|
on Central and Western Asia |
| By: | Burda, Michael C. |
| Abstract: | This paper surveys the capacity of simple macroeconomic models - 'three easy pieces' - to account for persistent and positive valuations of privately issued assets based on the blockchain. Each of these three models - transactions demand for a means of payment, consumption-based capital asset pricing, and search and matching - highlights important aspects of digital payments. The mutual interference of these jointly produced features may impede widespread use of cryptocurrencies until technological innovations have been developed to separate them. |
| JEL: | C00 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:irtgdp:2021011&r= |
| By: | Anantha Divakaruni; Peter Zimmerman |
| Abstract: | In April 2020, the US government sent economic impact payments (EIPs) directly to households, as part of its measures to address the COVID-19 pandemic. We characterize these stimulus checks as a wealth shock for households and examine their effect on retail trading in Bitcoin. We find a significant increase in Bitcoin buy trades for the modal EIP amount of $1,200. The rise in Bitcoin trading is highest among individuals without families and at exchanges catering to nonprofessional investors. We estimate that the EIP program has a significant but modest effect on the US dollar–Bitcoin trading pair, increasing trade volume by about 3.8 percent. Trades associated with the EIPs result in a slight rise in the price of Bitcoin of 7 basis points. Nonetheless, the increase in trading is small compared to the size of the stimulus check program, representing only 0.02 percent of all EIP dollars. We repeat our analysis for other countries with similar stimulus programs and find an increase in Bitcoin buy trades in these currencies. Our findings highlight how wealth shocks affect retail trading. |
| Keywords: | Bitcoin; COVID-19; economic impact payments; stimulus checks |
| JEL: | E42 G11 G41 H31 |
| Date: | 2021–07–16 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedcwq:92898&r= |
| By: | Matteo Aquilina; Eric Budish; Peter O'Neill |
| Abstract: | We use stock exchange message data to quantify the negative aspect of high-frequency trading, known as “latency arbitrage.” The key difference between message data and widely-familiar limit order book data is that message data contain attempts to trade or cancel that fail. This allows the researcher to observe both winners and losers in a race, whereas in limit order book data you cannot see the losers, so you cannot directly see the races. We find that latency-arbitrage races are very frequent (about one per minute per symbol for FTSE 100 stocks), extremely fast (the modal race lasts 5-10 millionths of a second), and account for a remarkably large portion of overall trading volume (about 20%). Race participation is concentrated, with the top 6 firms accounting for over 80% of all race wins and losses. The average race is worth just a small amount (about half a price tick), but because of the large volumes the stakes add up. Our main estimates suggest that races constitute roughly one-third of price impact and the effective spread (key microstructure measures of the cost of liquidity), that latency arbitrage imposes a roughly 0.5 basis point tax on trading, that market designs that eliminate latency arbitrage would reduce the market's cost of liquidity by 17%, and that the total sums at stake are on the order of $5 billion per year in global equity markets alone. |
| JEL: | D47 G1 G12 G14 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29011&r= |
| By: | Martina Nannelli (University of Florence); Stefania Oliva (University of Florence) |
| Abstract: | The article aims to critically review the concept of Sharing Economy (SE) questioning its relationship with sustainability. Originated by different institutional cultures based on the principles of solidarity between the groups of a community, SE has risen as a new paradigm after the 2008’ financial and economic crisis and the advent of the digital transformation. In particular, by digital platforms, SE has evolved from an economic-social phenomenon to an economic-technological one, influencing and affecting the competitiveness of several sectors. Through a critical literature review of SE concepts, the article explores how the theoretical debate evolved over time. It identifies the main definitions and features of the phenomenon and discusses its relationship with the topic of sustainability. In the conclusions, it develops reflections on further research devoted to understanding the most controversial under-researched topics. |
| Keywords: | sharing economy; digital platforms; sustainability; sustainable development |
| JEL: | M21 Q01 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:frz:wpmmos:wp2021_03.rdf&r= |
| By: | Claude Diebolt; Michael Haupert |
| Abstract: | How did cliometrics in particular, and economic history in general, arrive at this crossroads, where it is at once considered to be a dying discipline and one that is spreading through the economics discipline as a whole? To understand the current status and future prospects of economic history, it is necessary to understand its past. |
| Keywords: | Cliometrics, economic history, Robert Fogel, Douglass North, economic growth, econometrics, interdisciplinary economic history, new economic history, multidisciplinary, methodology, quantitative. |
| JEL: | A12 N00 N01 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ulp:sbbeta:2021-26&r= |
| By: | Boris Chafwehé (Joint Research Centre European Commission); Charles de Beauffort (National Bank of Belgium and IRES/LIDAM, UCLouvain); Rigas Oikonomou (UNIVERSITE CATHOLIQUE DE LOUVAIN, Institut de Recherches Economiques et Sociales (IRES)) |
| Abstract: | We study the impact of debt maturity management in an economy where monetary policy is ’passive’ and subservient to fiscal policy. We setup a tractable model, to characterize analytically the dynamics of inflation, as well as other macroeconomic variables, showing their dependence on the monetary policy rule and on the maturity of debt. Debt maturity becomes a key variable when the monetary authority reacts to inflation and the appropriate maturity of debt can restore the efficacy of monetary policy in controlling inflation. This requires debt management to focus on issuing long bonds. Moreover, we propose a novel framework of Ramsey optimal coordinated debt and monetary policies, to derive analytically the interest rate rule followed by the monetary authority as a function of debt maturity. The optimal policy model leads to the same prescription, long term debt financing enables to stabilize inflation. Lastly, the relevance of debt maturity in reducing inflation variability is also confirmed in a medium scale DSGE model estimated with US data. |
| Keywords: | Passive monetary policy, Govenment debt management, Fiscal and monetary policy interactions, Bayesian estimation, Ramsey policy |
| JEL: | E31 E52 E58 E62 C11 |
| Date: | 2021–07–13 |
| URL: | http://d.repec.org/n?u=RePEc:ctl:louvir:2021018&r= |
| By: | Raphaël Cardot-Martin (CRESE EA3190, Univ. Bourgogne Franche-Comté, F-25000 Besançon, France); Fabien Labondance (CRESE EA3190, Univ. Bourgogne Franche-Comté, F-25000 Besançon, France); Catherine Refait-Alexandre (CRESE EA3190, Univ. Bourgogne Franche-Comté, F-25000 Besançon, France) |
| Abstract: | We assess if capital ratios reduced the occurrence of banking crises in the European Union from 1998 to 2017. We use a Probit model and estimate the effect of two measures: the bank capital to total assets ratio and the bank regulatory capital to Risk Weighted Assets (RWA). We found that both measures affect negatively the probability of crisis. This result is robust to the exclusion of outliers, to the inclusion of various control variables for banking, financial and macroeconomic risks. Finally, we show that while the bank regulatory capital to RWA has always a negative effect on the probability of crisis, the bank capital to total assets ratio is only significant above a threshold, estimated between 10% and 12%. |
| Keywords: | Unconventional measures, retail interest rate, Heterogeneous panel |
| JEL: | G21 E44 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:crb:wpaper:2021-05&r= |
| By: | Boris Chafwehé (European Commission - JRC); Charles de Beauffort (Université Catholique de Louvain); Rigas Oikonomou (Université Catholique de Louvain) |
| Abstract: | We study the impact of debt maturity management in an economy where monetary policy is 'passive' and subservient to fiscal policy. We setup a tractable model, to characterize analytically the dynamics of inflation, as well as other macroeconomic variables, showing their dependence on the monetary policy rule and on the maturity of debt. Debt maturity becomes a key variable when the monetary authority reacts to inflation and the appropriate maturity of debt can restore the efficacy of monetary policy in controlling inflation. This requires debt management to focus on issuing long bonds. Moreover, we propose a novel framework of Ramsey optimal coordinated debt and monetary policies, to derive analytically the interest rate rule followed by the monetary authority as a function of debt maturity. The optimal policy model leads to the same prescription, long-term debt financing enables to stabilize inflation. Lastly, the relevance of debt maturity in reducing inflation variability is also confirmed in a medium scale DSGE model estimated with US data. |
