of market integration between Russia and the USA. In Russia, the physical trade of wheat mainly fosters market integration at the interregional level, whereas in the USA, in addition to physical trade, information flows induced by commodity futures markets play a major role in the regional grain market integration. (...) |
| Keywords: | Crop Production/Industries, Food Security and Poverty, International Relations/Trade |
| Date: | 2020 |
| URL: | http://d.repec.org/n?u=RePEc:ags:iamost:310043&r=all |
| By: | Joël Cariolle (FERDI - Fondation pour les Etudes et Recherches sur le Développement International); Petros Sekeris (Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School) |
| Abstract: | In this article we uncover a positive effect of both export booms and busts on firm-level corruption. Our theory underlines the central role played by human capital in the underlying mechanism. In low human capital settings, export-related revenues are highly elastic to incremental gains of export shares, thence pushing firms to intensify corruption with export busts so as to avoid a radical drop in their revenues. In high human capital settings, export booms lead to more corruption as an increment of export share achieved through bribery concerns a large export market. We corroborate these findings with an extensive database of some 45,000 firms from 72 developing and transition economies, surveyed over 2006-2017. Besides confirming that export booms and busts corrupt and highlighting the mediating role of human capital, we also highlight the corruption-deterrent effect institutions during export market expansion and contraction. |
| Keywords: | Corruption,Bribery,Export shocks,Human capital |
| Date: | 2021–02–11 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-03164648&r=all |
| By: | Saito, Hisamitsu |
| Abstract: | Product quality is the key to the export success of firms in developing countries. This study examines whether and to what extent inward foreign direct investment (FDI) affects the product quality of local plants, focusing on the role of quality upgrading spillovers and productivity spillovers. Employing plant product-level data from Indonesian manufacturing, we find that backward FDI upgrades the product quality of exporters only, while plant productivity improves the product quality of both exporters and non-exporters. Thus, quality upgrading spillovers are effective in enhancing the competitiveness of incumbent exporters. However, they do not encourage non-exporters to export their products, for which productivity spillovers are effective instead. |
| Keywords: | Developing country; Export upgrading; Foreign direct investment; Product quality; Spillovers |
| JEL: | F23 L15 O14 |
| Date: | 2021–03–23 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:106770&r=all |
| By: | Richard K. Crump; Nikolay Gospodinov; Desi Volker |
| Abstract: | Breakeven inflation, defined as the difference in the yield of a nominal Treasury security and a Treasury Inflation-Protected Security (TIPS) of the same maturity, is closely watched by market participants and policymakers alike. Breakeven inflation rates provide a signal about the expected path of inflation as perceived by market participants although they are also affected by risk and liquidity premia. In this post, we scrutinize the dynamics of breakeven inflation, highlighting some intriguing behavior which has persisted for a number of years and even through the pandemic. In particular, we document a substantial downward shift in the level of breakeven inflation as well as a marked flattening of the breakeven inflation curve. |
| Keywords: | breakeven inflation; expected inflation; inflation risk premia |
| JEL: | G1 |
| Date: | 2021–03–22 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednls:90351&r=all |
| By: | Vojtech Molnar (Charles University, Prague, Czech Republic; Czech National Bank, Prague, Czech Republic) |
| Abstract: | The paper compares price level targeting and inflation targeting regimes in a New Keynesian model with bounded rationality. Economic agents form their expectations using heuristics—they choose between a few simple rules based on their past forecasting performance. Two main specifications of the price level targeting model are examined—the agents form expectations either about price level or about inflation, which is ex ante not equivalent because of sequential nature of the model. In addition, several formulations of the forecasting rules are considered. Both regimes are assessed by loss function comparison. According to the results, price level targeting is preferred in the case with expectations created about price level under the baseline calibration; but it is sensitive to some model parameters. Furthermore, when expectations are created about inflation, price level targeting over time loses credibility and leads to divergence of the economy. On the other hand, inflation targeting model functions stably. Therefore, while potential benefits of price level targeting have been confirmed under certain assumptions, the results suggest that inflation targeting constitutes more robust choice for monetary policy. |
| Keywords: | Price level targeting, Inflation targeting, Monetary policy, Bounded rationality, Heuristics |
| JEL: | E31 E37 E52 E58 E70 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:fau:wpaper:wp2021_07&r=all |
| By: | Cezara Vinturis (WUT - West University of Timișoara [Roumanie], CERDI - Centre d'Études et de Recherches sur le Développement International - Clermont Auvergne - UCA - Université Clermont Auvergne - CNRS - Centre National de la Recherche Scientifique) |
| Abstract: | This paper shows that, contrary to their favourable effect in the EU non-FCC (Former Communist Countries), fiscal rules do not significantly affect fiscal performance in the group of EU FCC. This finding, which may echo differences between FCC and other EU inherited from the Cold War period, is robust when considering various estimation methods, dividing fiscal rules along various dimensions, and using several observed and computed measures of fiscal performance. However, when going beyond the simple presence of fiscal rules, we find that an improvement of the strength of fiscal rules significantly affects fiscal performance in EU FCC, with a magnitude higher than that in EU non-FCC. Our findings are particularly important from the perspective of the future Euro zone and European Union enlargements, which involve former communist countries, and go along with the adoption of various types of fiscal rules. |
| Keywords: | fiscal rules,fiscal performance,EU former communist countries |
| Date: | 2019–10 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-03097483&r=all |
| By: | Si, Hoan Luong Cu |
| Abstract: | The history of the preference to use cash, especially US dollars and gold bars could be traced to the hyperinflation of the 1980s as well as the economic crisis of 2008 – 2009 which saw inflation peaking at 28.3% in Aug 2008 alone. |
| Date: | 2019–10–28 |
| URL: | http://d.repec.org/n?u=RePEc:osf:osfxxx:bhwsk&r=all |
| By: | Matthijs Breugem; Raffaele Corvino; Roberto Marfè; Lorenzo Schönleber |
| Abstract: | This paper shows that tail risk in US equity markets increased in advance of the COVID-19 outbreak in February 2020. While tail risk of the market index did not move much before the outbreak, we document that tail risk of less pandemic-resilient economic sectors boomed in advance. This result is robust to alternative specifications of tail risk, measured from either option or credit default swap contracts. Long-horizon tail risk measures provide information about investors perception of pandemic risk persistence and economic recovery. |
| Keywords: | COVID-19, tail risk, economic sectors. |
| JEL: | G01 G10 G12 G14 |
| Date: | 2020 |
| URL: | http://d.repec.org/n?u=RePEc:cca:wpaper:623&r=all |
| By: | Juan Andrés Serur; José P. Dapena; Julián R. Siri |
| Abstract: | Greed and fear are the main psychological factors driving investment deci-sions, and the VIX Index is regarded as the most important measure of howfearful the market feels about future returns of the main equity index, theS&P 500 Index. However, given that the VIX is calculated by combiningboth upside expected volatility implicit in out-of-the-money calls and down-side expected volatility implicit in the value of out-of-the-money puts, thetaken-for-granted assumption that a rising VIX should be interpreted as asign of growing fear in the equities market can be misleading. In this paperwe formally deconstruct the index into two components, the upside and thedownside expected volatility, in a similar fashion as it is done in statisticswith the semi-variance. We then propose a Greed-Fear index using the dataobtained to provide a better gauge about investors’ sentiment on the market. |
| Keywords: | VIX, Volatility, Greed-Fear index, Variance Swap |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:cem:doctra:780&r=all |
| By: | Ashok Thomas (Indian Institute of Management Kozhikode) |
| Abstract: | In this article, we study the association of cognitive traits and, in particular, numeracy of both spouses on financial outcomes of the family. We find significant effects, particularly for numeracy for financial and non-financial respondents alike, but much larger effects for the financial decision maker in the family. Once again, cognitive traits such as numeracy are an important component of that decision with larger effects of numeracy for financial respondents and stronger when the financial respondent is the husband. |
| Keywords: | Cognition accumulation, Wealth analysis, Indian household |
| Date: | 2020–03 |
| URL: | http://d.repec.org/n?u=RePEc:iik:wpaper:381&r=all |
| By: | Ahmed Ayadi; Marjène Gana; Stéphane Goutte (VNU - Vietnam National University [Hanoï], Cemotev - Centre d'études sur la mondialisation, les conflits, les territoires et les vulnérabilités - UVSQ - Université de Versailles Saint-Quentin-en-Yvelines); Khaled Guesmi |
| Abstract: | This study considers the findings of previous research concerning the volatility and correlation transmission between equity and commodity markets and attempts to document evidence of contagion between these markets during four crises using the International Capital Asset Pricing Model (ICAPM). We study existence of contagion transmission mechanism between regional equity markets (USA, Western Europe and the BRICS) and sixteen categories of commodities |
| Keywords: | Metals,Natural Gas,Electricity,Crude Oil,Precious Metals,Agricultural Oils,Chemicals,Feeds,Fibers,Forestry Products,Grains,Live Stocks,Oil Seeds,Equity-commodity contagion,Three-factor CAPM,Financial crises |
| Date: | 2021–03–15 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:halshs-03169699&r=all |
| By: | Tanja Artiga Gonzalez; Teodor Dyakov; Justus Inhoffen; Evert Wipplinger |
| Abstract: | We construct a fund-specific measure of crowding using the equity holdings overlap of 17,364 global funds which are actively managed. Funds in the top decile of crowding underperform the passive benchmark by 1.4% per year. The poor performance cannot be attributed to fees and transaction costs alone. When we explore the economics behind crowding, we establish that the diseconomies of crowding are distinct from the ones associated with size. Among several possible mechanisms, we find support for a) a preference for liquid stocks among crowded funds and b) differences in the propagation of price pressure from flows of connected funds. Our findings reveal that the tendency of managers to follow correlated strategies is a major source of diseconomies in the active fund industry. |
| Keywords: | Mutual funds, crowding, diseconomies of scale |
| JEL: | G15 G23 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:diw:diwwpp:dp1937&r=all |
| By: | Valerio Ercolani (Bank of Italy) |
