|
on Central and Western Asia |
| By: | Mark Paddrik (Office of Financial Research); Carlos Ramirez (Board of Governors of the Federal Reserve System); Matthew McCormick (Federal Reserve Bank of Dallas) |
| Abstract: | The triparty repurchase agreement (repo) market is pivotal in the daily function of the U.S. financial system by acting as an important source of secured short-term funding. Despite the market’s role, little analysis has been undertaken on its intraday trading and pricing. Using supervisory transaction-level data, this brief aims to fill this gap by providing an overview of the pricing and clearing process for the overnight segment, which regularly provides over $1 trillion in daily funding. Besides highlighting the relevance of the overnight segment within the greater U.S. repo market, we present novel facts about how it behaves, emphasizing the role that participants, collateral, and trading relationships play in the market’s pricing and clearing process. |
| Keywords: | Repurchase agreement, overnight, triparty, intraday dynamics |
| Date: | 2021–07–22 |
| URL: | http://d.repec.org/n?u=RePEc:ofr:briefs:21-02&r= |
| By: | Kikilashvili, Maka |
| Abstract: | This article aims to present the Georgian reality regarding the sharing economy and its future trends based on the market players and already appeared innovative businesses through sharing platforms. The sharing economy, with its in-depth context, is not developed in Georgia either at the national governance or the societal level. However, the sharing of goods and services to each other was a good habit between Georgians historically. Moreover, in the world of the Internet, personal computers, and smartphones, it is simplified today for the parties of sharing to find and connect. However, may this kind of action be considered as a sharing economy, joint consumption, or collective economy? The present article discusses the issues about the sharing economy market in Georgia. There is an overview of the normative base and regulations referring to the sharing economy, expressed the readiness of sharing through people, describes the companies that operate in sharing market so far. There are recommendations for the government and the whole society for future development. M4 - Citavi |
| Keywords: | Customer Rights; Legislation; Platform; Shadow Economy; Sharing |
| JEL: | L86 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:110233&r= |
| By: | Exler, Florian; Hansak, Alexander |
| JEL: | E21 E43 G18 G41 G51 K12 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:vfsc21:242359&r= |
| By: | Romain Baeriswyl; Samuel Reynard; Alexandre Swoboda |
| Abstract: | The issuance of retail central bank digital currency (CBDC) entails a transfer of risk from commercial banks to the central bank. While this paper does not provide an overall assessment on whether or not to issue a retail CBDC, it analyzes how different mechanisms to limit the risk transfer, such as an unattractive interest rate on retail CBDC, a quantity ceiling or preventing convertibility of cash and reserves into CBDC, have different effects on the ability of retail CBDC to fulfil its intended purposes. In particular, these mechanisms hinder the use of CBDC as a medium of exchange. Specific aspects of demand and challenges related to a potential retail CBDC in Switzerland, namely, a small open economy with a safe-haven currency and a low level of government debt, are discussed. |
| Keywords: | Retail central bank digital currency |
| JEL: | E42 E52 E58 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:snb:snbwpa:2021-19&r= |
| By: | Gavresi, Despina; Litina, Anastasia |
| Abstract: | This paper explores the interplay between past exposure to macroeconomic shocks and pop-ulist attitudes. We document that individuals who experienced a macroeconomic shock during their impressionable years (between 18 and 25 years of age), are currently more proneto 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 differentialindividual exposure to macroeconomic shocks during impressionable years. Our findings sug-gest that it is not only current exposure to shocks that matters (see e.g., Guiso et al. (2020))but also past exposure to economic recessions, which has a persistent positive effect on therise of populism. Interestingly, the interplay between the two, i.e., past and current exposure to economic shocks, has a mitigating effect on the rise of populism. Individuals who wereexposed to economic shocks in the past are less likely to manifest populist attitudes whenfaced with a current crisis, as suggested by the experience-based learning literature. |
| 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:110215&r= |
| By: | Maciej Stefański |
| Abstract: | The paper estimates macroeconomic effects and decomposes transmission channels of quantitative easing in the United States using 15-variable Bayesian vector autoregressive model with stochastic search variable selection prior, distinguishing between Treasury bond purchases, mortgage-backed securities purchases and Operation Twist. A positive quantitative easing shock has a strong, negative impact on unemployment and no impact on prices, with Treasury purchases and Operation Twist found to be more effective than purchases of mortgage-backed securities. Opposite to the assumptions usually made in the literature, quantitative easing transmits to the real economy mostly via the stock market instead of long-term rates. Among numerous extensions to the baseline model, spillbacks are found to account for 40% of the impact of Treasury purchases on unemployment and commercial paper purchases have similar effects on the economy as purchases of Treasury bonds and mortgage-backed securities. However, baseline estimates are not found to be very robust, and thus substantial uncertainty regarding the macroeconomic effects of QE persists. |
