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on Central and Western Asia |
| By: | Dean Spears (University of Texas at Austin - USA, Indian Statistical Institute Delhi Centre - India, IZA - Germany, IFFS - Sweden); Stéphane Zuber (Centre d'Economie de la Sorbonne, Paris School of Economics) |
| Abstract: | Utilitarianism is the most prominent family of social welfare functions. We present three new axiomatic characterizations of utilitarian (that is, additively separable) social welfare functions in a setting where there is risk over both population size and the welfares of individuals. First, we show that, given uncontroversial basic axioms, Blackorby et al.'s (1998) Expected Critical-Level Generalized Utilitarianism (ECLGU) is equivalent to a new axiom holding that it is better to allocate higher utility-conditional-on-existence to possible people who have a higher probability of existence. The other two novel characterizations extend classic axiomatizations of utilitarianism from settings with either social risk or variable-population, considered alone. By considering both social risk and variable population together, we clarify the fundamental normative considerations underlying utilitarian policy evaluation |
| Keywords: | Social risk; population ethics; utilitarianism; expected critical-level generalized utilitarianism; prioritarianism |
| JEL: | D63 D81 J10 |
| Date: | 2021–05 |
| URL: | http://d.repec.org/n?u=RePEc:mse:cesdoc:21017&r= |
| By: | Iwan Bos (Department of Organisation, Strategy and Entrepreneurship, Maastricht University); Marco A. Marini (Department of Social and Economic Sciences, Sapienza University of Rome); Riccardo D. Saulle (Department of Economics and Management, University of Padova) |
| Abstract: | This paper examines capacity-constrained oligopoly pricing with sellers who seek myopic improvements. We employ the Myopic Stable Set stability concept and establish the existence of a unique pure-strategy price solution for any given level of capacity. This solution is shown to coincide with the set of pure-strategy Nash equilibria when capacities are large or small. For an intermediate range of capacities, it predicts a price interval that includes the mixed-strategy support. This stability concept thus encompasses all Nash equilibria and offers a pure-strategy solution when there is none in Nash terms. In particular, it provides a behavioral rationale for different types of pricing dynamics, including real-world economic phenomena such as Edgeworth-like price cycles, price dispersion and supply shortages. |
| Keywords: | Behavioral IO, Bounded Rationality, Capacity Constraints, Oligopoly Pricing, Myopic Stable Set |
| JEL: | C72 D43 L13 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:pad:wpaper:0271&r= |
| By: | Richard Arena (Université Côte d'Azur, France; GREDEG CNRS); Muriel Dal Pont Legrand (Université Côte d'Azur, France; GREDEG CNRS); Roger Guesnerie (Collège de France) |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:gre:wpaper:2021-32&r= |
| By: | Dat Thanh Tran; Juho Kanniainen; Moncef Gabbouj; Alexandros Iosifidis |
| Abstract: | Data normalization is one of the most important preprocessing steps when building a machine learning model, especially when the model of interest is a deep neural network. This is because deep neural network optimized with stochastic gradient descent is sensitive to the input variable range and prone to numerical issues. Different than other types of signals, financial time-series often exhibit unique characteristics such as high volatility, non-stationarity and multi-modality that make them challenging to work with, often requiring expert domain knowledge for devising a suitable processing pipeline. In this paper, we propose a novel data-driven normalization method for deep neural networks that handle high-frequency financial time-series. The proposed normalization scheme, which takes into account the bimodal characteristic of financial multivariate time-series, requires no expert knowledge to preprocess a financial time-series since this step is formulated as part of the end-to-end optimization process. Our experiments, conducted with state-of-the-arts neural networks and high-frequency data from two large-scale limit order books coming from the Nordic and US markets, show significant improvements over other normalization techniques in forecasting future stock price dynamics. |
| Date: | 2021–09 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2109.00983&r= |
| By: | Pavel Chakraborty (Department of Economics, Management School, Lancaster University); Rahul Singh (Economics and Social Sciences Area, Indian Institute of Management, Bangalore) |
| Abstract: | We study the effects of technical barriers to trade (TBTs) imposed by destination markets on prices, marginal costs, and markups of Indian manufacturing exporters. Using detailed firm-product-level data on prices and production from PROWESS, we first identify the underlying component of prices (i.e. marginal costs and markups), and use those as our outcomes of interest in the second stage. We find that (i) introduction of TBTs by importing countries increases marginal costs by 5% and prices by 4%, (ii) there is considerable heterogeneity based on exporters’ initial productivity, (iii) productive exporters (those belonging to the lower deciles) experienced an increase in marginal costs and decrease in markups compared to low productivity exporters, and (iv) overall effects are driven by private firms (both domestic and foreign) belonging to intermediate input industries. |
| Keywords: | technical barriers to trade, prices, marginal costs, markups, exporters |
| JEL: | F1 F14 F16 |
| Date: | 2021–08–04 |
| URL: | http://d.repec.org/n?u=RePEc:era:wpaper:dp-2021-26&r= |
| By: | Sawada, Yasuyuki (Asian Development Bank Institute); Sumulong, Lea R. (Asian Development Bank Institute) |
| Abstract: | We summarize the unprecedented adverse health and economic impacts as well as policy responses in the Asia and Pacific region and the rest of the world generated by the coronavirus disease (COVID-19) pandemic in 2020. By the end of 2020, over 80 million people had been infected, with developing Asia accounting for 17% of cases. As the pandemic progressed, the Asian Development Bank (ADB) carried out assessments of the impacts on the global economy as well as on the overall economies of its developing members, updating the analyses as more information became available. On the whole, five economic impact assessments were undertaken in 2020 – one each in March, April, May, June, and December. Based on the latest analysis, relative to a no-COVID-19 baseline, global losses were estimated at 5.5%–8.7% of world GDP in 2020 and 3.6%–6.3% of world GDP in 2021, with the corresponding losses for developing Asia amounting to 6.0%–9.5% of regional GDP and 3.6%–6.3% of regional GDP in 2020 and 2021, respectively. These impacts largely originate from declines in domestic demand and tourism, and from global spillovers. As a result of these losses, real GDP of the developing Asian region is estimated to have contracted by 0.4% in 2020. A partial recovery is expected in 2021, with regional growth projected at 6.8%. Further analyses were carried out to study the impacts on micro, small, and medium-sized enterprises; employment; migration and remittances; poverty; nonperforming loans; and debt sustainability. Faced with wide-ranging unfavorable impacts, governments and multilateral lenders responded aggressively to mitigate the adverse effects of the pandemic. Many governments provided direct income support to households and businesses to help them cope with the economic shock. Meanwhile, multilateral lenders like ADB readily provided support in terms of finance, knowledge, and partnerships. In addition, ADB launched a $9 billion vaccine facility, the Asia Pacific Vaccine Access Facility, in December 2020, to support its low- and middle-income member countries in the effective procurement and delivery of COVID-19 vaccines. Despite the availability of vaccines, however, there is no room for complacency, as it will take years for the global population to achieve herd immunity, especially amidst the emergence of new, more transmissible, virus strains. While COVID-19 has brought about long-lasting changes to the global economy, it is up to policy makers to use this opportunity to adapt COVID-19 responses to address longer-term challenges. |