| Abstract: | This paper provides a critical review of the literature on the macroeconomic effects of public infrastructure investment associated with the main underlying transmission channels. Typically, this type of stimulus fosters economic activity in the medium-to-long run because the public capital stock needs time to build up and to exert its effects. However, under the current circumstances – such as considerable economic slack, policy rates constrained at zero and heightened uncertainty – the stimulus can be expansionary even at shorter horizons, i.e. from one to three years. Given the large infrastructure gaps in most emerging and advanced economies, infrastructure investment could have high returns in terms of individuals’ welfare and productivity growth. Strengthening health infrastructures, supporting maintenance investment, and coordinating infrastructure stimuli across countries emerge as particularly appropriate policies today. |
| Keywords: | public infrastructure investment, productivity, slack, ZLB, uncertainty, fiscal multipliers, COVID-19, secular stagnation, welfare |
| JEL: | E62 H51 H54 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:bdi:opques:qef_613_21&r=all |
| By: | Raphael Auer; Ariel Burstein; Sarah M. Lein |
| Abstract: | We dissect the impact of a large and sudden exchange rate appreciation on Swiss border import prices, retail prices, and consumer expenditures on domestic and imported non-durable goods, following the removal of the EUR/CHF floor in January 2015. Cross-sectional variation in border price changes by currency of invoicing carries over to consumer prices and allocations, impacting retail prices of imports and competing domestic goods, as well as import expenditures. We provide measures of the sensitivity of retail import prices to border prices and the sensitivity of import shares to relative prices, which is higher when using retail prices than border prices. |
| JEL: | F0 |
| Date: | 2021–01 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:28404&r=all |
| By: | Erica M. Field; Elisa M. Maffioli |
| Abstract: | We experimentally evaluate the impact on child malnutrition of a maternal cash transfer program in Myanmar that was supplemented with Social Behavior Change Communication (SBCC) in a subset of villages. The combination of interventions significantly reduced the proportion of children stunted, while cash alone had no impact on stunting. SBCC appears to have worked in conjunction with cash to reduce stunting by encouraging mothers to increase children’s total calories and protein consumed. The findings provide evidence that information constraints contribute to low income-elasticity of calorie demand among malnourished populations, and underscore the importance of adding SBCC to cash transfer programs. |
| JEL: | I12 I15 I38 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:28443&r=all |
| By: | Ángel Iván Moreno Bernal (Banco de España); Carlos González Pedraz (Banco de España) |
| Abstract: | This paper presents a text mining application, to extract information from financial texts and use this information to create sentiment indices. In particular, the analysis focuses on the Banco de España’s Financial Stability Reports from 2002 to 2019 in their Spanish version and on the press reaction to these reports. To calculate the indices, a Spanish dictionary of words with a positive, negative or neutral connotation has been created, to the best of our knowledge the first within the context of financial stability. The robustness of the indices is analysed by applying them to different sections of the Report, and using different variations of the dictionary and the definition of the index. Finally, sentiment is also measured for press reports in the days following the publication of the Report. The results show that the list of words collected in the reference dictionary represents a robust sample to estimate the sentiment of these texts. This tool constitutes a valuable methodology to analyse the repercussion of financial stability reports, while objectively quantifying the sentiment conveyed in them. |
| Keywords: | text mining, sentiment analysis, natural language processing, central bank communications, financial stability |
| JEL: | C82 G28 |
| Date: | 2020–07 |
| URL: | http://d.repec.org/n?u=RePEc:bde:wpaper:2011e&r=all |
| By: | Muriel Dal Pont Legrand (Université Côte d'Azur, CNRS, GREDEG, France) |
| Abstract: | This paper analyses how the macro agent-based literature which developed intensively during the last decades, analyses the issue of financial instability. This paper focuses its attention on two specific researchers’ communities which, within this new paradigm, specifically emphasize this question. We examine their common analytical foundations, how they have been influenced by anterior research programs, and we distinguish their modeling strategies and how these distinct strategies led them to follow somewhat different objectives. |
| Keywords: | Macro agent-based models, financial instability, microeconomic foundations, CATS, K&S, Minsky, Leijonhufvud, Stiglitz |
| JEL: | B22 B31 B41 E32 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:gre:wpaper:2021-14&r=all |
| By: | Joseph E. Stiglitz |
| Abstract: | What can explain the large changes in aggregate demand that occur in the absence of any seemingly corresponding shock to the underlying state variables of the economy? We show that macroeconomic volatility can arise from dispersions of beliefs among agents. These dispersions give rise to bets and other trades in speculative assets. Such trades give rise to pseudo-wealth, wealth that individuals believe they have on the basis of expectations of returns on these gambles. In the aggregate, when there are enough opportunities for trade and large enough dispersions in beliefs, this perceived wealth may be dangerously untethered from either market wealth or the real wealth of the economy. Given the increased dispersion in beliefs that naturally arises from unprecedented shocks, the theory of pseudo-wealth provides new understandings of both the origins of unanticipated fluctuations and their magnitude, markedly different from prevailing theories grounded in common knowledge and beliefs among individuals. This paper explores the empirical and theoretical underpinnings of pseudo-wealth, links the concept to observed macroeconomic fluctuations, and lays out a research agenda that might help us better understand the role of pseudo-wealth and the circumstances in which it is pronounced. |
| JEL: | B22 E03 E21 E44 E60 G01 G12 G18 |
| Date: | 2021–01 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:28415&r=all |
| By: | Kasinger, Johannes; Krahnen, Jan Pieter; Ongena, Steven; Pelizzon, Loriana; Schmeling, Maik; Wahrenburg, Mark |
| Abstract: | This paper discusses policy implications of a potentialsurge in NPLs due to COVID-19. The study provides an empirical assessment of potential scenarios and draws lessons from previous crises for effective NPL treatment. The paper highlights the importance of early and realistic assessment of loan lossesto avoid adverse incentives for banks. Secondary loan markets would help in this process and further facilitate bank resolution as laid down in the BRRD, which should be uphold even in extreme scenarios. This paper was prepared by the Economic Governance Support Unit (EGOV) at the request of the Committee on Economic and Monetary Affairs (ECON). |
| Keywords: | Covid-19,Non-performing Loans,Bank Resolution,Secondary Loan Markets,BRRD |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:safewh:84&r=all |
| By: | Giuntella, Osea (University of Pittsburgh); Rotunno, Lorenzo (Aix-Marseille University); Stella, Luca (Catholic University Milan) |
| Abstract: | Using longitudinal data from the German Socio-Economic Panel, we analyze the effects of exposure to trade on the fertility and marital behavior of German workers. We find that individuals working in sectors that were more affected by import competition from Eastern Europe and suffered worse labor market outcomes were less likely to have children. In contrast, workers in sectors that benefited from increased exports had better employment prospects and higher fertility. These effects are driven by low-educated and married men, and reflect changes in the likelihood of having any child (extensive margin). While among workers exposed to import competition there is evidence of some fertility postponement, we find a significant reduction of completed fertility. There is instead little evidence of any significant effect on marital behavior. |
| Keywords: | international trade, labor market outcomes, fertility, marriage |
| JEL: | F14 F16 J13 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp14224&r=all |
| By: | Jean N. Lee (World Bank); Jonathan Morduch (Robert F. Wagner Graduate School of Public Service, New York University); Saravana Ravindran (Lee Kuan Yew School of Public Policy, National University of Singapore); Abu S. Shonchoy (Department of Economics, Florida International University) |
| Abstract: | Mobile banking and related digital financial technologies can make financial services cheaper and more widely accessible in low-income economies, but gender gaps persist. We present evidence from two connected field experiments in Bangladesh designed to encourage the adoption and use of mobile banking by poor, illiterate households. We show that training can dramatically increase adoption and usage by women. At the same time, women on average persist in using mobile banking at a lower rate than men. The study focuses on migrants and their families in Bangladesh. Despite large differences between female and male migrants in income and education, the first experiment shows that a training program led to a similarly large, positive impact on mobile banking usage by female and male migrants, increasing usage rates for both by about 45 percentage points. That led to increases in remittances sent to rural areas, reduced rural poverty, and increased rural consumption. Both female and male migrants in the treatment group, however, reported worse physical and emotional health, adding to health challenges reported by women across treatment and control groups. A second experiment explores whether the way that the technology was introduced and explained made an additional difference in narrowing gender gaps. Despite the lack of statistical power to detect small treatment impacts, we find suggestive evidence that the treatment increased mobile banking adoption by female migrants. |
| Keywords: | gender, financial inclusion, digital money, migration, field experiment, Bangladesh |
| JEL: | R23 O33 O16 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:fiu:wpaper:2108&r=all |
| By: | Praveen Sugathan (Indian Institute of Management Kozhikode) |
| Abstract: | This study examine how consumers perceives the prices of VR products. The earlier studies used a cost-based measure for price fairness to reduce the effect of valuejudgement. In this study we will use a more direct measure of price fairness. The study was conducted using a sample from India to extend the validity of the findings beyond US. Prices of VR products have found to be influenced by the degree of co-creation. |
| Keywords: | VR Products, E-commerce |
| Date: | 2020–03 |
| URL: | http://d.repec.org/n?u=RePEc:iik:wpaper:361&r=all |
| By: | A. R Baghirzade |
| Abstract: | An important area of anti-crisis public administration is the development of small businesses. They are an important part of the economy of developed and developing countries, provide employment for a significant part of the population and tax revenues to budgets, and contribute to increased competition and the development of entrepreneurial abilities of citizens. Therefore, the primary task of the state Federal and regional policy is to reduce administrative barriers and risks, time and resources spent on opening and developing small businesses, problems with small businesses ' access to Bank capital [8], etc. Despite the loud statements of officials, administrative barriers to the development of small businesses in trade and public catering are constantly increasing, including during the 2014-2016 crisis. |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2103.07213&r=all |
| By: | Olivier Basdevant; John Hooley; Eslem Imamoglu |
