|
on Central and Western Asia |
| By: | Ly Dai Hung (Vietnam Institute of Economics, Hanoi, Vietnam) |
| Abstract: | The paper estimates the steady state economic growth rate of Vietnam, defined as the equilibirum that the economy converge without new shocks. The method employs a bayesian structural vector autoregressive model (BSVAR) which captures the Triffin policy trilemma at international financial integration. On a quarterly sample over Q2/2008-Q4/2019, the evidence records that the steady state growth based on Minnesota prior is 6.13%. This result is robust by normal-diffuse prior, normal-wishart prior and timely average method. For policy implication, the Vietnam government's objective of annual growth rate at 7.0% over 2021-2030 can only be attained for economic expansion periods. |
| Keywords: | Economic Growth,Vector Autoregression,Vietnam Economy |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-03275275&r= |
| By: | Spash, Clive L. |
| Abstract: | Ecological economics has developed as a modern movement with its roots in environmentalism and radical environmental economics. Divisions and conflicts within the field are explored to show why material claiming to fall under the title of ecological economics fails to be representative of progress or the vision which drove socio-economic specialists to interact with ecologists in the first place. The argument is then put forward that ecological economics, as a social science engagingwith the natural sciences, is a heterodox school of modern political economy. |
| Keywords: | ecological economics, methodology, ideology, politics, history |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:wiw:wus009:8202&r= |
| By: | Werner Hölzl |
| Abstract: | This paper examines the association between participation in global value chains and financial globalisation measured by international net and capital flows. The results show that financial globalisation and the rise of global value chains are related but not two sides of the same coin. In fact, we find that GVC participation is positively associated with equity capital flows but negatively associated with debt capital flows. We also study the association of GVC participation and capital flows with aggregate economic outcomes. The findings show that both GVC participation and equity flows affect the share of mortgage and business credit. But we uncover also important differences in the impact of capital flows between advanced and emerging countries. Regarding changes in the economic structure our results suggest a positive association of both GVC participation and equity inflows on the manufacturing share, while debt inflows are primarily associated with a growth of the service sector in advanced economies, but not in emerging and developing countries. The finding that there is no strong association between the globalisation indicators and innovation suggests that the fragmentation of value chains leads to functional specialisation in tasks and tends to weaken the link between innovation and production at country level. We find in addition that a higher GVC participation is weakly associated with a higher growth of government revenue, as are debt flows but only in advances countries. This finding suggests also that debt flows were redirected primarily into safe countries in advanced countries. |
| Keywords: | Globalisation, Financial Flows, Global Value Chains, Structural Change, Innovation |
| Date: | 2021–07–05 |
| URL: | http://d.repec.org/n?u=RePEc:wfo:wpaper:y:2021:i:632&r= |
| By: | Tim de Silva; David Thesmar |
| Abstract: | This paper quantifies the amount of noise and bias in analysts’ forecast of corporate earnings at various horizons. We first show analyst forecasts outperform statistical forecasts at short-horizons, but underperform at longer horizons. We next decompose the relative accuracy of these forecasts into three components: (i) noise, (ii) bias and (iii) analysts’ information advantage over statistical forecasts. We find the information advantage is constant across forecasting horizons, while both noise and bias are increase linearly. We then show most existing models lack a mechanism to account for these facts. To generate such a mechanism, we consider a parsimonious variant of the model of Patton and Timmermann (2010) with a noisy cognitive default and show it quantitatively fits the data. The intuition underlying this model is that forecasters rely on their biased and noisy defaults more at longer horizons, as rational forecasts are less accurate. This model also quantitatively matches two non-targeted empirical relationships: (i) analyst disagreement increases with horizon and (ii) noise is an increasing function of volatility. |
| JEL: | D84 D9 D91 |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:28963&r= |
| By: | Peter Andre (University of Bonn); Armin Falk (briq and the University of Bonn) |