| Keywords: | Passive Monetary Policy, Government Debt Management, Fiscal and Monetary Policy Interactions, Bayesian estimation, Ramsey policy. |
| JEL: | E31 E52 E58 E62 C11 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:ipt:taxref:202111&r= |
| By: | Helmut Wasserbacher; Martin Spindler |
| Abstract: | This article is an introduction to machine learning for financial forecasting, planning and analysis (FP\&A). Machine learning appears well suited to support FP\&A with the highly automated extraction of information from large amounts of data. However, because most traditional machine learning techniques focus on forecasting (prediction), we discuss the particular care that must be taken to avoid the pitfalls of using them for planning and resource allocation (causal inference). While the naive application of machine learning usually fails in this context, the recently developed double machine learning framework can address causal questions of interest. We review the current literature on machine learning in FP\&A and illustrate in a simulation study how machine learning can be used for both forecasting and planning. We also investigate how forecasting and planning improve as the number of data points increases. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2107.04851&r= |
| By: | Andre, Peter (University of Bonn); Falk, Armin (briq, 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:iza:izadps:dp14527&r= |
| By: | Cuong Le Van (IPAG Business School, CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - ENPC - École des Ponts ParisTech - ENS Paris - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique - EHESS - École des hautes études en sciences sociales - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique); Ngoc-Sang Pham (Métis Lab EM Normandie - EM Normandie - École de Management de Normandie, EM Normandie - École de Management de Normandie) |
| Abstract: | We study the existence of equilibrium when agents' preferences may not be convex. For some specific utility functions, we provide a necessary and sufficient condition under which there exists an equilibrium. The standard approach cannot be directly applied to our examples because the demand correspondence of some agents is neither single valued nor convex valued. |
| Keywords: | general equilibrium.,Non-convex preferences |
| Date: | 2021–03–23 |
| URL: | http://d.repec.org/n?u=RePEc:hal:cesptp:halshs-03177843&r= |
| By: | Supriya Bajpai |
| Abstract: | In stock trading, feature extraction and trading strategy design are the two important tasks to achieve long-term benefits using machine learning techniques. Several methods have been proposed to design trading strategy by acquiring trading signals to maximize the rewards. In the present paper the theory of deep reinforcement learning is applied for stock trading strategy and investment decisions to Indian markets. The experiments are performed systematically with three classical Deep Reinforcement Learning models Deep Q-Network, Double Deep Q-Network and Dueling Double Deep Q-Network on ten Indian stock datasets. The performance of the models are evaluated and comparison is made. |
| Date: | 2021–05 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2106.16088&r= |
| By: | Cynthia Pagliaro; Dhagash Mehta; Han-Tai Shiao; Shaofei Wang; Luwei Xiong |
| Abstract: | Modeling investor behavior is crucial to identifying behavioral coaching opportunities for financial advisors. With the help of natural language processing (NLP) we analyze an unstructured (textual) dataset of financial advisors' summary notes, taken after every investor conversation, to gain first ever insights into advisor-investor interactions. These insights are used to predict investor needs during adverse market conditions; thus allowing advisors to coach investors and help avoid inappropriate financial decision-making. First, we perform topic modeling to gain insight into the emerging topics and trends. Based on this insight, we construct a supervised classification model to predict the probability that an advised investor will require behavioral coaching during volatile market periods. To the best of our knowledge, ours is the first work on exploring the advisor-investor relationship using unstructured data. This work may have far-reaching implications for both traditional and emerging financial advisory service models like robo-advising. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2107.05592&r= |
| By: | Sohrab Mokhtari; Kang K. Yen; Jin Liu |
| Abstract: | This paper tries to address the problem of stock market prediction leveraging artificial intelligence (AI) strategies. The stock market prediction can be modeled based on two principal analyses called technical and fundamental. In the technical analysis approach, the regression machine learning (ML) algorithms are employed to predict the stock price trend at the end of a business day based on the historical price data. In contrast, in the fundamental analysis, the classification ML algorithms are applied to classify the public sentiment based on news and social media. In the technical analysis, the historical price data is exploited from Yahoo Finance, and in fundamental analysis, public tweets on Twitter associated with the stock market are investigated to assess the impact of sentiments on the stock market's forecast. The results show a median performance, implying that with the current technology of AI, it is too soon to claim AI can beat the stock markets. |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2107.01031&r= |
| By: | Priyank Sonkiya; Vikas Bajpai; Anukriti Bansal |
| Abstract: | The stock market has been a popular topic of interest in the recent past. The growth in the inflation rate has compelled people to invest in the stock and commodity markets and other areas rather than saving. Further, the ability of Deep Learning models to make predictions on the time series data has been proven time and again. Technical analysis on the stock market with the help of technical indicators has been the most common practice among traders and investors. One more aspect is the sentiment analysis - the emotion of the investors that shows the willingness to invest. A variety of techniques have been used by people around the globe involving basic Machine Learning and Neural Networks. Ranging from the basic linear regression to the advanced neural networks people have experimented with all possible techniques to predict the stock market. It's evident from recent events how news and headlines affect the stock markets and cryptocurrencies. This paper proposes an ensemble of state-of-the-art methods for predicting stock prices. Firstly sentiment analysis of the news and the headlines for the company Apple Inc, listed on the NASDAQ is performed using a version of BERT, which is a pre-trained transformer model by Google for Natural Language Processing (NLP). Afterward, a Generative Adversarial Network (GAN) predicts the stock price for Apple Inc using the technical indicators, stock indexes of various countries, some commodities, and historical prices along with the sentiment scores. Comparison is done with baseline models like - Long Short Term Memory (LSTM), Gated Recurrent Units (GRU), vanilla GAN, and Auto-Regressive Integrated Moving Average (ARIMA) model. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2107.09055&r= |
| By: | Nassim Nicholas Taleb |
| Abstract: | We apply quantitative finance methods and economic arguments to cryptocurrencies in general and bitcoin in particular -- as there are about $10,000$ cryptocurrencies, we focus (unless otherwise specified) on the most discussed crypto of those that claim to hew to the original protocol (Nakamoto, 2009) and the one with, by far, the largest market capitalization. In its current version, in spite of the hype, bitcoin failed to satisfy the notion of "currency without government" (it proved to not even be a currency at all), can be neither a short nor long term store of value (its expected value is no higher than $0$), cannot operate as a reliable inflation hedge, and, worst of all, does not constitute, not even remotely, a safe haven for one's investments, a shield against government tyranny, nor a tail protection vehicle for catastrophic episodes. Furthermore, there appears to be an underlying conflation between the success of a payment mechanism (as a decentralized mode of exchange), which so far has failed, and the speculative variations in the price of a zero-sum asset with massive negative externalities. Going through monetary history, we also show how a true numeraire must be one of minimum variance with respect to an arbitrary basket of goods and services, how gold and silver lost their inflation hedge status during the Hunt brothers squeeze in the late 1970s and what would be required from a true inflation hedged store of value. |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2106.14204&r= |
| By: | Burak Can; Jens Leth Hougaard; Mohsen Pourpouneh |