| Keywords: | COVID-19; economic impact; policy response |
| JEL: | E17 H30 H60 I15 I32 |
| Date: | 2021–04–08 |
| URL: | http://d.repec.org/n?u=RePEc:ris:adbiwp:1251&r= |
| By: | Pierlauro Lopez |
| Abstract: | More than 20 years of financial market data suggest a term structure of the welfare cost of economic uncertainty that is downward-sloping on average, especially during downturns. This evidence offers guidance in selecting a model to study the benefits of macroeconomic stabilization from a structural perspective. The addition of nonlinear external habit formation to a textbook monetary model can rationalize the evidence. The model is observationally equivalent in its quantity implications to a standard New Keynesian model with CRRA utility, but the optimal policy prescription is overturned. In the model the central bank should prioritize removing consumption volatility (a targeting of risk premia) over filling the gap between consumption and its flexible-price counterpart (inflation targeting). |
| Keywords: | Welfare cost of business cycles; Macroeconomic priorities; Equity and bond yields; Optimal monetary policy; Financial Stability |
| JEL: | E32 E44 E61 G12 |
| Date: | 2021–08–30 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedcwq:93000&r= |
| By: | Karl-Friedrich Keunecke; Hunter Kuhlwein; Cay Oertel |
| Abstract: | Autoregressive heteroscedastic effects in financial time series have been subject to a broad field of applied econometrics. Both academic research as well as the industry apply GARCH processes to real estate data with previous investigation mostly focused on securitized real estate positions. So far, the common approach in the literature has been to assume normal distribution of the innovation term for the GARCH modelling of direct real estate markets (Miles, 2008). The specified assumption of normality however falls short of the data characteristics exhibited by direct real estate markets, such as returns of real estate prices explicitly not normally distributed and better characterized by a more leptokurtic, skewed distribution (Schindler, 2009). Ghahramani and Thavaneswaran (2007) point out that typically the innovation distribution is selected without further justification. Consequently, the omission of a priori assumptions about the innovation term distributions being fit to direct real estate leading to misspecification and -parameterization of GARCH models is the research aim of this study. The employed analysis will utilize monthly transaction-based data for ten US property market subsets, whilst observing a window of time to encompass different market conditions and volatility regimes (Perlin et al., 2021). Determining how ARCH effects might differ across different US real estate submarkets as well as major and non-major markets builds on and extends previous research focused on geographical disaggregation (see Crawford and Fratantoni, 2003; Dolde and Tirtioglu, 1997; Miles, 2008; Schindler, 2009). Subsequently fitting and estimating each data subset with a conditionally normally distributed GARCH model will be juxtaposed by employing a variety of innovation distributions to the data. It follows the central hypothesis of this paper, that the goodness of fit for GARCH models can be improved by allowing for the conditional distribution to be modeled as a flexible a priori assumption. Investigating the differing goodness of fit for the models and employing the most appropriate models to re-estimate the GARCH parameters will allow an analysis of the differences in volatility clustering effects to the model employing normally distributed innovations. The aim is to show empirically, that non-normal innovation term distribution leads to a potentially better goodness of fit of the GARCH model. The utilization of a priori assumptions of GARCH model specification is of high importance not only for portfolio management of investors, but also risk management for economic institutions such as central banks and mortgage banks (Schindler, 2009). To the best of the authors’ knowledge, there is no study which scientifically examines the innovation term distribution of GARCH models of direct real estate investments. This paper aims to provide a better understanding of the influence a priori assumptions of the innovation term can take to increase the validity of volatility models for direct real estate investments. |
| Keywords: | Capital Values; GARCH; Innovation term distribution; Volatility modeling |
| JEL: | R3 |
| Date: | 2021–01–01 |
| URL: | http://d.repec.org/n?u=RePEc:arz:wpaper:eres2021_75&r= |
| By: | Miriam Kohl (Johannes Gutenberg University Mainz); Philipp M. Richter (TU Dresden) |
| Abstract: | This paper examines the effects of a unilateral reform of the redistribution policy in an economy open to international trade. We set up a general equilibrium trade model with heterogeneous agents allowing for country asymmetries. We show that under international trade compared to autarky, a unilateral tax increase leads to a less pronounced decline in aggregate real income in the reforming country, while income inequality is reduced to a larger extent for sufficiently small initial tax rates. We highlight as a key mechanism a tax-induced reduction in the market size of the reforming country relative to its trading partner, resulting in a firm selection effect towards exporting. From the perspective of a non-reforming trading partner, the unilateral redistribution policy reform resembles a unilateral increase in trade costs leading to a deterioration of terms-of-trade and a decline in both aggregate real income and inequality. |
| Keywords: | Income inequality, Redistribution, International trade, Heterogeneous firms |
| JEL: | D31 F12 F16 H24 |
| Date: | 2021–08–26 |
| URL: | http://d.repec.org/n?u=RePEc:jgu:wpaper:2113&r= |
| By: | Blanchflower, David G.; Bryson, Alex |
| 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 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:glodps:922&r= |
| By: | François Gardes (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, UP1 - Université Paris 1 Panthéon-Sorbonne, 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, UCO - Université Catholique de l'Ouest) |