| Keywords: | unconventional monetary policy, large-scale asset purchases, QE, GDP, unemployment, United States, stochastic search variable selection, transmission channels, spillbacks, commercial paper. |
| JEL: | E52 E58 |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:sgh:kaewps:2021068&r= |
| By: | Andrew Caplin |
| Abstract: | Economic data engineering deliberately designs novel forms of data to solve fundamental identification problems associated with economic models of choice. I outline three diverse applications: to the economics of information; to life-cycle employment, earnings, and spending; and to public policy analysis. In all three cases one and the same fundamental identification problem is driving data innovation: that of separately identifying appropriately rich preferences and beliefs. In addition to presenting these conceptually linked examples, I provide a general overview of the engineering process, outline important next steps, and highlight larger opportunities. |
| JEL: | A12 C0 D01 D15 D80 |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29378&r= |
| By: | Tetrevova, Libena |
| Abstract: | The sharing economy represents a new business model which has been experiencing an unprecedented and increasing boom. However, differences are evident in the development of the sharing economy between individual continents and even countries, this being to the detriment of less developed countries such as post-communist countries. The aim of the study is to present a model of the sharing economy from the point of view of the practical experience of a small post-communist economy: the Czech Republic. An explanation of how the term sharing economy is defined and understood in a national context is provided in the chapter, and alternative types of the sharing economy which are applied in this country are specified. Discussion is presented of the key issues of an economic and legislative nature which are dealt with in the context of the model of the sharing economy in this country. Key and other major players in the sharing economy in the Czech Republic are also presented, and the scope of the sharing economy in this country is analysed and evaluated. The development of the sharing economy is discussed in relation to the opportunities and threats associated with this phenomenon. |
| Keywords: | Accommodation Sharing; Car-Sharing; Collaborative Economy; Collaborative Finance; Platform Economy; Ride-Sharing; Sharing Economy |
| JEL: | L86 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:110231&r= |
| By: | James B. Bullard |
| Keywords: | inequality; monetary policy |
| Date: | 2021–07–08 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedlps:93227&r= |
| By: | Lukasiewicz, Agnieszka; Nadolska, Aleksandra |
| Abstract: | In the chapter, there is an analysis of sharing economy development in Poland. It concerns both the big players on the market like the most known Airbnb and Uber, as well as smaller, local initiatives, flourishing especially in the food sector. Sharing economy is not a normative concept and is defined differently depending on the subject (i.e., products, services, ideas, models, or structures) to which it refers. However, the significance of the phenomenon is rising rapidly from year to year. Moreover, sharing economy brings many opportunities but also creates a lot of unsolved issues, such as regulations, tax regulations, labour law, competition, which often can lead to conflicts between diverse groups of actors. The new, unregulated, by law, model of the economy in some sectors has caused a lot of confusion, leading to conflicts (like between taxi drivers and Uber drivers), as well as a feeling of inequality. |
| Keywords: | Crowdfunding; Local Initiatives; Sharing Economy; Social Issues; Social Trust |
| JEL: | L86 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:110242&r= |
| By: | Halvorsen, Trond; Lutz, Christoph; Barstad, Johan |
| Abstract: | 2019 was a year when the sharing economy and collaborative consumption was starting to make a significant impact on Norwegian society and way of life. With international hospitality and mobility services leading the way, several home-grown digital platforms also saw noticeable growth in users and income. New legislation was put in place to support an orderly transition to an economy that makes better use of idle resources. While the COVID-19 pandemic of 2020 has dealt a major temporary setback to this development, this chapter documents how the Norwegian economy was experiencing rapid change that may soon return. |
| Keywords: | Airbnb; Micro-Mobility; Norway; REKO; Sharing Economy; Tise; Voi |
| JEL: | L86 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:110241&r= |
| By: | Yorgos Protonotarios; Pantelis Tassopoulos |
| Abstract: | We begin by exploring the intuition of Brownian motion by explaining its birth through the observations of Robert Brown and later through Bachelier's work on its applications to the financial market and finally its rigorous and concretized form proposed by Norbert Wiener. The aforementioned motivates a stochastic differential equation to model the future price fluctuations of a stock traded wherein It\^o integration is prominent and consequently expanded upon. The final part of this paper focuses on the accuracy of the model by backtesting it with Apple stock and deriving a correlation coefficient. |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2110.12001&r= |
| By: | Ćirić, Maja; Ignjatijević, Svetlana; Fedajev, Aleksandra; Panić, Marija; Sekulić, Dejan; Stanišić, Tanja; Leković, Miljan; Arsić, Sanela |