| Abstract: | We document economists, opinions about what is worth knowing and ask (i) which research objectives economic research should embrace and (ii) which topics it should study. Almost 10,000 economic researchers from all fields and ranks of the profession participated in our global survey. Detailed bibliometric data show that our sample represents the population of economic researchers who publish in English. We report three main findings. First, economists' opinions are vastly heterogeneous. Second, most researchers are dissatisfied with the status quo, in terms of both research topics and objectives. Third, on average, respondents think that economic research should become more policy-relevant, multidisciplinary, risky and disruptive, and pursue more diverse topics. We also find that dissatisfaction with the status quo is more prevalent among female scholars and associated with lower job satisfaction and higher stress levels. Taken together, the results suggest that economics as a field does not appreciate and work on what economists collectively prefer. |
| Keywords: | economic research, research objectives, research topics, satisfaction, policy-relevance, multidisciplinarity, diversity |
| JEL: | A11 A14 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:hka:wpaper:2021-034&r= |
| By: | Virantau, Gilbert Nathaniel |
| Abstract: | The Indonesian economy experienced deflation of 0,1% in July 2020. One of the reason is because the Covid-19. The recovery of MSMEs cannot be separated from the information technology, considering that digitalization is the key so that enterpreneurs can survive and develop amid the Covid-19. The policy of the government’s to provide business credit to ultra-micro and small businesses as well as social assistance for the poor and victims of termination of employment is believed to be capable to save Indonesia’s economy from recession. |
| Date: | 2021–06–12 |
| URL: | http://d.repec.org/n?u=RePEc:osf:osfxxx:w3jd6&r= |
| By: | Wei Dai; Yuan An; Wen Long |
| Abstract: | Through in-depth analysis of ultra high frequency (UHF) stock price change data, more reasonable discrete dynamic distribution models are constructed in this paper. Firstly, we classify the price changes into several categories. Then, temporal convolutional network (TCN) is utilized to predict the conditional probability for each category. Furthermore, attention mechanism is added into the TCN architecture to model the time-varying distribution for stock price change data. Empirical research on constituent stocks of Chinese Shenzhen Stock Exchange 100 Index (SZSE 100) found that the TCN framework model and the TCN (attention) framework have a better overall performance than GARCH family models and the long short-term memory (LSTM) framework model for the description of the dynamic process of the UHF stock price change sequence. In addition, the scale of the dataset reached nearly 10 million, to the best of our knowledge, there has been no previous attempt to apply TCN to such a large-scale UHF transaction price dataset in Chinese stock market. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2107.00261&r= |
| By: | Andrzej Cieślik; Mahdi Ghodsi (The Vienna Institute for International Economic Studies, wiiw) |
| Abstract: | This paper studies the role of business sentiment in the decisions of multinational enterprises (MNEs) to undertake foreign direct investment (FDI) across European Union (EU) member states. Based on the knowledge-capital model, the study employs the Pseudo Poisson Maximum Likelihood (PPML) estimator and panel data to examine empirically the determinants of FDI across EU member states during the period 2003-2017. The empirical evidence suggests that better economic sentiment in an EU Member State induces MNEs to undertake FDI in that country, while worse economic sentiment in an EU member state motivates an MNE in that country to invest abroad. |
| Keywords: | economic sentiment, factor endowments, foreign direct investment, multinational enterprise, market size, EU Member States |
| JEL: | F21 F23 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:wii:wpaper:203&r= |
| By: | Terri van der Zwan (Erasmus University Rotterdam); Erik Hennink (Ortec Finance); Patrick Tuijp (Ortec Finance) |
| Abstract: | We find that the outperformance for Fama-French factors compared to macroeconomic factors in terms of fitting the cross-section of expected returns disappears when accounting for horizon effects. In addition, we obtain novel empirical relations between macroeconomic factors and Fama-French factors at longer horizons. To obtain our results, we introduce a general linear multifactor asset pricing methodology that integrates systematic risk measured at different frequencies into a single pricing equation. Our setup allows for a setting where investors with different investment horizons may experience different levels of systematic risk, which could arise from delayed stock price reaction to systematic factor news. |
| Keywords: | Cross-Section of Stock Returns, Factors, Frequency Decomposition, Horizon Effects, Investment Horizon |
| JEL: | G12 C58 G11 |
| Date: | 2021–07–04 |
| URL: | http://d.repec.org/n?u=RePEc:tin:wpaper:20210000&r= |
| By: | Oleg Itskhoki; Dmitry Mukhin |