| Abstract: | This paper proposes a conceptual framework for the analysis of reward sharing schemes in mining pools, such as those associated with Bitcoin. The framework is centered around the reported shares in a pool instead of agents and results in two new fairness criteria, absolute and relative redistribution. These criteria impose that the addition of a share to the pool affects all previous shares in the same way, either in absolute amount or in relative ratio. We characterize two large classes of economically viable reward sharing schemes corresponding to each of these fairness criteria in turn. We further show that the intersection of these classes brings about a generalization of the well-known proportional scheme, which also leads to a new characterization of the proportional scheme as a corollary. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2107.05302&r= |
| By: | Makarov, Dmitry |
| Abstract: | A prominent approach to modelling ambiguity about stock return distribution is to assume that investors have multiple priors about the distribution and these priors are distributed according to a certain second-order distribution. Realistically, investors may also have multiple priors about the second-order distribution, thus allowing for ambiguous ambiguity. Despite a long history of debates about this idea (Reichenbach [1949], Savage [1954]), there seems to be no formal analysis of investment behavior in the presence of this feature. We develop a tractable portfolio choice framework incorporating ambiguous ambiguity, characterize analytically the optimal portfolio, and examine its properties. |
| Keywords: | ambiguous ambiguity, portfolio choice, smooth ambiguity, third-order probabilities |
| JEL: | D81 G11 |
| Date: | 2020–06 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:108837&r= |
| By: | Katia Colaneri; Alessandra Cretarola; Benedetta Salterini |
| Abstract: | In this paper we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial frameworks are dependent since stock prices and insurance claims vary according to a common factor given by a continuous time finite state Markov chain. We construct the value function and we prove that it is a forward dynamic utility. Then, we characterize the investment strategy and the optimal proportional level of reinsurance. We also perform numerical experiments and provide sensitivity analyses with respect to some model parameters. |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2106.13888&r= |
| By: | Andrea Loi; Stefano Matta |
| Abstract: | We study the connection between risk aversion, number of consumers and uniqueness of equilibrium. We consider an economy with two goods and $c$ impatience types, where each type has additive separable preferences with HARA Bernoulli utility function, $u_H(x):=\frac{\gamma}{1-\gamma}(b+\frac{a}{\gamma}x)^{1-\gamma}$. We show that if $\gamma\in (1, \frac{c}{c-1}]$, the equilibrium is unique. Moreover, the methods used, involving Newton's symmetric polynomials and Descartes' rule of signs, enable us to offer new sufficient conditions for uniqueness in a closed-form expression highlighting the role played by endowments, patience and specific HARA parameters. Finally new necessary and sufficient conditions in ensuring uniqueness are derived for the particular case of CRRA Bernoulli utility functions with $\gamma =3$. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2107.01947&r= |
| By: | Patrick Martin (Environmental law specialist and Consultan, Macroeconomic and Financing for Development Division, UNESCAP); Zeinab Elbeltagy (Consultant, Macroeconomic and Financing for Development Division, UNESCAP); Zenathan Hasannudin; Masato Abe (Macroeconomic Policy and Financing for Development Division, UNESCAP) |
| Abstract: | Considering the significant effect financial institutions (FIs) have on society and the environment, they have a crucial role in achieving the Sustainable Development Goals (SDG) and addressing climate change concerns. Not surprisingly, there is a growing interest in how FIs manage the environmental and social (E&S) risks emanating from their activities. While studying the ‘Innovative Climate Finance Mechanisms for Financial Institutions’, we conducted a survey to investigate the factors affecting FIs’ E&S performance in 11 countries in the Asia-Pacific region. This paper outlines the survey findings and provides insights into the factors affecting E&S performance of FIs. The paper identifies that awareness of E&S risks in the region is growing but from a low base and that E&S risks are increasingly integrated into risk management analysis and reporting frameworks. The paper demonstrates that although some FIs have made significant progress, considerable variation still exists among countries and institutions, and considerable work is still needed to improve E&S performance of FIs in the region. The paper highlights that although policy reforms and engagement can, over time, influence E&S performance of FIs, a lack of management support and institutional capacity remain significant constraints. The paper can assist policymakers in understanding the factors affecting E&S performance of FIs and in distilling the policy options needed to help them better integrate E&S risks into their operations |
| Keywords: | Financial institutions, Climate Finance, Environmental and Social Risk paper |
| JEL: | F65 G23 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:unt:wpmpdd:wp/21/01&r= |
| By: | Silvana M. Pesenti |
| Abstract: | We consider the problem where a modeller conducts sensitivity analysis of a model consisting of random input factors, a corresponding random output of interest, and a baseline probability measure. The modeller seeks to understand how the model (the distribution of the input factors as well as the output) changes under a stress on the output's distribution. Specifically, for a stress on the output random variable, we derive the unique stressed distribution of the output that is closest in the Wasserstein distance to the baseline output's distribution and satisfies the stress. We further derive the stressed model, including the stressed distribution of the inputs, which can be calculated in a numerically efficient way from a set of baseline Monte Carlo samples. The proposed reverse sensitivity analysis framework is model-free and allows for stresses on the output such as (a) the mean and variance, (b) any distortion risk measure including the Value-at-Risk and Expected-Shortfall, and (c) expected utility type constraints, thus making the reverse sensitivity analysis framework suitable for risk models. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2107.01065&r= |
| By: | Davis, John D. (Department of Economics Marquette University); McMaster, Robert (University of Glasgow) |
| Abstract: | This paper departs from the standard abstract economics approach to health economics to develop a specifically contextualist approach to the subject emphasizing social and historical circumstances affecting health provision. Following Polanyi, it sees the economy as socially embedded and economic relationships as social relationships. The paper critically examines Grossman’s natural science utility maximization explanation of people’s demand for health and health care, and advances an alternative social science account using a two-way analysis between micro level social relationships and the macro level organization of health in society. Three significant trends affecting the future of health systems are discussed. The paper closes with comments on the influence of psychology in the form of behavioral economics on the future development of a contextualist approach to health economics. |
| Keywords: | contextualism, Polanyi, social embeddedness, Grossman, health systems, behavioral economics |
| JEL: | I12 A12 A13 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:mrq:wpaper:2021-06&r= |
| By: | Titalessy, Pisi Bethania |
| Abstract: | The problem of climate change is increasingly global and results in environmental damage due to the use of fossil energy in human activities. An increasing population will make energy consumption increase and can make things worse. Therefore, it is necessary to replace old energy with alternative energy that is more environmentally friendly and makes productivity effective and efficient. Renewable energy is pointed out as an alternative energy source that is environmentally friendly and the process is sustainable because it is always available in nature. Renewable energy is expected to increase the country's national income. This study aims to analyze the impact of renewable energy on economic growth in the Asia Pacific region as a whole. By using data from 2000-2015, panel data analysis in this study shows that Renewable Energy Consumption (REC) has a negative and significant relationship to economic growth, while renewable energy and combustible waste (CRW) has a significant and positive effect on economic growth. |
| Date: | 2021–06–26 |
| URL: | http://d.repec.org/n?u=RePEc:osf:osfxxx:wn569&r= |
| By: | Robert E. Hall; Marianna Kudlyak |
| Abstract: | Potential workers are classified as unemployed if they seek work but are not working. The unemployed population contains two groups---those with jobs and those without jobs. Those with jobs are on furlough or temporary layoff. This group expanded tremendously in April 2020. They wait out periods of non-work with the understanding that their jobs still exist and that they will be recalled. We show that the resulting temporary-layoff unemployment dissipates quickly following a spike. Potential workers without jobs constitute what we call jobless unemployment. Shocks that elevate jobless unemployment have much more persistent effects. Historical major adverse shocks, such as the financial crisis in 2008, created mostly jobless unemployment and consequently caused extended periods of elevated unemployment. The pandemic of 2020 created a large volume of temporary-layoff unemployment, mostly starting in April. It was mostly dissipated by the end of 2020. It also created a bulge in jobless unemployment. |