| Abstract: | In the developed countries, the importance and development of sharing economy as a new economic model have been increasingly discussed in recent decades. In Serbia, sharing economy has not yet been sufficiently explored in official reports and academic literature. On the other hand, in practice, there are several collaborative platforms used by consumers. Therefore, the purpose of this study is to point out the specifics of the sharing economy in Serbia. At the outset, after a brief introduction, the concept of a sharing economy is defined. Consumers’ attitudes about knowledge of the sharing economy, the expectations, and motives that drive them to market engagement are examined and presented. Examples of good practices in the field of sharing economy in Serbia are given. The factors that stimulate or restrict the development of the sharing economy are highlighted, and the legislative framework that directly and indirectly regulates this area is presented. The conclusion about the level of the development of sharing economy in Serbia is derived, and recommendation for future research is given. |
| Keywords: | Consumers Perspective; Motives and Barriers; New Business Model; Serbia; Sharing Economy |
| JEL: | L86 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:110244&r= |
| By: | David G. Blanchflower; Alex Bryson |
| Abstract: | Economic shocks are notoriously difficult to predict but recent research suggests qualitative metrics about economic actors’ expectations are predictive of downturns. We show consumer expectations indices from both the Conference Board and the University of Michigan predict economic downturns up to 18 months in advance in the United States, both at national and at state-level. All the recessions since the 1980s have been predicted by at least 10 and sometimes many more point drops in these expectations indices. A single monthly rise of at least 0.3 percentage points in the unemployment rate also predicts recession, as does two consecutive months of employment rate declines. The economic situation in 2021 is exceptional, however, since unprecedented direct government intervention in the labor market through furlough-type arrangements has enabled employment rates to recover quickly from the huge downturn in 2020. However, downward movements in consumer expectations in the last six months suggest the economy in the United States is entering recession now (Autumn 2021) even though employment and wage growth figures suggest otherwise. |
| JEL: | E17 J01 |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29372&r= |
| By: | Jaydip Sen; Rajdeep Sen; Abhishek Dutta |
| Abstract: | The paradigm of machine learning and artificial intelligence has pervaded our everyday life in such a way that it is no longer an area for esoteric academics and scientists putting their effort to solve a challenging research problem. The evolution is quite natural rather than accidental. With the exponential growth in processing speed and with the emergence of smarter algorithms for solving complex and challenging problems, organizations have found it possible to harness a humongous volume of data in realizing solutions that have far-reaching business values. This introductory chapter highlights some of the challenges and barriers that organizations in the financial services sector at the present encounter in adopting machine learning and artificial intelligence-based models and applications in their day-to-day operations. |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2110.11999&r= |
| By: | Turan Yay (Yeditepe University) |
| Abstract: | This study aims to evaluate the ideas on the scope and method of economics of Joseph Schumpeter who is one of the important economists of the 20th century. The study consists of four sections: In the first section we underline the interesting points of his life to understand the roots, background, or 'vision' of his thought system. In the second section, we will examine his methodological views that he asserted in his first (but translated into English only in 2010) book. Third section will be concerned with his 'analysis of economics' which refers to his critics of Leon Walras's general equilibrium analysis (as static) and his own alternative (dynamics analysis of capitalist economies) about the central subject matter of economics. In the fourth section we will treat his approach about the development/evolution process of economic thought in time. The study concludes with a brief assessment: Schumpeter is one of the rare economists who can build his own thought system in the history of economics, and he embraced a pluralist perspective in the field of the methodology of economics. |
| Keywords: | Schumpeter,methodology,economic development,sociology of science |
| Date: | 2021–11–20 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-03374881&r= |
| By: | Kremer, Manfred; Chavleishvili, Sulkhan |
| JEL: | C14 C31 C43 C53 E44 G01 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:vfsc21:242346&r= |
| By: | Rosas, Juan Francisco; Lence, Sergio H. |
| Keywords: | Production Economics, Productivity Analysis, Marketing |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:ags:aaea21:313951&r= |
| By: | Blessy Augustine (CHRIST (Deemed to be University),Hosur Road, Bengaluru); O.P.C. Muhammed Rafi (BASE University, Bengaluru) |