| Abstract: | The Mussa (1986) puzzle is the observation of a sharp and simultaneous increase in the volatility of both nominal and real exchange rates following the end of the Bretton Woods System of pegged exchange rates in 1973. It is commonly viewed as a central piece of evidence in favor of monetary non-neutrality because it is an instance in which a change in the monetary regime caused a dramatic change in the equilibrium behavior of a real variable (the real exchange rate) and is often further interpreted as direct evidence in favor of models with nominal rigidities in price setting. This paper shows that the data do not support this latter conclusion because there was no simultaneous change in the properties of the other macro variables, nominal or real. We show that an extended set of Mussa facts equally falsifies both conventional flexible-price RBC models and sticky-price New Keynesian models as explanations for the Mussa puzzle. We present a resolution to the broader Mussa puzzle based on a model of segmented financial market — a particular type of financial friction by which the bulk of the nominal exchange rate risk is held by financial intermediaries and is not shared smoothly throughout the economy. We argue that rather than discriminating between models with sticky versus flexible prices, or monetary versus productivity shocks, the Mussa puzzle provides sharp evidence in favor of models with monetary non-neutrality arising in the financial market, suggesting the importance of monetary transmission via the risk premium channel. |
| JEL: | E30 E40 E50 F30 F40 G10 |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:28950&r= |
| By: | Rian Dolphin; Barry Smyth; Yang Xu; Ruihai Dong |
| Abstract: | Forecasting stock returns is a challenging problem due to the highly stochastic nature of the market and the vast array of factors and events that can influence trading volume and prices. Nevertheless it has proven to be an attractive target for machine learning research because of the potential for even modest levels of prediction accuracy to deliver significant benefits. In this paper, we describe a case-based reasoning approach to predicting stock market returns using only historical pricing data. We argue that one of the impediments for case-based stock prediction has been the lack of a suitable similarity metric when it comes to identifying similar pricing histories as the basis for a future prediction -- traditional Euclidean and correlation based approaches are not effective for a variety of reasons -- and in this regard, a key contribution of this work is the development of a novel similarity metric for comparing historical pricing data. We demonstrate the benefits of this metric and the case-based approach in a real-world application in comparison to a variety of conventional benchmarks. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2107.03926&r= |
| By: | Ha, Jongrim; Kose, M. Ayhan; Ohnsorge, Franziska |
| Abstract: | This paper introduces a global database that contains inflation series: (i) for a wide range of inflation measures (headline, food, energy, and core consumer price inflation; producer price inflation; and gross domestic product deflator changes); (ii) at multiple frequencies (monthly, quarterly and annual) for an extended time period (1970-2021); and (iii) for a large number of (up to 196) countries. As it doubles the number of observations over the next-largest publicly available sources, our database constitutes a comprehensive, single source for inflation series. We illustrate the potential use of the database with three applications. First, we study the evolution of inflation since 1970 and document the broad-based disinflation around the world over the past half-century, with global consumer price inflation down from a peak of roughly 17 percent in 1974 to 2.5 percent in 2020. Second, we examine the behavior of inflation during global recessions. Global inflation fell sharply (on average by 0.9 percentage points) in the year to the trough of global recessions and continued to decline even as recoveries got underway. In 2020, inflation declined less, and more briefly, than in any of the previous four global recessions over the past 50 years. Third, we analyze the role of common factors in explaining movements in different measures of inflation. While, across all inflation measures, inflation synchronization has risen since the early 2000s, it has been much higher for inflation measures that involve a larger share of tradable goods. |
| Keywords: | Prices, global inflation, deflation, inflation synchronization, global factor |
| JEL: | E30 E31 F42 |
| Date: | 2021–07–01 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:108678&r= |
| By: | Sugiarto, Safitri |
| Abstract: | Based on the data above, it can be said that MSMEs have a significant role in the Indonesian economy. However, this has changed because since 2020 the performance of MSMEs has been affected by the COVID-19 pandemic. This is unavoidable, as we know the Indonesian economy has also experienced a decline due to the COVID-19 pandemic. The Central Statistics Agency noted that economic growth throughout 2020 contracted 2.07 percent on an annual basis. The contraction was caused by the weakening in various sectors as a result of the COVID-19 pandemic. |
| Date: | 2021–06–08 |
| URL: | http://d.repec.org/n?u=RePEc:osf:osfxxx:6q94j&r= |
| By: | Anton Bondarev; Frank C. Krysiak |