| Abstract: | The inverse dependency of the estimated variances over the sample size throws a fundamental question on the validity of the usual statistical methodology, since any hypothesis on the value of a coefficient can be tested negatively by increasing the size of the data-set. I suppose that large data-sets are characterized by a concentration of information on homogenous sub-populations, a spatial autocorrelation of the error terms and the covariates may bias the estimation of variances. Using the corrections of variances under spatial autocorrelation, we obtain variances comparable to an estimation on sub-samples (named efficient sub-samples) the sizes of which are sufficient to contain the information which gives rise to similar estimates to those obtained on the whole population. Moreover, the estimation on efficient data-sets does not necessitate the specification of the spatial autocorrelations which are supposed to bias the estimated variances. |
| Keywords: | dataset,estimated variance,spatial autocorrelation,grouped observations |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:halshs-03325118&r= |
| By: | Steuer, Sebastian; Tröger, Tobias |
| Abstract: | We study the design features of disclosure regulations that seek to trigger the green transition of the global economy and ask whether such regulatory interventions are likely to bring about sufficient market discipline to achieve socially optimal climate targets. We categorize the transparency obligations stipulated in green finance regulation as either compelling the standardized disclosure of raw data, or providing quality labels that signal desirable green characteristics of investment products based on a uniform methodology. Both categories of transparency requirements canbe imposed at activity, issuer, and portfolio level. Finance theory and empirical evidence suggest that investors may prefer "green" over "dirty" assets for both financial and non-financial reasons and may thus demand higher returns from environmentally-harmful investment opportunities. However, the market discipline that this negative cost of capital effect exerts on "dirty" issuers is potentially attenuated by countervailing investor interests and does not automatically lead to socially optimal outcomes. Mandatory disclosure obligations and their (public) enforcement can play an important role in green finance strategies. They prevent an underproduction of the standardized high-quality information that investors need in order to allocate capital according to their preferences. However, the rationale behind regulatory intervention is not equally strong for all categories and all levels of "green" disclosure obligations. Corporate governance problems and other agency conflicts in intermediated investment chains do not represent a categorical impediment for green finance strategies. However, the many forces that may prevent markets from achieving socially optimal equilibria render disclosure-centered green finance legislation a second best to more direct forms of regulatory intervention like global carbon taxation and emissions trading schemes. Inherently transnational market-based green finance concepts can play a supporting role in sustainable transition, which is particularly important as long as first-best solutions remain politically unavailable. |
| Keywords: | green finance,sustainable finance,ESG,mandatory disclosure,taxonomies,benchmarks,labels,asset pricing,market discipline,climate change,climate risk |
| JEL: | D4 D6 G1 G3 G4 K2 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:safewp:320&r= |
| By: | Woods, John E |
| Abstract: | Surprisingly, Benjamin Graham, the acknowledged “Father of Value Investing”, considered his most important work to be the invention of the Commodity Reserve Currency Plan during the 1930s and 1940s. Previous studies of the Plan have overlooked the fact that, of its three main components (buffer stocks, price stability and currency–backing), Graham regarded the first as the most important and the other two as “secondary” or “subsidiary”. By focusing on the buffer–stock aspect, we demonstrate, first, the breadth and depth of Graham’s overall conception in terms of both micro– and macro-economics and, second, the considerable overlap with Keynes’s ideas developed around the same time, which are manifested particularly in their common conclusion that the inefficiency of commodity markets could be rectified only by government intervention. We also comment on Mehrling’s assessment of Graham as “not any kind of economist at all” (JHET, 2011). |
| Date: | 2021–08–24 |
| URL: | http://d.repec.org/n?u=RePEc:osf:osfxxx:qdv3n&r= |
| By: | Olkhov, Victor |
| Abstract: | Asset pricing crucially depends on an averaging time interval Δ of the market trade time-series. The choice of Δ changes the basic pricing equation and determines Taylor series of investor’s utility functions over current and future values of consumption. We present current and future values of random consumption as sums of the mean values during the interval Δ and perturbations determined by random variations of the price at current moment t and the payoff at day t+1. Linear and quadratic Taylor series’ approximations of the basic pricing equation describe mean price, mean payoff, their volatilities, skewness and the amount of asset ξmax that delivers max to investor’s utility. We believe that the stochasticity of the market trade time-series must define the random properties of the price and introduce the new price probability measure entirely determined by the probability measures of trading value and volume. We define the set of nth statistical moments of the price as ratio of the nth statistical moment of the value to nth statistical moment of the volume of the market trades performed during the averaging interval Δ. The set of price statistical moments determines the price characteristic function and its Fourier transform defines the new price probability measure. Prediction of the price probability measure requires forecasts of all statistical moments of the trades. Definition of the price probability expresses the catch phrase “You can’t beat the market”. |
| Keywords: | asset pricing, volatility, price probability, market trades |
| JEL: | C02 D40 D53 G10 G12 |
| Date: | 2021–07–24 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:109238&r= |
| By: | Rivot, Sylvie |
| Abstract: | When scholars investigate the legacy of Keynes’s Treatise on Probability (1921) for the development of Keynes’s thinking, the attention usually focuses on the connections between Keynes’s probability theory, his conception of decision-making under uncertainty and the theory of the functioning of the macroeconomic system that derives from it - through the marginal efficiency of capital, the preference for liquidity and the self-referential functioning of financial markets. By contrast, the paper aims to investigate the connections between Keynes’s probability theory on the one hand, and his economic policy recommendations on the other. It concentrates on the policy recommendations defended by Keynes during the Great Depression but also after the General Theory. Keynes’s economic policy can be understood as a framework for decision-making in situations of uncertainty: fiscal policy aims to induce private agents to change their “rational” probability statements, while monetary policy aims to allow more weight to these statements. |
| Date: | 2021–08–24 |
| URL: | http://d.repec.org/n?u=RePEc:osf:osfxxx:s5qp9&r= |
| By: | Robert Clark; Jean-François Houde; Jakub Kastl |
