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on Central and Western Asia |
| By: | Advani, Arun (University of Warwick and Institute of Fiscal Studies (IFS)); Ash, Elliot (ETH Zurich); Cai, David (ETH Zurich); Rasul, Imran (University College London and IFS) |
| Abstract: | How does economics compare to other social sciences in its study of issues related to race and ethnicity? We assess this using a corpus of 500,000 academic publications in economics, political science, and sociology. Using an algorithmic approach to classify race-related publications, we document that economics lags far behind the other disciplines in the volume and share of race-related research, despite having higher absolute volumes of research output. Since 1960, there have been 13,000 race-related publications in sociology, 4,000 in political science, and 3,000 in economics. Since around 1970, the share of economics publications that are race-related has hovered just below 2% (although the share is higher in top-5 journals); in political science the share has been around 4% since the mid-1990s, while in sociology it has been above 6% since the 1960s and risen to over 12% in the last decade. Finally, using survey data collected from the Social Science Prediction Platform, we find economists tend to overestimate the amount of race-related research in all disciplines, but especially so in economics. |
| Keywords: | JEL Classification: A11, Z13 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:cge:wacage:565&r= |
| By: | Crafts, Nicholas (University of Sussex and CAGE, University of Warwick) |
| Abstract: | In 1930 Keynes opined that by 2030 people would work only 15 hours per week. As such, this prediction will not be realised. However, expected lifetime hours of leisure and non-market work in the UK rose by 60 per cent between 1931 and 2011, considerably more than Keynes would have expected. This reflects increases in life expectancy at older ages and much longer expected periods of retirement. Leisure in retirement contributes to high life satisfaction for the elderly but building up savings to pay for it is a barrier to working only 15 hours per week. |
| Keywords: | Leisure: Life Expectancy; Retirement; Work JEL Classification: J22; J26; N34 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:cge:wacage:566&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:journl:halshs-03260992&r= |
| By: | Liang Zhao; Wei Li; Ruihan Bao; Keiko Harimoto; YunfangWu; Xu Sun |
| Abstract: | Trading volume movement prediction is the key in a variety of financial applications. Despite its importance, there is few research on this topic because of its requirement for comprehensive understanding of information from different sources. For instance, the relation between multiple stocks, recent transaction data and suddenly released events are all essential for understanding trading market. However, most of the previous methods only take the fluctuation information of the past few weeks into consideration, thus yielding poor performance. To handle this issue, we propose a graphbased approach that can incorporate multi-view information, i.e., long-term stock trend, short-term fluctuation and sudden events information jointly into a temporal heterogeneous graph. Besides, our method is equipped with deep canonical analysis to highlight the correlations between different perspectives of fluctuation for better prediction. Experiment results show that our method outperforms strong baselines by a large margin. |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2108.11318&r= |
| By: | Riza Demirer (Department of Economics and Finance, Southern Illinois University Edwardsville, Edwardsville, IL 62026- 1102, USA); Rangan Gupta (Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa); Afees A. Salisu (Centre for Econometric & Allied Research, University of Ibadan, Ibadan, Nigeria; Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa); Renee van Eyden (Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa) |
| Abstract: | In this paper, we analyze the predictive role of firm-level business expectations and uncertainties derived from a panel survey of U.S. 1,750 business executives from 50 states for the realized variance (sum of daily squared log-returns over a month) of the S&P500 over the monthly period of September, 2016 to July, 2021. Unlike standard models, our predictive framework adopts a time-varying approach due to the existence of multiple structural breaks in the relationship between volatility and the predictors in the model, which in turn leads to statistically insignificant causal effects in a constant parameter set-up. Our time-varying results reveal the predictive power of firm-level business uncertainty is concentrated during the early part of the sample associated with the U.S.-China trade war, and towards the end of our data coverage in the wake of the outbreak of the COVID-19 pandemic. Since, in-sample predictability does not guarantee the same over an out-sample, we also conducted a full-fledged forecasting exercise to show that subjective expectations and uncertainties associated with sales growth rates and employment produces statistically significant predictability gains over January, 2020 to July, 2021, given an in-sample of September, 2016 to December, 2019. Our results suggest that subjective measures of business uncertainty at the firm-level indeed captures predictive information regarding aggregate stock market uncertainty which has important implications for investors and economic projections at the policy level. |
| Keywords: | S&P500 Realized Variance, Firm-Level Expectations and Uncertainties, Time-Varying Predictability |
| JEL: | C32 C53 D80 G10 |
| URL: | http://d.repec.org/n?u=RePEc:pre:wpaper:202157&r= |
| By: | Batiz-Lazo, Bernardo; González-Correa, Ignacio |
| Abstract: | This chapter considers the process of entrepreneurial activity to deploy financial technologies (fintech) through mandate-specific new companies in Latin America. We deal with important historical issues such as defining the term, establishing temporal and industrial activity boundaries, positioning this particular process within other organizational forms typical of the region, the role of women and other relevant issues such as the modernization of retail payments and personal lending. A central question is whether fintech start-ups have had a 'scissor' effect in the entrepreneurial process of Latin America: at the base of the pyramid (that is, reducing frictions to support overall entrepreneurial activity, increasing financial inclusion, etc.) and near the top (by creating new business leaders). As a result, this chapter provides an initial assessment of gender disparities and barriers enabling women entrepreneurs in the fintech ecosystem. |
| Keywords: | fintech, gender, women, entrepreneurship, startups, Latin America |
| JEL: | G2 J16 M13 N26 |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:109373&r= |
| By: | Seisho Sato (University of Tokyo); Naoto Kunimoto (Tokyo Keizai University) |
| Abstract: | We develop a new regression method called frequency regression and smoothing. This method is based on the separating information maximum likelihood developed by Kunitomo and Sato (2021) and Sato and Kunitomo (2020) for estimating the hidden states of random variables and handling noisy nonstationary (small sample) time series data. Many economic time series include not only the trend-cycle, seasonal, and measurement error components, but also factors such as structural breaks, abrupt changes, trading-day effects, and institutional changes. Frequency regression and smoothing can be applied to handle such factors in nonstationary time series. The proposed method is simple and applicable to several problems when analyzing nonstationary economic time series and handling seasonal adjustments. An illustrative empirical analysis of the macroconsumption in Japan is provided. |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:cfi:fseres:cf519&r= |
| By: | Goyal, Ananya (National Institute of Public Finance and Policy); Pandey, Radhika (National Institute of Public Finance and Policy); Sane, Renuka (National Institute of Public Finance and Policy) |
| Abstract: | A study of inflation requires a fixed consumption basket. The last publicly available data on household consumption baskets is from Consumer Expenditure Survey (CES) 2011-12. A more recent source of data has been the CMIE Consumer Pyramid Household Survey (CPHS). In this paper we compare the weights of various commodities in the Consumer Price Index (CPI) series with the CES 2011-12 and the CPHS 2019. We first document the methodology of construction of the Consumer Price Index (CPI) including details on commodity classification, reference and recall periods. We find that while CPI is based on CES 2011-12, CPI weights closely match those of CES 2011-12 only once the sub-group `Housing' is excluded from the total consumption expenses. For comparison with CPHS, we first map the CPHS commodities to CPI to make them comparable. We find the differences in some categories such as food, household goods and services are less than 2 percentage points. Differences in the shares of commodities such as transport and communication, health, education and intoxicants are larger. |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:npf:wpaper:21/343&r= |
| By: | Sium Bodha Hannadige; Jiti Gao; Mervyn J Silvapulle; Param Silvapulle |
| 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: | C22 C33 C38 C53 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:msh:ebswps:2021-6&r= |