| Abstract: | Most explanations of economic growth are based on knowledge spillovers, where the development of some technologies facilitates the enhancement of others. Empirical studies show that these spillovers can have a heterogeneous and rather complex structure. But, so far, little attention has been paid to the consequences of different structures of such cross-technology interactions: Is economic development more easily fostered by homogenous or heterogeneous interactions, by uni- or bidirectional spillovers? Using a detailed description of an r&d sector with cross-technology interactions embedded in a simple growth model, we analyse how the structure of spillovers influences growth prospects and growth patterns. We show that some type of interactions (e.g., one-way interactions) cannot induce exponential growth, whereas other structures can. Furthermore, depending on the structure of interactions, all or only some technologies will contribute to growth in the long run. Finally, some spillover structures can lead to complex growth patterns, such as technology transitions, where, over time, different technology clusters are the main engine of growth. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2107.06137&r= |
| By: | Howard Kunreuther; Jason Schupp |
| Abstract: | COVID-19 has demonstrated the challenges that policymakers, insurers, businesses, and employees face when disaster assistance programs are developed after the pandemic has already started. There is now an opportunity to design and implement effective and efficient solutions to manage the financial risks of a future pandemic. This paper suggests a practical framework, informed by the recent experience with COVID-19, for defining a meaningful role for insurance in managing business interruption (BI) and other risks from future pandemics. Policymakers, regulators, businesses, and other stakeholders interacting with representatives from the insurance industry can assist in defining its role in providing protection against the financial consequences of future pandemics. This framework, while designed for dealing with future pandemics, may be applied to other catastrophic and systemic risks. |
| JEL: | D81 D91 G22 H84 |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:28968&r= |
| By: | PUTRA, DIKA ANGGARA |
| Abstract: | As we know, the Indonesian economy experienced a deflation of 0.1% in July 2020. This occurred in the food, beverage and tobacco category, which experienced a deflation of 0.79%. and contributed 0.19% to deflation. Foodstuffs that contributed to deflation included shallots, free-range chicken, rice, garlic, cayenne pepper, and sugar. Deflation in July and August 2020 was triggered more by falling prices for a number of food, beverages, and transportation, increasing demand amid the Covid-19 pandemic. Trends in other countries show that inflation and deflation are beating supply and demand. in 4 countries such as Indonesia, the Philippines, Thailand and Laos involving 3,831 MSME respondents explained that the contribution of MSMEs to Gross Domestic Product in these 4 countries was more than 50%. The enactment of the region had a negative impact on MSMEs, but some MSMEs continued to operate despite experiencing a decline in income of more than 40%. |
| Date: | 2021–06–12 |
| URL: | http://d.repec.org/n?u=RePEc:osf:osfxxx:258gj&r= |
| By: | Paolina C. Medina; Michaela Pagel |
| Abstract: | We study whether savings nudges have the unintended consequence of additional borrowing in high-interest credit. We use data from a pre-registered experiment that encouraged 3.1 million bank customers to save via SMS messages and train a machine learning algorithm to predict individual-level treatment effects. We then focus on individuals who are predicted to save most in response to the intervention and hold credit card debt. We find that these individuals save 5.7% more (61.84 USD per month) but do not change their borrowing: for every additional dollar saved, we can rule out increases of more than two cents in interest expenses. |
| JEL: | D14 G5 |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:28956&r= |
| By: | Ali, Nesma; Stiebale, Joel |
| Abstract: | This paper uses a rich panel data set of Indian manufacturing firms to analyze the effects of foreign direct investment (FDI) on various outcomes of domestic firms. We apply recent methodological advances in the estimation of production functions together with detailed product-level information on prices and quantities to estimate physical productivity, markups and marginal costs. Our results indicate the importance of price adjustments which stem from competitive pressure and a pass-through of cost savings to consumers. In line with the previous literature, we find little evidence for spillovers based on commonly used measures of revenue productivity. In contrast, we measure sizable efficiency gains using measures that are not affected by pricing heterogeneity, such as marginal costs and physical productivity. Exploiting exogenous variation from India's FDI liberalization, we provide evidence that the relationship between exposure to FDI and efficiency is causal. Our results suggest that knowledge spills over across product categories within industries and mainly benefits producers of high-quality products. We also provide evidence that FDI spillovers are stronger for joint ventures and when foreign investors enter via acquisitions. |
| Keywords: | Foreign Direct Investment,Spillovers,Productivity,Marginal Costs,Prices,Markups,Multi-Product Firms |
| JEL: | F61 F23 G34 L25 D22 D24 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:dicedp:363&r= |
| By: | Sugata Marjit |