| Abstract: | This How to Note provides operational guidance for policymakers and IMF staff teams on designing—or revising—a fiscal strategy in resource-rich countries (RRC). Properly managed, resource revenue can support fiscal sustainability and development and equity objectives. Resource revenues also create significant stabilization challenges for fiscal policy because of their size, uncertainty, volatility, and finite nature. The guidance in this note is intended to be general and applicable to RRCs with a range of income levels, resource endowments, and macroeconomic contexts. It is designed primarily to help policymakers analyze the trade-offs associated with alternative fiscal paths and select the right fiscal strategy, given country-specific circumstances. |
| Keywords: | Fiscal policy;Fiscal sustainability;Expenditure;Fiscal stance;Natural resources;FADHTN,HTN,resource revenue,resource wealth,liquid asset,commodity revenue,resource consumption |
| Date: | 2021–03–09 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfhtn:2021/001&r=all |
| By: | Gilles Duranton (University of Pennsylvania); Diego Puga (CEMFI, Centro de Estudios Monetarios y Financieros) |
| Abstract: | Urban density boosts productivity and innovation, improves access to goods and services, reduces typical travel distances, encourages energy-efficient construction and transport, and facilitates sharing scarce amenities. However, density is also synonymous with crowding, makes living and moving in cities more costly, and concentrates exposure to pollution and disease. We explore the appropriate measurement of density and describe how it is both a cause and a consequence of the evolution of cities. We then discuss whether and how policy should target density and why the trade-off between its pros and cons is unhappily resolved by market and political forces. |
| Keywords: | Density, agglomeration, urban costs. |
| JEL: | R12 R31 R32 |
| Date: | 2020–06 |
| URL: | http://d.repec.org/n?u=RePEc:cmf:wpaper:wp2020_2015&r=all |
| By: | Liam Brunt (Norwegian School of Economics and Business Administration - Norwegian School of Economics and Business Administration, CEPR - Center for Economic Policy Research - CEPR); Cecilia García-Peñalosa (AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique, CEPR - Center for Economic Policy Research - CEPR) |
| Abstract: | A large literature characterizes urbanisation as the result of productivity growth attracting rural workers to cities. We incorporate economic geography elements into a growth model and suggest that causation runs the other way: when rural workers move to cities, the resulting urbanisation produces technological change and productivity growth. Urban density leads to knowledge exchange and innovation, thus creating a positive feedback loop between city size and productivity that sets off sustained economic growth. The model is consistent with the fact that urbanisation rates in Western Europe, and notably in England, reached unprecedented levels by the mid-18 th century, the eve of the Industrial Revolution. |
| Keywords: | industrialization,urbanisation,innovation,long-run growth |
| Date: | 2021–01 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:halshs-03123659&r=all |
| By: | Kunze, Florian; Hampel, Kilian; Zimmermann, Sophia |
| Abstract: | The coronavirus crisis has brought rapid and sweeping changes to the daily work life of many employees. To comply with social distancing rules, many private and public organizations let all or part of their staff work from home. This study analyzes this new work environment on the basis of unprecedented data: a survey conducted at nine points in time among roughly 700 telecommuting employees. The results demonstrate that employees working from home show an increase in perceived productivity and commitment. The vast majority wish to continue to work flexibly on a remote basis, at least to some extent. However, we also observe a trend towards excessive workloads resulting in exhaustion. This increases the urge for policymakers and employee representations to take action. The study concludes with recommendations on how to improve the general conditions concerning telework. |
| Date: | 2020 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:cexpps:02&r=all |
| By: | Gilles Duranton (University of Pennsylvania); Diego Puga (CEMFI, Centro de Estudios Monetarios y Financieros) |
| Abstract: | We develop an urban growth model where human capital spillovers foster entrepreneurship and learning in heterogenous cities. Incumbent residents limit city expansion through planning regulations so that commuting and housing costs do not outweigh productivity gains. The model builds on strong microfoundations, matches key regularities at the city and economywide levels, and generates novel predictions for which we provide evidence. It can be quantified relying on few parameters, provides a basis to estimate the main ones, and remains transparent regarding its mechanisms. We examine various counterfactuals to assess quantitatively the effect of cities on economic growth and aggregate income. |
| Keywords: | Urban growth, agglomeration economies, urban costs, planning regulations, city size distributions. |
| JEL: | C52 R12 D24 |
| Date: | 2020–06 |
| URL: | http://d.repec.org/n?u=RePEc:cmf:wpaper:wp2020_2013&r=all |
| By: | Reuschke, Darja (University of St. Andrews); Henley, Andrew (Cardiff University); Daniel, Elizabeth (The Open University); Price, Victoria (University of Southampton) |
| Abstract: | This paper investigates whether the female self-employed are more affected by the COVID-19 crisis than the male self-employed using longitudinal data four months following the first 'lockdown' in the UK. We specifically test the role of family/social, economic and psychological factors on gendered differential impact. We find that self-employment exits are not gendered but women are more likely to experience reductions in hours worked and earnings. This greater adverse impact on women's working hours and earnings is despite family responsibilities and home-schooling, industrial gender segregation and women's greater propensity to run a non-employing business and to work part-time. However, lower attitude to risk in women is associated with lower risk of reduction in earnings. Policy needs to look beyond business exits when considering crisis support for the self-employed. |
| Keywords: | entrepreneurship, self-employment, COVID-19, gender, labour supply |
| JEL: | J16 J22 L26 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp14216&r=all |
| By: | Kerris Cooper; Abigail McKnight |
| Abstract: | The more generous National Living Wage replaced the National Minimum Wage for employees aged 25 and over in April 2016. In April 2020 it is due to increase to 60% of the average wage. In this policy brief we assess the impact of the National Living Wage in earnings inequality. We find that inequality in wages and weekly earnings have fallen further and faster than at least 1999 and most likely since the late 1970s. |
| Keywords: | national living wage, earnings inequality, minimum wages |
| Date: | 2020–03 |
| URL: | http://d.repec.org/n?u=RePEc:cep:sticab:casebrief38&r=all |
| By: | Fairuz Chowdhury (Institute of Business Administration, University of Dhaka, Dhaka -1000, Dhaka, Bangladesh Author-2-Name: Melita Mehjabeen Author-2-Workplace-Name: Institute of Business Administration, University of Dhaka, Dhaka -1000, Dhaka, Bangladesh Author-3-Name: Author-3-Workplace-Name: Author-4-Name: Author-4-Workplace-Name: Author-5-Name: Author-5-Workplace-Name: Author-6-Name: Author-6-Workplace-Name: Author-7-Name: Author-7-Workplace-Name: Author-8-Name: Author-8-Workplace-Name:) |
| Abstract: | Objective - The primary aim of the paper is to investigate the impact of culture on impulse buying behavior for an emerging nation, Bangladesh. Methodology/Technique - After conducting a detailed literature review, a questionnaire survey was developed. Using a non-probabilistic snowball sampling, a sample size of 351 was attained. Exploratory factor analysis was employed to understand the six cultural dimensions of Hofstede's model and impulse purchasing behavior, and OLS multiple regression was performed to test the association of the dimensions of culture with impulse buying behavior. Findings - The results indicate that there is a significant positive relationship between masculinity and impulse buying behavior. Surprisingly, the results suggest that the other five cultural dimensions do not have any significant association with impulse buying behavior, implying that these specific cultural constructs do not influence consumers' impulse buying behavior in Bangladesh. Novelty - Typically, academic research has focused on the individualism/collectivism or power distance dimensions at the cultural level primarily on the developed countries' context, therefore, calling for further research including several dimensions of Hofstede's cultural model. The novelty of the paper lies in its consideration of including all six dimensions of Hofstede's model in the context of an emerging nation. |
| Keywords: | Impulse Buying Behavior; Culture; Emerging Economy; Bangladesh; Hofstede |
| JEL: | M31 M39 |
| Date: | 2021–03–31 |
| URL: | http://d.repec.org/n?u=RePEc:gtr:gatrjs:jmmr270&r=all |
| By: | Sebastian Link (ifo Institute, LMU Munich, IZA, CESifo); Andreas Peichl (LMU Munich, ifo Institute); Christopher Roth (University of Warwick); Johannes Wohlfart (Department of Economics and CEBI, University of Copenhagen) |
| Abstract: | We leverage survey data from Germany, Italy, and the US to document several novel stylized facts about the extent of information frictions among firms and households. First, firms’ expectations about the central bank policy rate, inflation, and aggregate unemployment are more aligned with expert forecasts and less dispersed than households’. Second, there is substantially more heterogeneity in information frictions within households than within firms. Third, consistent with firms having stronger priors, they update their policy rate expectations significantly less compared to households when provided with an expert forecast. Our results have important implications for modeling heterogeneity in macroeconomic models. |
| Keywords: | information frictions, firms, households, expectation formation, interest rates |
| JEL: | D83 D84 E71 |
| Date: | 2021–03–24 |
| URL: | http://d.repec.org/n?u=RePEc:kud:kucebi:2107&r=all |
| By: | Haselmann, Rainer; Tröger, Tobias |
| Abstract: | This in-depth analysis proposes ways to retract from supervisory COVID-19 support measures without perils for financial stability. It simulates the likely impact of the corona crisis on euro area banks' capital and predicts a significant capital shortfall. We recommend to end accounting practices that conceal loan losses and sustain capital relief measures. Our in-depth analysis also proposes how to address the impending capital shortfall in resolution/liquidation and a supranational recapitalisation. |
| Keywords: | Covid-19,Forbearance,Bank Capitalization,Bank Resolution,Supervisory Relief Measures,Financial Stability |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:safewh:83&r=all |
| By: | Sosson Tadadjeu (University of Dschang , Cameroon); Henri Njangang (University of Dschang , Cameroon); Simplice A. Asongu (Yaoundé, Cameroon); Yann Nounamo (University of Douala, Douala, Cameroon) |
| Abstract: | This study investigates the impact of natural resources on wealth inequality as a first attempt on a panel of 45 developed and developing countries over the period 2000-2014. Using the Generalized Method of Moments, the results provide stong evidence that natural resources increase wealth inequality within a linear empirical framework. These results are robust to the use of alternative natural resources and wealth inequality measures. Additionnaly, a nonlinear analysis provides evidence of an inverted U shaped relationship between natural resources and wealth inequality. The net effect of enhancing natural resources on wealth inequality is positive and building on the corresponding conditional negative effect, the attendant natural resource thresholds for inclusive development are provided. It follows that while natural resources increase wealth inequality, some critical levels of natural resources are needed for natural resources to reduce wealth inequality. |