| By: | Matthew McCormick; Mark E. Paddrik; Carlos Ramirez |
| Abstract: | The overnight segment of the triparty repurchase agreement (repo) market plays a pivotal role in the normal functioning of the U.S. financial system by acting as an important source of secured short-term funding and supporting the liquidity of key fixed income markets, including U.S. Treasury and agency securities. This over-the-counter market accounts for over $1 trillion in daily transactions and provides a unique venue in which a diverse set of market participants invest their cash as well as obtain short-term funding. |
| Date: | 2021–08–02 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgfn:2021-08-02&r= |
| By: | HyeonJun Kim |
| Abstract: | Renowned method of log-periodic power law(LPPL) is one of the few ways that a financial market crash could be predicted. Alongside with LPPL, this paper propose a novel method of stock market crash using white box model derived from simple assumptions about the state of rational bubble. By applying this model to Dow Jones Index and Bitcoin market price data, it is shown that the model successfully predicts some major crashes of both markets, implying the high sensitivity and generalization abilities of the model. |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2108.11755&r= |
| By: | Lorie Logan |
| Abstract: | Remarks at the 2021 Financial Crisis Forum, Panel on Lessons for Emergency Lending (delivered via videoconference). |
| Keywords: | liquidity; markets; repo; facilities; financial; conditions; shocks; pandemic; COVID-19; announcements |
| Date: | 2021–08–11 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednsp:92982&r= |
| By: | Agarwal, Manmohan (Centre for International Trade and Development, Jawaharlal Nehru University); Azim, Rumi (Centre for International Trade and Development, Jawaharlal Nehru University) |
| Abstract: | The paper tests the hypothesis that financial stress caused the stagnation in the manufacturing sector, using firm level data on a sample of 804 large, mid, and small cap manufacturing firms for 15 years from 2005 to 2019. We analyse the trend in the financial indicators and estimate dynamic panel data regression using a two-step GMM method. We do not find substantial for financial stress to be a major determinant of the investment slowdown in these firms. Our results support the Pecking order theory, particularly for larger firms. In addition, we find that the declining growth in sales is a major determinant in explaining the slowdown in fixed investments and profits. For small cap firms, the size of the firms also matters. We therefore suggest that measures to increase demand can help in reviving the sales growth of firms and thereby private investments and profits. |
| Keywords: | Capital structure ; Investment ; Profitability ; Manufacturing ; India |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:npf:wpaper:21/339&r= |
| By: | Andreas Thiemann (European Commission - JRC) |
| Abstract: | This paper sheds light on the scarce empirical evidence on cryptocurrency users and use types. Based on the only available empirical estimate (shared by Chainalysis), this paper simulates the revenue potential from taxing Bitcoin capital gains in the EU. Total estimated Bitcoin capital gains in the EU amount to 12.7 billion EUR in 2020, including 3.6 billion EUR of realized gains. Applying national tax rules on capital gains from shares to those from Bitcoin yields a simulated tax revenue of about 850 million EUR in 2020. This paper is the first to empirically assess the tax revenue potential of capital gains from Bitcoin in the EU. While most of the empirical cryptocurrency literature is based on time-series data, this paper relies on dis-aggregated country-level data. The findings show that revenue from taxing cryptocurrencies is non-negligible and will be if the market of cryptocurrencies continues to grow. |
| Keywords: | Capital gains taxation, cryptocurrencies, Bitcoin. |
| JEL: | G19 G23 H24 |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:ipt:taxref:202112&r= |
| By: | Borsboom, Charlotte; Füllbrunn, Sascha |
| Abstract: | Companies actively manipulate stock price ranges through IPOs, stock splits, and repurchases. Indeed, empirical results suggest that the stock's price range, whether at a high or low price level, affects market performance. Unfortunately, archival data does not allow us to test the effect of stock price levels on investor behavior due to uncontrolled confound effects. We thus conduct a controlled online experiment with 900 US retail investors to test whether a difference in stock price levels affects the investor's risk perception, the price forecast, and the investment. Even though we �nd no differences in risk perception and forecasts, our results show signi�cantly higher investments in high-priced stocks in comparison to low-priced stocks. This effect disappears when we allow fractional share purchases or restrict naive trading strategies. |
| Keywords: | stock price, nominal stock price puzzle, stock splits, number processing, fractional share purchases, naive trading strategies, numerosity |
| JEL: | C90 D14 G11 |
| Date: | 2021–08–18 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:109286&r= |
| By: | Masashige Hamano; Munechika Katayama |
| Abstract: | We propose a novel SIR-macro model in which virus transmission is uncertain. The model is solved with the perturbation method around a deterministic infectious steady state. Assuming a stationary infection process, a positive infection shock increases infection while reducing consumption and hours worked for susceptible individuals. Further, we estimate our model with the recent US data on the COVID-19 outbreak. Historical decomposition obtained with Bayesian techniques finds that the dis-containment rule that encourages people to work more, as well as infection shock and technology shock, play an important role in characterizing US infection and macroeconomic dynamics. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:tcr:wpaper:e162&r= |
| By: | Amélie Charles (Audencia Business School); Chew Lian Chua (University of Nottingham Ningbo [China]); Olivier Darné (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - IEMN-IAE Nantes - Institut d'Économie et de Management de Nantes - Institut d'Administration des Entreprises - Nantes - UN - Université de Nantes - IUML - FR 3473 Institut universitaire Mer et Littoral - UBS - Université de Bretagne Sud - UM - Le Mans Université - UA - Université d'Angers - CNRS - Centre National de la Recherche Scientifique - IFREMER - Institut Français de Recherche pour l'Exploitation de la Mer - UN - Université de Nantes - ECN - École Centrale de Nantes); Sandy Suardi (University of Wollongong) |
| Abstract: | This paper develops a structural factor vector autoregressive (SFVAR) model to study the effect of oil price shock on economic activity. The model allows both types of uncertainty (real economic activity and oil price) to directly affect oil prices and economic activity. More importantly, the factor variable, which is akin to the macroeconomic uncertainty measure of Henzel and Rengel (2017), captures the significant indirect spillover effects of both supplyrelated (oil prices) and demand-related (business cycle) shocks on oil prices and economic activity. By incorporating the indirect effect of this macroeconomic uncertainty, the response of economic activity to oil price shocks is amplified. In some countries the real effect is prolonged. Results for net oil exporting (importing) countries show that an oil price hike has an appreciably positive (negative) effect on economic activity. The factor dynamics of all countries, except for France, are highly correlated with each other, while they are all moderately correlated with some commonly used measures of macroeconomic uncertainty. |
| Keywords: | Factor model,Outliers,Impulse response,Real Uncertainty,Oil price uncertainty |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-03284089&r= |
| By: | Paul Ho |
| Abstract: | We survey approaches to macroeconomic forecasting during the COVID-19 pandemic. Due to the unprecedented nature of the episode, there was greater dependence on information outside the econometric model, captured through either adjustments to the model or additional data. The transparency and flexibility of assumptions were especially important for interpreting real-time forecasts and updating forecasts as new data were observed. With data available at the time of writing, we show how various assumptions were violated and how these systematically biased forecasts. |
| Keywords: | Macroeconomic Forecasting; COVID-1 |
| Date: | 2021–06–16 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedrwp:92993&r= |
| By: | Dario Caldara; Chiara Scotti; Molin Zhong |
| Abstract: | We study the joint conditional distribution of GDP growth and corporate credit spreads using a stochastic volatility VAR. Our estimates display significant cyclical co-movement in uncertainty (the volatility implied by the conditional distributions), and risk (the probability of tail events) between the two variables. We also find that the interaction between two shocks--a main business cycle shock as in Angeletos et al. (2020) and a main financial shock--is crucial to account for the variation in uncertainty and risk, especially around crises. Our results highlight the importance of using multivariate nonlinear models to understand the determinants of uncertainty and risk. |
| Keywords: | Uncertainty; Tail risk; Joint conditional distributions; Main shocks |
| JEL: | C53 E23 E32 E44 |
| Date: | 2021–08–19 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgif:1326&r= |