| Keywords: | Business cycle; Recovery; Unemployment; Recession; Layoffs; Recall |
| JEL: | E32 J63 J64 |
| Date: | 2021–07–08 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedfwp:92905&r= |
| By: | Angelo Garangau Menezes; Saulo Martiello Mastelini |
| Abstract: | Forecasting financial time series is considered to be a difficult task due to the chaotic feature of the series. Statistical approaches have shown solid results in some specific problems such as predicting market direction and single-price of stocks; however, with the recent advances in deep learning and big data techniques, new promising options have arises to tackle financial time series forecasting. Moreover, recent literature has shown that employing a combination of statistics and machine learning may improve accuracy in the forecasts in comparison to single solutions. Taking into consideration the mentioned aspects, in this work, we proposed the MegazordNet, a framework that explores statistical features within a financial series combined with a structured deep learning model for time series forecasting. We evaluated our approach predicting the closing price of stocks in the S&P 500 using different metrics, and we were able to beat single statistical and machine learning methods. |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2107.01017&r= |
| By: | Mohammad Rasouli; Michael I. Jordan |
| Abstract: | With the growing use of distributed machine learning techniques, there is a growing need for data markets that allows agents to share data with each other. Nevertheless data has unique features that separates it from other commodities including replicability, cost of sharing, and ability to distort. We study a setup where each agent can be both buyer and seller of data. For this setup, we consider two cases: bilateral data exchange (trading data with data) and unilateral data exchange (trading data with money). We model bilateral sharing as a network formation game and show the existence of strongly stable outcome under the top agents property by allowing limited complementarity. We propose ordered match algorithm which can find the stable outcome in O(N^2) (N is the number of agents). For the unilateral sharing, under the assumption of additive cost structure, we construct competitive prices that can implement any social welfare maximizing outcome. Finally for this setup when agents have private information, we propose mixed-VCG mechanism which uses zero cost data distortion of data sharing with its isolated impact to achieve budget balance while truthfully implementing socially optimal outcomes to the exact level of budget imbalance of standard VCG mechanisms. Mixed-VCG uses data distortions as data money for this purpose. We further relax zero cost data distortion assumption by proposing distorted-mixed-VCG. We also extend our model and results to data sharing via incremental inquiries and differential privacy costs. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2107.08630&r= |
| By: | Sarah Flèche (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, CEP - LSE - Centre for Economic Performance - LSE - London School of Economics and Political Science); Anthony Lepinteur (Department of Behavioural and Cognitive Sciences); Nattavudh Powdthavee (WBS - Warwick Business School - University of Warwick [Coventry], IZA - Forschungsinstitut zur Zukunft der Arbeit - Institute of Labor Economics) |
| Abstract: | Would improving women's access to capital reduce the gender entrepreneurial gap? We study this issue by exploiting longitudinal data on lottery winners. Comparing between large to small winners, we find that an increase in lottery win in period t-1 significantly increases the likelihood of becoming self-employed in period t. This windfall effect is statistically the same in magnitude for men and women; the top 25% winners (an average win = £831.16) in year t-1 report a significant increase in the probability of self-employment in year t by approximately 2 percentage points, which is approximately 20-30% of the gender entrepreneurial gap. These results suggest that we can causally reduce the gender entrepreneurial gap by improving women's access to capital that might not be as readily available to the aspiring female entrepreneurs as it is to male entrepreneurs |
| Keywords: | gender inequality,self-employment,lottery wins,BHPS |
| Date: | 2021–05 |
| URL: | http://d.repec.org/n?u=RePEc:hal:cesptp:halshs-03260992&r= |
| By: | Matthew Smith; Yasaman Sarabi |
| Abstract: | This study examines patterns of regionalisation in the International Trade Network (ITN). This study makes use of Gould Fernandez brokerage to examine the roles countries play in the ITN linking different regional partitions. An examination of three ITNs is provided for three networks with varying levels of technological content, representing trade in high tech, medium tech, and low-tech goods. Simulated network data, based on an advanced network model controlling for degree centralisation and clustering patterns, is compared to the observed data to examine whether the roles countries play within and between regions are result of centralisation and clustering patterns. The findings indicate that the roles countries play between and within regions is a result of centralisation and clustering patterns; indicating a need to examine the presence of hubs when investigating regionalisation and globalisation patterns in the modern global economy. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2107.01696&r= |
| By: | Kiran Javaria (University of Lahore); Omar Masood (University of Lahore); Fernando Garcia (Polytechnic University of Valencia) |
| Abstract: | The study investigates the management of risk in E-Commerce and what different barriers are faced by consumers during an uncertain and risky situation. The study utilizes both primary and secondary data in order to get reliable results. There are different risk factors that affect the purchasing behaviour of consumers who shop online. The consumer's perception of risk may be the result of all the emotional processes through which consumers recognize, organize and provide meaning to sensations received, such as the need for product quality, safety online and overall satisfaction. The primary data consists of a survey of online shoppers. The research data and questionnaire was administered to 972 internet users who are classed as experienced and avid users. The secondary data includes an analysis of the various theories of consumer behaviour, models of online adoption, risk factors to marketing and shopping online, models of the adoption of innovation and new ways of marketing and trade. Both techniques are utilized that would examine the relationship between perceived risk strategies and customer satisfaction as well as examined the customer involvement and propensity to take risk on existing relation of online shopping. |
| Keywords: | E-commerce,risk management,financial manager,perceived risk strategies,customer satisfaction,customer involvement,propensity to take risk |
| Date: | 2020–12–30 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-03271869&r= |
| By: | Jesus M. Gonzalez-Barahona |
| Abstract: | Background: During the last years, there has been a lot of discussion and estimations on the energy consumption of Bitcoin miners. However, most of the studies are focused on estimating energy consumption, not in exploring the factors that determine it. Goal: To explore the factors that determine maximum energy consumption of Bitcoin miners. In particular, analyze the limits of energy consumption, and to which extent variations of the factors could produce its reduction. Method: Estimate the overall profit of all Bitcoin miners during a certain period of time, and the costs (including energy) that they face during that time, because of the mining activity. The underlying assumptions is that miners will only consume energy to mine Bitcoin if they have the expectation of profit, and at the same time they are competitive with respect of each other. Therefore, they will operate as a group in the point where profits balance expenditures. Results: We show a basic equation that determines energy consumption based on some specific factors: minting, transaction fees, exchange rate, energy price, and amortization cost. We also define the Amortization Factor, which can be computed for mining devices based on their cost and energy consumption, helps to understand how the cost of equipment influences total energy consumption. Conclusions: The factors driving energy consumption are identified, and from them, some ways in which Bitcoin energy consumption could be reduced are discussed. Some of these ways do not reduce the most important properties of Bitcoin, such as the chances of control of the aggregated hashpower, or the fundamentals of the proof of work mechanism. In general, the methods presented can help to predict energy consumption in different scenarios, based on factors that can be calculated from available data, or assumed in scenarios. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2107.10634&r= |
| By: | Panagiotis Kanellopoulos; Maria Kyropoulou; Hao Zhou |