| Keywords: | Oil wealth; Natural resources; Wealth inequality; Sustainable development |
| JEL: | F21 F54 L71 |
| Date: | 2021–01 |
| URL: | http://d.repec.org/n?u=RePEc:exs:wpaper:21/019&r=all |
| By: | António Afonso (Universidade de Lisboa); Joao Tovar Jalles (Universidade de Lisboa); Ana Venâncio (Universidade de Lisboa) |
| Abstract: | We link governments’ spending efficiency scores, to sovereign debt assessments made by financial markets´, more specifically by three rating agencies (Standard & Poors, Moody´s and Fitch). Public efficiency scores are computed via data envelopment analysis. Then, we rely notably on ordered response models to estimate the response of sovereign ratings to changes in efficiency scores. Covering 34 OECD countries over the period 2007-2018, we find that increased public spending efficiency is rewarded by financial markets via higher sovereign debt ratings. In addition, higher inflation and government indebtedness lead to sovereign rating downgrades, while higher foreign reserves contribute to rating upgrades. |
| Keywords: | government spending efficiency, DEA, panel analysis, ordered probit (logit); sovereign ratings, rating agencies |
| JEL: | C |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:inf:wpaper:2021.01&r=all |
| By: | Giovanni D’Alessio (Banca d'Italia) |
| Abstract: | The paper shows the opinions on taxes of Italian citizens based on data gathered in four different national surveys between 1992 and 2013. Through a Principal Component Analysis, the study constructs a synthetic indicator of the propensity to evade, examining its intensity across various social groups and its evolution over time. The results show that the propensity to evade taxes is greater among households whose heads have low levels of education and income, are elderly and are resident in the South. Over time, the propensity to evade taxes has been growing on average, especially in the North, which has reduced the gap compared with the South, and among young people under 30 years old. The paper also shows a link between the propensity for tax evasion and some indicators of actual evasion, such as the use of cash and the under-reporting behaviour in the Survey of Household Income and Wealth (SHIW) conducted by the Bank of Italy, confirming the association between cultural elements and evasion behaviour. |
| Keywords: | tax evasion, social norms, social capital |
| JEL: | H26 A13 Z13 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:bdi:opques:qef_607_21&r=all |
| By: | Ebers, Axel; Thomsen, Stephan L. |
| Abstract: | Bitcoin is associated with different risks. We conduct an information experiment in the four largest European economies to analyze the effects of specific warnings and information on retail investors’ demand for Bitcoin. Our results indicate that the impact is strongest when warnings point to privacy issues. Information on the lack of guarantees or on CO2 emissions only affects particular subgroups. Knowledge of broad public acceptance increases overall demand. Warnings can therefore effectively prevent extreme market events while avoiding the costs of stricter regulation. Effect heterogeneity implies that regulators should use specific information and different communication channels to reach relevant investors. |
| Keywords: | survey experiment; warnings; Bitcoin; retail demand; regulation; cultural differences |
| JEL: | C93 D83 G40 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:han:dpaper:dp-683&r=all |
| By: | Valerie Cerra; Ruy Lama; Norman Loayza |
| Abstract: | Is there a tradeoff between raising growth and reducing inequality and poverty? This paper reviews the theoretical and empirical literature on the complex links between growth, inequality, and poverty, with causation going in both directions. The evidence suggests that growth can be effective in reducing poverty, but its impact on inequality is ambiguous and depends on the underlying sources of growth. The impact of poverty and inequality on growth is likewise ambiguous, as several channels mediate the relationship. But most plausible mechanisms suggest that poverty and inequality reduce growth, at least in the long run. Policies play a role in shaping these relationships and those designed to improve equality of opportunity can simultaneously improve inclusiveness and growth. |
| Date: | 2021–03–12 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2021/068&r=all |
| By: | Hennig, Jan Christoph; Hullmann, Rieke; Rau, Holger A.; Wolff, Michael |
| Abstract: | Many firms use equity-based profit sharing to boost participation in employee stock purchase plans (ESPPs). Using a large panel data set (N=262,824) of a multinational firm, we compare the reactions of former ESPP participants and non-participants to a profit sharing distribution (PSD). We find a dysfunctional effect. Although many former non-participants sign in, almost a similar share of employees leave the ESPP after the PSD. A closer look highlights the importance of social preferences when all employees enjoy profit sharing. Prosocial former participants show a motivational crowding out effect and leave the program, as the equity norm is violated. |
| Keywords: | Employee Stock Purchase Plans,Gift Exchange,Motivational Crowding Out,NormViolation |
| JEL: | D03 J24 J33 J54 M52 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:cegedp:414&r=all |
| By: | Barbara Liberda (Faculty of Economic Sciences, University of Warsaw); Katarzyna Sałach (Faculty of Economic Sciences, University of Warsaw); Marek Pęczkowski |
| Abstract: | In 2016, a new child benefit was introduced in Poland: a universal benefit for the second and subsequent children in a family and means tested for the first child. Substantial transfers of the new child benefit were granted 60% of households with children. The generous child benefit, equal to 10% of monthly median households’ income, caused an unexpected positive income shock for families with children. In this paper, we investigate how the new child benefit affects the household decisions to consume or save the child's income. Applying the difference-in-differences method and Polish Household Budget Survey data for the years 2012-2018, we find a positive effect of the child benefit on household saving. Our estimates indicate that families obtaining the child benefit (treatment group) increased the saving rate by 8 percentage points after the child benefit reform in 2016. Over time, the control group (not obtaining the child benefit) raised the saving rate by 2.9 percentage points. |
| Keywords: | households, income, child benefit, saving |
| JEL: | D14 G51 I38 P36 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:war:wpaper:2021-02&r=all |
| By: | Robert Hetzel (Mercatus Center at George Mason University) |
| Abstract: | In August 2020, monetary policymakers articulated a new framework for conducting monetary policy. That framework reflected the conclusion, drawn from the recovery from the Great Recession, that monetary policy had erred in pursuing preemptive increases in the funds rate. Starting in December 2015, the Federal Open Market Committee (FOMC) had raised the funds rate off the zero lower bound and the inflation rate continued to run below the 2 percent target. Going forward, the FOMC will forgo preemptive increases to ensure an overshoot of its inflation target until the FOMC achieves the goal of ¿maximum employment.¿ What should policymakers have learned from the Great Recession recovery? It was a period of considerable nominal and real stability. In part, that stability was an artifact of an initial moderately contractionary monetary policy that limited the strength of the recovery. But that price stability provided the foundation for the significant decline in the unemployment rate during the recovery. |
| Keywords: | Federal Reserve System, monetary policy, inflation, COVID-19 |
| JEL: | E5 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:ajw:wpaper:3125&r=all |
| By: | Charles Ka Yui Leung; Edward Chi Ho Tang |
| Abstract: | The house price-to-income ratio (PIR) is widely used as an affordability indicator. This paper complements the cross-sectionally focused literature by proposing a tractable model for the PIR dynamics. Our model predicts that the PIR is very persistent and is correlated to the lagged aggregate output. Cross-country analysis confirms this prediction and provides evidence for a long-term, positive and significant relationship between PIR and aggregate production. Our results hint at the construction of an early warning system for housing market mispricing. Our tractable formulation of a stochastic money growth rule may carry independent research interest. |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:dpr:wpaper:1125&r=all |
| By: | Hansjörg Herr |
| Abstract: | Leaving labour markets to the market mechanism with flexible wages is the worst thing that can happen as the result would be a permanent destabilisation of the price level and an explosion of inequality—both of which adds to the instabilities of capitalism. Guarantee of minimum wages can play an important role to contain the destabilising potential of labour markets. They can add to the stability of price level development and help establish a type of wage dispersion preferred by society. Minimum wages do not lead to unemployment. Countries with very high wage dispersion can have high unemployment while those with low wage dispersion might ensure full employment. Looking at the distribution effect, minimum wage increases (which compress the wage structure from below) not only lead to redistribution within wage earners, but also can increase wage shares. Minimum wage policy should play an important and active role in macroeconomic management of an economy which in turn is linked with macroeconomic demand management so that the employment rate is maintained high. |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:ajy:icddwp:35&r=all |
| By: | Arrouna Keita (University of Orléans); Camelia Turcu (University of Orléans) |
| Abstract: | We analyze the impact of natural resource discoveries on fiscal policy, focussing on the effects of expectations due to the discovery of large oil and gas deposits. The response of fiscal policy to resource discoveries is analyzed through changes in its cyclicality. To do this, we use a Local Projection method on two country-groups: high- and upper-middle-income countries (HMICs) and low- and lower-middle-income countries (LMICs) over the period 1984-2012. Our results show that natural resource discoveries do drive a fiscal policy response in HMICs and LMICs. Indeed, following the announcement of a natural resource discovery, we observe, around the first year after the discovery, the beginning of an increasing contracyclicality in total public spending in the HMICs. This contracyclicality is stronger in the presence of fiscal rules, and the response of fiscal policy is faster in the presence of good institutions. Overall HMICs have a disciplined response to a shock of natural resource discoveries. However, for LMICs, discovery shocks have different effects depending on the type of public spending: for public consumption expenditure, there is an increasing procyclicality starting from the first year after discovery, whereas for public investment expenditure, this procyclicality begins in the second year after discovery, after a slight contracyclicality before. These results are robust to different sample sizes, different specifications and various measures of the cyclicality coefficient. |
| Keywords: | Natural resources discoveries, Fiscal policy, Institutions, Fiscal rules, Local projections |
| JEL: | E |
| Date: | 2020 |
| URL: | http://d.repec.org/n?u=RePEc:inf:wpaper:2020.07&r=all |
| By: | Francesco Cusano (Bank of Italy); Giuseppe Marinelli (Bank of Italy); Stefano Piermattei (Bank of Italy) |