| Abstract: | This chapter discusses recent developments in the literature involving applications of industrial organization methods to finance. We structure our discussion around a simple model of a financial intermediary that concentrates its attention either on (i) the retail market and hence engages in a traditional maturity transformation business by accepting funds that can be used to invest in risky projects (loans), or (ii) the investment business, financing its operations on the “wholesale” market and making markets or investing in higher return riskier projects. Our discussion is centered around the analysis of market structure and competition in each of these markets, focusing in turn on (i) primary and secondary markets for government and corporate debt, (ii) interbank loans, (iii) markets for retail funding, and (iv) credit markets, including mortgages. |
| JEL: | G2 L1 L51 |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29183&r= |
| By: | Sonobe, Tetsushi (Asian Development Bank Institute); Takeda, Asami (Asian Development Bank Institute); Yoshida, Susumu (Asian Development Bank Institute); Truong, Hoa Thi (Asian Development Bank Institute) |
| Abstract: | Soon after the outbreak of the COVID-19 pandemic, many governments began extending financial and other forms of support to micro, small, and medium-sized enterprises (MSMEs) and their workers because smaller firms are more vulnerable to negative shocks to their supply chain, labor supply, and final demand for goods and services than larger firms. Since MSMEs are diverse, however, the severity of the pandemic’s impact on them varies considerably depending on their characteristics. Using online survey data of MSMEs from eight developing economies in South, Southeast, and Northeast Asia, we attempt to deepen our understanding of the impact of the pandemic on MSMEs, especially their employment, sales revenue, and cash flow. We characterize those firms that began participating in online commerce and try to determine how their use of online commerce and their employment are related in this difficult time. We also examine the government support that MSMEs have received and the extent to which it has satisfied their support needs. |
| Keywords: | COVID-19; micro; small; and medium enterprises (MSMEs); layoffs; cash shortage; digitalization |
| JEL: | D22 J63 L25 O53 |
| Date: | 2021–03–26 |
| URL: | http://d.repec.org/n?u=RePEc:ris:adbiwp:1241&r= |
| By: | Geraldine Dany-Knedlik; Alexander Kriwoluzky; Sandra Pasch |
| Abstract: | Using a wide variety of business cycle dating and filtering techniques, this paper documents the cyclical behavior of the post-tax income distribution in the US. First, all incomes are cyclical and co-move with the business cycle. Second, lower and higher income individuals experience significantly larger fluctuations across the business cycle than middle-income individuals. Third, these fluctuations have become smaller over the course of the Great Moderation for the bottom and the very top income individuals. With the financial crisis starting in 2009 and its repercussions, the volatilities are again increasing; however, not significantly. These findings are independent from the method to extract the business cycle component. |
| Keywords: | Cyclicity of the income distribution, business cycle |
| JEL: | E01 E32 D31 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:diw:diwwpp:dp1964&r= |
| By: | Stephen Lee |
| Abstract: | One of the key research questions in the private commercial real estate market involves the investigation of the amount of specific risk in portfolios of various size. In other words, the number of properties a real estate portfolio needs to diversified, i.e. have no specific risk. Previous studies suggesting that the reduction in specific risk from increasing portfolio size is difficult to achieve and so investors should increase portfolio size almost indefinitely. A conclusion largely based on the linear regression model of Evans and Archer (1968), which infers the amount of specific risk indirectly. This paper therefore re-examine the extent of diversification in private commercial real estate portfolios using two approaches not previous applied in real estate portfolio analysis. First, to overcome the issues with the linear regression approach of Evans and Archer (1968) we use the multivariate curve fitting methodology of Hueng and Yau (2006) to estimate the amount of specific risk in portfolios at each portfolio size directly and find the point at which the specific risk is zero. Second, to avoid timing biases due to changes in the risk/return performance resulting from a fixed holding-periods we follow Chong and Philips (2013) and use randomise start dates with 5-year and 10-year holding periods. Using quarterly returns over the period 2000:1 to 2020:4 for 77 ‘property assets’ and simulation, without replacement, the linear model of Evans and Archer (1968) indicates that even after holding all 77 ‘property assets’ specific risk was still not zero. Confirming the results of previous studies. In contrast, using the multivariate curve fitting approach of Hueng and Yau (2006) the results show that investors can reduce about 95% of the specific risk with only five or six ‘property assets’ and that specific risk is zero at the 11 ‘property asset’ portfolio level. Thus, we reject the idea that investors in private commercial real estate should continue to increase their portfolio almost indefinitely. |
| Keywords: | Linear Regression; multivariate modelling; portfolio specific risk; town level data |
| JEL: | R3 |
| Date: | 2021–01–01 |
| URL: | http://d.repec.org/n?u=RePEc:arz:wpaper:eres2021_211&r= |
| By: | Kohnert, Dirk |
| Abstract: | The combined impact of Brexit and the COVID-19 pandemic on British foreign- and trade relations to Israel and its Arab neighbours constitute a particularly sensitive case. A destabilization of these countries could impact seriously stability and security, not just of the Middle-East region, but on the whole world. So far, the preliminary effects are ambivalent. Whereas Britons entertained reasoned hope for a ‘Corona miracle’ and a marvellous economic recovery in 2021, the prospects for Israel, the occupied Palestinian territories, Lebanon, Jordan and Egypt were less rosy. Presumably, Brexit is likely to harm the United Kingdom in the medium and long run. The post-Brexit impact on Israel and its Arab neighbours will be negative as well, but probably only be felt in the medium and long term also. However, the direct and indirect negative effects of the global COVID-19 crisis will by far outdo the Brexit impact. |
| Keywords: | Brexit, COVID-19-pandemic, Corona, economic growth, Israel, Palestine, Lebanon, Jordan, Egypt, United Kingdom, international trade, free trade area, customs union, Anglosphere, |
| JEL: | F13 F15 F22 F52 F68 I14 N1 N40 O24 O5 Z13 |
| Date: | 2021–08–08 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:109153&r= |
| By: | De Grauwe, Paul |
| Abstract: | Inflation is on the rise again in the industrialised world. This has led to fears of a sustained surge in inflation. This article argues that while such fears may make sense in the US, they do not in the eurozone, where the monetary-fiscal policy mix has been much less expansionary than in the US. The fear expressed by some that the monetary overhang from the large injections of liquidity through quantitative easing might lead to inflation in the eurozone does not stand up to scrutiny either. The conclusion offers some observations on the monetary operating procedures in the ECB. It argues that in the future, when interest rates rise again, the ECB risks transferring all (and even more) of its profits to the banking system. This article proposes a way to avoid this unacceptable outcome. |
| JEL: | N0 F3 G3 |
| Date: | 2021–08–05 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:lserod:111810&r= |
| By: | Betts, Caroline |