| Abstract: | The impact of public debt on economic growth has been widely examined in the literature. The discussions shifted towards examining the possibility of a nonlinear relationship after the seminal work of Reinhart and Rogoff (2010) who proposed a threshold of 90 percent debt to GDP ratio beyond which debt is said to have a detrimental effect on economic growth. Many studies came thereafter found a common threshold for a group of countries and a negative impact of debt on growth beyond this threshold. In this context, we examine the presence of a threshold in the debt-growth nexus and the difference in the impact of debt on growth below and above this threshold in case of 39 emerging and developing economies for the period 1980 – 2019. Unlike most of the existing panel studies, we explore the debt growth relationship using country specific threshold regression models. Our findings show that in countries those confirmed a nonlinearity, the thresholds vary drastically, ranging between 24 and 116 percent. The results dismiss the possibility of a common threshold that fit for all countries and highlights the importance of finding country specific thresholds. Further, we could not find an inverted U-shape relationship between debt and growth in our sample. Apart from having different sets of countries with a positive impact below the threshold and a negative impact above, we could also find evidence for debt supporting growth beyond the threshold in case of ten countries. Also, there are countries in which the detrimental impact debt kicking in even below the threshold value of debt. Our result shows that the impact of public debt on economic growth is different across countries both below and above the threshold. |
| Keywords: | Public debt, Economic growth, Nonlinearity, Threshold |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:alj:wpaper:11/2021&r= |
| By: | Minetti, Raoul (Michigan State University, Department of Economics); Murro, Pierluigi (Luiss University); Rowe, Nicholas (Michigan State University, Department of Economics) |
| Abstract: | This paper investigates the effects of local nancial development on rms' internationalization in the presence of a heterogeneous banking sector. Using rm-level data from Italy, we document that, when driven by banks with a local focus, nancial development boosts export participation but can depress the export sales of incumbent exporters. We explain these patterns through an industry equilibrium model of international trade with heterogeneous rms and banks. Local nancial deepening enhances banks' ability to monitor domestic and export activities, easing the entry of credit rationed rms into export, but induces credit satiated exporters to partly redirect their production capacity to domestic markets. Calibrating the model to match the data reveals that, when nancial development is too local, increased domestic output and export participation can come at the cost of reduced aggregate exports. |
| Keywords: | Financial Development; Internationalization; Banking Structure; Aggregate Trade Flows |
| JEL: | E44 G21 O16 |
| Date: | 2021–10–20 |
| URL: | http://d.repec.org/n?u=RePEc:ris:msuecw:2021_003&r= |
| By: | Bhattacharya, Rudrani (National Institute of Public Finance and Policy); Bhandari, Bornali (National Council of Applied Economic Research); Mundle, Sudipto (National Council of Applied Economic Research) |
| Abstract: | Governments, central banks, private firms and others need high frequency information on the state of the economy for their decision making. However, a key indicator like GDP is only available quarterly and that too with a lag. Hence decision makers use high frequency daily, weekly or monthly information to project GDP growth in a given quarter. This method, known as nowcasting, which started out in advanced country central banks using bridge models. Nowcasting is now based on more advanced techniques, mostly dynamic factor models. In this paper we use a novel approach, a Factor Augmented Time Varying Coefficient Regression (FA-TVCR) model, which allows us to extract information from a large number of high frequency indicators and at the same time inherently addresses the issue of frequent structural breaks encountered in Indian GDP growth. One specification of the FA-TVCR model is estimated using 19 variables available for a long period starting in 2007-08:Q1. Another specification estimates the model using a larger set of 28 indicators available for a shorter period starting in 2015-16:Q1. Comparing our model with two alternative models, we find that the FA-TVCR model outperforms a DFM model in terms of both in-sample and out-of-sample RMSE. The RMSE of the ARIMA model is somewhat lower than the FA-TVCR model within the sample period but is higher than the out-of-sample of the FA-TVCR model. Further, comparing the predictive power of the three models using the Diebold-Mariano test, we find that FA-TVCR model out-performs DFM consistently. In terms of out-of-sample forecast accuracy both the FA-TVC model and the ARIMA model have the same predictive accuracy under normal conditions. However, the FA-TVCR model outperforms the ARIMA model when applied for nowcasting in periods of major shocks like the Covid-19 shock of 2020-21. |
| Keywords: | Nowcasting ; Quarterly Year-on-Year GDP growth ; State-Space Model, India |
| JEL: | C52 C53 O40 |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:npf:wpaper:21/357&r= |
| By: | Oguzhan Cepni (Copenhagen Business School, Department of Economics, Porcelænshaven 16A, Frederiksberg DK-2000, Denmark); Hardik A. Marfatia (Department of Economics, Northeastern Illinois University, 5500 N St Louis Ave, BBH 344G, Chicago, IL 60625, USA); Rangan Gupta (Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa) |