| Abstract: | Ensuring and disseminating high-quality data is crucial for central banks to adequately support monetary analysis and the related decision-making process. In this paper we develop a machine learning process for identifying errors in banks’ supervisory reports on loans to the private sector employed in the Bank of Italy’s statistical production of Monetary and Financial Institutions’ (MFI) Balance Sheet Items (BSI). In particular, we model a “Revisions Adjusted – Quantile Regression Random Forest” (RA–QRRF) algorithm in which the predicted acceptance regions of the reported values are calibrated through an individual “imprecision rate” derived from the entire history of each bank’s reporting errors and revisions collected by the Bank of Italy. The analysis shows that our RA-QRRF approach returns very satisfying results in terms of error detection, especially for the loans to the households sector, and outperforms well-established alternative outlier detection procedures based on probit and logit models. |
| Keywords: | banks, balance sheet items, outlier detection, machine learning |
| JEL: | C63 C81 G21 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:bdi:opques:qef_611_21&r=all |
| By: | Mariagrazia Squicciarini; Heike Nachtigall |
| Abstract: | This report presents new evidence about occupations requiring artificial intelligence (AI)-related competencies, based on online job posting data and previous work on identifying and measuring developments in AI. It finds that the total number of AI-related jobs increased over time in the four countries considered – Canada, Singapore, the United Kingdom and the United States – and that a growing number of jobs require multiple AI-related skills. Skills related to communication, problem solving, creativity and teamwork gained relative importance over time, as did complementary software-related and AI-specific competencies. As expected, many AI-related jobs are posted in categories such as “professionals” and “technicians and associated professionals”, though AI-related skills are in demand, to varying degrees, across almost all sectors of the economy. In all countries considered, the sectors “Information and Communication”, “Financial and Insurance Activities” and “Professional, Scientific and Technical Activities” are the most AI job-intensive. |
| Keywords: | Digital, Employment, Science & Technology |
| Date: | 2021–03–25 |
| URL: | http://d.repec.org/n?u=RePEc:oec:stiaaa:2021/03-en&r=all |
| By: | Baptiste Barreau (MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec, BNPP CIB GM Lab - BNP Paribas CIB Global Markets Data & AI Lab); Laurent Carlier (BNPP CIB GM Lab - BNP Paribas CIB Global Markets Data & AI Lab); Damien Challet (MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec) |
| Abstract: | We propose a novel deep learning architecture suitable for the prediction of investor interest for a given asset in a given timeframe. This architecture performs both investor clustering and modelling at the same time. We first verify its superior performance on a simulated scenario inspired by real data and then apply it to a large proprietary database from BNP Paribas Corporate and Institutional Banking. |
| Keywords: | clustering,investor activity prediction,deep learning,neural networks,mixture of experts |
| Date: | 2021–01–07 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-02276055&r=all |
| By: | Katharina Muhlhoff (Universidad Carlos III de Madrid) |
| Abstract: | Without safe and effective vaccination the current coronavirus pandemic will not get under control. Moreover, economic history suggests that even with vaccination, success is uncertain. To make this point, the present paper studies smallpox - an aggressive viral disease like Covid19 - as a model for future coronavirus immunization. Setting out from the formal basis of mathematical epidemiology and the theory of economic externalities, it finds that (i) vaccination externalities are non-monotonous in the burden of disease, that (ii) public interventions need to be tailored to the specific stages of the externality and (iii) that concrete implementation matters as much as formal institutions. To derive practical implications from these results, I retrace the prevention policies of two German states, Baden and Wurttemberg, which provide an intriguing natural experiment: Both featured similar socio-economic characteristics, both were initially ridden by smallpox and both passed mandatory vaccination laws at roughly the same time. But whereas laws hardly differed, one state - Baden - performed better in terms of epidemiological outcomes (smallpox prevalence and mortality), in cost efficiency and in measures of compliance. The main reasons for this success were the rapid implementation of mass vaccination, central coordination of vaccine supply, supervision and positive incentives for medical professionals. The bottom line of the historical case is therefore that governments which invest early in the infrastructural and personnel needs of a mass-vaccination system are likely rewarded by high popular acceptance and low disease prevalence. |
| Keywords: | Health Externalities, Vaccination, Smallpox, Vaccine Resistance, Government Regulation, Historical Public Health Institutions |
| JEL: | I12 I18 I38 N33 N43 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:hes:wpaper:0208&r=all |
| By: | Bande, Roberto; Riveiro, Dolores; Ruiz, Freddy |
| Abstract: | The aim of the paper is to test the effect of uncertainty on the consumption/saving decisions of the Colombian households searching for evidence of a precautionary motive for saving. We use two standard objective measures of income uncertainty, the income variability and the unemployment rate, and data taken from the National Budget and Expenditure Survey and the Large Integrated Household Survey. Results show evidence of a precautionary motive for saving when uncertainty is proxied by the unemployment rate. However, when measured through income variability uncertainty surprinsingly impacts positively on consumption. We explore whether this result may conceal a composition effect on our sample, given large differences on saving and non saving households. Thus, we estimate our model separately for both groups and find that, while for savers there is an important precautionary motive for saving independently of the uncertainty measure chosen, there is no evidence of any effect of uncertainty on non-savers consumption decisions. These results are robust to several segmentations of the sample by gender, age group or labour status. The paper contributes to the empirical literature on precautionary saving by providing evidence for a developing country for which, to date, there have been no studies on the effects of uncertainty on savings. |
| Keywords: | Precautionary savings, household decisions, consumer economics, uncertainty, Colombia |
| JEL: | D12 D14 O12 |
| Date: | 2021–01 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:106771&r=all |
| By: | Henri Njangang (University of Dschang , Cameroon); Simplice A. Asongu (Yaoundé, Cameroon); Sosson Tadadjeu (University of Dschang , Cameroon); Yann Nounamo (University of Douala, Douala, Cameroon) |
| Abstract: | This paper aims to investigate the effect of financial development on economic complexity using a panel dataset of 24 African countries over the period 1983-2017. The empirical evidence is based on two different approaches. First, we adopt the Hoechle (2007) procedure which produces Driscoll-Kraay standard errors to account for heteroscedasticity and cross–sectional dependence. Second, we implement the system Generalized Method of Moments to account for endogeneity. The results show that financial development increases economic complexity in Africa. Looking at the regional difference, the results show that this effect is less beneficial for SSA countries. |
| Keywords: | Financial development, Economic complexity, Panel data analysis, Africa |
| JEL: | G20 G24 E02 P14 O55 |
| Date: | 2021–01 |
| URL: | http://d.repec.org/n?u=RePEc:agd:wpaper:21/018&r=all |
| By: | Susanto Basu (Boston College); Luigi Pascali (Universitat Pompeu Fabra and University of Warwick); Fabio Schiantarelli (Boston College); Luis Serven (CEMFI, Centro de Estudios Monetarios y Financieros) |
| Abstract: | We show that the welfare of a country's infinitely-lived representative consumer is summarized, to a first order, by total factor productivity (TFP), appropriately defined, and by the capital stock per capita. The result holds for both closed and open economies, regardless of the type of production technology and the degree of product market competition. Welfare-relevant TFP needs to be constructed with prices and quantities as perceived by consumers, not firms. Thus, factor shares need to be calculated using after-tax wages and rental rates. We use these results to calculate welfare gaps and growth rates in a sample of advanced countries with high-quality data on output, hours worked, and capital. We also present evidence for a broader sample that includes both advanced and developing countries. |
| Keywords: | Productivity, welfare, TFP, Solow residual. |
| JEL: | D24 D90 E20 O47 |
| Date: | 2020–06 |
| URL: | http://d.repec.org/n?u=RePEc:cmf:wpaper:wp2020_2010&r=all |
| By: | Mattia Filomena (Dipartimento di Scienze Economiche e Sociali - Universita' Politecnica delle Marche) |
| Abstract: | This article reviews the empirical literature on unemployment scarring effects. Our goal is twofold: on the one hand, to present an overview of empirical evidence relating to the impact of unemployment spells on subsequent labour market career; on the other hand, to provide a review of the econometric strategies mainly adopted to estimate the causal impact of such unemployment episodes. Focusing on a final sample of 63 papers, the empirical evidence appears homogeneous in highlighting significant and persistent wage losses and strong state dependence. |
| Keywords: | Unemployment scarring effects; state dependence; wage penalties; causal inference; literature review |
| JEL: | J08 J31 J64 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:anc:wpaper:453&r=all |
| By: | Vicki Been; Ingrid Ellen; David N. Figlio; Ashlyn Nelson; Stephen Ross; Amy Ellen Schwartz; Leanna Stiefel |
| Abstract: | This study examines the effects of negative equity on children’s academic performance, using data on children attending Florida public schools and housing transactions from the State of Florida. Our empirical strategy exploits variation over time in the timing of family moves to Florida in order to account for household sorting into neighborhoods and schools and selection into initial mortgage terms. In contrast to the existing literature on foreclosure and children’s outcomes, we find that Florida students with the highest risk of negative equity exhibit significantly higher test score growth. These effects are largest among Black students and students who qualify for free or reduced-priced lunch. We find evidence supporting two underlying mechanisms: (1) consumption patterns suggest that families in negative equity may reduce the impact of income losses on consumption by forgoing mortgage payments, and (2) mobility patterns suggest that families exposed to high levels of negative equity may move to schools that are of higher quality on average. While negative equity and foreclosure are undesirable, the changing incentives in terms of mortgage delinquency may have helped families manage the economic shocks caused by the great recession, as well as temporarily reduced the housing market barriers faced by low income households when attempting to access educational opportunities. |
| JEL: | I2 R3 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:28428&r=all |
| By: | Jennifer N. Carpenter; Fangzhou Lu; Robert F. Whitelaw |
| Abstract: | Studies of the dynamics of bond risk premia that do not account for the corresponding dynamics of bond risk are hard to interpret. We propose a new approach to modeling bond risk and risk premia. For each of the US and China, we reduce the government bond market to its first two principal-component bond-factor portfolios. For each bond-factor portfolio, we estimate the joint dynamics of its volatility and Sharpe ratio as functions of yield curve variables, and of VIX in the US. We have three main findings. (1) There is an important second factor in bond risk premia. (2) Time variation in bond return volatility is as important as time variation in bond Sharpe ratios. (3) Bond risk premia are solely compensation for bond risk, as no-arbitrage theory predicts. Our approach also allows us to document interesting cyclical and secular time-variation in the term structure of bond risk premia in both the US and China. |