| By: | OMOLLO, HAROLD; OLWENY, TOBIAS; OLUOCH, OLUOCH; WAMATANDA, JOSHUA |
| Abstract: | Financial structure choice and its impact on growth remains a great dilemma to all stakeholders. Whereas several studies have been done on this subject, more is yet to be established so as to ascertain the validity of the relationship between the financial structure and growth while factoring in an appropriate moderating variable like firm size in Kenya. The study investigates the confluence of financial structure and growth of pension funds management organizations in Kenya while considering confounding studies supporting, disagreeing and undecided views of other scholars. This study highlighted several empirical evidences, literature review, objectives and the research hypotheses. The study employed causal research design with secondary panel data from the financial statements of 49 pension firm organizations carefully identified according to Krejcie and Morgan (1970) table retrieved from a population of 68 registered pension scheme managers in Kenya as at December 31st 2018. Data was retrieved from the retirement benefit authority records for the period December 2009-2018.Model specifications linking both the Independent, dependent and the error term was applied together with statistical and diagnostic tests. The effect of financial structure on pension funds is not significant across all firms. It is also concluded that highly geared firms have significant relationship with equity returns and insignificant relationship with asset returns. In addition, highly geared firms tend to have high profitability and that the nature of the industry also determines the effect of financial structure on their growth. |
| Keywords: | Capital Structure, Financial Performance, Financial Structure, Speed of Adjustment Working Capital Management, Short Term Debt, Long Term Debts, External Equity Internal Equity |
| JEL: | G3 |
| Date: | 2021–07–08 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:109217&r= |
| By: | Lin William Cong; Charles M. C. Lee; Yuanyu Qu; Tao Shen |
| Abstract: | This study reports on the current state-of-affairs in the funding of entrepreneurship and innovations in China and provides a broad survey of academic findings on the subject. We also discuss the implications of these findings for public policies governing the Chinese financial system, particularly regulations governing the initial public offering (IPO) process. We also identify and discuss promising areas for future research. |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2108.10982&r= |
| By: | David Haritone Shikumo |
| Abstract: | Purpose: A significant number of the non-financial firms listed at the Nairobi Securities Exchange (NSE) have been experiencing declining financial performance which deters investors from investing in such firms. The lenders are also not willing to lend to such firms. As such, the firms struggle to raise funds for their operations. Prudent financing decisions can lead to financial growth of the firm. The purpose of this study is to assess the effect of Share capital on financial growth of Non-financial firms listed at the Nairobi Securities Exchange. Financial firms were excluded because of their specific sector characteristics and stringent regulatory framework. The study is guided by Market Timing Theory and Theory of Growth of the Firm. Methodology: Explanatory research design was adopted. The target population of the study comprised of 45 non-financial firms listed at NSE for a period of ten years from 2008 to 2017. The study conducted both descriptive statistics analysis and panel data analysis. Findings: The result indicates that, share capital explains 32.73% and 11.62% of variations in financial growth as measure by growth in earnings per share and growth in market capitalization respectively. Share capital positively and significantly influences financial growth as measured by both growth in earnings per share and growth in market capitalization. Implications: The study recommends for the Non-financial firms to utilize equity financing as a way of raising capital for major expansions, asset growth or acquisitions which may require heavy funding. In this way, firms will be assured of improved performance as well as high financial growth. The study also recommends for substantial firm financing through equity. Value: Equity financing is important to any firm, if the proceeds are used to invest in projects which eventually bring growth to the firm. |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2108.10244&r= |
| By: | Hackler, Darrene; Harpel, Ellen |
| Abstract: | Many economic development organizations (EDOs) have embraced the mission to support entrepreneurial firms in their communities. EDOs engage in their entrepreneurial ecosystems, in part, by providing resources, sometimes in the form of business incentives. The purpose of this report is to provide practitioners and policymakers with insights regarding the use of these incentives and guidance for offering incentives to entrepreneurial firms. Researchers and policymakers use a wide range of definitions for “entrepreneurial firm” and “incentive,” making it difficult to categorize and describe the current state of entrepreneurial firm incentives. Multiple additional research challenges, including a lack of data on program outcomes, hinder the ability to draw definitive policy guidance from both program evaluations and academic research. This report strives to sort this tangle of material into a framework that is helpful for policymakers and economic development practitioners. |
| Keywords: | entrepreneurship, startups, small business, incentives, economic development, incubators, accelerators, equity |
| JEL: | L26 O1 O11 O12 |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:109173&r= |
| By: | Shahid Mehmood (Pakistan Institute of Development Economics, Islamabad.) |
| Abstract: | The recorded history of human civilisation is replete with instances of recessions that have brought financial despair upon the people. Pandemicinduced recessions are different because the adverse shock to the workings of the economy is purely biological rather than economic or financial. But they are no less destructive in their tendency to deflate economies and put all economic activity in peril. A study of the past episodes offers us a window into the lessons learned that could be valuable in managing today’s as well as future challenges caused by adverse shocks to the system. |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:pid:wpaper:2021:5&r= |
| By: | Yusuf Emre Akgunduz; Seyit Mumin Cilasun; H. Ozlem Dursun-de Neef; Yavuz Selim Hacihasanoglu; Ibrahim Yarba |
| Abstract: | This paper exploits the COVID-19 pandemic as a negative shock on firm revenues in affected industries and studies the transmission of this shock via banks. We use the ex-ante heterogeneity in the amount of loans issued to affected industries to measure the variation in banks' exposure to the negative shock. Using bank-firm level credit register data from Turkey, we show that banks transmitted the negative shock with a reduction in their loan supply not only to affected but also unaffected industries. The effect persists at the firm level, but is reduced for large firms and firms with existing relationships to state-owned banks. |
| Keywords: | Bank loan supply, Economic shocks propagation, COVID-19 pandemic, Bank lending channel, Firm borrowing channel |
| JEL: | G01 G21 G28 G32 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:tcb:wpaper:2124&r= |
| By: | Crafts, Nicholas (CAGE, University of Warwick and University of Sussex) |
| Abstract: | This paper reviews the claim that economic policymakers in the post-Covid UK should learn the lessons of the 1940s. Post-1945 policies relating to delivering full employment, levelling up, upgrading social security, dealing with the public debt legacy, and addressing the productivity puzzle are considered. The paper finds many reasons to criticize 1940s’ policies. Although, superficially, outcomes appear to have been good, a closer look reveals significant failings notably concerning design of the welfare state and supply-side policy for growth. The main lesson from the 1940s is not to repeat the policy errors of those days. |
| Keywords: | economic growth; policy reform; post-war settlement; welfare state. JEL Classification: N14; N34. |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:cge:wacage:579&r= |
| By: | Rey, Patrick; Nocke, Volker |
| Abstract: | We consider a multiproduct seller facing consumers who must search to learn prices and valuations. The equilibrium features choice overload: the larger the product line, the fewer consumers start searching. We provide conditions under which the seller o¤ers too much or too little variety. We then allow the seller to position products or make recommendations, thereby introducing the possibility of directed search, and show that the seller may .nd it pro.table to maintain some noise. Finally, we study the seller.s incentive to disclose product identity and extend our analysis to that of a platform choosing which sellers to host. |
| Keywords: | Sequential consumer search; product variety; choice overload; multi-product firm; platform |
| JEL: | L12 L15 D42 |
| Date: | 2021–08–24 |
| URL: | http://d.repec.org/n?u=RePEc:tse:wpaper:125850&r= |
| By: | Heidar Eyjolfsson; Dag Tj{\o}stheim |