| Abstract: | The housing markets in districts across the United Kingdom (UK) co-move over time. We use the dynamic factor model to decompose the co-movement in house prices of the smallest possible geographical unit into national, regional, and idiosyncratic factors. Using the Bayesian time-varying parameter VAR (TVP-VAR) model, we study the dynamic impact of uncertainty shocks on the synchronization in housing markets. We find that the estimated national factor accurately tracks the overall housing market cycles in the UK and explains nearly all the variations in East, SouthEast, and SouthWest districts. Furthermore, the results from TVP-VAR indicate that the estimated response of the national factor to uncertainty shocks is negative. However, the magnitude of the effect is more pronounced and persists longer in the case of housing price uncertainty shocks compared to overall economic uncertainty. Overall, our results suggest that uncertainty about house prices is a primary driver of the national factor. |
| Keywords: | Uncertainty Shocks, Macroeconomic Shocks, Housing Prices, Regional Markets, the United Kingdom |
| JEL: | C32 D8 E30 E40 R31 |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:pre:wpaper:202168&r= |
| By: | Charles W. Calomiris; Harry Mamaysky; Nida Çakır Melek |
| Abstract: | We study the performance of many traditional and novel, text-based variables for in-sample and out-of-sample forecasting of oil spot, futures, and energy company stock returns, and changes in oil volatility, production, and inventories. After controlling for small-sample biases, we find evidence of in-sample predictability. Our text measures, derived using energy news articles, hold their own against traditional variables. While we cannot identify ex-ante rules for selecting successful out-of-sample forecasters, an analysis of all possible two-variable models reveals out-of-sample performance above that expected under random variation. Our findings provide new directions for identifying robust forecasting models for oil markets, and beyond. |
| JEL: | C52 G10 G12 G14 G17 Q47 |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29379&r= |
| By: | Asaduzzaman, Md |
| Abstract: | This study investigates the empirical relationship between economic growth (GDP) and Foreign Direct Investment (FDI) as well as the Real Effective Exchange Rate (REER) and Trade Openness (TOP) of Bangladesh over the period from 1973 to 2017 by using Johansen cointegration test and VECM analysis. The empirical findings exhibit that there are a distinctive short-run and long-run relationship that exists between economic growth and foreign direct investment in Bangladesh. While the Error Correction Term (ECT) result exhibits that real effective exchange rate and trade openness are causing economic growth in the long-run. This study highly suggests that fully utilizing foreign direct investment and trade openness is one of the best chances of Bangladesh to develop its economy. Therefore, the policymaker should have more foresight to influence foreign direct investment and trade openness on the long term basis, especially to facilitate investment in the special economic zone (such as EPZ) and export more manufacturing goods and services and importing capital goods through maintaining the trade balance. |
| Keywords: | Gross Domestic Product (GDP) growth; Foreign Direct Investment (FDI), Real Effective Exchange Rate (REER); Trade Openness (TOP); Vector Error Correction Model (VECM) Model; Bangladesh Economy |
| JEL: | C1 C15 C3 C32 C4 C49 C5 C51 E6 F1 F3 |
| Date: | 2019–12–05 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:110328&r= |
| By: | Frédérique Savignac; Erwan Gautier; Yuriy Gorodnichenko; Olivier Coibion |
| Abstract: | Using a new survey of firms’ inflation expectations in France, we provide novel evidence about the measurement and formation of inflation expectations on the part of firms. First, French firms report inflation expectations with a smaller, but still positive, bias than households and display less disagreement. Second, we characterize the extent and manner in which the wording of questions matters for the measurement of firms’ inflation expectations. Third, we document whether and how the position of the respondent within the firm affects the provided responses. Fourth, because our survey measures firms’ expectations about aggregate and firm-level wage growth along with their inflation expectations, we are able to show that expectations about wages are even more condensed than firms’ inflation expectations and almost completely uncorrelated with them, indicating that firms perceive little link between price and wage inflation. Finally, an experimental treatment indicates that an exogenous change in firms’ inflation expectations has no effect on their aggregate wage expectations. |
| JEL: | E3 E4 E5 |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29376&r= |
| By: | Douglas Castilho; Tharsis T. P. Souza; Soong Moon Kang; Jo\~ao Gama; Andr\'e C. P. L. F. de Carvalho |
| Abstract: | We propose a model that forecasts market correlation structure from link- and node-based financial network features using machine learning. For such, market structure is modeled as a dynamic asset network by quantifying time-dependent co-movement of asset price returns across company constituents of major global market indices. We provide empirical evidence using three different network filtering methods to estimate market structure, namely Dynamic Asset Graph (DAG), Dynamic Minimal Spanning Tree (DMST) and Dynamic Threshold Networks (DTN). Experimental results show that the proposed model can forecast market structure with high predictive performance with up to $40\%$ improvement over a time-invariant correlation-based benchmark. Non-pair-wise correlation features showed to be important compared to traditionally used pair-wise correlation measures for all markets studied, particularly in the long-term forecasting of stock market structure. Evidence is provided for stock constituents of the DAX30, EUROSTOXX50, FTSE100, HANGSENG50, NASDAQ100 and NIFTY50 market indices. Findings can be useful to improve portfolio selection and risk management methods, which commonly rely on a backward-looking covariance matrix to estimate portfolio risk. |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2110.11751&r= |