| JEL: | G12 G15 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:28444&r=all |
| By: | Trofimov, Ivan D. |
| Abstract: | The previous research tended to examine the effects of the real exchange rate changes on the agricultural trade balance and specifically the J-curve effect (deterioration of the trade balance followed by its improvement) in the developed economies and rarely in the developing ones. In this paper we address this omission and consider the J-curve hypothesis in four South East Asian economies (Indonesia, Malaysia, Philippines and Thailand) over the 1980-2017 period. We employ the linear autoregressive distributed lags (ARDL) model that captures the dynamic relationships between the variables, and additionally use the non-linear ARDL model that considers the asymmetric effects of the real exchange rate changes. The estimated models were diagnostically sound and the variables were found to be cointegrated. However, with the exceptions of Malaysia, the short- and long-run relationships did not attest to the presence of J-curve effect. The trade flows were affected asymmetrically in Malaysia and the Philippines, suggesting the appropriateness of non-linear ARDL in these countries. |
| Keywords: | J-curve; agriculture; non-linear ARDL; cointegration |
| JEL: | C22 F14 Q17 |
| Date: | 2020–12–10 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:106701&r=all |
| By: | Latino, Carmelo; Pelizzon, Loriana; Rzeźnik, Aleksandra |
| Abstract: | This paper studies the impact of environmental, social, and governance (ESG) ratings on investors' preferences and stock prices. We exploit a change in ESG rating methodology that non-linearly shifted ESG ratings for firms as a natural experiment. We show that the 'pseudo'-changes in the ESG ratings induced by the change in methodology are unrelated to potential fundamental changes in firm's sustainability. Yet, we find that an exogenous change in a stock's ESG rating exerts a transitory price pressure and alters the composition of stock ownership. Individual investors are especially sensitive to the 'pseudo'-changes in the ESG ratings. They (dis)invest in stocks that they misconceive as ESG (down-) upgraded. Short sellers act as arbitrageurs and take the other side of retail investors' trades. Overall, we find that a one standard deviation quasi-increase in the ESG ratings translates into 1pp drop in stock monthly abnormal return. |
| Keywords: | Corporate Social Responsibility,ESG Rating Agencies,Sustainable Investments,Socially responsible investing,ESG,Portfolio choice |
| JEL: | G11 G12 G23 G59 M14 Q5 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:safewp:310&r=all |
| By: | Pedro Bordalo; Nicola Gennaioli; Andrei Shleifer; Stephen J. Terry |
| Abstract: | We incorporate diagnostic expectations, a psychologically founded model of overreaction to news, into a workhorse business cycle model with heterogeneous firms and risky debt. A realistic degree of diagnosticity, estimated from the forecast errors of managers of US listed firms, creates financial fragility during good times. This mechanism produces countercyclical credit spreads and yields two key features of observed credit cycles. First, it generates boom-bust dynamics at the firm and aggregate levels: cheap credit predicts future increases in spreads, low bond returns, and investment drops. Second, it produces the spike in spreads observed in 2008-9 from modest negative TFP shocks. Diagnostic expectations offer a parsimonious mechanism generating realistic financial reversals in conventional business cycle models. |
| JEL: | E03 E32 E44 |
| Date: | 2021–01 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:28416&r=all |
| By: | Alon, Titan (University of California, San Diego); Coskun, Sena (University of Mannheim); Doepke, Matthias (Northwestern University); Koll, David (European University Institute); Tertilt, Michèle (University of Mannheim) |
| Abstract: | We examine the impact of the global recession triggered by the Covid-19 pandemic on women's versus men's employment. Whereas recent recessions in advanced economies usually had a disproportionate impact on men's employment, giving rise to the moniker "mancessions," we show that the pandemic recession of 2020 was a "shecession" in most countries with larger employment declines among women. We examine the causes behind this pattern using micro data from several national labor force surveys, and show that both the composition of women's employment across industries and occupations as well as increased childcare needs during closures of schools and daycare centers made important contributions. While many countries exhibit similar patterns, we also emphasize how policy choices such as furloughing policies and the extent of school closures shape the pandemic's impact on the labor market. Another notable finding is the central role of telecommuting: gender gaps in the employment impact of the pandemic arise almost entirely among workers who are unable to work from home. Nevertheless, among telecommuters a different kind of gender gap arises: women working from home during the pandemic spent more work time also doing childcare and experienced greater productivity reductions than men. We discuss what our findings imply for gender equality in a post-pandemic labor market that will likely continue to be characterized by pervasive telecommuting. |
| Keywords: | COVID-19, pandemics, recessions, business cycle, gender equality, school closures, childcare, gender wage gap |
| JEL: | D13 E32 J16 J20 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp14223&r=all |
| By: | Fricke, Daniel |
| Abstract: | Mutual fund risk-taking via active portfolio rebalancing varies both in the cross- section and over time. In this paper, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet activities. For this purpose, I propose a novel measure of synthetic leverage, which can be estimated based on publicly available information. In the empirical application, I show that German equity funds have increased their risk-taking via synthetic leverage from mid-2015 up until early 2019. In the cross-section, I find that synthetically leveraged funds tend to underperform and display higher levels of fragility. |
| Keywords: | leverage,risk-taking,derivatives,securities lending,mutual funds |
| JEL: | E44 G11 G23 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bubdps:092021&r=all |
| By: | Kuang-Liang Chang; Charles Ka Yui Leung |
| Abstract: | The Global Financial Crisis (GFC) changes the relative economic riskiness and risk-adjusted-performance of different asset markets. While the empirical distribution for stock return shifted to the right and became more concentrated around the mean after the GFC, the real estate market counterparts moved to the left and became more spread out. The economic risk of the OFHEO and Case-Shiller housing indices was smaller than the counterpart of the equity REIT (EREITs) market before the financial crisis, it substantially increased. Also, the economic performance of the OFHEO and Case-Shiller housing indices decreased after the financial crisis. They are below the performance indices of the stock and EREITs markets. The ex-post real estate premium vanishes. If we presume the "best model" to be the same before and after the GFC, we could severely misestimate the risk after the GFC. |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:dpr:wpaper:1124&r=all |
| By: | Turner, Paul; Wood, Justine |
| Abstract: | This paper reconsiders the contribution of Henry Ludwell Moore to dynamic economics through the use of harmonic analysis. We show that Moore’s analysis is innovative in its use of the Fourier transformation for the identification of cycles with different periodicities. This enables Moore to identify cycles of longer length with more precision than would be the case for the standard methodology. We are able to replicate the main features of his results and confirm the existence of a rainfall cycle with a periodicity similar to that of the business cycle (eight years). However, we find that the evidence for a longer (thirty-three year) rainfall cycle is weaker than Moore indicates. We also argue that a central theme of Moore’s analysis, the relationship between rainfall, agricultural productivity and the business cycle, marks an early precursor of the ‘Real Business Cycle’ approach. Stigler’s (1962) dismissal of Moore’s work on cycles as ‘a complete failure’ is therefore, in our opinion rather unfair. Instead, we argue that, although his work is certainly flawed, it nevertheless deserves a place in both the history of business cycle theory and empirical economics. |
| Date: | 2020–12–01 |
| URL: | http://d.repec.org/n?u=RePEc:osf:osfxxx:27aer&r=all |
| By: | Francisco J. Buera; Joseph P. Kaboski; Robert M. Townsend |
| Abstract: | Macroeconomic development remains an important policy goal because of its ability to lift entire populations out of poverty. In our review of the literature, we emphasize that the best way to achieve this objective is to embrace a synthesis of methods and ideas, with the science of experiments as a unifying feature. RCTs need representative data and structural modeling, and macro models need to be designed and disciplined to the realities and data of developing country economies. Macroeconomic models have key lessons for gathering and analyzing micro evidence and for moving to an evaluation of macro policy. Resource constraints, heterogeneity, general equilibrium effects, obstacles to trade, dynamics, and returns to scale can all play key roles. A synthesis for macro development is well under way. |
| JEL: | O1 O11 O12 O2 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:28423&r=all |
| By: | Srivastav, Bhanu |
| Abstract: | Neural networks are one of the methods of artificial intelligence. It is founded on an existing knowledge and capacity to learn by illustration of the biological nervous system. Neural networks are used to solve problems that could not be modeled with conventional techniques. A neural structure can be learned, adapted, predicted, and graded. The potential of neural network parameters is very strong prediction. The findings are more reliable than standard mathematical estimation models. Therefore, it has been used in different fields. This research reviews the most recent advancement in utilizing the Artificial neural networks. The reviewed studies have been extracted from Web of Science maintained by Clarivate Analytics in 2021. We find that among the other applications of ANN, the applications on Covid-19 are on the rise. |
| Keywords: | ANN; Covid-19; Dust; Gas; Organic richness |
| JEL: | I1 I10 Q49 Y80 |
| Date: | 2021–02–08 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:106499&r=all |
| By: | Aravind Sampath (Indian Institute of Management Kozhikode); Sandip Chakraborty (Indian Institute of Management (IIM) Calcutta, Kolkata); Ram Kumar Kakani (Indian Institute of Management Kozhikode) |
| Abstract: | Past research on market stress limits the scope to the extent of measuring tail loss (CVaR) by looking after joint asset correlations. We probe further the interactions of daily tail risk estimates of thirty market indices representing a broad spectrum of assets from 2003 till 2015 across the USA and other major financial hubs. We study the dependence structure through Conditional Copula augmented Markov-switching transitions. Results show extent of contagion of tail risk, cross-assets and cross-geographies formed during economy wide stress and role played by alternative assets to mitigate overall state wide risk. Our results also show magnitude of tail risk contagion amongst countries studied. Investment managers allocating capital on cross-border and cross-assets may benefit from the results. Large banks and other international financial institutions may assess potential tail risk awaiting their trade book. |
