|
on Central and Western Asia |
| By: | Tröger, Tobias; Steuer, Sebastian |
| 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 can be 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:lawfin:24&r= |
| By: | Ben-David, Itzhak (Ohio State University and NBER); Johnson, Mark J. (Brigham Young University); Stulz, Rene M. (Ohio State University and European Corporate Governance Institute) |
| Abstract: | With the onset of the COVID-19 crisis in March 2020, small business lending through fintech lenders collapsed. We explore the reasons for the market shutdown using detailed data about loan applications, offers, and take-up from a major small business fintech credit platform. We document that while the number of loan applications increased sharply early in March 2020, the supply of credit collapsed as online lenders dropped from the platform and the likelihood of applicants receiving loan offers fell precipitously. Our analysis shows that the drying up of the loan supply is most consistent with fintech lenders becoming financially constrained and losing their ability to fund new loans. |
| JEL: | G11 G21 G33 |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:ecl:ohidic:2021-14&r= |
| By: | Botsari, Antonia; Kiefer, Kilian; Lang, Frank; Legnani, Davide |
| Abstract: | The EIF VC Survey, the EIF Private Equity Mid-Market Survey, and the EIF Business Angels Survey (the largest combined regular survey exercises among GPs and Business Angels on a pan-European level) provide an opportunity to retrieve unique market insights. This publication is based on the results of the 2021 EIF VC Survey. The paper focuses on the market sentiment and the impact of COVID-19. The study looks at the current situation, developments in the recent past and expectations for the future. The main results are summarised and compared over time. The publication provides a valuable picture of the developments and the market situation in 2021 as well as an outlook for the near future. |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:eifwps:202174&r= |
| By: | Pavel Ciaian; d'Artis Kancs; Miroslava Rajcaniova |
| Abstract: | We study to what extent the Bitcoin blockchain security permanently depends on the underlying distribution of cryptocurrency market outcomes. We use daily blockchain and Bitcoin data for 2014-2019 and employ the ARDL approach. We test three equilibrium hypotheses: (i) sensitivity of the Bitcoin blockchain to mining reward; (ii) security outcomes of the Bitcoin blockchain and the proof-of-work cost; and (iii) the speed of adjustment of the Bitcoin blockchain security to deviations from the equilibrium path. Our results suggest that the Bitcoin price and mining rewards are intrinsically linked to Bitcoin security outcomes. The Bitcoin blockchain security’s dependency on mining costs is geographically differenced – it is more significant for the global mining leader China than for other world regions. After input or output price shocks, the Bitcoin blockchain security reverts to its equilibrium security level. |
| Keywords: | Bitcoin, blockchain, proof-of-work, ARDL, institutional governance technology |
| JEL: | D82 G12 G15 G29 |
| Date: | 2021–01–01 |
| URL: | http://d.repec.org/n?u=RePEc:eei:rpaper:eeri_rp_2021_01&r= |
| By: | Agarwal, Vikas; Barber, Brad M.; Cheng, Si; Hameed, Allaudeen; Yasuda, Ayako |
| Abstract: | Mutual funds value private security holdings at considerably different prices, update evaluations infrequently, and revise valuations dramatically at follow-on funding events. Predictable private valuation changes at follow-on rounds yield predictable fund returns, but effects are muted for large families, families with large investment in the private security, and families with large percentage stakes in funding rounds. Mutual funds with high exposure to private securities have outflows that are more sensitive to poor fund performance when the venture capital market also performs poorly. The results have welfare implications for retail investors interested in accessing private startups via investments in mutual funds. |
| Keywords: | Mutual funds,Venture capital,Private valuation,Stale prices,Financial fragility |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:cfrwps:2109&r= |
| By: | Kim, Jeong Gon (KOREA INSTITUTE FOR INTERNATIONAL ECONOMIC POLICY (KIEP)); Na, Seung Kwon (KOREA INSTITUTE FOR INTERNATIONAL ECONOMIC POLICY (KIEP)); Lee, Jaeho (KOREA INSTITUTE FOR INTERNATIONAL ECONOMIC POLICY (KIEP)); Yun, ChiHyun (KOREA INSTITUTE FOR INTERNATIONAL ECONOMIC POLICY (KIEP)); Kim, Eunmi (KOREA INSTITUTE FOR INTERNATIONAL ECONOMIC POLICY (KIEP)) |
| Abstract: | The growth of digital platform markets in ASEAN and India is prominent. With COVID-19, demands for economic and social activities centered on digital platforms are expected to rise further; especially five sectors (e-commerce, sharing economy, education, healthcare and fintech) are fast growing seectors. Korean is a potential partner of ASEAN countries and India. Korea's Digital New Deal policy now stresses tasks such as sharing and utilizing data, convergence of 5G and artificial intelligence across whole industries, spreading digital education, digital healthcare, etc., which are closely related to the economic and social needs of ASEAN countries and India. In order to promote regulatory harmonization and cooperation with ASEAN and India, it is necessary for Korea to promote digital economy and trade agreements. |