| Abstract: | We study financial systems from a game-theoretic standpoint. A financial system is represented by a network, where nodes correspond to firms, and directed labeled edges correspond to debt contracts between them. The existence of cycles in the network indicates that a payment of a firm to one of its lenders might result to some incoming payment. So, if a firm cannot fully repay its debt, then the exact (partial) payments it makes to each of its creditors can affect the cash inflow back to itself. We naturally assume that the firms are interested in their financial well-being (utility) which is aligned with the amount of incoming payments they receive from the network. This defines a game among the firms, that can be seen as utility-maximizing agents who can strategize over their payments. We are the first to study financial network games that arise under a natural set of payment strategies called priority-proportional payments. We investigate the existence and (in)efficiency of equilibrium strategies, under different assumptions on how the firms' utility is defined, on the types of debt contracts allowed between the firms, and on the presence of other financial features that commonly arise in practice. Surprisingly, even if all firms' strategies are fixed, the existence of a unique payment profile is not guaranteed. So, we also investigate the existence and computation of valid payment profiles for fixed payment strategies. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2107.06623&r= |
| By: | Melani, Olivia Erisa |
| Abstract: | Efforts were made by the state to restore its economy. MSMEs as an important asset and the driving wheel of the Indonesian economy, which also contributes significantly to the country's GDP, are almost entirely affected by this condition. Some small businesses are unable to survive, mostly due to lack of innovation, and involvement in digitization. There needs to be empowerment for each MSMEs as a step to strengthen the economy and increase competitiveness in domestic and international markets. |
| Date: | 2021–06–05 |
| URL: | http://d.repec.org/n?u=RePEc:osf:osfxxx:tm7yr&r= |
| By: | Zeinab Elbeltagy (Intern, Macroeconomic and Financing for Development Division, UNESCAP); Zenathan Hasannudin (Macroeconomic Policy and Financing for Development Division, UNESCAP) |
| Abstract: | Access to finance has been found crucial in influencing firms’ real activities and economic performance.This paper investigates the relationship between the financing structure and firm performance by explor-ing a unique panel dataset of 59,968 Micro and Small Enterprises (MSEs) operating in the manufacturingsector in Indonesia over the 2010-2015 period. We collected a rich set of information about source ofloans to assess the firm performance using yearly total factor productivity (TFP) and labor productivityof each firm. We then examined whether more financing options available to women entrepreneurshipimproves firm performance. Our results show that financial factors are highly decisive to firms’ TFPand labor productivity. The MSEs which have access to external formal financing directly improvesproductivity at the firm level. Moreover, the study finds a significant underperformance of firms ownedby women entrepreneurs compared to those owned by men entrepreneurs. Nevertheless, we found thatwomen entrepreneurs who have access to formal financing improve their firm’s performance. The effectsof finance on productivity are also linked to the firm’s ownership, education, size and age. Our resultsare robust as demonstrated through the use of different approaches. These results provide support forpolicymakers to alleviate credit constraints to enhance productivity of micro and small enterprises andespecially woman entrepreneurship in Indonesia. |
| Keywords: | Total factor productivity, inclusive financing, woman entrepreneurship |
| JEL: | G21 J16 L25 L26 N65 |
| Date: | 2020–09 |
| URL: | http://d.repec.org/n?u=RePEc:unt:wpmpdd:wp/20/09&r= |
| By: | Robert Merl (Institute of Banking and Finance, University of Graz); Stefan Palan (Institute of Banking and Finance, University of Graz); Thomas Stöckl (Department Business & Management, Management Center Innsbruck) |
| Abstract: | Modern capital markets are subject to many interventions and regulations, some of which curtail the implementation of specific trading strategies in a market. While we understand much of these regulations' individual effects, the picture is less clear about their joint effects. This paper considers the interaction of two regulations, namely rules limiting shorting of assets and cash, and rules limiting insider trading. For these regulations, prior research shows spikes in short-selling activity around the revelation of insider information, which different studies trace to different causes. Among other results, we find that both allowing short positions and allowing informed trading causes informed traders to increase their market activity and causes mispricing and spreads to diminish. Nevertheless, we find no evidence for significant interaction effects between the two regulations. |
| Date: | 2021–07–20 |
| URL: | http://d.repec.org/n?u=RePEc:grz:wpsses:2021-03&r= |
| By: | George M. Constantinides |
| Abstract: | I estimate welfare benefits of eliminating idiosyncratic consumption shocks unrelated to the business cycle as 47.3% of household utility and benefits of eliminating idiosyncratic shocks related to the business cycle as 3.4% of utility. Estimates of the former substantially exceed earlier ones because I distinguish between idiosyncratic shocks related/unrelated to the business cycle, estimate the negative skewness of shocks, target moments of idiosyncratic shocks from household-level CEX data, and target market moments. Benefits of eliminating aggregate shocks are 7.7% of utility. Policy should focus on insuring idiosyncratic shocks unrelated to the business cycle, such as the death of a household’s prime wage earner and job layoffs not necessarily related to recessions. |
| JEL: | D31 D52 E2 E21 E24 E32 E44 G01 G12 J6 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29009&r= |
| By: | Li, Wei; Paraschiv, Florentina; Sermpinis, Georgios |
| Abstract: | The rapid development of artificial intelligence methods contributes to their wide applications for forecasting various financial risks in recent years. This study introduces a novel explainable case-based reasoning (CBR) approach without a requirement of rich expertise in financial risk. Compared with other black-box algorithms, the explainable CBR system allows a natural economic interpretation of results. Indeed, the empirical results emphasize the interpretability of the CBR system in predicting financial risk, which is essential for both financial companies and their customers. In addition, results show that the proposed automatic design CBR system has a good prediction performance compared to other artificial intelligence methods, overcoming the main drawback of a standard CBR system of highly depending on prior domain knowledge about the corresponding field. |
| Keywords: | Case-based reasoning,Financial risk detection,Multiple-criteria decision-making,Feature scoring,Particle swarm optimization,Parallel computing |
| JEL: | C51 C52 C53 C61 C63 D81 G21 G32 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:irtgdp:2021010&r= |
| By: | Peter Tankov; Laura Tinsi |
| Abstract: | We consider a sequential decision making process, such as renewable energy trading or electrical production scheduling, whose outcome depends on the future realization of a random factor, such as a meteorological variable. We assume that the decision maker disposes of a dynamically updated probabilistic forecast (predictive distribution) of the random factor. We propose several stochastic models for the evolution of the probabilistic forecast, and show how these models may be calibrated from ensemble forecasts, commonly provided by weather centers. We then show how these stochastic models can be used to determine optimal decision making strategies depending on the forecast updates. Applications to wind energy trading are given. |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2106.16047&r= |
| By: | Wessling, Katarina (RS: GSBE Theme Learning and Work, ROA / Education and transition to work); van der Velden, Rolf (RS: GSBE Theme Learning and Work, ROA / Education and transition to work) |
| Abstract: | This conceptual contribution discusses the idea of flexibility of educational systems from a multidisciplinary perspective. We define flexibility as possibilities that are provided by an education system to modify standard (predetermined) learning paths, which result from the structured organization of education. Flexibility at the macro level (i.e., educational system) can relate to policies such as the mobility between educational tracks within stratified systems. At the meso level (i.e., school, classroom), flexibility can entail practices of differentiated instruction. We believe that a systematic integration of flexibility in educational research can provide new insights on individuals’ educational outcomes. Implicitly and unconnectedly, the idea of flexibility exists in several strands of research, typically focusing on educational-system effects on individual outcomes such as (1) sociological research on structural features of the education system, (2) psychological literature on educational effectiveness, and (3) economic research drawing on the education production function. We bridge these three fundamental strands of research with the aim to exemplify the concept of flexibility. In doing so, we propose a definition of flexibility, outline dimensions as well as corresponding indicators. To conclude, we provide some directions for future research. |