| Abstract: | This paper develops a quantitative framework to evaluate the sectoral origins of economic growth. First, I decompose growth in aggregate growth accounting variables–GDP per working age person, a capital factor, an hours’ worked factor, and an implied total factor productivity factor–into sectoral contributions. I decompose the TFP factor growth contribution of a sector into 1) sector-share weighted, within-sector TFP factor growth, and 2) several residual allocative effects. Second, I interpret structurally the observed sectoral contributions by comparing them to those predicted by a multi-sector neoclassical growth model. Using the framework to account for Japan’s economic growth slowdown I find that, empirically, two factors quantitatively dominated Japan’s slowing GDP per working age person in the 1990s. First, a large decline in aggregate TFP growth relative to the 1980s, driven by 1) slower within-industrial sector TFP growth, and 2) negative residual effects due to faster value-added reallocation towards services which mediated a larger impact of the sector for aggregate capital deepening. Second, a large fall in hours worked per working age person, originating mainly in smaller industrial sector contributions. In the 2000s, continued GDP per working age person and aggregate TFP growth decay were due largely to slower within-service sector TFP growth. In the 2010s, anemic aggregate TFP factor growth equal to just 18 percent of its 1980s value was depressed by zero service sector TFP growth; a modest growth rate recovery in GDP per working age person originated in rapid increases in hours worked per working age person, via roughly equal increases in industrial and service sector contributions. A calibrated three-sector growth model absent frictions, featuring sectoral TFP time series as inputs, reproduces closely the time-series from 1980–2018 of a) hours shares of sectors, b) GDP per working age person, and c) the aggregate TFP factor. It captures quite well a) sample-average aggregate TFP growth, b) aggregate TFP growth rate changes across decades, c) the decomposition of aggregate TFP factor growth into total “within-sector” TFP and total residual contributions of sectors, and d) “within-sector” TFP growth contributions of agriculture, industry, and services. The model cannot replicate the sources of, or sectoral contributions to, observed–albeit small–TFP growth residual effects. More importantly, the model’s predicted hours factor (hours per working age person): 1) captures only 46 percent of the decline in industry’s contribution to the fall in aggregate hours factor growth in the 1990s; 2) declines in the 2000s, while hours factor growth is positive in the data; 3) captures only 47 percent of observed average hours factor growth in the 2010s; and 4) allocates too much of the 2010s increase in aggregate hours factor growth to industry. A higher intertemporal elasticity of substitution, a higher Frisch elasticity, and an aggregate labor (policy) wedge resolve some, but exacerbate other, model failures. |
| Keywords: | Economic Growth, Neoclassical Growth Model, Structural Change, Total Factor Productivity, Japan. |
| JEL: | E13 O41 O47 O53 |
| Date: | 2021–08–21 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:109285&r= |
| By: | David S. Miller |
| Abstract: | Treating nominal government bonds like other bonds leads to a new theory of sudden inflations and currency crises. Holmstrom (2015) and Gorton (2017) describe bonds as having costly-to-investigate opaque backing that consumers believe is sufficient for repayment. Government bonds' nominal return is their face value, their real return is determined by the government's surplus. In normal times, consumers are confident of repayment but ignorant of the true surpluses that will fund that repayment. When consumers' belief in real repayment wavers, they investigate surpluses. If consumers learn surpluses will be insufficient to repay bonds in real terms, the price level jumps. This explains why we observe inflationary crises, but never deflationary. |
| Keywords: | Currency Crises; Price Level Determination; Monetary Fiscal Interaction; Fiscal Theory of the Price Level |
| JEL: | E31 E51 E52 E63 |
| Date: | 2021–08–24 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgfe:2021-57&r= |
| By: | Klug, Thorsten; Mayer, Eric; Schuler, Tobias |
| Abstract: | We investigate, in the case of Germany, the positive correlation between the cyclical components of the corporate saving glut in the non-financial corporate sector and the current account surplus from a capital account perspective. Employing sign restrictions, our findings suggest that mostly labor supply, world demand and financial friction shocks account for the joint dynamics of excess corporate saving and the current account surplus. Household saving shocks, by contrast, cannot explain the correlation. We conclude that, explained through these factors, the corporate saving glut is an important driver of the cyclical component of the current account. JEL Classification: E32, F32, F45 |
| Keywords: | corporate saving, current account, macro shocks |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20212586&r= |
| By: | Liang Lu; Ruby Nguyen; Md Mamunur Rahman; Jason Winfree |
| Abstract: | The food supply chain has experienced major disruptions from both demand and supply sides during the Covid-19 pandemic. While some consequences such as food waste are directly caused by the disruption due to supply chain inefficiency, others are indirectly caused by a change in consumer’s preferences. As a result, evaluating food supply chain resilience is a difficult task. With an attempt to understand impacts of demand on the food supply chain, we developed an agent-based model based on the case of Idaho’s potato supply chain. Results showed that not only the magnitude but also the timing of the demand shock will have different impacts on various stakeholders of the supply chain. Our contribution to the literature is two-fold. First, the model helps explain why food waste and shortages may occur with dramatic shifts in consumer demand. Second, this paper provides a new angle on evaluating the various mitigation strategies and policy responses to disruptions beyond Covid-19. |
| JEL: | L1 Q11 |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29166&r= |
| By: | Michał Brzoza-Brzezina; Marcin Kolasa; Krzysztof Makarski |
| Abstract: | We study the macroeconomic effects of the COVID-19 epidemic in a quantitative dynamic general equilibrium setup with nominal rigidities. We evaluate various containment policies and show that they allow to dramatically reduce the welfare cost of the disease. Then we investigate the role that monetary policy, in its capacity to manage aggregate demand, should play during the epidemic. We show that treating the observed output contraction as a standard recession leads to a bad policy, irrespective of the underlying containment measures. Then we check how monetary policy should solve the trade-off between stabilizing the economy and containing the epidemic. If no administrative restrictions are in place, the second motive prevails and, in spite of the deep recession, optimal monetary policy is in fact contractionary. Only if sufficient containment measures are being introduced should central bank interventions be expansionary and help stabilize economic activity. |
| Keywords: | COVID-19; Epidemics; Containment measures; Monetary policy |
| JEL: | E1 E5 E6 H5 I1 I3 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:sgh:kaewps:2021067&r= |