| By: | James B. Bullard |
| Keywords: | COVID-19; macroeconomic performance |
| Date: | 2021–08–30 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedlps:93229&r= |
| By: | Hippolyte d'Albis (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); Ekrame Boubtane (CERDI - Centre d'Études et de Recherches sur le Développement International - CNRS - Centre National de la Recherche Scientifique - UCA - Université Clermont Auvergne, INED - Institut national d'études démographiques, 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: | Economic immigration from countries not belonging to the European Economic Area represented, on the average, a little more than 13,200 people per year between 2000 and 2018. This yearly figure, sensitive to political changes, has constantly risen since 2012. Economic immigrants are concentrated in Paris and a few neighboring departments, and most of them are male. Two major trends can be observed since 2018. First of all, the immigration of the highly skilled has steadily increased and accounted for more than 6,500 people in 2018. Secondly, a large proportion of economic immigration stems from a policy for legalizing the status of immigrants (including persons who were refused asylum) who had jobs but did not have working permits. |
| Abstract: | L'immigration professionnelle des ressortissants des pays ne faisant pas partie de l'Espace économique européen a représenté en moyenne un peu plus de 13 200 personnes par an entre 2000 et 2018. Les flux annuels, qui sont sensibles aux alternances politiques, sont en hausse constante depuis 2012. L'immigration professionnelle est très majoritairement masculine et très concentrée sur Paris et quelques départements limitrophes. Depuis 2008, deux inflexions majeures sont constatées. Premièrement, l'immigration professionnelle très qualifiée progresse à un rythme soutenu et a dépassé le nombre de 6 500 personnes en 2018. Deuxièmement, une part significative de l'immigration professionnelle relève d'une politique de régularisation par le travail de personnes en situation irrégulière, dont des déboutés du droit d'asile. |
| Keywords: | Professional integration,Immigration,Insertion professionnelle,France |
| Date: | 2021–05 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:halshs-03229920&r= |
| By: | Abbie Turiansky; Erin Lipman; Arif Mamun; Cullen Seaton; Jonathan Gellar; Sarah Hughes |
| Abstract: | We examine whether financial inclusion may help mitigate the effects of the COVID-19 pandemic on households’ economic behavior and well-being in three Sub-Saharan African countries: Kenya, Nigeria, and Uganda. |
| Keywords: | financial iclusion, COVID-19, economic shocks, Kenya, Nigeria, Uganda, international |
| URL: | http://d.repec.org/n?u=RePEc:mpr:mprres:a7cc410219f848528f77e294d2ebae78&r= |
| By: | Blom, Sylvia A. |
| Keywords: | International Development, Institutional and Behavioral Economics, Research Methods/Statistical Methods |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:ags:aaea21:313928&r= |
| By: | Lennart Ziegler |
| Abstract: | Many research institutions aim to have a strong public impact but little evidence exists on the extent to which research findings reach a wider audience. Using a large sample of studies released in the working paper series of the National Bureau of Economic Research, I identify online coverage of research findings in 6 major news outlets. The analysis shows significant coverage rates in most newspapers in the first month after study release. Overall, about every 11th working paper is covered at least once during this period. I also find that media reporting is correlated with several author and study characteristics. While differences in coverage between most research areas are modest, empirical as well as US-focused studies receive substantially more attention. In particular, widely cited papers are covered more frequently, showing that academic success of studies serves as a strong predictor for wider public impact. |
| JEL: | A11 A14 L82 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:vie:viennp:vie2103&r= |
| By: | Jose Asturias; Sewon Hur; Timothy J. Kehoe; Kim J. Ruhl |
| Abstract: | Applying the Foster, Haltiwanger and Krizan (FHK) (2001) decomposition to plant-level manufacturing data from Chile and Korea, we find that the entry and exit of plants account for a larger fraction of aggregate productivity growth during periods of fast GDP growth. To analyze this relationship, we develop a model of firm entry and exit based on Hopenhayn (1992). When we introduce reforms that reduce entry costs or reduce barriers to technology adoption into a calibrated model, we find that the entry and exit terms in the FHK decomposition become more important as GDP grows rapidly, just as they do in the data from Chile and Korea. |
| Keywords: | Entry; Exit; Productivity; Entry costs; Barriers to technology adoption |
| JEL: | E22 O10 O38 O47 |
| Date: | 2021–10–19 |
| URL: | http://d.repec.org/n?u=RePEc:fip:feddgw:93268&r= |
| By: | Matthias Buechner; Bryan T. Kelly |