| Date: | 2021–04–06 |
| URL: | http://d.repec.org/n?u=RePEc:unm:umagsb:2021006&r= |
| By: | Commander, Simon (IE Business School, Altura Partners); Prieskienyte, Ruta (University of Bath) |
| Abstract: | Can autocracies and their associated institutions successfully implement economic policies that promote growth and investment? Can 'good economics' somehow offset the effects of 'bad' politics? Kazakhstan is a case where an autocratic regime has actively projected market-friendly policies and attracted significant amounts of incoming investment. These policies are to some extent reflected in the country's governance ratings, although there has been a significant amount of investment disputes that question the attachment to the rule of law. Moreover, the political regime remains strongly personalized around the founder President, his family and associates. This is reflected in the economics of the autocracy whereby a large public sector and a set of privately held businesses coexist to mutual benefit. The latter have been formed around a very small number of highly connected individuals whose initial accumulation of assets allows them also to act as necessary gatekeepers for entrants. Competition as a result remains limited in both economic and political domains. Yet, uncertainties over the future leadership, along with latent rivalry over access to resources and markets, make the political equilibrium quite fragile. In short, 'bad' politics both squeezes the space for, and distorts the benefits from, 'good' economics. |
| Keywords: | political networks, autocracy, investment |
| JEL: | D72 H11 L14 P26 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp14554&r= |
| By: | Samuel Forbes; Stefan Grosskinsky |
| Abstract: | We study the wealth distribution of UK households through a detailed analysis of data from wealth surveys and rich lists, and propose a non-linear Kesten process to model the dynamics of household wealth. The main features of our model are that we focus on wealth growth and disregard exchange, and that the rate of return on wealth is increasing with wealth. The linear case with wealth-independent return rate has been well studied, leading to a log-normal wealth distribution in the long time limit which is essentially independent of initial conditions. We find through theoretical analysis and simulations that the non-linearity in our model leads to more realistic power-law tails, and can explain an apparent two-tailed structure in the empirical wealth distribution of the UK and other countries. Other realistic features of our model include an increase in inequality over time, and a stronger dependence on initial conditions compared to linear models. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2107.02169&r= |
| By: | Abanokova, Kseniya (Higher School of Economics, National Research University); Dang, Hai-Anh (World Bank) |
| Abstract: | Hardly any recent study exists that broadly reviews poverty trends over time for Russia. Analyzing the Russian Longitudinal Monitoring Surveys between 1994 and 2019, we offer an updated review of poverty trends and dynamics for the country over the past quarter of century. We find that poverty has been steadily decreasing, with most of the poor having a transient rather than a chronic nature. The bottom 20 percent of the income distribution averages an annual growth rate of 5 percent, which compares favorably with that of 3.3 percent for the whole population. Income growth, particularly the shares that are attributed to labor incomes and public transfers, have important roles in reducing poverty. Our findings are relevant to poverty and social protection policies. |
| Keywords: | RLMS, income mobility, income growth, poverty dynamics, poverty, Russia |
| JEL: | C15 D31 I31 O10 O57 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp14544&r= |
| By: | Albrecht, James (Georgetown University); Cai, Xiaoming (Peking University); Gautier, Pieter A. (Vrije Universiteit Amsterdam); Vroman, Susan (Georgetown University) |
| Abstract: | The literature offers two foundations for competitive search equilibrium, a Nash approach and a market-maker approach. When each buyer visits only one seller (or each worker makes only one job application), the two approaches are equivalent. However, when each buyer visits multiple sellers, this equivalence can break down. Our paper analyzes competitive search equilibrium with simultaneous search using the two approaches. We consider four cases defined by (i) the surplus structure (are the goods substitutes or complements?) and (ii) the mechanism space (do sellers post fees or prices?). With fees, the two approaches yield the same constrained efficient equilibrium. With prices, the equilibrium allocation is the same using both approaches if the goods are complements, but is not constrained efficient. In the case in which only prices are posted and the goods are substitutes, the equilibrium allocations from the two approaches are different. |
| Keywords: | multiple applications, competitive search, market makers, efficiency |
| JEL: | C78 D44 D83 |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp14524&r= |
| By: | Dutta, Sourish |
| Abstract: | The global production as a system of creating values is eventually forming a vast web of value chains. It explains the transitional structures of world trade and development of the world economy. It is truly a new wave of globalisation, and we term it as the global value chains (GVCs), creating the nexus among firms, workers and consumers around the globe. The emergence of this new scenario raises some crucial questions. It asks how an economy's businesses, producers and employees are connecting to the global economy. How are they capturing the gains out of it regarding different dimensions of economic development? Indeed, this GVC approach is very crucial for understanding the organisation of the global industries and firms. It requires analysing the statics and dynamics of different economic players involved in this complex global production network. Its widespread notion deals with diverse global, regional, and local issues from the top-down to bottom-up, building scope for policy analysis. In this context, this study will attempt to quantify the extent and impacts of India's engagement in GVCs, based on available data. It will also strive to propose a comprehensive strategic framework to identify the objectives of India's GVC participation and development with some suitable economic strategies to achieve them. |
| Date: | 2021–06–26 |
| URL: | http://d.repec.org/n?u=RePEc:osf:osfxxx:ugkr6&r= |
| By: | Kelly, Colm; Snower, Dennis J. |
| Abstract: | This paper examines major forces that have decoupled economic and business prosperity from social prosperity and explores how recoupling can be promoted. Economists have specified well-known conditions under which free market enterprise with shareholder value maximization is efficient. These conditions are systematically violated by three forces - globalization, technological advance and financialization (GTF) - that have weakened the connections between economies and societies over the past four decades. Consequently, the recoupling process requires abandoning the default premise of economic decision making that social progress follows financial performance. For business, it calls for a move from shareholder to stakeholder value. For government, it calls for setting legal obligations, targets and incentives to ensure that stakeholder value is compatible with a rigorously defined concept of 'societal and planetary value.' |
| Keywords: | recoupling,shareholder value,stakeholder value,wellbeing,globalization,technological advance,financialization |
| JEL: | M10 M14 B55 B41 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:ifwkwp:2191&r= |
| By: | Zhenqian Huang (Macroeconomic Policy and Financing for Development Division, United Nations Economic and Social Commission for Asia and the Pacific); Sweta C. Saxena (Macroeconomic Policy and Financing for Development Division, United Nations Economic and Social Commission for Asia and the Pacific) |
| Abstract: | Asia and the Pacific is facing its worst economic contraction at least since the 1970s due to the COVID-19 pandemic. The consequent economic weakness is likely to set back the region’s socio-economic progress and is predicted to push a significant number of people into unemployment and poverty while increasing inequality. Although slowdown in economic activities has provided some breathing space to the environment, such a benefit could turn out to be temporary. The region faces a difficult path to recovery, due to deepened existing vulnerabilities that include weak economic conditions and other exogenous shocks. These challenging times call for unprecedented relief and stimulus policies and offer an opportunity for countries to align their socio-economic policies with the 2030 Agenda to ensure a more inclusive, greener and more resilient future. Such policies include increasing investments in Sustainable Development Goals and strengthening governance to improve investment efficiency. Climate resilience should be built into investment projects. Regulatory changes could catalyze such efforts to “build forward better”. Partnership with local, national and international stakeholders is critical for Governments to support this development transition. |