| Keywords: | ASEAN; India; Korea; digital platform; Digital New Deal policy |
| Date: | 2021–06–11 |
| URL: | http://d.repec.org/n?u=RePEc:ris:kiepwe:2021_033&r= |
| By: | Christian Bayer; Chiheb Ben Hammouda; Ra\'ul Tempone |
| Abstract: | When approximating the expectation of a functional of a stochastic process, the efficiency and performance of deterministic quadrature methods, such as sparse grid quadrature and quasi-Monte Carlo (QMC) methods, may critically depend on the regularity of the integrand. To overcome this issue and reveal the available regularity, we consider cases in which analytic smoothing cannot be performed, and introduce a novel numerical smoothing approach by combining a root finding algorithm with one-dimensional integration with respect to a single well-selected variable. We prove that under appropriate conditions, the resulting function of the remaining variables is a highly smooth function, potentially affording the improved efficiency of adaptive sparse grid quadrature (ASGQ) and QMC methods, particularly when combined with hierarchical transformations (i.e., Brownian bridge and Richardson extrapolation on the weak error). This approach facilitates the effective treatment of high dimensionality. Our study is motivated by option pricing problems, and our focus is on dynamics where the discretization of the asset price is necessary. Based on our analysis and numerical experiments, we show the advantages of combining numerical smoothing with the ASGQ and QMC methods over ASGQ and QMC methods without smoothing and the Monte Carlo approach. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2111.01874&r= |
| By: | De Meza, David; Reito, Francesco |
| Abstract: | There are good reasons why sellers often post prices before the realization of demand shocks. We study whether equilibrium prices chosen ex ante coincide with the ex-ante prices that maximize expected aggregate surplus. The main result is that even in the competitive limit there is a divergence. Waste is excessive and entry decisions are distorted. The problem is that for competitive firms to sell in low-demand states involves a costly sacrifice of high-state revenue. |
| Keywords: | stochastic demand; rationing; waste; efficiency |
| JEL: | D61 D81 H23 |
| Date: | 2020–07–01 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:lserod:104084&r= |
| By: | Matey, Juabin |
| Abstract: | Despite persistent efforts to deal with life's economic challenges, most Ghanaians are financially insecure, making the pursuit of lifelong goals more difficult. Given these realities, financial literacy and consumer financial stability appear viable strategies for promoting economic stability. This is because financial literacy can serve as a conduit for informed financial decisions at both the household and macroeconomic levels. A high human development index is an indication of a better welfare of the citizenry in the country. As a result, linking household decisions to broader policy outcomes is inevitable. In this work, efforts are made to establish a link between financial literacy and consumer financial stability and their relationships with macroeconomic stability. One relevant finding is that financial literacy has a significant positive association with economic stability as measured by citizens' welfare. This discovery has several ramifications for national financial literacy initiatives. There appears to be an insignificant relationship between consumer well-being and economic stability, although positive. Nonetheless, it demonstrates how a financially secure consumer can boost aggregate demand by spending more, impacting job creation and macroeconomic growth. The Probit-Regression method facilitated data analysis using a participant population of 960 across eight studied regions in Ghana. Reasoning from these findings, national governments should take advantage of the favourable relationship between financial literacy and consumer financial stability on one hand, and national economic stability on the other seriously, as aggregate consumption volatility is lower in countries with a high level of financial literacy, which is reflected in individual saving and investment behaviour. As such, policy efforts should consider the relationship between microeconomic actions and macroeconomic outcomes since the former influences the latter. |
| Keywords: | Financial literacy, Consumer financial stability, Economic stability, Household theory. Macroeconomic-level Microeconomic-level |
| JEL: | D1 D11 D12 D14 I3 I31 |
| Date: | 2021–10–23 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:110351&r= |
| By: | Valeriya Azarova; Mathias Mier |