| Abstract: | The paper discusses multivariate self- and cross-exciting processes. We define a class of multivariate point processes via their corresponding stochastic intensity processes that are driven by stochastic jumps. Essentially, there is a jump in an intensity process whenever the corresponding point process records an event. An attribute of our modelling class is that not only a jump is recorded at each instance, but also its magnitude. This allows large jumps to influence the intensity to a larger degree than smaller jumps. We give conditions which guarantee that the process is stable, in the sense that it does not explode, and provide a detailed discussion on when the subclass of linear models is stable. Finally, we fit our model to financial time series data from the S\&P 500 and Nikkei 225 indices respectively. We conclude that a nonlinear variant from our modelling class fits the data best. This supports the observation that in times of crises (high intensity) jumps tend to arrive in clusters, whereas there are typically longer times between jumps when the markets are calmer. We moreover observe more variability in jump sizes when the intensity is high, than when it is low. |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2108.10176&r= |
| By: | Mekky, Maher F.; Collins, Alan R.; Brooke, William |
| Keywords: | Environmental Economics and Policy, Resource/Energy Economics and Policy, Community/Rural/Urban Development |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:ags:aaea21:312701&r= |
| By: | Ozili, Peterson Kitakogelu; Adamu, Ahmed |
| Abstract: | We examine whether countries that have high levels of financial inclusion have fewer non-performing loans and loan loss provisions in their banking sectors. The fixed effect panel regression methodology was used to analyse the effect of financial inclusion on bank non-performing loans and loan loss provisions. Using data from 48 countries, we find that greater formal account ownership is associated with high non-performing loans. Bank loan loss provisions are fewer in countries that have high levels of financial inclusion only when financial inclusion is achieved through the combined use of formal account ownership, bank branch supply and ATM supply. Also, non-performing loans are fewer in countries that experience economic boom and high levels of financial inclusion. |
| Keywords: | financial inclusion, non-performing loans, loan loss provisions, financial stability, bank stability, ATM, formal account ownership, credit risk, access to finance. |
| JEL: | G00 G20 G21 G23 G28 G29 O31 |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:109321&r= |
| By: | Clarke, Damian (University of Chile); Llorca-Jaña, Manuel (Universidad de Valparaíso); Pailañir, Daniel (University of Chile) |
| Abstract: | Quantile regression and quantile treatment effect methods are powerful econometric tools for considering economic impacts of events or variables of interest beyond the mean. The use of quantile methods allows for an examination of impacts of some independent variable over the entire distribution of continuous dependent variables. Measurement in many quantative settings in economic history have as a key input continuous outcome variables of interest. Among many other cases, human height and demographics, economic growth, earnings and wages, and crop production are generally recorded as continuous measures, and are collected and studied by economic historians. In this paper we describe and discuss the broad utility of quantile regression for use in research in economic history, review recent quantitive literature in the field, and provide an illustrative example of the use of these methods based on 20,000 records of human height measured across 50-plus years in the 19th and 20th centuries. We suggest that there is considerably more room in the literature on economic history to convincingly and productively apply quantile regression methods. |
| Keywords: | quantile regression, quantile treatment effects, economic history, practitioners |
| JEL: | N30 B41 C21 C22 |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp14659&r= |
| By: | David G. Blanchflower (Bruce V. Rauner ’78 Professor of Economics, Dartmouth College, Hanover, NH 03755-3514. Adam Smith School of Business, University of Glasgow and NBER); Alex Bryson (Professor of Quantitative Social Science, UCL Social Research Institute, University College London, 20 Bedford Way, London WC1H 0AL) |
| Abstract: | Unemployment is notoriously difficult to predict. In previous studies, once country fixed effects are added to panel estimates, few variables predict changes in unemployment rates. Using panel data for 29 European countries - Austria; Belgium; Bulgaria; Croatia; Cyprus; Czechia; Denmark; Estonia; Finland; France; Germany; Greece; Hungary; Ireland; Italy; Latvia; Lithuania; Luxembourg; Malta; Netherlands; Poland; Portugal; Romania; Slovakia; Slovenia; Spain; Sweden; Turkey and the UK - over 439 months between January 1985 and July 2021 in an unbalanced country*month panel of just over 10000 observations, we predict changes in the unemployment rate 12 months in advance based on individuals’ fears of unemployment, their perceptions of the economic situation and their own household financial situation. Fear of unemployment predicts subsequent changes in unemployment 12 months later in the presence of country fixed effects and lagged unemployment. Individuals’ perceptions of the economic situation in the country and their own household finances also predict unemployment 12 months later. Business sentiment (industry fear of unemployment) is also predictive of unemployment 12 months later. The findings underscore the importance of the “economics of walking about”. The implication is that these social survey data are informative in predicting economic downturns and should be used more extensively in forecasting. We also generate a 29 country-level annual panel on life satisfaction from 1985-2020 from the World Database of Happiness and show that the consumer level fear of unemployment variable lowers wellbeing over and above the negative impact of the unemployment rate itself. Qualitative survey metrics were able to predict the Great Recession and the economic slowdown in Europe just prior to the COVID pandemic. |
| Keywords: | unemployment, fear, sentiment, social attitudes, life satisfaction, recession, COVID |
| JEL: | J60 J64 J68 |
| Date: | 2021–08–01 |
| URL: | http://d.repec.org/n?u=RePEc:qss:dqsswp:2124&r= |
| By: | Constantine Yannelis; Anthony Lee Zhang |
| Abstract: | We present both theory and evidence that increased competition may decrease rather than increase consumer welfare in subprime credit markets. We present a model of lending markets with imperfect competition, adverse selection and costly lender screening. In more competitive markets, lenders have lower market shares, and thus lower incentives to monitor borrowers. Thus, when markets are competitive, all lenders face a riskier pool of borrowers, which can lead interest rates to be higher, and consumer welfare to be lower. We provide evidence for the model’s predictions in the auto loan market using administrative credit panel data. |
| JEL: | D14 D4 G20 G21 G5 L62 |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29169&r= |
| By: | Matias Braun; Luis Felipe Cespedes; Sebastian Bustos |
| Abstract: | Productivity differentials have been documented as the main determinant of the variation of income per capita across countries. In this paper, we investigate whether the implementation of innovation-intensive or adoption-intensive business strategies by firms can explain differences in productivity levels and productivity growth across industries and countries. We compute a novel innovation-intensity strategy index for firms, based on textual analysis of financial reports issued in the US by firms from developed and developing countries and from a wide range of industries. We show that the index captures dimensions of the innovation process implemented by firms that go beyond R&D efforts. Our empirical results indicate that firms that pursue an innovation-based strategy exhibit higher productivity levels compared to firms that follow an adoption-based strategy. Nonetheless, the optimal business strategy depends on the distance to the world technology frontier. Firms far from the frontier grow faster when implementing an adoption-based strategy, but an innovation-based strategy better suits firms closer to the technological frontier. We provide evidence indicating that a country’s financial market sophistication, competition policy and innovation capabilities –such as educational level, availability of scientists and engineers, and intellectual property protection– are key determinants of the strategy implemented by firms. The empirical evidence suggests that middle-income traps may occur if competition policy, innovation capabilities and financial market sophistication are not enhanced as a country moves closer to the technology frontier. |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:udc:wpaper:wp522&r= |
| By: | Fabrice Collard; Omar Licandro |
| Abstract: | This paper embeds firm dynamics into the Neoclassical model and provides a simple framework to solve for the transitional dynamics of economies moving towards more selection. As in the Neoclassical model, markets are perfectly competitive, there is only one good and two production factors (capital and labor). At equilibrium, aggregate technology is Neoclassical, but the average quality of capital and the depreciation rate are both endogenous and positively related to selection. At steady state, output per capita and welfare both raise with selection. However, the selection process generates transitional welfare losses that may reduce in around 60% long term (consumption equivalent) welfare gains. The same property is shown to be true in a standard general equilibrium model with entry and fixed production costs. |