| Date: | 2020–08 |
| URL: | http://d.repec.org/n?u=RePEc:unt:pbmpdd:pb114&r= |
| By: | Sepúlveda Velásquez, Jorge; Tapia Griñen, Pablo; Pastén Henríquez, Boris |
| Abstract: | In this study, stock performance of the BRIC countries is examined and compared with regards to the announcement of the H1N1 and COVID-19 pandemics. With the use of the event study methodology, we have found evidence that the reactions of these stock markets when faced with these pandemics are diverse, even though they belong to the same group. Apparently, the assimilation of previous experiences improves the actions of the financial market, by reducing the duration and magnitude of the drop in returns when faced with these events, and promoting the semi-strong form of the Efficient Market Hypothesis (EMH). |
| Keywords: | COVID-19, H1N1, BRIC, event study, pandemic. |
| JEL: | G14 G15 |
| Date: | 2021–06–20 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:108764&r= |
| By: | Franz Dietrich (Centre d'Economie de la Sorbonne, Paris School of Economics); Brian Jabarian (Université Paris 1 Paris School of Economics) |
| Abstract: | While ordinary decision theory focuses on empirical uncertainty, real decision-makers also normative uncertainty: uncertainty about value itself. Normative uncertainty is comparable to (Harsanyian or Rawlsian) uncertainty in the 'original position', where one's values are unknown. A comprehensive decisiion theory must address twofold uncertainty - normative and empirical. We present a simple model of twofold uncertainty, and show that the most popular decision principle - maximising expected value ('Expectationalism') - has rival formulations, namely Ex-Ante Expectationalism, Ex-Post Expectationalism, and hybrid theories. These rival theories recommend different decisions, reasoning modes, and attitudes to risk. But they converge under an interesting (necessary and sufficient) condition |
| Keywords: | normative versus empirical uncertainty; expected value theory; expectationalism; ex-ante versus ex-post approach |
| JEL: | D81 |
| Date: | 2020–09 |
| URL: | http://d.repec.org/n?u=RePEc:mse:cesdoc:20015rr&r= |
| By: | Don Fullerton; Shan He |
| Abstract: | Circular Economy literature recommends longer lasting products, in order to reduce pollution from extraction, production, and disposal. Our economic analysis finds conditions where consumers choose lives that are too short – a “durability gap”. Then policies targeting durability raise welfare. While externalities are corrected by Pigovian taxes that ignore durability, raising the output tax nonetheless induces consumers to pay more for goods that last longer. Second, if the tax is suboptimal, a durability mandate raises welfare. Third, internalities have ambiguous effects. Fourth, a social discount rate less than private discount rate is the strongest case for policy to favor durability. |
| Keywords: | Pigovian taxes, first-best policy, externalities, internalities |
| JEL: | H21 H23 Q58 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_9171&r= |
| By: | Dixon, Huw (Cardiff Business School); Franklin, Jeremy (Bank of England); Millard, Stephen (Bank of England, Centre for Macroeconomics and Durham University Business School.) |
| Abstract: | In this paper, we examine the extent to which monetary policy should respond to movements in sectoral inflation rates. To do this we construct a Generalised Taylor model that takes specific account of the sectoral make-up of the consumer price index (CPI). We calibrate the model for each sector using the UK CPI microdata. We find that a policy rule that allows for different responses to inflation in different sectors outperforms a rule which just targets aggregate CPI, as does a rule that responds only to non food and energy inflation. However, we find that the optimal sectoral rule only leads to a small absolute improvement in terms of extra consumption. |
| Keywords: | CPI inflation, Sectoral inflation rates, Generalised Taylor economy, Financial Intermediation |
| JEL: | E17 E31 E52 |
| Date: | 2021–05 |
| URL: | http://d.repec.org/n?u=RePEc:cdf:wpaper:2021/10&r= |
| By: | H\'el\`ene Halconruy |
| Abstract: | In an incomplete market underpinned by the trinomial model, we consider two investors : an ordinary agent whose decisions are driven by public information and an insider who possesses from the beginning a surplus of information encoded through a random variable for which he or she knows the outcome. Through the definition of an auxiliary model based on a marked binomial process, we handle the trinomial model as a volatility one, and use the stochastic analysis and Malliavin calculus toolboxes available in that context. In particular, we connect the information drift, the drift to eliminate in order to preserve the martingale property within an initial enlargement of filtration in terms of the Malliavin derivative. We solve explicitly the agent and the insider expected logarithmic utility maximisation problems and provide a hedging formula for replicable claims. We identify the insider expected additional utility with the Shannon entropy of the extra information, and examine then the existence of arbitrage opportunities for the insider. |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2106.15208&r= |
| By: | P\'al Andr\'as Papp; Roger Wattenhofer |
| Abstract: | We study financial networks where banks are connected by debt contracts. We consider the operation of debt swapping when two creditor banks decide to exchange an incoming payment obligation, thus leading to a locally different network structure. We say that a swap is positive if it is beneficial for both of the banks involved; we can interpret this notion either with respect to the amount of assets received by the banks, or their exposure to different shocks that might hit the system. We analyze various properties of these swapping operations in financial networks. We first show that there can be no positive swap for any pair of banks in a static financial system, or when a shock hits each bank in the network proportionally. We then study worst-case shock models, when a shock of given size is distributed in the worst possible way for a specific bank. If the goal of banks is to minimize their losses in such a worst-case setting, then a positive swap can indeed exist. We analyze the effects of such a positive swap on other banks of the system, the computational complexity of finding a swap, and special cases where a swap can be found efficiently. Finally, we also present some results for more complex swapping operations when the banks swap multiple contracts, or when more than two banks participate in the swap. |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2107.05359&r= |
| By: | Van, Germinal G. |
| Abstract: | The purpose of this essay is to explain how the cost of maintaining the welfare state does not produce the results intended in addition to creating an economic burden on the taxpayer from which he does not obtain any significant benefit. By cost, I do not merely imply monetary cost, but also a social cost. The welfare state exists in almost every advanced economy whether it is in Canada, France, the United Kingdom, Australia, or Germany. However, the analysis of this essay focuses on the welfare system of the United States since it is the country in which I reside. Hence, this essay argues about how the welfare state could be dismantled by a gradual approach rather than an abrupt and revolutionary approach. To elucidate how the welfare state could be dismantled gradually rather than abruptly, I proceeded with the inductive method by first analyzing the historical and statistical evidence related to the welfare state, then developed a hypothetical scenario of the dismantlement of the welfare state. |
| Keywords: | Econometrics, Statistical Modelling, Welfare Economics, Statistical Analysis |
| JEL: | C01 C1 C5 D60 D62 |
| Date: | 2021–07–22 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:108876&r= |
| By: | Isaak D. Mayergoyz; Can E. Korman |
| Abstract: | The paper explores the mathematical modeling of economic hysteresis. First, a general definition of hysteresis as history dependent branching is presented and its relevance to macroeconomic hysteresis is discussed. Then, the classical Preisach modeling of macroeconomic hysteresis is reviewed and the basic facts related to this modeling are outlined. It is stressed that the mathematical structure of the classical Preisach model is intimately related to the origin and nature of macroeconomic hysteresis. Next, to account for the continuous evolution of the economy and its effect on hysteresis, the generalized Preisach model of hysteresis is introduced and its advantages in comparison to the classical Preisach model are discussed. Finally, using Preisach models, it is demonstrated that the sluggishness of economic recovery is an intrinsic manifestation of hysteresis branching. It is shown that this sluggishness can be predicted by using the relevant microeconomic data. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2107.10639&r= |
| By: | Evan Piermont |