| Keywords: | Portfolio Risk; Conditional Copula; CVaR; Stress; Markov-Switching; Business Cycle; Alternative Assets. |
| Date: | 2020–05 |
| URL: | http://d.repec.org/n?u=RePEc:iik:wpaper:379&r=all |
| By: | Trofimov, Ivan D. |
| Abstract: | The effects of the real exchange rate changes on the sectoral trade balance (as opposed to the balance of aggregate trade) have received limited consideration in the empirical studies. In this paper we focus on services trade and examine the dynamics of Canada’s bilateral trade balance in services with its 53 major trading partners during 1990-2018. To account for slope heterogeneity and cross-sectional dependence we apply mean group (MG), pooled mean group (PMG), common correlated effects mean group (CCEMG), augmented mean group (AMG) estimators to the trade balance equation, alongside the dynamic fixed effects (DFE) estimator. The results provide strong evidence of a short-run deterioration and a long-term improvement of the services trade balance following depreciation in an aggregate panel as well as sub-panels, hence supporting the J-curve effect hypothesis and satisfying Marshall-Lerner condition. At the level of individual cross-sections, the evidence was mixed: a number of economies experienced long-term improvement of the trade balance, albeit without short-term deterioration. |
| Keywords: | J-curve; panel data; trade balance; exchange rate; services |
| JEL: | C23 F14 F32 |
| Date: | 2020–10–15 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:106704&r=all |
| By: | Ishita Chakraborty (Yale School of Management); Joyee Deb (Cowles Foundation, Yale University); Aniko Oery (Cowles Foundation, Yale University) |
| Abstract: | The propensity of consumers to engage in word-of-mouth (WOM) can differ after good versus bad experiences. This can result in positive or negative selection of user-generated reviews. We show how the strength of brand image - determined by the dispersion of consumer beliefs about quality - and the informativeness of good and bad experiences impact the selection of WOM in equilibrium. Our premise is that WOM is costly: Early adopters talk only if their information is instrumental for the receiver's purchase decision. If the brand image is strong, i.e., consumers have close to homogeneous beliefs about quality, then only negative WOM can arise. With a weak brand image, positive WOM can occur if positive experiences are sufficiently informative. We show that our theoretical predictions are consistent with restaurant review data from Yelp.com. A review rating for a national established chain restaurant is almost 1-star lower (on a 5-star scale) than a review rating for a comparable independent restaurant, controlling for various reviewer and restaurant characteristics. Further, negative chain restaurant reviews have more instances of expectation words, indicating agreement over beliefs about the quality, whereas positive reviews of independent restaurants feature disproportionately many novelty words. |
| Keywords: | Brand image, Costly communication, Recommendation engines, Review platforms, Word of mouth |
| Date: | 2020–08 |
| URL: | http://d.repec.org/n?u=RePEc:cwl:cwldpp:2254r&r=all |
| By: | Jonung, Lars (Department of Economics, Lund University) |
| Abstract: | John Maynard Keynes became world famous with the publication of The Economic Consequences of the Peace in 1919, a harsh critique of the Versailles peace treaty. As a consequence, Keynes was nominated by German professors in economics for the Nobel Peace Prize three years in a row, 1922, 1923 and 1924. Because Keynes was put on the shortlist of candidates, he was evaluated in an advisory report in 1923, followed by one in 1924, prepared for the Nobel Committee of the Norwegian parliament. This paper summarizes the two reports on Keynes. The appraisals were highly appreciative of Keynes’s book as well as of his subsequent newspaper and journal articles on the peace treaty, raising the question: why did Keynes not receive the Peace Prize? The appraiser of Keynes even informed Keynes that he was “one of the foremost candidates proposed for the Nobel Peace Prize.” However, the Peace Prize was not awarded in 1923 and 1924 although Keynes was declared a worthy laureate. There are no protocols that shed light on this issue. Still, the events surrounding the evaluation process, in particular the public clash between two advisors of the Prize Committee on Keynes’s account of the negotiations at Versailles, encourage a speculative answer. |
| Keywords: | John Maynard Keynes; Nobel Peace Prize; Treaty of Versailles; reparations; Dawes Plan; Bretton Woods; Norway |
| JEL: | A11 B10 B31 D70 E12 E60 F30 F50 N10 N40 |
| Date: | 2021–03–03 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:lunewp:2021_004&r=all |
| By: | Andrei, Liviu Catalin; Andrei, Dalina |
| Abstract: | Our ever surviving obsession running our undertaking from its start – i.e. previously to the basic study, published in 2019 and 2020 – like a ‘red thread’ is that one single scientific truth about foreign direct investments (FDI) vis-à-vis plenty of theories, models and empirical studies in which these – actually, what is here called international directly invested capital – are seen so differently acting in different countries and regions of the world. So, first, this must be about the whole world at once. Then, it simply must be about a number of countries/ entities for which all capital entries (FDI) equal all capital issues (directly investments abroad/DIA) and so the FDI stock balances of these countries make the null sum. Then, our previous and basic paper was for a comprehensive picture drawn about our world through the amounts of directly invested capital flows in work between nations. We found the uneven capitals distribution throughout the world – i.e. obvious and the most obvious at the first sight --, accompanied by a curious trend of FDI and opposite DIA equalizing on each world country. So, about half of the world total amount of capital developed by just four-five countries and regions, then, a top-17 of countries and regions with the overwhelming capital majority on both FDI(entries) and DIA(issues). We also found the flows’ developing dynamic that looks somehow different than the basic ‘static’ image – e.g. hierarchy of the same top entities changes. Then, there was a by regions description of the world of capital flowing between nations – and we’ll be a bit back to in this text below – deepening the primary view on the tops of countries-regions – i.e. not too much structural difference between the total world and each of regions. The annexes of that previous paper brought some specific concepts in – i.e. new in the field, not yet to be found in specific dictionaries --, the common features of individual country’s evolving through joining this international capital part, classification of 215 world countries according to their contribution to international directly invested capital – i.e. classifications for FDI, DIA, FDI stock balances and dynamics of FDI and DIA, all these for all countries -- and finally there were a few words for each country in context. In this paper below it will be staying on international flows of capital among countries and on regions, as previously, but more deeply on flows identifying and classifying, here basing on our first, primary and ever basic model(theory) assumptions: ‘capital is world belonging, then distributes among countries’ . It will be here below to find exactly where the same capital comes from, how many sources are there to talk about for a world picture imagined this way. All these below that are text, model and empiric analysis will carry with them a new theory about foreign direct investments in the field. |
| Keywords: | foreign direct investments (FDI), direct investments abroad (DIA), FDI stocks balance, Cooperation capital (Ccp) |
| JEL: | F0 F2 F21 |
| Date: | 2021–02–16 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:106661&r=all |
| By: | Xiangfei Yuan; Haijing Hao; Chenghua Guan; Alex Pentland |
| Abstract: | Since the 1980s, technology business incubators (TBIs), which focus on accelerating businesses through resource sharing, knowledge agglomeration, and technology innovation, have become a booming industry. As such, research on TBIs has gained international attention, most notably in the United States, Europe, Japan, and China. The present study proposes an entrepreneurial ecosystem framework with four key components, i.e., people, technology, capital, and infrastructure, to investigate which factors have an impact on the performance of TBIs. We also empirically examine this framework based on unique, three-year panel survey data from 857 national TBIs across China. We implemented factor analysis and panel regression models on dozens of variables from 857 national TBIs between 2015 and 2017 in all major cities in China and found that a number of factors associated with people, technology, capital, and infrastructure components have various statistically significant impacts on the performance of TBIs at either national model or regional models. |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2103.08131&r=all |
| By: | Laura D. Quinby; Geoffrey T. Sanzenbacher |
| Abstract: | A simple lifecycle model predicts that employees should react to variation in their expected pension income by adjusting their supplemental retirement saving. Whether this prediction is accurate may turn out to be very important for state and local workers. While a common narrative holds that state and local workers spend a full career in government and retire with substantial defined benefit pensions, in practice, their defined benefit wealth varies widely across jurisdictions, and a subset of plans are so poorly funded that they may not be able to pay full benefits. In addition, about 25 percent of state and local workers are not covered by Social Security in their current job. To see whether public workers are likely to augment their pensions with outside savings, this brief, based on a recent study, explores the relationship between participation in a supplemental defined contribution plan and three factors that could impact the need to save: low wealth accumulation in a defined benefit plan, low plan funded levels, and lack of Social Security coverage. The discussion proceeds as follows. The first section describes what we know about the interaction between saving in defined benefit pensions (employer plans and Social Security) and supplemental saving. The second section discusses the data used to examine how supplemental saving relates to public employer defined benefit plans. The third section describes the methodology that relates supplemental savings to an employeeÕs pension plan savings, the planÕs funded ratio, and Social Security coverage. The fourth section presents the results, which show that workers modestly increase their participation in a defined contribution plan in response to lower required contributions to their pension, but not to a low pension funded ratio or a lack of Social Security coverage. The final section concludes that if states and localities hope their workers will make up for reduced pension income through supplemental savings, that hope may be ill-founded. |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:crr:slpbrf:slp76&r=all |
| By: | Joyce, Joseph |
| Abstract: | Income generated by foreign direct investments (FDI) has grown since the 1990s, and now represents a substantial portion of many countries’ current accounts. Some of these flows are routed through Special Purpose Entities in financial centers that multinational firms use to minimize their tax liabilities. We use IMF and OECD data to ascertain which countries receive FDI-generated income, and find that a few advanced economies are the recipients of the largest shares. We also distinguish between FDI equity income and FDI interest income arising from intra-firm lending. We investigate the impact of these flows on income distribution within the recipient countries. FDI equity income contributes to the income share of the top 1% of households in advanced economies. FDI interest income, on the other hand, has no impact in these economies. FDI equity income also contributes to the income share of the top 1% in financial centers, but interest income is inversely linked to their income share. FDI income, therefore, increases inequality both among and within countries. |