| By: | van Buggenum, Hugo (Tilburg University, School of Economics and Management) |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:tiu:tiutis:f6e8dc53-9a1b-4f66-9cef-b1efb22ac76c&r= |
| By: | Selim Banabak |
| Abstract: | Although there exists some scientific literature concerned with pricing on the Austrian real estate market (Helbich, W. Brunauer, et al., 2014; Kuntz and Helbich, 2014; W. Brunauer, Lang, and Umlauf, 2013), there is surprisingly little quantitative research on housing rents, their spatial structure and drivers. Expanding the existing literature beyond house price prediction is especially important in the Viennese case, where according to the Austrian Mikrozensus, 77.5% of the population live in a rented flat (Statistik Austria, 2020). Thus, quantitative research on the Austrian housing market cannot primarily focus on price formation regarding private real estate property but needs to also consider rental markets. W. A. Brunauer et al. (2010) provide a notable exception from the lack of quantitative research on the Viennese rental case as well as an interesting approach using a Generalized Additive Model with spatial scaling. Fortunately, there is also a growing body of econometric literature on housing rents and their drivers onthe international stage where one could draw ideas from. Recent examples can be found in Tomal (2020); McCord et al. (2014) or Efthymiou and Antoniou (2013.) Usually in the spirit of hedonic house price models, housing rents are regressed onto certain characteristics of the respective flat as well as some indicators measuring the quality of location. However, the Viennese housing market has several special features which have not been properly addressed in housing rent modeling up till now. An important feature of the Viennese accommodation market is the fact that roughly 43% of households live in a flat provided by the social sector, which consists of municipal as well as cooperative (non-profit) housing. The private rental sector on the other hand accommodates about a third of the households (Tockner, 2017). Thus, dynamics in the comparatively small free market segment cannot be adequately understood if considered independent from the larger social sector (Kemeny,Kersloot, and Thalmann, 2005). A further important aspect is the strong regulation of rent prices through the Mietrechtsgesetz (MRG) that basically constitutes two regulatory regimes within the private market segment. On the one hand flats located in buildings erected before 1945 or built with state subsidies experience strong price controls. On the other hand, flats that do not fulfill the previously mentioned criteria as well as single family houses do not experience any such price controls. However, the introduction of location bonuses to the price-controlled segment led to spatially very uneven price increases over the last years (Kadi, 2015). We propose a hierarchical generalized additive model (HGAM) to model squaremeter prices by smooth functions of flat characteristics such as size, age, and time within the sample. Additionally, various dummy variables enter the model as linear predictors and random effects are used to model subdistrict specific location bonuses in the baseline model. Going beyond the existing hedonic housing rent literature this study also proposes several extensions to model, addressing the aforementioned special features of the Viennese rental market. Thus, the baseline HGAM is modified to incorporate regulatory-regime heterogeneity in its parameters as well as spatial heterogeneity with respect to time trends in order to properly address the differences in the development of location bonuses. Varying degree of competition from the social sector in each subdistrict is also tested as a potential impacting factor onto rents. As spatial autocorrelation might be an issue given the spatial nature of the data, we do not only use random effects for the location bonuses but also add a spatially structured predictor using markov-random-fields. The Data available for this study was kindly provided by the DataScience Service GmbH and consists of over 84,000 observations of flats offered on the Viennese rental market between 2012 and 2020 with a very high coverage rate during the more recent years. Asking prices, GIS data, very detailed real estate characteristics including size, age, furnishing and many more, as well as a multitude of socio-economic variables on the respective area such as share of academics, proximity to medical infrastructure or accessibility of public transport are available for the given dataset. Due to the constant excess demand on the accommodation market in Vienna for the given period, asking prices are assumed to hardly deviate from market prices and can be seen, as a legitimate approximation. First results suggest that all proposed extensions to the baseline model add significant predictive power. |
| Keywords: | HGAM; Housing Rents; Rent Regulation; Vienna |
| JEL: | R3 |
| Date: | 2021–01–01 |
| URL: | http://d.repec.org/n?u=RePEc:arz:wpaper:eres2021_167&r= |
| By: | Chiara Künzle; Sven Bienert; Cay Oertel; Werner Gleißner |
| Abstract: | This paper aims to show that the value of a real estate portfolio can be increased through systematic diversification. This value contribution can, on the one hand, be proven within a portfolio and, on the other hand, by including the owner's remaining assets. A quantification would be a comprehensible proof that a portfolio can generate an investor-specific value contribution through diversification beyond the sum of the individual market values. The basic research approach is proven using an alternative valuation method. In particular a DCF valuation is used, which is extended by a Monte Carlo Simulation. This method addresses all risks that can arise from real estate investments. This approach can help portfolio managers with transaction decisions. Moreover, it is an instrument that demonstrates the competence of the initiator and helps to achieve better financing conditions by showing professional investors the efficiency of the planned fund or portfolio. The paper presents an alternative approach to the prevailing Modern Portfolio Theory, which focuses only on the expected return on the one hand and the corresponding risk on the other. With the method applied in this paper, the value contribution of such a diversification strategy is demonstrated for the first time using market data. |
| Keywords: | Direct Property Investment; Discounted Cash Flow; Diversification; Risk Management |
| JEL: | R3 |
| Date: | 2021–01–01 |
| URL: | http://d.repec.org/n?u=RePEc:arz:wpaper:eres2021_82&r= |
| By: | Shahbaz, Muhammad; Sinha, Avik; Raghutla, Chandrashekar; Vo, Xuan Vinh |
| Abstract: | This paper contributes to literature by divulging the nature of scale and technique effects on renewable energy consumption, considering foreign direct investment (FDI) and financial development as considerable factors of renewable energy demand. The data for 39 countries over the period of 2000-2019 is used for empirical analysis. In doing so, second generation methodological approaches are applied to decompose scale and technique effects. The empirical results show the presence of cointegration between the model parameters, in the presence of cross-sectional dependence and structural breaks. Further, financial development is positively linked with renewable energy consumption. Foreign direct investment and renewable energy demand are positively linked. Composition effect has negative effect on renewable energy consumption. Economic growth and fossil fuel consumption have positive impact on renewable energy consumption. Long run estimation results indicate that renewable energy-FDI and renewable energy-financial development associations are U-shaped. It indicates that the scale effects exerted by FDI and financial development are overridden by technique and composition effects, and hence, the demand for renewable energy and consequential renewable energy consumption rises with the progression of economic growth. Based on this, policy suggestions are provided for these nations to ascertain sustainable development through bringing forth transformations in the energy policies. |