| Keywords: | firm dynamics and selection, neoclassical model, capital irreversibility, investment distortions, transitional dynamics, welfare gains |
| JEL: | E13 E23 D60 O40 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_9249&r= |
| By: | Benetton, Matteo (Haas School of Business, University of California); Gavazza, Alessandro (London School of Economics); Surico, Paolo (London Business School) |
| Abstract: | This paper provides novel evidence on lenders’ mortgage pricing and on how central bank operations affected it. Using the universe of mortgages originated in the UK, we show that lenders seek to segment the market by offering two-part tariffs composed of interest rates and origination fees, and that during recent periods of unconventional monetary policy, such as UK’s Funding for Lending Scheme, lenders decreased interest rates and increased origination fees. To understand lenders’ pricing strategies and their effects on market equilibrium, we develop and estimate a structural discrete-continuous model of mortgage demand and lender competition in which borrowers may have different sensitivities to rates and fees. We use the estimated model to decompose the effects of central bank unconventional monetary policy on mortgage pricing and lending, finding that central bank operations increased borrower surplus and lender profits. Moreover, although origination fees allow lender to price discriminate and capture surplus, banning fees would lower borrower surplus and aggregate welfare. |
| Keywords: | origination fees; mortgage demand; heterogeneity; structural estimation; unconventional monetary policy |
| JEL: | E52 G21 |
| Date: | 2021–08–13 |
| URL: | http://d.repec.org/n?u=RePEc:boe:boeewp:0936&r= |
| By: | Cynthia Bansak; Ellen E. Meade; Martha Starr-McCluer |
| Abstract: | The shortage of women and historically underrepresented racial and ethnic groups in the economics profession has received considerable public attention in the past several years. The American Economic Association (AEA), the professional organization for economists, has been taking steps to address criticism that the economics discipline is unwelcoming to women and underrepresented minorities. |
| Date: | 2021–08–06 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgfn:2021-08-06-2&r= |
| By: | Steven J. Davis (University of Chicago, and NBER); John C. Haltiwanger (University of Maryland, and NBER); Kyle Handley (University of Michigan, and NBER); Ben Lipsius (University of Michigan); Josh Lerner (Harvard Business School, and NBER); Javier Miranda (Friedrich-Schiller University Jena and Halle Institute for Economic Research (IWH)) |
| Abstract: | We examine thousands of U.S. private equity (PE) buyouts from 1980 to 2013, a period that saw huge swings in credit market tightness and GDP growth. Our results show striking, syste matic differences in the real-side effects of PE buyouts, depending on buyout type and external conditions. Employment at target firms shrinks 13% over two years in buyouts of publicly listed firms but expands 13% in buyouts of privately held firms, both relative to contemporaneous outcomes at control firms. Labor productivity rises 8% at targets over two years post buyout (again, relative to controls), with large gains for both public-to-private and private-to-private buyouts. Target productivity gains are larger yet for deals executed amidst tight credit conditions. A post-buyout widening of credit spreads or slowdown in GDP growth lowers employment growth at targets and sharply curtails productivity gains in public-to-private and divisional buyouts. Average earnings per worker fall by 1.7% at target firms after buyouts, largely erasing a pre-buyout wage premium relative to controls. Wage effects are also heterogeneous. In these and other respects, the economic effects of private equity vary greatly by buyout type and with external conditions. |
| Keywords: | Private equity buyouts, business cycle, business dynamics, real effects, job creation, productivity, wages, administrative data, large matched sample |
| JEL: | D22 D24 G24 G34 J63 L25 |
| Date: | 2021–08–23 |
| URL: | http://d.repec.org/n?u=RePEc:jrp:jrpwrp:2021-013&r= |
| By: | Thomas Piketty (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, PJSE - Paris Jourdan Sciences Economiques - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS Paris - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, WIL - World Inequality Lab); Li Yang (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, INSEAD - Institut Européen d'administration des Affaires) |
| Abstract: | This paper combines national accounts, household surveys, fiscal data, wealth rankings and election polls, in order to provide a comprehensive analysis of the evolution of income and wealth inequality in Hong Kong, as well as its impact on political cleavages over the 1981-2020 period. We find a very large rise in wage inequality since 1981, especially since the Handover of Hong Kong to China. Top 1% earners now receive a much larger fraction of the total wage bill than bottom 50% earners, while the opposite was true in pre-Handover Hong Kong. We also observe an enormous increase in the capital share and the top wealth share (normalized by national income) since 2000. Today Hong Kong's very top wealth share (top 0.001%) is ranked at very top in the world. Finally, we find that the top income earners and high-income professions (such as executives and managers) are more likely to vote for pro-Beijing camp, while the bottom 85% income group, students and lower-income professionals are more likely to be pro-democratic. |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:halshs-03321889&r= |
| By: | Jacques Fontanel (CESICE - Centre d'études sur la sécurité internationale et les coopérations européennes - IEPG - Sciences Po Grenoble - Institut d'études politiques de Grenoble - UPMF - Université Pierre Mendès France - Grenoble 2) |
| Abstract: | The morality defined by the political system of the market economy is based on the respect of debt repayment. However, public debt is different and has not to be analysed as a worse management of public resources. Contrary to private agents, State has not, in principle, a limited time horizon and it is possible to repay its debt over long periods by "rolling over its debt". Moreover, public debt helps to regulate the economy in times of crisis. When a Covid-19 arrives, public health becomes the national and international priority and the public debt is a solution to solve both the pandemic and the problems of unemployment, health costs and education gap that it causes. Public debt is an instrument for societal change, with less inequalities, poverty and prercariousness. |
| Abstract: | La moralité définie par le système politique de l'économie de marché est basée sur le respect du remboursement de la dette. Cependant, la dette publique ne doit pas être analysée comme une mauvaise gestion des ressources publiques. Contrairement aux agents privés, l'Etat n'a pas, en principe, un horizon temporel limité et il est possible de rembourser sa dette sur de longues périodes en "roulant sa dette". De plus, la dette publique permet de réguler l'économie en période de crise. Lorsqu'un Covid-19 arrive, la santé publique devient la priorité nationale et internationale et la dette publique est une solution pour résoudre à la fois la pandémie et les problèmes de chômage, de coûts de santé et de déficit éducatif que celle-ci occasionne. La dette publique est un instrument de changement sociétal, avec moins d'inégalités, de pauvreté et de précarité. |
| Keywords: | Covid-19,pandemic,public debt,inequalities,precariouness,Pandémie,dette publique,inégalités,précarité. |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-03322899&r= |
| By: | Michael D. Bordo |
| Abstract: | Digitalization of Money is a crossroad in monetary history. Advances in technology has led to the development of new forms of money: virtual (crypto) currencies like bitcoin; stable coins like libra/diem; and central bank digital currencies (CBDC) like the Bahamian sand dollar. These innovations in money and finance have resonance to earlier shifts in monetary history: 1) The shift in the eighteenth and nineteenth century from commodity money (gold and silver coins) to convertible fiduciary money and inconvertible fiat money; 2) the shift in the nineteenth and twentieth centuries from central bank notes to a central bank monopoly; 3) Then evolution since the seventeenth century of central banks and the tools of monetary policy. This paper analyzes the arguments for a CBDC through the lens of monetary history. The bottom line is that the history of transformations in monetary systems suggests that technical change in money is inevitably driven by the financial incentives of a market economy. Government has always had a key role in the provision of outside money, which is a public good. Government has also regulated inside money provided by the private sector. This held for fiduciary money and will likely hold for digital money. CBDC could make monetary policy more efficient, and it could transform the international monetary and payments systems. |
| JEL: | E42 E52 E58 |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29171&r= |
| By: | Amir Sufi; Alan M. Taylor |