| Abstract: | Bottom-up optimization models neglect the inclusion of investment behavior We introduce three investor types that differ in their investment cost specifications, financing costs, and discounting. This leads to a substantially different pace and rate of adoption for specific generation technologies. For the European power market, 2050 wind (nuclear, gas-CCS) capacity ranges from 624 to 1,113 GW (84 to 194 GW, 383 to 502 GW), depending on the respective investor type. Accounting for type heterogeneity leads to 2050 wind (nuclear, gas-CCS) capacity of 912 GW (140 GW, 428 GW). Technologyspecific financing cost increase 2050 wind (nuclear, gas-CCS) capacity even to 1,069 GW (80 GW, 449 GW). Hence, our results confirm that accounting for more differentiated picture of electricity market investment with heterogeneous investor types can provide a starting point for tailor-made energy policies, thereby increasing the efficiency and effectiveness of public policies fostering the decarbonization of power markets. |
| Keywords: | Investment behavior, investor type, investment cost, energy system model, bottom-up optimization model, power market model |
| JEL: | C61 C68 Q40 Q41 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ifowps:_362&r= |
| By: | Kim, Hyunsoo (KOREA INSTITUTE FOR INTERNATIONAL ECONOMIC POLICY (KIEP)); Yea, Sangjun (KOREA INSTITUTE FOR INTERNATIONAL ECONOMIC POLICY (KIEP)); Keum, Hyeyoon (KOREA INSTITUTE FOR INTERNATIONAL ECONOMIC POLICY (KIEP)); Kang, Min Ji (KOREA INSTITUTE FOR INTERNATIONAL ECONOMIC POLICY (KIEP)) |
| Abstract: | The importance of intellectual property rights (IPRs) for innovation has grown and the protection of intellectual property in international trade has also been strengthened. AI-related patent applications have been increasing rapidly and many AI patents are being filed in various industries. Intellectual property also represents one of the main controversies of U.S.-China trade relations in the past three decades and remains one of the core issues behind the two countries' recent trade conflicts. As a result, global protection for IPRs has been expanded in recent decades. This article investigates changes in the trend regarding the IP protection level in FTA and how the IP protection through FTAs has affected the composition of aggregate trade flows of member countries in order to provide basic findings necessary to formulate the FTA policies regarding the protection of IPRs in Korea. |
| Keywords: | FTA; IPRs; international trade; policy |
| Date: | 2021–08–09 |
| URL: | http://d.repec.org/n?u=RePEc:ris:kiepwe:2021_034&r= |
| By: | Ferreira, M.; Haber, T.; Rörig, C. |
| Abstract: | Using a unique dataset covering the universe of Portuguese firms and their credit situation we show that financially constrained firms are found across the entire firm size distribution, account for a larger total asset share compared to standard heterogeneous firms models, and exhibit a higher cyclical sensitivity, conditional on size. In light of these findings we reassess the importance of the firm distribution in shaping aggregate outcomes in the canonical model of heterogeneous firms with financial frictions. We augment the productivity process with ex-ante heterogeneity of firms, allowing us to match the distribution of constrained firms conditional on size. This, together with the fact that constrained firms have a higher capital elasticity, leads to up to four times larger aggregate fluctuations and capital misallocation. |
| Keywords: | Firm size, business cycle, financial accelerator |
| JEL: | E62 E22 E23 |
| Date: | 2021–11–03 |
| URL: | http://d.repec.org/n?u=RePEc:cam:camdae:2176&r= |
| By: | Fumagalli, Laura; Lynn, Peter; Muñoz-Bugarin, Jair |
| Abstract: | Using data from a new sample of over-indebted people living in Britain who have not sought debt advice in the previous six months, we estimate the effect of seeking formal debt advice. Our results suggest that there is a negative selection into formal debt advice: people who do seek debt advice are those who experience financial difficulties and struggle to keep up with bills and credit commitments. However, we found that formal debt advice is likely to mitigate, and possibly counteract, these difficulties. Our results suggest that formal debt advice increases the probability of adopting strategies to reduce spending and decreases the probability of being turned down for credit. Formal debt advice also increases knowledge and understanding of the steps needed to get out of debt, and ultimately leads to a better self-reported financial situation, well-being and even physical health. |
| Date: | 2021–10–29 |
| URL: | http://d.repec.org/n?u=RePEc:ese:iserwp:2021-09&r= |
| By: | Gregor Dorfleitner; Lars Hornuf; Julia Kreppmeier |
| Abstract: | This article analyzes how the General Data Protection Regulation (GDPR) has affected the privacy practices of FinTech firms. We study the content of 308 privacy statements respectively before and after the GDPR became binding. Using textual analysis methods, we find that the readability of the privacy statements has decreased. The texts of privacy statements have become longer and use more standardized language, resulting in worse user comprehension. This calls into question whether the GDPR has achieved its original goal—the protection of natural persons regarding the processing of personal data. We also analyze the content of privacy statements and link it to company- and industry-specific determinants. Before the GDPR became binding, more external investors and a higher legal capital were related to a higher quantity of data processed and more transparency, but not thereafter. Finally, we document mimicking behavior among industry peers with regard to the data processed and transparency. |