| Abstract: | This paper provides a model to analyze and identify a decision maker's (DM's) hypothetical reasoning. Using this model, I show that a DM's propensity to engage in hypothetical thinking is captured exactly by her ability to recognize implications (i.e., to identify that one hypothesis implies another) and that this later relation is captured by a DM's observable behavior. Thus, this characterization both provides a concrete definition of (flawed) hypothetical reasoning and, importantly, yields a methodology to identify these judgments from standard economic data. |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2106.15979&r= |
| By: | Shaojun Ma; Pengcheng Li |
| Abstract: | Predicting intraday trading volume plays an important role in trading alpha research. Existing methods such as rolling means(RM) and a two-states based Kalman Filtering method have been presented in this topic. We extend two states into various states in Kalman Filter framework to improve the accuracy of prediction. Specifically, for different stocks we utilize cross validation and determine best states number by minimizing mean squared error of the trading volume. We demonstrate the effectivity of our method through a series of comparison experiments and numerical analysis. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2107.07678&r= |
| By: | Altermatt, Lukas; Wang, Zijian |
| Abstract: | Oligopolistic competition in the banking sector and risk in the real economy are important characteristics of developed economies, but have so far mostly been abstracted from in monetary economics. We build a dynamic general equilibrium model of monetary policy transmission that incorporates both of these features and document that including them leads to important insights in our understanding of the transmission mechanism. Various equilibrium cases can occur, and policies have differing effects in these cases. We calibrate the model to the U.S. economy in 2016-2019 in order to study how changes in the degree of banking competition or the policy rate would have affected equilibrium outcomes. We find that doubling banking competition would have increased welfare by 1.02\%, but at the cost of increasing the probability of bank default from 0.02\% to 0.44\%. We further find that the policy rate was set optimally to minimize the probability of bank default, but that a decrease in the policy rate by 1pp would have increased welfare by 0.40\%. We also show that bank profits are increasing in the policy rate, in particular when interest rates are low. Thus, a 1pp reduction in the policy rate would have reduced profits per bank by 35.5\% in our calibrated economy. Finally, we document that monetary policy pass-through is incomplete under imperfect competition in the banking sector, as a change in the policy rate by 1pp leads to a change of only 0.92pp in the loan rate, while pass-through to the deposit rate is nearly complete for rate increases, but almost zero for rate reductions due to the zero-lower bound. |
| Keywords: | Oligopoly competition, Risky investment, Monetary policy, Financial intermediation |
| Date: | 2021–07–13 |
| URL: | http://d.repec.org/n?u=RePEc:esx:essedp:30728&r= |
| By: | Matteo Brachetta; Claudia Ceci |
| Abstract: | We discuss a class of debt management problems in a stochastic environment model. We propose a model for the debt-to-GDP (Gross Domestic Product) ratio where the government interventions via fiscal policies affect the public debt and the GDP growth rate at the same time. We allow for stochastic interest rate and possible correlation with the GDP growth rate through the dependence of both the processes (interest rate and GDP growth rate) on a stochastic factor which may represent any relevant macroeconomic variable, such as the state of economy. We tackle the problem of a government whose goal is to determine the fiscal policy in order to minimize a general functional cost. We prove that the value function is a viscosity solution to the Hamilton-Jacobi-Bellman equation and provide a Verification Theorem based on classical solutions. We investigate the form of the candidate optimal fiscal policy in many cases of interest, providing interesting policy insights. Finally, we discuss two applications to the debt reduction problem and debt smoothing, providing explicit expressions of the value function and the optimal policy in some special cases. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2107.10491&r= |
| By: | Stéphanie Pamies; Nicolas Carnot; Anda Pătărău |
| Abstract: | This paper explores the determinants of sovereign interest rate spreads of euro area countries (vis-à-vis Germany), using panel regressions with annual data for 2000-2019. It focuses on the role of fundamental factors, namely fiscal, macroeconomic and institutional variables, while considering also some contextual factors such as global risk aversion and controlling for the influence of central banks’ asset purchases. Through extensive testing of various (fiscal) variables, interactions and non-linearities, the analysis confirms that sovereign spreads respond to fundamental variables, especially the government debt, indicating that such response is non-linear. The results also show that structural factors, such as potential growth and the quality of institutions, can largely mitigate the impact from government debt on spreads. Indeed, in countries with the highest potential growth and strongest institutions, the marginal effect of government debt on spreads would be close to zero. From a policy angle, the results are a reminder that, even in an environment of persistently low rates, more solid fundamentals allow governments to benefit from lower borrowing costs and lessrisk exposure. They also highlight that policies aimed at reinforcing potential growth and government effectiveness can be expected to improve investors’ perception of sovereign risk and their forbearance of higher debt. |
| JEL: | H63 E43 E62 C23 O52 |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:euf:dispap:141&r= |
| By: | Pineda-Hernández, Kevin (Université Libre de Bruxelles); Rycx, Francois (Free University of Brussels); Volral, Mélanie (University of Mons) |
| Abstract: | Although many studies point to the significant influence of collective bargaining institutions on earnings inequalities, evidence on how these institutions shape poverty rates across developed economies remains surprisingly scarce. It would be a mistake, though, to believe that the relationship between earnings inequalities and poverty is straightforward. Indeed, whereas earnings inequalities are measured at the individual level, poverty is calculated at the household level using equivalised (disposable) incomes. Accordingly, in most developed countries poverty is not primarily an issue of the working poor. This paper explicitly addresses the relationship between collective bargaining systems and working-age poverty rates in 24 developed countries over the period 1990-2015. Using an up-to-date and fine-grained taxonomy of bargaining systems and relying on state-of-the-art panel data estimation techniques, we find that countries with more centralised and/or coordinated bargaining systems display significantly lower working-age poverty rates than countries with largely or fully decentralised systems. However, this result only holds in a post-tax benefit scenario. Controlling for country-fixed effects and endogeneity, our estimates indeed suggest that the poverty-reducing effect of collective bargaining institutions stems from the political strength of trade unions in promoting public social spending rather than from any direct effect on earnings inequalities. |
| Keywords: | collective bargaining systems, poverty rates, social security expenditures, panel data, advanced economies |
| JEL: | C23 C26 I32 I38 J51 J52 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp14555&r= |
| By: | Lara Ezquerra (Universidad de las Islas Baleares, Spain); Joaquin Gomez-Minambres (Lafayette College, Department of Economics and Chapman University, Economic Science Institute.); Natalia Jiminez (Universidad Pablo Olavide, Spain); Praveen Kujal (Middlesex University) |
| Abstract: | The implications of (public or private) pre-play communication and information revelation in a labour relationship is not well understood. We address these implications theoretically and experimentally. In our baseline experiments, the employer offers a wage to the worker who may then accept or reject it. In the public and private treatment, workers, moving first, make a non-binding private or public wage proposal. Our theoretical model assumes that wage proposals convey information about a worker's minimum acceptable wage and are misreported with a certain probability. It predicts that, on average, wage proposals lead to higher wage offers and acceptance rates, with the highest wages under private proposals. While both, public and private, proposals increase efficiency over the baseline, private proposals generate higher worker incomes. Broad support for the theoretical predictions is found in the laboratory experiments. Our work has important implications for recent policies promoting public information on wage negotiations. We find that while wage proposals promote higher wages, efficiency, and income equality, public information on wage negotiations is likely to benefit firms more than workers. |
| Keywords: | wage negotiations, cheap talk, laboratory experiments, ultimatum game, wage proposals |
| JEL: | C90 C72 J31 M52 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:chu:wpaper:21-12&r= |