| Abstract: | The classical Wage Fund (Financial Capital) framework is integrated with the Ricardian model of comparative advantage. It can easily and effectively reflect on critical contemporary issues without the ammunitions of a more complex neoclassical system. Some of the results are as follows. Trade pampers inequality across the globe independent of trade patterns. It is likely to increase growth rate but that rate declines over time. Technological progress without capital accumulation magnifies inequality in or out of steady state. Financiers may wish to invest in innovations and outsource production to the rest of the world. Financial crisis in terms of credit shortage hurts workers but benefits capitalists etc. Interestingly this Ricardian model with capital and labour replicates many iconic neoclassical results without neoclassical assumptions. |
| Keywords: | New Ricardo, Neoclassical, Trade, Growth, Inequality |
| Date: | 2020 |
| URL: | http://d.repec.org/n?u=RePEc:not:notgep:2020-28&r= |
| By: | Giuseppe Fiori; Filippo Scoccianti |
| Abstract: | This paper uses over two decades of Italian survey data on business managers' expectations to measure subjective firm-level uncertainty and quantify its economic effects. We document that firm-level uncertainty persists for a few years and varies across firms' demographic characteristics. Uncertainty induces long-lasting economic effects over a broad array of real and financial variables. The source of uncertainty matters with firms responding only to downside uncertainty, that is, uncertainty about future adverse outcomes. Economy-wide uncertainty, constructed aggregating firm-level uncertainty, is countercyclical but uncorrelated with typical proxies in the literature, and accounts for a sizable amount of GDP variation during crises. |
| Keywords: | Uncertainty; Business cycles; Investment; Expectations; Cash holdings; Downside uncertainty |
| JEL: | D24 E22 E24 |
| Date: | 2021–06–28 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgif:1320&r= |
| By: | Spears, Dean (University of Texas at Austin); Zuber, Stéphane (Paris School of Economics) |
| Abstract: | Utilitarianism is the most prominent family of social welfare functions. We present three new axiomatic characterizations of utilitarian (that is, additively separable) social welfare functions in a setting where there is risk over both population size and the welfares of individuals. First, we show that, given uncontroversial basic axioms, Blackorby et al.'s (1998) Expected Critical-Level Generalized Utilitarianism (ECLGU) is equivalent to a new axiom holding that it is better to allocate higher utility-conditional-on-existence to possible people who have a higher probability of existence. The other two novel characterizations extend classic axiomatizations of utilitarianism from settings with either social risk or variable-population, considered alone. By considering both social risk and variable population together, we clarify the fundamental normative considerations underlying utilitarian policy evaluation. |
| Keywords: | expected critical-level generalized utilitarianism, utilitarianism, population ethics, social risk, prioritarianism |
| JEL: | D63 D81 J10 |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp14515&r= |
| By: | Ibrahim Yarba; Ahmet Duhan Yassa |
| Abstract: | This paper investigates investment behavior across public and privately held firms using a novel firm-level dataset. We use coarsened exact matching to construct a control group of firms with which we compare listed firms before and after listing in a difference-in-differences framework. Results reveal that stock market listing spurs growth significantly in terms of sales, employment and assets for manufacturing firms. Furthermore, results indicate that manufacturing listed firms invest more than their non-listed counterparts. In addition, their investment decisions are significantly more sensitive to changes in investment opportunities, and they respond more aggressively. These results constitute a rejecting evidence against existence of short-termism for manufacturing listed firms in Turkey. Moreover, these findings provide significant support for the arguments regarding the advantages of public firms in terms of better access to external finance and enhanced corporate structure, which enables them to fulfill growth potential much easily, and highlight the importance of policies that should be implemented to deepen the Turkish capital markets. |
| Keywords: | Stock market listing, Corporate investment, Firm growth, Short-termism, Coarsened exact matching, Difference-in-differences |
| JEL: | C23 D22 G31 G32 L25 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:tcb:wpaper:2112&r= |
| By: | Yoshi Fujiwara; Rubaiyat Islam |
| Abstract: | How crypto flows among Bitcoin users is an important question for understanding the structure and dynamics of the cryptoasset at a global scale. We compiled all the blockchain data of Bitcoin from its genesis to the year 2020, identified users from anonymous addresses of wallets, and constructed monthly snapshots of networks by focusing on regular users as big players. We apply the methods of bow-tie structure and Hodge decomposition in order to locate the users in the upstream, downstream, and core of the entire crypto flow. Additionally, we reveal principal components hidden in the flow by using non-negative matrix factorization, which we interpret as a probabilistic model. We show that the model is equivalent to a probabilistic latent semantic analysis in natural language processing, enabling us to estimate the number of such hidden components. Moreover, we find that the bow-tie structure and the principal components are quite stable among those big players. This study can be a solid basis on which one can further investigate the temporal change of crypto flow, entry and exit of big players, and so forth. |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2106.11446&r= |