| Keywords: | Scale and Technique Effects, Financial Development, Foreign Direct Investment, Renewable Energy Consumption |
| JEL: | Q4 |
| Date: | 2021–08–01 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:109125&r= |
| By: | Mahmood, Haider |
| Abstract: | inancial development market (FMD) may have positive or negative environmental consequences. This research investigated the effects of FMD and income on CO2 emissions in Gulf Cooperation Council (GCC) countries during 1980-2018. We found that income had positive effect but FMD had insignificant impact on emissions in GCC panel. Then, we tested these effects in the individual country time series and found that income had positive impact in Saudi Arabia, Kuwait and Oman and had insignificant effect in other GCC countries in long run. Effect of FMD was positive in Oman, was negative in UAE and was insignificant in rest of GCC countries. Effect of income was positive in Saudi Arabia and Kuwait and was insignificant for other countries in short run. The effect of FMD was positive in Kuwait and was negative in UAE. We recommend UAE to expand the financial market and suggest Oman and Kuwait to have a check on the financially supported pollution-oriented activities. |
| Keywords: | financial market development, CO2 emissions, GCC |
| JEL: | Q53 |
| Date: | 2020–06–29 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:109134&r= |
| By: | Seema Jayachandran |
| Abstract: | Reducing global poverty and addressing climate change and other environmental crises are among the most important challenges facing humanity today. This review article discusses one way in which these problems are intertwined: economic development affects the environment. I synthesize recent microempirical research on the environmental effects of economic development in low- and middle-income countries. The studies that I discuss identify the causal effects of specific aspects of economic development such as greater household purchasing power, expanded access to credit, more secure property rights, technological progress, and stronger regulatory capacity. I conclude by outlining some gaps in the literature. |
| JEL: | O13 Q56 |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29191&r= |
| By: | Roman Horvath (Charles University, Prague); Lorant Kaszab (Magyar Nemzeti Bank (Central Bank of Hungary)); Ales Marsal (National Bank of Slovakia) |
| Abstract: | Long-term bond yields contain a risk-premium, an important part of which is compensation for inflation risks. The substantial increase in the Fed funds rate in the mid-2000s did not raise long-term US Treasury yields due to the reduction in the term premium (so-called Greenspan conundrum) which was typically thought to be exogenous for monetary policy. We show using a New Keynesian macro-finance model that the term premium is endogenous and is greatly influenced by the specification of the Taylor rule. Finally, we extend the model with frictions (richer fiscal setup and wage rigidity) that are known to help jointly match macro and finance data and estimate the model on US data in 1961-2007 by the generalized methods of moments and simulated methods of moments. |
| Keywords: | zero-coupon bond, nominal term premium, inflation risk, Taylor rule, New Keynesian, labor income taxation, wage rigidity, GMM, SMM |
| JEL: | E13 E31 E43 E44 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:mnb:wpaper:2021/2&r= |
| By: | H. Spencer Banzhaf |
| Abstract: | The Value of Statistical Life (VSL) is arguably the most important number in benefit-cost analyses of environmental, health, and transportation policies. However, agencies have used a wide range of VSL values. One reason may be the embarrassment of riches when it comes to VSL studies. While meta-analysis is a standard way to synthesize information across studies, we now have multiple competing meta-analyses and reviews. Thus, to analysts, picking one such meta-analysis may feel as hard as picking a single "best study." This paper responds by taking the meta-analysis another step, estimating a meta-analysis (or mixture distribution) of six meta-analyses. The baseline model yields a central VSL of $7.0m, with a 90% confidence interval of $2.4m to $11.2m. The provided code allows users to easily change subjective weights on the studies, add new studies, or change adjustments for income, inflation, and latency. |
| JEL: | I12 I18 J17 J31 K32 Q51 |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29185&r= |
| By: | Davide Debortoli; Jordi Galí |
| Abstract: | We study the role of idiosyncratic income shocks for aggregate fluctuations within a simple heterogeneous household framework with no binding borrowing constraints. We derive analytically an Euler equation for (log) aggregate consumption, and show that the impact of idiosyncratic risk on aggregate consumption works through two channels: (i) changes in average consumption uncertainty and (ii) changes in the cross-sectional dispersion of consumption. We show that these two channels are related and tend to offset each other. Their net effect is captured by a sufficient statistic, the consumption-weighted average of changes in uncertainty. We apply this framework to two example economies -an endowment economy and a New Keynesian economy- and show that the net effect of heterogeneity is quantitatively small. By contrast, that effect becomes more significant when considering that borrowing constraints are binding for a sizable fraction of the population. |
| Keywords: | heterogeneous agents, economic fluctuations, aggregate shocks, idiosyncratic shocks, monetary policy, HANK models. |
| JEL: | E21 E32 E50 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:upf:upfgen:1796&r= |
| By: | Nilsen, Øivind A. (Dept. of Economics, Norwegian School of Economics and Business Administration); Skuterud, Håvard; Munthe-Kaas Webster, Ingeborg |
| Abstract: | This paper provides evidence on price rigidity at the product- and firm-level in Norway. A strong within-firm synchronization is found supporting the theory of economies of scope in menu costs. The industry synchronization effects are found to be small suggesting that firms either have some monopoly power, or that a firm’s costs of changing their own prices may be larger than the benefit of responding to their competitors’ price changes. These findings have potentially important implications for the micro-foundations of macroeconomic models, and thus the policy advice derived from such models. |
| Keywords: | Price Setting; Monthly Micro Data; Selection Effects. |
| JEL: | C35 D43 E31 |
| Date: | 2021–08–26 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:nhheco:2021_015&r= |
| By: | James Bishop (Reserve Bank of Australia); Emma Greenland (Reserve Bank of Australia) |