| Abstract: | Financial crises have large deleterious effects on economic activity, and as such have been the focus of a large body of research. This study surveys the existing literature on financial crises, exploring how crises are measured, whether they are predictable, and why they are associated with economic contractions. Historical narrative techniques continue to form the backbone for measuring crises, but there have been exciting developments in using quantitative data as well. Crises are predictable with growth in credit and elevated asset prices playing an especially important role; recent research points convincingly to the importance of behavioral biases in explaining such predictability. The negative consequences of a crisis are due to both the crisis itself but also to the imbalances that precede a crisis. Crises do not occur randomly, and, as a result, an understanding of financial crises requires an investigation into the booms that precede them. |
| JEL: | E32 E44 E7 G01 G10 N20 |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29155&r= |
| By: | Emma M., Iglesias; J. Carles, Maixé-Altés |
| Abstract: | Are transaction costs and half-lives between two cities the same in both directions in traditional city-based monetary systems? Market conditions and political circumstances may not justify this assumption; and we provide evidence that it does not hold in the 1825-1885 period in Spain. Moreover, we show empirical evidence that market integration in Spain from 1875 to 1885 was a slow process of monetary unification with decreasing transaction costs, and a very inefficient convergence. Therefore, full integration did not happen in the period 1875-1885 and had to wait until mid-1880s, when the Spanish money-market was unified due to financial innovations. |
| Keywords: | Integration of monetary markets; Nineteenth century; Monetary and financial history; Market Convergence and Efficiency; Western Europe; Private Finance, Capital Markets |
| JEL: | E02 E42 F02 F15 F31 F36 L10 N13 N73 |
| Date: | 2021–08–22 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:109219&r= |
| By: | Richard K. Crump; Stefano Eusepi; Domenico Giannone; Eric Qian; Argia M. Sbordone |
| Abstract: | We model the United States macroeconomic and financial sectors using a formal and unified econometric model. Through shrinkage, our Bayesian VAR provides a flexible framework for modeling the dynamics of thirty-one variables, many of which are tracked by the Federal Reserve. We show how the model can be used for understanding key features of the data, constructing counterfactual scenarios, and evaluating the macroeconomic environment both retrospectively and prospectively. Considering its breadth and versatility for policy applications, our modeling approach gives a reliable, reduced form alternative to structural models. |
| Keywords: | bayesian vector autoregressions; conditional forecasts; scenario analyses; financial conditions index |
| JEL: | C11 C32 C53 C54 E32 E37 |
| Date: | 2021–08–01 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednsr:92983&r= |
| By: | Lucas Chancel (WIL - World Inequality Lab , 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, PJSE - Paris Jourdan Sciences Economiques - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS Paris - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement); Thomas Piketty (WIL - World Inequality Lab , 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, PJSE - Paris Jourdan Sciences Economiques - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS Paris - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement) |
| Abstract: | In this paper, we mobilize newly available historical series from the World Inequality Database to construct world income distribution estimates from 1820 to 2020. We find that the level of global income inequality has always been very large, reflecting the persistence of a highly hierarchical world economic system. Global inequality increased between 1820 and 1910, in the context of the rise of Western dominance and colonial empires, and then stabilized at a very high level between 1910 and 2020. Between 1820 and 1910, both between-country and within-country inequality were increasing. In contrast, these two components of global inequality have moved separately between 1910 and 2020: within-country inequality dropped in 1910- 1980 (while between-country inequality kept increasing) but rose in 1980-2020 (while between-country inequality started to decline). As a consequence of these contradictory and compensating evolutions, early 21st century neo-colonial capitalism involves similar levels of inequality as early 20th century colonial capitalism, though it is based upon a different set of rules and institutions. We also discuss how alternative rules such as fiscal revenue sharing could lead to a significant drop in global inequality. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wilwps:halshs-03321887&r= |
| By: | Gavresi, Despina; Litina, Anastasia |
| Abstract: | This paper explores the interplay between past exposure to macroeconomic shocks and populist attitudes. We document that individuals who experienced a macroeconomic shock during their impressionable years (between 18 and 25 years of age), are currently more prone to voting for populist parties, and manifest lower trust both in national and European institutions. We use data from the European Social Survey (ESS) to construct the differential individual exposure to macroeconomic shocks during those years. Our findings suggest that it is not only exposure to current economic shocks that matters (see e.g., \citet{guiso2020economic}) but also past exposure to economic recessions, which has a persistent effect on the rise of populism. Analytically, past economic shocks are associated with a fall in trust in national and European institutions and a rise in anti-immigrant attitudes. Interestingly, the interplay between the two, i.e., past and current exposure to economic shocks, has a mitigating effect on the rise of populism, meaning that individuals who were exposed to economic shocks in the past are less likely to manifest populist attitudes when faced with a current crisis. |
| Keywords: | Macroeconomic Shocks, Trust, Attitudes, Populism |
| JEL: | D72 E60 F68 P16 Z13 |
| Date: | 2021–07–25 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:108909&r= |
| By: | Marouane Daoui; Bouchra Benyacoub (FSJES-Fès - Faculté des Sciences Juridiques, Economiques et Sociales de Fès) |
| Abstract: | In response to the empirical anomalies relating to the use of VAR models in analysing the impact of monetary policy shocks, the Factor-Augmented VAR (FAVAR) models attempt to provide a practical solution. Moreover, these models, based on dynamic factor models (DFM), make it possible to summarize the information present in a large database into a small number of factors common to all the variables. In this paper, we analyse the effects of monetary policy shocks on economic growth using the FAVAR model on a large number of Moroccan macroeconomic time series (117 quarterly time series from 1985Q1 to 2018Q4). First, we present the econometric framework of the FAVAR model, then the data used and their necessary transformations. Next, we determine the number of factors before estimating the model. Then, we focus on the analysis of the impulse response functions of some indicators of economic growth in Morocco. The results of the analysis indicate that, the overall decline in GDP in response to monetary policy shocks suggests that they have a clearly negative impact on economic growth. |
| Abstract: | En réponse aux anomalies empiriques liées à l'utilisation des modèles VAR dans l'analyse de l'impact des chocs de politique monétaire, les modèles VAR augmentés de facteurs (FAVAR) tentent d'apporter une solution pratique. De plus, ces modèles, basés sur des modèles factoriels dynamiques (DFM), permettent de résumer l'information présente dans une grande base de données en un petit nombre de facteurs communs à toutes les variables. Dans ce papier, nous analysons les effets des chocs de politique monétaire sur la croissance économique en utilisant le modèle FAVAR sur un grand nombre de séries temporelles macroéconomiques marocaines (117 séries temporelles trimestrielles de 1985Q1 à 2018Q4). Dans un premier temps, nous présentons le cadre économétrique du modèle FAVAR, puis les données utilisées et leurs transformations nécessaires. Ensuite, nous déterminons le nombre de facteurs avant d'estimer le modèle. Ensuite, nous nous concentrons sur l'analyse des fonctions de réponse impulsionnelle de certains indicateurs de la croissance économique au Maroc. Les résultats de l'analyse indiquent que, la baisse globale du PIB en réponse aux chocs de politique monétaire suggère que ceux-ci ont un impact clairement négatif sur la croissance économique. |
| Keywords: | Monetary policy shocks,Economic growth,Dynamic factor model,FAVAR,Morocco |
| Date: | 2021–03–04 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-03277727&r= |
| By: | Ioannis Arampatzidis (Department of Economics, University of Duisburg-Essen, Germany); Theologos Dergiades (Department of International and European Studies, University of Macedonia, Greece); Robert. K. Kaufmann (Department of Earth and Environment, Boston University, USA); Theodore Panagiotidis (Department of Economics, University of Macedonia, Greece) |