| By: | Harry DeAngelo; Andrei S. Gonçalves; René M. Stulz |
| Abstract: | This paper documents new and empirically important interactions between cash-balance and leverage dynamics. Cash ratios typically vary widely over extended horizons, with dynamics remarkably similar to (and complementary with) those of capital structure. Leverage and cash dynamics interact approximately as predicted by the internal-versus-external funding regimes in Myers and Majluf (1984). Leverage is quite volatile when cash ratios are stable and vice-versa, while net-debt ratios are almost always volatile. Most firms increase leverage sharply as cash balances (internal funds) become scarce. Capital structure models that extend Hennessy and Whited (2005) to include cash-balance dynamics explain some, but not all, aspects of the observed relation between cash squeezes and leverage increases. |
| JEL: | G31 G33 G35 |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:28970&r= |
| By: | Bodha Hannadige, Sium; Gao, Jiti; Silvapulle, Mervyn; Silvapulle, Param |
| Abstract: | We develop a method for constructing prediction intervals for a nonstationary variable, such as GDP. The method uses a factor augmented regression [FAR] model. The predictors in the model includes a small number of factors generated to extract most of the information in a set of panel data on a large number of macroeconomic variables considered to be potential predictors. The novelty of this paper is that it provides a method and justification for a mixture of stationary and nonstationary factors as predictors in the FAR model; we refer to this as mixture-FAR method. This method is important because typically such a large set of panel data, for example the FRED-MD, is likely to contain a mixture of stationary and nonstationary variables. In our simulation study, we observed that the proposed mixture-FAR method performed better than its competitor that requires all the predictors to be nonstationary; the MSE of prediction was at least 33% lower for mixture-FAR. Using the data in FRED-QD for the US, we evaluated the aforementioned methods for forecasting the nonstationary variables, GDP and Industrial Production. We observed that the mixture-FAR method performed better than its competitors. |
| Keywords: | Gross domestic product; high dimensional data; industrial production; macroeconomic forecasting; panel data |
| JEL: | C13 C3 C32 C33 |
| Date: | 2021–01–30 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:108669&r= |
| By: | Laura Marcela Capera Romero (Tilburg University) |
| Abstract: | Interest rate caps, also called usury ceilings, are a widely used policy tool to protect consumers from excessive charges by loan providers. However, they are often cited as a barrier for the advancement of financial inclusion, as they may reduce the incentives to provide loans to lower-income borrowers and and to invest in branching networks, particularly in remote and isolated locations. In this paper, I exploit a change in the usury ceiling applied to micro-loans in Colombia to understand the effects of this policy across geographic markets. To quantify the welfare implications of this policy, I structurally estimate a demand and supply model that incorporates the changes in size and composition of the potential market caused by this policy change, in a context where the distribution of branching networks has a crucial role in the optimal pricing strategies of loan providers. I find that the policy generated an increase in consumer surplus at the national level that is explained by greater credit availability for riskier borrowers and the expansion of branching networks in areas that were previously under-served. A counterfactual exercise reveals that the welfare gains associated to this policy depend greatly on additional investment in branching networks, as the opening of new branches in some locations is needed to compensate the consumer welfare loss associated with the subsequent increase in interest rates after the relaxation of the ceiling. |
| Keywords: | Microfinance institutions, price ceilings, consumer welfare |
| JEL: | L11 D43 D61 G21 G28 |
| Date: | 2021–06–28 |
| URL: | http://d.repec.org/n?u=RePEc:tin:wpaper:20210055&r= |
| By: | Taiki Murai; Gunther Schnabl |
| Abstract: | The paper analyses the role of fiscal and monetary policy for the development of the current account imbalances in the euro area, including the most recent developments during the coronavirus crisis. Several financial transmission channels such as international bank lending, changes in TARGET2 balances, international rescue credit and government bond purchases of euro area central banks are identified. It is found that differing fiscal policy stances which have interacted differently with the ECB’s monetary policy have been at roots of first diverging and then converging current account positions in the euro area. Since the European financial and debt crisis, public financing mechanisms and the unconventional monetary of the ECB have contributed to the persistence of intra-euro area current account imbalances. |