| Abstract: | The way in which wages respond to very low rates of unemployment remains a key source of uncertainty in Australia, partly due to the lack of historical evidence to draw upon. To help fill this gap, we study data on unemployment rates and wages growth across local labour markets over the past 20 years. The considerable variation in economic conditions across local labour markets allows us to infer the strength of the relationship between unemployment and wages growth (i.e. the wage Phillips curve) at very low unemployment rates that are rarely seen at the national level. We find strong evidence that the wage Phillips curve is indeed a curve, rather than a straight line. When the unemployment rate exceeds 7½ per cent, the Phillips curve is flat and wages growth is unresponsive to changes in unemployment. Wages growth then becomes increasingly responsive to changes in the unemployment rate as the unemployment rate falls to lower and lower levels, most notably below 4 per cent. These findings have implications for monetary policy, particularly at the current juncture given the Reserve Bank of Australia's central forecast for the unemployment rate to fall to multi-decade lows in the next few years. |
| Keywords: | Phillips curve; unemployment; inflation; wages growth |
| JEL: | E24 E31 E52 |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:rba:rbardp:rdp2021-09&r= |
| By: | Busch, Pascal; Cappelletti, Giuseppe; Marincas, Vlad; Meller, Barbara; Wildmann, Nadya |
| Abstract: | The Basel Committee on Banking Supervision (BCBS) framework used to identify global systemically important banks (G-SIBs) is based on banks’ balance sheet information, leaving information derived from market data untapped. Among the most widely used market-based systemic risk measures, Adrian and Brunnermeier’s (2016) Delta-Conditional Value at Risk (ΔCoVaR) best captures the system-wide loss-given-default (sLGD) and conditional impact concepts underlying the BCBS GSIB methodology. In this paper we investigate, using a global sample of the largest banks, whether a score based on ΔCoVaR could be useful for ranking G-SIBs or for calibrating an alternative G-SIB indicator weighting scheme. In our first analysis we find that the ΔCoVaR score is positively correlated with all five of the systemic importance categories of the BCBS framework. However, considerable information/noise with regard to the ΔCoVaR score remains unexplained. Before more is known about this residual, a score based on ΔCoVaR is difficult to interpret and is inappropriate for identifying G-SIBs in a policy context. Besides, we find that a ranking based on ΔCoVaR is subject to substantial variability over time and across empirical specifications. In our second analysis we use ΔCoVaR to place the current static weighting scheme for G-SIB indicators on an empirical footing. To do this we regress ΔCoVaR on factors derived from the G-SIB indicators. This approach allows us to focus on the part of ΔCoVaR which can be explained by balance sheet information which alleviates the identified issues of interpretability and variability. The derived weights are highest for the cross-jurisdictional activity (43%) and size (27%) categories. We conclude that ΔCoVaR is not suitable for use as an alternative G-SIB score but could be useful for policymakers to pursue an empirically grounded weighting scheme for the existing G-SIB indicators. JEL Classification: G20, G21, G28 |
| Keywords: | bank regulation, global systemically important banks, systemic risk measures |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbops:2021260&r= |
| By: | Soh, Moonwon; Wade, Tara |
| Keywords: | Environmental Economics and Policy, Resource/Energy Economics and Policy, Agricultural and Food Policy |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:ags:aaea21:312840&r= |
| By: | Gordon John Anderson; Teng Wah Leo |
| Abstract: | Following the increasing use of discrete ordinal data for well-being analysis, this note builds on Hammond (H−) dominance concepts developed in Gravel et al. (2020) for discrete ordinal variables by observing and exploiting the fact that the coefficients associated with successive sums of cumulative distribution functions are Binomial coefficient functions of the order of dominance under consideration. Drawing first on notions of stochastic dominance relations for continuous variables to develop analogous concepts for discrete ordinal variables, it highlights the important limitation that increasing orders of dominance lead to loss of degrees of freedom which can be significant when the number of categories is low, as is common among ordered categorical variables, effectively bounding the maximum order of dominance. However, expanding on H− dominance by utilising the Binomial coefficients facilitates sequential consideration of higher orders of H− dominance without this loss, thereby surmounting the limitation. |
| Keywords: | Stochastic Dominance; Discrete Variables; Ordinal Variables; Hammond Transfers |
| JEL: | C14 I3 |
| Date: | 2021–09–01 |
| URL: | http://d.repec.org/n?u=RePEc:tor:tecipa:tecipa-705&r= |
| By: | Donna, Javier D.; Espin-Sanchez, Jose-A. |
| Abstract: | We investigate the efficiency of a market relative to a non-market institution—an auction relative to a quota—as allocation mechanisms in the presence of frictions. We use data from water markets in southeastern Spain and explore a specific change in the institutions to allocate water. On the one hand, frictions arose because poor farmers were liquidity constrained. On the other hand, wealthy farmers who were part of the wealthy elite were not liquidity constrained. We estimate a structural dynamic demand model under the market by taking advantage that water demand for both types of farmers is determined by the technological constraint imposed by the crop’s production function. This approach allows us to differentiate liquidity constraints from unobserved heterogeneity. We use the estimated model to compute welfare under market and non-market institutions. We show that the institutional change from markets to quotas increased efficiency for the farmers considered. |
| Keywords: | Market Efficiency, Dynamic Demand, Auctions, Quotas, Vertical Integration, Financial Markets |
| JEL: | D02 G14 L11 L13 L42 L50 Q25 |
| Date: | 2021–04–05 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:109544&r= |
| By: | Bird, Samuel; Verma, Sneha |
| Keywords: | International Development, Labor and Human Capital, Research Methods/Statistical Methods |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:ags:aaea21:312717&r= |
| By: | Zhang, Jingfang; Li, Wenying; Dorfman, Jeffrey H. |
| Keywords: | Agribusiness, Research Methods/Statistical Methods, Marketing |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:ags:aaea21:312832&r= |
| By: | Kunnathuvalappil Hariharan, Naveen |
| Abstract: | Rethinking Budgeting Process in times of Uncertainty |
| Keywords: | Budgeting; minimized budgeting; relative targeting; rolling forecast |
| JEL: | G3 G31 G32 |
| Date: | 2020–05 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:109513&r= |
| By: | Ncib, Adel; khalfallah, Fatma |
| Abstract: | The goal of our research is to see how governance systems affect the performance of Tunisian businesses. Empirical validation of a panel of 100 Tunisian companies over a 10-year period from 2008 to 2018 demonstrates that the board of directors' makeup, compensation system, shareholder rights, and disclosure of financial information are all important factors. |
| Keywords: | Corporate Governance, Performance, Board of directors, BVMT |
| JEL: | M19 |
| Date: | 2021–08–20 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:109239&r= |