| Abstract: | Due to their short lifespans and migrating moneyness, options are notoriously difficult to study with the factor models commonly used to analyze the risk-return trade-off in other asset classes. Instrumented principal components analysis solves this problem by tracking contracts in terms of their pricing-relevant characteristics via time-varying latent factor loadings. We find that a model with three latent factors prices the cross-section of option returns and explains more than 85% of the variation in a panel of monthly S&P 500 option returns from 1996 to 2017. In particular, we show that the IPCA factors can be rationalized via an economically plausible three-factor model consisting of a level, slope and skew factor. Finally, out-of-sample trading strategies based on insights from the IPCA model have significant alpha over previously studied option strategies. |
| JEL: | G1 G12 |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29369&r= |
| By: | Daniel L. Greenwald; Adam Guren |
| Abstract: | To what extent did an expansion and contraction of credit drive the 2000s housing boom and bust? The existing literature lacks consensus, with findings ranging from credit having no effect to credit driving most of the house price cycle. We show that the key difference behind these disparate results is the extent to which credit insensitive agents such as landlords and unconstrained savers absorb credit-driven demand, which depends on the degree of segmentation in housing markets. We develop a model with frictional rental markets that allows us to consider cases in between the extremes of no segmentation and perfect segmentation typically assumed in the literature. We argue that the relative elasticities of the price-rent ratio and homeownership with respect to an identified credit shock is a sufficient statistic to measure the degree of segmentation. We estimate this moment using three different credit supply instruments and use it to calibrate our model. Our results reveal that rental markets are highly frictional and closer to fully segmented, which implies large effects of credit on house prices. In particular, changes to credit standards can explain between 34% and 55% of the rise in price-rent ratios over the boom. |
| JEL: | E3 G51 R31 |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29391&r= |
| By: | James B. Bullard |
| Keywords: | inequality |
| Date: | 2021–10–15 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedlps:93234&r= |
| By: | Gubalova, Jolana; Capkova, Sona; Kokavcova, Dagmar |
| Abstract: | The terms “collaborative economy” or “sharing economy” have been commonly used in recent years to refer to a proliferation of initiatives, business models and forms of work. To observe this significant phenomenon is necessary to take into consideration a new perspective on social, economic, environmental, and political processes that can be created from a number of assets and skills, in innovative ways and at an unprecedented scale. Using of digital technologies for collaboration, communication, coordination, and value creation purposes is included under the same umbrella of the collaborative economy. Market-focused digital innovation is able to disrupt existing business models and support economic activity. The situation in the area of the collaborative economy in Slovakia seems to be different from that of the Western European countries. Data from the area of sharing economy are not registered with the Statistical Office of the Slovak Republic, and there is no analysis examining its impact. We introduce a short summary of case studies examining the collaborative economy platforms in Slovakia and some issues of taxation of the collaborative economy. |
| Keywords: | Business Models; Collaborative Economy; Digital Platforms; Sharing Economy; Taxation |
| JEL: | L86 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:110245&r= |
| By: | James B. Bullard |
| Keywords: | COVID-19; inflation; real GDP growth; labor market |
| Date: | 2021–05–13 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedlps:93223&r= |
| By: | Nuttanan Wichitaksorn |
| Abstract: | Macroeconomic data are an important piece of information in decision making for both the public and private sectors in Thailand. However, the release of key macroeconomic data, usually in a lower frequency such as quarterly, is not always in a timely manner. Using the higher frequency data such as monthly and daily to analyze or forecast the lower frequency data can mitigate the release timing effect. This study applies the mixed-frequency data approach to analyze and forecast Thai key macroeconomic data. The mixed data sampling regressions with various specifications are employed and implemented through some macroeconomic data such as gross domestic product and inflation. The results show that in most cases the mixed-frequency models outperform the autoregressive integrated moving average model, which we used as the benchmark model, even during the COVID-19 period. Some policy implications can also be drawn from the analysis. |
| Keywords: | Thai Macroeconomic Data; Mixed-frequency; Forecasting; Vector Autoregression; COVID-19 |
| JEL: | C22 C32 C53 E17 E27 |
| Date: | 2020–12 |
| URL: | http://d.repec.org/n?u=RePEc:pui:dpaper:146&r= |
| By: | Hal Bleichrodt; David Crainich (LEM - Lille économie management - UMR 9221 - UA - Université d'Artois - UCL - Université catholique de Lille - Université de Lille - CNRS - Centre National de la Recherche Scientifique); Louis Eeckhoudt (IESEG School of Management Lille); Nicolas Treich (TSE - Toulouse School of Economics - UT1 - Université Toulouse 1 Capitole - Université Fédérale Toulouse Midi-Pyrénées - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement) |
| Abstract: | Diagnostic tests allow better informed medical decisions when there is uncertainty about a patient's health status and, therefore, about the desirability to undertake treatment. This paper studies the relation between the expected value of diagnostic information and a patient's risk aversion. We show that the ex ante value of diagnostic information increases with risk aversion for diseases with low prevalence, but decreases with risk aversion for diseases with high prevalence. On the other hand, the ex post value of diagnostic information always increases with the patient's degree of risk aversion. |