| Keywords: | current account, current account imbalances, financial account, euro, EU, European Monetary Union, monetary policy, fiscal policy, TARGET2 |
| JEL: | H62 F32 F33 F42 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_9153&r= |
| By: | Shan Huang |
| Abstract: | This thesis mainly focuses on two problems in capital structure and individual's life-cycle portfolio choice. In the first problem, we derive a stochastic control model to optimize banks' dividend and recapitalization policies and calibrate that to a sample of U.S. banks in the situation where we model banks' true accounting asset values as partially observed variables due to the opaqueness in banks' assets. By the calibrated model, the noise in reported accounting asset values hides about one-third of the true asset return volatility and raises the banks' market equity value by 7.8\% because the noise hides the banks' solvency risk from banking regulators. Particularly, those banks with a high level of loan loss provisions, nonperforming assets, and real estate loans, and with a low volatility of reported total assets have noisy accounting asset values. Because of the substantial shock on the true asset values, the banks' assets were more opaque during the recent financial crisis. In the second problem, we present an optimal portfolio selection model with voluntary retirement option in an economic situation, where an investor is facing borrowing and short sale constraints, as well as the cointegration between the stock and labor markets. Our model reinterprets the non-participation puzzle in stock investment and early retirement in market booms. Investor's willingness to retire earlier becomes stronger as risk aversion increases or as wages decline in the long term. Consistent with the empirical evidence, we find that retirement flexibility makes the optimal portfolio invest less in the stock market. We also find that our model-generated portfolio share rises in wealth. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2107.02242&r= |
| By: | Rajat Acharyya; Sugata Marjit |
| Abstract: | This paper explores the possibility of international technology transfer in lieu of trade in a model with absolute and comparative advantage. Countries having absolute advantage in producing a good may offer that technology to a possible trading partner against a fee and both the countries might gain. Thus, gains from trade might be dominated by gains from technology transfer depending on the extent of comparative and absolute advantages. We provide detailed conditions under which free trade equilibrium will be pre-empted by technology transfer. Such an avenue of fruitful exchange remains unexplored in the Ricardian model of trade. |
| Keywords: | technology transfer, absolute advantage, comparative advantage, Smith, Ricardo |
| JEL: | F10 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_9164&r= |
| By: | Xavier Gabaix; Ralph S. J. Koijen |
| Abstract: | We develop a framework to theoretically and empirically analyze the fluctuations of the aggregate stock market. Households allocate capital to institutions, which are fairly constrained, for example operating with a mandate to maintain a fixed equity share or with moderate scope for variation in response to changing market conditions. As a result, the price elasticity of demand of the aggregate stock market is small, and flows in and out of the stock market have large impacts on prices. Using the recent method of granular instrumental variables, we find that investing $1 in the stock market increases the market's aggregate value by about $5. We also develop a new measure of capital flows into the market, consistent with our theory. We relate it to prices, macroeconomic variables, and survey expectations of returns. We analyze how key parts of macro-finance change if markets are inelastic. We show how general equilibrium models and pricing kernels can be generalized to incorporate flows, which makes them amenable to use in more realistic macroeconomic models and to policy analysis. Our framework allows us to give a dynamic economic structure to old and recent datasets comprising holdings and flows in various segments of the market. The mystery of apparently random movements of the stock market, hard to link to fundamentals, is replaced by the more manageable problem of understanding the determinants of flows in inelastic markets. We delineate a research agenda that can explore a number of questions raised by this analysis, and might lead to a more concrete understanding of the origins of financial fluctuations across markets. |
| JEL: | E7 G1 G32 G4 |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:28967&r= |
| By: | Holmberg, Johan (Department of Economics, Umeå University) |
| Abstract: | This paper deals with optimal nonlinear taxation of labor and entrepreneurial income and extends the recent study of Scheuer (2014) to accommodate equilib- rium unemployment. We find that even if employment is endogenous, the govern- ment can achieve redistribution of income through taxation without distorting production efficiency. This is possible if the government taxes entrepreneurial and labor income separately. The results also show that including involuntary unem- ployment creates an incentive to tax entrepreneurial income at lower marginal rates and labor income at higher marginal rates than otherwise. |