| Abstract: | We extend the existing understanding of the relation between oil prices and stock markets in two ways: (1) by evaluating the effects of the oil market on the U.S. stock market, at an aggregate level and for all forty-nine U.S. industry specific portfolios, and (2) by scrutinizing the dynamic nature of this relation, by fitting a Structural Vector Autoregression (SVAR) specification for a large set of rolling samples with fixed size. Results indicate that the effect of oil prices on the U.S. stock market depends on the type and timing of the shock. An oil supply shock generally does not have a statistically measurable effect on stock market performance. Conversely, an aggregate demand shock has a positive effect on nearly all sectors while an oil-specific demand shock has a negative effect on stock returns for most industries. These results suggest that investors can shift the portfolios consistent with smaller effects of oil-related shocks and the costs of carbon taxes and/or tradeable permits may be smaller than commonly thought if stock prices represent the net present value of profits. |
| Keywords: | Stock markets, Oil shocks, Rolling SVAR, U.S. Industries, Carbon tax |
| JEL: | C10 G01 G02 |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:rim:rimwps:21-19&r= |
| By: | Ahn, Kunwon (Iowa State University); Winters, John V. (Iowa State University) |
| Abstract: | Formal education is correlated with entrepreneurial activity and success, but correlation does not indicate causation. Education and entrepreneurship are both influenced by other related factors. The current study estimates causal effects of formal education on entrepreneurship outcomes by instrumenting for an individual's years of schooling using cohort mean years of maternal schooling observed decades prior. We differentiate self-employment by industry employment growth and firm incorporation status. We have multiple important results. Formal schooling significantly increases the probability of self-employment in high-growth industries for both women and men. Education reduces the probability of male self-employment in shrinking industries. Education also increases incorporated self-employment for women and men and reduces unincorporated self-employment among men but not women. The overall probability of self-employment increases with education for women but is unaffected by education for men. The results suggest that formal education enhances entrepreneurship. |
| Keywords: | entrepreneurship, self-employment, education, human capital |
| JEL: | I20 J24 L26 |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp14655&r= |
| By: | Magnus Reif |
| Abstract: | This paper provides insights into the time-varying dynamics of the German business cycle over the last five decades. To do so, I employ an open-economy time-varying parameter VAR with stochastic volatility, which I estimate by quasi-Bayesian techniques. The reduced-form analysis reveals substantial shifts in the variables’ long-run growth rates and shock volatilities over time. German trend inflation has strongly decreased and settled at a historically low level. GDP growth volatility exhibits marked fluctuations over time and has dropped to historically low levels only after the global financial crisis. The structural analysis employs externally identified oil supply shocks along with a recursive identification scheme to identify key macroeconomic shocks. The analysis reveals strong fluctuations in both the impact responses of macroeconomic aggregates to these shocks and the shock propagation processes. Thus, I conclude that business cycle stabilization in Germany is driven by both good policy and good luck. |
| Keywords: | time-varying parameters, Bayesian vector autoregression, counterfactuals, stochastic volatility, Great Moderation |
| JEL: | E31 E32 E52 E58 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_9271&r= |
| By: | Chakraborty, Debapriya; Bunch, David S.; Xu, Bingzheng; Tal, Gil; Brownstone, David |
| Abstract: | Sales of plug-in electric vehicles (PEVs), which include battery electric vehicles (BEVs) and plug-in hybrid electric vehicles (PHEVs), have grown substantially in recent years. To encourage PEV adoption, policymakers have offered monetary incentives for new PEV purchases, invested in charging infrastructure, and provided use-based incentives like High-Occupancy Vehicle (HOV) lane access and parking benefits. But questions remain regarding where, for how long, and how much promotion and government support might be necessary to achieve the state’s targets. Existing research on technology diffusion indicates that exposure through neighbors, workplace peers, and other acquaintances can legitimize new technology for the mass market and accelerate its market penetration. Researchers from the University of California, Davis and Irvine examined the adoption of PEVs in California between 2014 and 2016, both spatially and temporally, to gain a better understanding of the technology diffusion process and the effect of technology exposure, while controlling for sociodemographic factors and the effect of PEV incentive programs on PEV adoption in the state. This policy brief summarizes the findings from that research and provides policy implications. View the NCST Project Webpage |
| Keywords: | Engineering, Social and Behavioral Sciences, Plug-in electric vehicles, Peer effects, Spatial analysis, Count model |
| Date: | 2021–08–01 |
| URL: | http://d.repec.org/n?u=RePEc:cdl:itsdav:qt5ch5k06r&r= |
| By: | Parag Mahajan |
| Abstract: | This paper finds that establishment entry and exit—particularly the prevention of establishment exit—drive immigrant absorption and immigrant-induced productivity increases in U.S. local industries. Using a comprehensive collection of confidential survey and administrative data from the Census Bureau, it shows that inflows of immigrantworkers lead to more establishment entry and less establishment exit in local industries. These relationships are responsible for nearly all of long-run immigrant-induced job creation, with 78 percent accounted for by exit prevention alone, leaving a minimal role for continuing establishment expansion. Furthermore, exit prevention is not uniform: immigrant inflows increase the probability of exit by establishments from low productivity firms and decrease the probability of exit by establishments from high productivity firms. As a result, the increase in establishment count is concentrated at the top of the productivity distribution. A general equilibrium model proposes a mechanism that ties immigrantworkers to high productivity firms and shows how accounting for changes to the firm productivity distribution can yield substantially larger estimates of immigrant-generated economic surplus than canonical models of labor demand. |
| Keywords: | Immigration, Business Dynamics, Job Creation, Productivity, Firm Heterogeneity |
| JEL: | J23 J61 L11 F22 |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:cen:wpaper:21-18&r= |
| By: | Andres, Antonio Rodriguez; Otero, Abraham; Amavilah, Voxi Heinrich |
| Abstract: | Missing values and the inconsistency of the measures of the knowledge economy remain vexing problems that hamper policy-making and future research in developing and emerging economies. This paper contributes to the new and evolving literature that seeks to advance better understanding of the importance of the knowledge economy for policy and further research in developing and emerging economies. In this paper we use a supervised machine deep learning neural network (DLNN) approach to predict the knowledge economy index of 71 developing and emerging economies during the 1995-2017 period. Applied in combination with a data imputation procedure based on the K-closest neighbor algorithm, DLNN is capable of handling missing data problems better than alternative methods. A 10-fold validation of the DLNN yielded low quadratic and absolute error (0,382 +- 0,065). The results are robust and efficient, and the model’s predictive power is high. There is a difference in the predictive power when we disaggregate countries in all emerging economies versus emerging Central European countries. We explain this result and leave the rest to future endeavors. Overall, this research has filled in gaps due to missing data thereby allowing for effective policy strategies. At the aggregate level development agencies, including the World Bank that originated the KEI, would benefit from our approach until substitutes come along. |
| Keywords: | Machine deep learning neural networks; developing economies, emerging economies, knowledge economy, knowledge economy index, World Bank |
| JEL: | C45 C53 O38 O41 O57 P41 |
| Date: | 2021–04–15 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:109137&r= |
| By: | Mr. Ales Bulir; Mr. Juan S Corrales; Andres Gonzalez; Dyna Heng; Diego Rodriguez; Daniel Baksa |
| Abstract: | This technical note and manual (TNM) addresses the following issues: • Evaluating the full implications from the policies adopted to mitigate the impact of the COVID-19 pandemic on the economy requires a well-developed macroeconomic framework. This note illustrates how such frameworks were used to analyze Colombia and Cambodia's shock impact at the beginning of the pandemic. • The use of macroeconomic frameworks is not to infer general policy conclusions from abstract models or empirical analysis but to help policymakers think through and articulate coherent forecasts, scenarios, and policy responses. • The two country cases illustrate how to construct a baseline scenario consistent with a COVID-19 shock within structural macroeconomic models. The scenario is built gradually to incorporate the available information, the pandemic's full effects, and the policy responses. • The results demonstrate the value of combining close attention to the data, near-term forecasting, and model-based analyses to support coherent policies. |
| Keywords: | TNM;potential GDP;fiscal policy variable;monetary policy rate;headline inflation;labor supply shock;modeling literature strand |