| Keywords: | Diagnostic risks,Diagnostic tests,Value of information,Risk aversion |
| Date: | 2020–03 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-03048860&r= |
| By: | Maneerat Gongsiang; Pongpitch Amatyakul |
| Abstract: | Using monthly Thai data from 2003–2020, we examine the determinants of the future distribution of inflation. We evaluate how different risk factors predict 1-year- ahead future distributions of CPI inflation and its components. Risk factors come from 5 different groups of variables: inflation expectations, domestic economic activity, global economic activity, financial conditions, and component-specific factors. We obtain points on the future distributions of inflation through quantile regressions and fitting those points with skewed-t distributions. Our focus is on the outlook in the tails of the distribution, which recent literature referred to as `inflation-at-risk.' We find, as expected, that the whole inflation distribution has shifted lower, and thus the probability of negative inflation has increased markedly in recent years. There is a structural break around 2015 that affects both the distributions of inflation and their determinants. This structural break makes it challenging to make out-of-sample forecasts, thus, we focus on in-sample evaluation and explanations. For risk factors, we observe that the tightening of financial conditions and the decreasing world production are prominent sources of downside risks to inflation. Inflation expectations also play a smaller role in the lower quantiles, signaling its lower effectiveness in anchoring actual inflation during disinflationary periods. Finally, high global and domestic economic activity can be effective in decreasing downside risks in the lower tail, providing policy makers a way to counter these risks by stimulating the economy. |
| Keywords: | Inflation Determinants; Central Bank Policies |
| JEL: | E31 E52 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:pui:dpaper:151&r= |
| By: | Alfonso Rosolia (Bank of Italy) |
| Abstract: | I document the response of the inflation expectations, and pricing and labour demand decisions of Italian firms to randomly provided information about recent inflation and assess the causal effect of the former on firms’ decisions. I use a standard menu cost model to show that conventional IV2SLS estimates based on variation of agents’ inflation expectations generated by experimental manipulation of their information sets are likely devoid of casual content because in such experimental settings some assumptions required for their causal interpretation fail. I discuss alternative estimators based on assumptions more likely to be consistent with the underlying theoretical framework. Empirically, I find that randomly informed firms substantially revise their inflation expectations but do not revise pricing and hiring decisions. Causal inference from appropriate estimators consistently reveals that the lack of reduced form effects reflects absence of statistically significant effects of expected inflation on firms’ decisions rather than offsetting responses. These results cast doubts on the possibility of obtaining substantial real effects through communication strategies that reach the general public more effectively. |
| Keywords: | expectations, experimental data, information, communication, learning. |
| JEL: | E2 E3 D8 C01 |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:bdi:wptemi:td_1353_21&r= |
| By: | Marui Du; Zuoquan Zhang; Rui Zhang |
| Abstract: | Nowadays small and medium-sized enterprises have become an essential part of the national economy. With the increasing number of such enterprises, how to evaluate their credit risk becomes a hot issue. Unlike big enterprises with massive data to analyze, it is hard to find enough information of small enterprises to assess their financial status. Limited by the lack of primary data, how to inference small enterprises' credit risk from secondary data, like information of their upstream, downstream, parent, and subsidiary enterprises attracts big attention from industry and academy. Targeting on accurately evaluating the credit risk of the small and medium-sized enterprise (SME), in this paper, we exploit the representative power of Information Network on various kinds of SME entities and SME relationships to solve the problem. A novel feature named meta path feature proposed to measure the credit risk, which makes us able to evaluate the financial status of SMEs from various perspectives. Experiments show that our method is effective to identify SMEs with credit risks. |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2110.11594&r= |
| By: | Michael J. Dickstein; Kate Ho; Nathaniel D. Mark |
| Abstract: | In the United States, households obtain health insurance through distinct market segments. We explore the economics of this segmentation by comparing coverage provided through small employers versus the individual marketplace. Using data from Oregon, we find households with group coverage spend 26% less on covered health care than households with individual coverage yet face higher markups. We develop a model of plan choice and health spending to estimate preferences in both markets and evaluate integration policies. In our setting, pooling can both mitigate adverse selection in the individual market and benefit small group households without raising taxpayer costs. |
| JEL: | I11 I13 I18 L0 |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29406&r= |