| Keywords: | FDI income, multinational firms, inequality |
| JEL: | F21 F23 |
| Date: | 2021–02–22 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:106448&r=all |
| By: | Stavros, Drakopoulos |
| Abstract: | Since the emergence of the classical school, the scientific ideal of physical sciences has been a constant influence on economic theory and method. Its influence is still present in contemporary neoclassical economics. Similarly to the case of physics, classical economists were very open in incorporating psychological elements in the economic discourse. This openness towards psychology continued with prominent Marginalist economists, like Jevons and Edgeworth, who were eager to draw from psychological ideas found in earlier authors. In the first decades of the 20th century, a major conceptual change in economics took place which is also known as the Paretian turn. This conceptual change, initiated mainly by Vilfredo Pareto, and completed, in the first decades of the 20th century, by J. Hicks, R. Allen and P. Samuelson, attempted to remove all psychological notions from economic theory. The legacy of the Paretian turn can still be identified in the significant reluctance of the contemporary orthodox economic theory to incorporate the findings of the new behavioral economics, a field with a discernable psychological bent. This chapter argues that the history of the relation of those two subjects to economics can lead to some potentially useful observations concerning the nature of contemporary neoclassical economics. It will also be maintained that the relationship of neoclassical economics to physics ultimately constrained its interaction with psychology. |
| Keywords: | Economic Methodology; Economics and Psychology; Economics and Physics; History of Economic Thought |
| JEL: | B0 B40 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:106597&r=all |
| By: | Arden Hall; Ramain Quinn Maingi |
| Abstract: | An implication of the dual trigger theory of default is that mortgage borrowers who experience an unexpected financial reverse will prepay their mortgage rather than default if their equity in the house is positive. We test this idea with a new data set created by matching mortgage servicing records and credit bureau records to classify prepayments by what happens subsequently. In particular, we can identify a subset of prepayments that seems consistent with the dual trigger theory. If the theory is correct, these prepayments should exhibit similarities to defaults in the data set rather than other prepayments. We test this idea and find that these prepayments are in fact more closely related to defaults than to other prepayments. However, our data also support a role for strategic default. Understanding these relationships may be critical in predicting mortgage default when house prices decline after a long period of increases. While our work is only a first step in this direction, we believe that a better understanding how prepayments may be driven by financial reverses would be valuable for participants in and regulators of mortgage markets. |
| Keywords: | mortgage finance; prepayment; default; nested logit model |
| JEL: | D12 G51 R21 |
| Date: | 2021–03–22 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedpwp:90369&r=all |
| By: | Emran, M. Shahe; Jiang, Hanchen; Shilpi, Forhad |
| Abstract: | Many recent studies provide evidence of gender bias against girls in India, for example, in health, education expenditure, breast feeding, and sex selection. In contrast, the gender gap in schooling has narrowed substantially over the decades. Does gender convergence in schooling attainment imply that the girls in the younger generation in India enjoy equal educational opportunities as the boys? To analyze this question, we study intergenerational schooling persistence addressing both empirical and theoretical challenges. We incorporate gender bias against girls in the family, school and labor market in a Becker-Tomes model and derive mobility and investment equations that can be taken to data. Parents may underestimate a girl's ability, expect lower returns, and assign lower welfare weights (“pure son preference”). The model delivers the widely used linear conditional expectation function (CEF) for mobility under constant returns but generates strong predictions: parental bias cannot cause gender gap in relative mobility. With diminishing returns, the CEF is concave, and parental bias affects both relative and absolute mobility. Since coresidency causes severe underestimation of the gender gap, we use data from India Human Development Survey that includes nonresident children and parents. Evidence rejects the linear mobility CEF in favor of a concave relation (both rural and urban). The daughters of uneducated fathers face lower relative and absolute mobility irrespective of rural/urban location. We find gender equality in absolute mobility for the children of college educated fathers in urban areas, but not in villages. Theoretical insights help understand the mechanisms, suggesting underestimation of academic ability and unfavorable school environment for girls. Rural parents exhibit pure son preference. Differences in the incidence of unwanted girls and the impact of parental nonfinancial inputs explain the rural-urban differences. The standard linear model misses important heterogeneity and yields misleading conclusions such as no son preference in rural India. |
| Keywords: | Gender Bias, Intergenerational Mobility, Education, Becker-Tomes Model, Heterogeneity, Son Preference, Unwanted Girls, India, Patrilineal, Matrilineal, Coresidency Bias |
| JEL: | I24 J62 |
| Date: | 2021–03–24 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:106793&r=all |
| By: | Işık Biçer, (Schulich School of Business, York University); Florian Lücker, (Cass Business School, City, University of London); Tamer Boyaci, (ESMT European School of Management and Technology) |
| Abstract: | Product proliferation occurs in supply chains when manufacturers respond to diverse market needs by trying to produce a range of products from a limited variety of raw materials. In such a setting, manufacturers can establish market responsiveness and/or cost efficiency in alternative ways. Delaying the point of the proliferation helps manufacturers improve their responsiveness by postponing the ordering decisions of the final products until there is partial or full resolution of the demand uncertainty. This strategy can be implemented in two different ways: (1) redesigning the operations so that the point of proliferation is swapped with a downstream operation or (2) reducing the lead times. To establish cost efficiency, manufacturers can systematically reduce their operational costs or postpone the high-cost operations. We consider a multi-echelon and multi-product newsvendor problem with demand forecast evolution to analyze the value of each operational lever of the responsiveness and the efficiency. We use a generalized forecast-evolution model to characterize the demand-updating process, and develop a dynamic optimization model to determine the optimal order quantities at different echelons. Using anonymized data of Kordsa Inc., a global manufacturer of advanced composites and reinforcement materials, we show that our model outperforms a theoretical benchmark of the repetitive newsvendor model. We demonstrate that reducing the lead time of a downstream operation is more beneficial to manufacturers than reducing the lead time of an upstream operation by the same amount, whereas reducing the upstream operational costs is more favorable than reducing the downstream operational costs. We also indicate that delaying the proliferation may cause a loss of profit, even if it can be achieved with no additional costs. Finally, a decision typology is developed, which shows effective operational strategies depending on product/market characteristics and process flexibility. |
| Keywords: | Product proliferation, lead-time reduction, process redesign, delayed differentiation |
| Date: | 2019–07–22 |
| URL: | http://d.repec.org/n?u=RePEc:esm:wpaper:esmt-19-02_r2&r=all |
| By: | Javier Oliver-Muncharaz (Universidad Politécnica de Valencia); Fernando García (Universidad Politécnica de Valencia) |
| Abstract: | Trading strategies have attracted the attention of academic researchers and practitioners for a long time, but most specially in recent years due to the explosion of high-quality databases and computation capacity. Numerous studies are devoted to the analysis and proposal of trading strategies which cover aspects such as trend prediction, variables selection, technical analysis, pattern recognition etc. and apply many di erent methodologies. This paper conducts a meta-literature review which covers 1187 research articles from 1984 to 2020. The aim of this paper is to show the increasing importance of the topic and present a systematic study of the leading research areas, countries, institutions and authors contributing to this field. Moreover, a network analysis to identify the main research streams and future research opportunities is conducted. |
| Abstract: | La creación de estrategias de inversión siempre ha atraído la atención de los académicos y de los inversores profesionales, pero, indudablemente, esta popularidad ha aumentado en los últimos años, con la aparición de bases de datos más completas y mayor potencia de cálculo de las computadoras. Son numerosos los estudios que analizan y proponen estrategias de inversión y que tratan aspectos como la predicción de la tendencia, la selección de variables, el análisis técnico, el reconocimiento de patrones etc. aplicando diferentes metodologías. En este trabajo se realiza un estudio bibliográfico que abarca 1187 artículos de investigación desde 1984 hasta 2020. El objetivo es mostrar la creciente importancia de este campo de investigación y presentar un análisis sistemático de los países, instituciones y autores que más están contribuyendo al avance del conocimiento. Además, se realiza un análisis de redes para identificar las principales áreas de investigación y las tendencias futuras. |
| Keywords: | Stock market,Literature survey,Trading strategy,Estrategia de inversión,Revisión bibliográfica,Mercado bursátil |
| Date: | 2020 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-03149330&r=all |
| By: | Jayachandran, Seema (Northwestern University); Biradavolu, Monica (QualAnalytics); Cooper, Jan (Harvard University) |
| Abstract: | We propose a new method to design a short survey measure of a complex concept such as women's agency. The approach combines mixed-methods data collection and machine learning. We select the best survey questions based on how strongly correlated they are with a "gold standard" measure of the concept derived from qualitative interviews. In our application, we measure agency for 209 women in Haryana, India, first, through a semi-structured interview and, second, through a large set of close-ended questions. We use qualitative coding methods to score each woman's agency based on the interview, which we treat as her true agency. To identify the close-ended questions most predictive of the "truth," we apply statistical algorithms that build on LASSO and random forest but constrain how many variables are selected for the model (five in our case). The resulting five-question index is as strongly correlated with the coded qualitative interview as is an index that uses all of the candidate questions. This approach of selecting survey questions based on their statistical correspondence to coded qualitative interviews could be used to design short survey modules for many other latent constructs. |
| Keywords: | women's empowerment, survey design, feature selection, psychometrics |
| JEL: | C83 D13 J16 O12 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp14221&r=all |