| Keywords: | Optimal Taxation; Entrepreneurship; Occupational choice; Unemployment |
| JEL: | H21 H25 J24 J65 L26 |
| Date: | 2021–06–30 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:umnees:0994&r= |
| By: | Said, Jamaliah; Alam, Md. Mahmudul (Universiti Utara Malaysia); Johari, Razana Juhaida |
| Abstract: | Public sectors around the world, especially in the developing counties, are not functioning well due to widespread fraud, governance, corruption, and inefficacy. For this reason, the world’s public sectors need to improve their efficacy by using a sound risk management system. This study attempts to comprehend the phenomenon of current risk management practices among the public sector employees in different service schemes in Malaysia. A questionnaire survey was utilized to collect primary data from 194 department heads in Malaysia’s federal ministries. The collected data was analysed using descriptive statistics and factor analysis. Findings revealed that 94.7% of respondents agreed to implementing risk management in their respective departments, but the level of priority for these risk management factors differs based on the service schemes. This study will assist policymakers to identify what is needed to enhance risk management practices in the public sector. |
| Date: | 2020–06–29 |
| URL: | http://d.repec.org/n?u=RePEc:osf:socarx:am3hd&r= |
| By: | Peter Cziraki; Dirk Jenter |
| Abstract: | We study the market for CEOs of large publicly-traded US firms, analyze new CEOs’ prior connections to the hiring firm, and explore how hiring choices are determined. Firms are hiring from a surprisingly small pool of candidates. More than 80% of new CEOs are insiders, defined as current or former employees or board members. Boards are already familiar with more than 90% of new CEOs, as they are either insiders or executives who directors have previously worked with. There are few reallocations of CEOs across firms – firms raid CEOs of other firms in only 3% of cases. Pay differences appear too small to explain these hiring choices. The evidence suggests that firm-specific human capital, asymmetric information, and other frictions have first-order effects on the assignment of CEOs to firms. |
| Keywords: | CEO labor markets, CEO-firm matching, assignment models, CEO turnover, CEO compensation |
| JEL: | D22 G34 J23 M12 M51 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_9143&r= |
| By: | Luís Aguiar-Conraria (NIPE and Economics Department, University of Minho); Gilmar Conceição (Faculdade de Economia e Gestão da Universidade Licungo); Maria Joana Soares (NIPE and Department of Mathematics, University of Minho) |
| Abstract: | While we can say that there is a global market for crude oil, we cannot say the same cannot for natural gas. There is a strand of literature that argues that, in the last decades, gas markets have become less regional and more global. We use wavelets to test this hypothesis and conclude otherwise: although the European and Japanese gas markets are signifcantly synchronized, they are much less than the oil markets, which we take as the benchmark. We also show that the North American gas market fluctuations are independent of the other gas markets. Finally, we show that the existing synchronization between gas markets almost vanishes once one filters out the effect of oil price variations, suggesting that it is the global oil market that connects the regional gas markets. |
| Keywords: | Gas markets; Oil market; Wavelet Power Spectrum; Wavelet Coherency;Wavelet Phase-Difference |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:nip:nipewp:6/2021&r= |
| By: | Benoit Chèze (IFPEN - IFP Energies nouvelles - IFPEN - IFP Energies nouvelles, EconomiX-CNRS, University of Paris); Charles Collet (CIRED-CNRS); Anthony Paris (EconomiX-CNRS, University of Paris, LEO - Laboratoire d'Économie d'Orleans - UO - Université d'Orléans - Université de Tours - CNRS - Centre National de la Recherche Scientifique) |
| Abstract: | This working paper overviews theoretical foundations and estimators derived from econometric models used to analyze stated choices proposed in Discrete Choice Experiment (DCE)surveys. Discrete Choice Modelling is adapted to the case where the variable to be explained is a qualitative variable which cannot be ranked in relation to each other. A situation which occurs in many cases in everyday life as people often have to choose only one alternative among a proposed set of different ones in many fields (early in the morning, just think about how you pick clothes for instance). DCE is a Stated Preference method in which preferences are elicited through repeated fictional choices, proposed to a sample of respondents. Compared to Revealed Preference methods, DCEs allow for an ex ante evaluation of public policies that do not yet exists. |
| Keywords: | Revealed preference theory,Stated Preference / Stated Choice methods,Discrete Choice Modelling,Discrete Choice Experiment |
| Date: | 2021–04–12 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-03262187&r= |