| Date: | 2021–04–01 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imftnm:2021/001&r= |
| By: | Benoît Carmichael; Gilles Boevi Koumou; Kevin Moran |
| Abstract: | We use an equivalent form of Markowitz's mean-variance utility function, based on Rao's Quadratic Entropy (RQE), to enrich the standard capital asset pricing model (CAPM), both in the presence and in the absence of a risk-free asset. The resulting equilibrium, which we denote RQE-CAPM, offers important new insights about the pricing of risk. Notably, it reveals that the reason for which the standard CAPM does not price idiosyncratic risk is not only because the market portfolio is law of large numbers diversifed but also because the model implicitly assumes agents' total risk aversion and their correlation diversifcation risk preference balance each other exactly. We then demonstrate that idiosyncratic risk is priced in a general RQE-CAPM where agents' total risk aversion and their correlation diversifcation risk preference coeffcients are not necessary equal. Our general RQE-CAPM therefore offers a unifying way of thinking about the pricing of idiosyncratic risk, including cases where such risk is negatively priced, and is relevant for the literature assessing the idiosyncratic risk puzzle. It also provides a natural theoretical underpinning for the empirical tests of the CAPM or the pricing of idiosyncratic risk performed in some existence studies. Nous utilisons une forme équivalente de la fonction d'utilité moyenne-variance de Markowitz, basée sur l'entropie quadratique de Rao (RQE), pour enrichir le modèle standard d'évaluation des actifs financiers (CAPM), à la fois en présence et en l'absence d'un actif sans risque. L'équilibre qui en résulte, que nous désignons par RQE-CAPM, offre de nouvelles perspectives importantes sur l'évaluation du risque. Il révèle notamment que la raison pour laquelle le CAPM standard n'évalue pas le risque idiosyncratique n'est pas seulement due au fait que le portefeuille du marché est diversifié par la loi des grands nombres, mais aussi au fait que le modèle suppose implicitement que l'aversion totale au risque des agents et leur préférence pour le risque de diversification de la corrélation s'équilibrent exactement. Nous démontrons ensuite que le risque idiosyncratique est évalué dans un RQE-CAPM général où l'aversion totale au risque des agents et leurs coefficients de préférence pour le risque de diversification de la corrélation ne sont pas nécessairement égaux. Notre modèle RQE-CAPM général offre donc une façon unifiée de penser à la tarification du risque idiosyncratique, y compris les cas où ce risque est évalué négativement, et est pertinent pour la littérature évaluant l'énigme du risque idiosyncratique. Il fournit également une base théorique naturelle pour les tests empiriques du MEDAF ou de la tarification du risque idiosyncratique effectués dans certaines études d'existence. |
| Keywords: | Rao's Quadratic Entropy,Mean-Variance Model,Capital Asset Pricing Model,Idiosyncratic Risk,Correlation Diversiffcation, Entropie quadratique de Rao,modèle moyenne-variance,modèle d'évaluation des actifs financiers,risque idiosyncratique,corrélation et diversification |
| JEL: | G11 G12 |
| Date: | 2021–08–23 |
| URL: | http://d.repec.org/n?u=RePEc:cir:cirwor:2021s-28&r= |
| By: | Ludovic Gouden\`ege; Andrea Molent; Antonino Zanette |
| Abstract: | Evaluating moving average options is a tough computational challenge for the energy and commodity market as the payoff of the option depends on the prices of a certain underlying observed on a moving window so, when a long window is considered, the pricing problem becomes high dimensional. We present an efficient method for pricing Bermudan style moving average options, based on Gaussian Process Regression and Gauss-Hermite quadrature, thus named GPR-GHQ. Specifically, the proposed algorithm proceeds backward in time and, at each time-step, the continuation value is computed only in a few points by using Gauss-Hermite quadrature, and then it is learned through Gaussian Process Regression. We test the proposed approach in the Black-Scholes model, where the GPR-GHQ method is made even more efficient by exploiting the positive homogeneity of the continuation value, which allows one to reduce the problem size. Positive homogeneity is also exploited to develop a binomial Markov chain, which is able to deal efficiently with medium-long windows. Secondly, we test GPR-GHQ in the Clewlow-Strickland model, the reference framework for modeling prices of energy commodities. Finally, we consider a challenging problem which involves double non-Markovian feature, that is the rough-Bergomi model. In this case, the pricing problem is even harder since the whole history of the volatility process impacts the future distribution of the process. The manuscript includes a numerical investigation, which displays that GPR-GHQ is very accurate and it is able to handle options with a very long window, thus overcoming the problem of high dimensionality. |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2108.11141&r= |
| By: | POST Jan; DE JONG Pieter; MALLORY Matt; DOUSSINEAU Mathieu; GNAMUS Ales (European Commission - JRC) |
| Abstract: | The smart Specialisation strategy design and implementation offer to the territories in Europe a solid paradigm for developing effective innovation governance, improving innovation policy capacities, enhancing public-private partnerships, offering common platform for inter-regional cooperation activities and through that an operative engagement of stakeholders in the international value chains. The sustainable Smart Specialisation strategies framework can play a key role as enabler of a sustainable transformation of European economy towards the Green Deal by streamlining innovation activities around the value chains to reach the competitiveness edge of Europe vis-à-vis the rest of the world. The Blue Economy activities, by safeguarding the preservation of healthy oceans, seas and waters, represent an important component of the European Green Deal activities in the regions and Member States. One of the emerging blue economy sectors with considerable “greening” potential for a stable water supply in the ever growing areas with increasing water imbalances is the desalination sector. Besides its essential role in providing water in the areas suffering water shortages, lately seriously aggravated by the climate change impacts, the sector has a potential for creating of prosperity and employment in some territories of Europe through a combination of innovation based sustainable water, energy and chemical technologies, coupled with environmental and societal challenges. This report aims at analysing the sector from the innovation, the EU policy and regional perspectives - in the latter with examples of implementation of desalination technologies in the three types of regions with specific water supply issues across Europe, namely in the water scarce regions of the Southern Europe, in European Western and Northern regions, and in the specific case of island regions, where a stable water supply through desalination improves substantially the living conditions and local economy. Overall, the desalination sector provides a sustainable solution for agro-food systems and for integrated water provision and management in the water scarce areas, makes those often vulnerable territories more climate-resilient, efficient, cost-effective, and environmentally and socially sustainable, and contributes to climate adaptation by solving the water scarcity, food security, soil health by enhancing rainwater infiltration and water reuse, nutrition, health and well-being of population in these areas. Given the increasing climate change pressures, a holistic approach to address the global freshwater scarcity through sustainable innovative solutions is needed and the sector of desalination will be granted increasing protagonism in the endeavours to enhance territorial resilience, improve ecosystem services, biodiversity and a more sustainable agricultural production in Europe and beyond. |
| Keywords: | Smart Specialisation, Blue Economy, Desalination Sector |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:ipt:iptwpa:jrc125905&r= |
| By: | Ryan Rafaty (University of Oxford); Geoffroy Dolphin (EPRG, CJBS, University of Cambridge); Felix Pretis (University of Oxford and University of Victoria) |
| Keywords: | Carbon Pricing, CO2 Emissions, Decarbonization, Carbon Tax, Climate Change, Climate Policy |
| JEL: | Q43 Q48 Q54 Q58 H23 |
| Date: | 2020–11 |
| URL: | http://d.repec.org/n?u=RePEc:enp:wpaper:eprg2035&r= |
| By: | Simon Blöthner; Mario Larch |
| Abstract: | While traditional empirical models using determinants like size and trade costs are able to predict RTA formation reasonably well, we demonstrate that allowing for machine detected non-linear patterns helps to improve the predictive power of RTA formation substantially. We employ machine learning methods and find that the fitted tree-based methods and neural networks deliver sharper and more accurate predictions than the probit model. For the majority of models the allowance of fixed effects increases the predictive performance considerably. We apply our models to predict the likelihood of RTA formation of the EU and the United States with their trading partners, respectively. |
| Keywords: | Regional Trade Agreements, neural networks, tree-based methods, high-dimensional fixed effects |
| JEL: | F14 F15 C45 C53 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_9233&r= |