| Keywords: | data privacy, FinTech, General Data Protection Regulation, privacy statement, textual analysis, financial technology |
| JEL: | K20 L81 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_9359&r= |
| By: | Francisco J. Beltrán Tapia (Norwegian University of Science and Technology (NTNU)); Alfonso Díez-Minguela (Universitat de València); Alicia Gómez-Tello (Universitat de València); Julio Martinez-Galarraga (Universitat de Barcelona); Daniel A. Tirado-Fabregat (Universitat de València) |
| Abstract: | This paper studies the impact generated by the existence of a mismatch between the language of instruction and the language of use of the population in the context of the construction of the liberal state in Spain. In particular, the work analyzes the effects of the presence of this linguistic distance on the unequal diffusion of literacy among the municipalities that made up the former Kingdom of Valencia from 1860 to 1930. For the development of the analysis, a novel data set has been constructed with information that includes the literacy rates of the 524 municipalities that make up the region of Valencia (Valencian Community) in three points in time (1860, 1900 and 1930), the linguistic domain to which each municipality belongs, as well as the institutional, geographic and economic characteristics of each municipality at the end of the Ancien Régime (1787). Based on the available information, the analysis uses Propensity Score Matching techniques to verify the existence of an effect on the literacy levels recorded in Spanish-speaking municipalities with respect to Catalan-speaking ones. Two main results are obtained. The first is to identify the existence of differences in educational outcomes derived from the presence of a mismatch effect. Secondly, it is also shown that this effect only appears when the Spanish state enjoyed the capacity to force compliance with language regulations in public schools, in parallel with the advance of its financial and administrative capacity and the incipient advance of a democratic regime. |
| Keywords: | Language mismatch, literacy, regional inequality, economic history, Valencia. |
| JEL: | I28 O17 N33 N43 J24 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ewp:wpaper:414web&r= |
| By: | Jeremy Greenwood (University of Pennsylvania); Nezih Guner (CEMFI); Ricardo Marto |
| Abstract: | The 20th century beheld a dramatic transformation of the family. Some Kuznets style facts regarding structural change in the family are presented. Over the course of the 20th century in the United States fertility declined, educational attainment waxed, housework fell, leisure increased, jobs shifted from blue to white collar, and marriage waned. These trends are also observed in the cross-country data. A model is developed, and then calibrated, to address the trends in the US data. The calibration procedure is closely connected to the underlying economic logic. Three drivers of the great transition are considered: neutral technological progress, skill-biased technological change, and drops in the price of labor-saving household durables. |
| Keywords: | average weekly hours, blue-collar jobs, college premium, fertility, housework, leisure, Marriage, neutral technological progress, price of labor-saving household durables, skill-biased technological change, theory-based identification, user guide, white-collar jobs |
| JEL: | D10 E13 J10 O10 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:hka:wpaper:2021-050&r= |
| By: | Hideaki Goto (IUJ Research Institutey, International University of University) |
| Abstract: | This paper analyzes coalition formation under constant, decreasing, and increasing marginal productivity when the total surplus jointly produced by individuals with heterogeneous abilities can only be distributed to its members in egalitarian or meritocratic ways. When marginal productivity is decreasing or constant, the results are simple, as no coalition with multiple members is included in a stable coalition structure when marginal productivity is decreasing, whereas individuals are indifferent to which meritocratic coalition they belong, including singletons, in the case of constant marginal productivity. In contrast, if marginal productivity is increasing, stable structures differ considerably from those obtained by other models. A procedure to identify stable structures is proposed, finding that multiple egalitarian coalitions can exist, each of which is always consecutive, but there is, at most, only one meritocratic coalition, which may or may not be consecutive, in stable structures. Moreover, the grand egalitarian coalition is only stable under certain conditions, whereas the grand meritocratic coalition is always stable. |
| Keywords: | Coalition formation; Egalitarianism; Meritocracy; Marginal productivity. |
| JEL: | C71 D71 D63 D30 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:iuj:wpaper:ems_2021_05&r= |
| By: | Jang, Yungshin (KOREA INSTITUTE FOR INTERNATIONAL ECONOMIC POLICY (KIEP)) |
| Abstract: | The Asia-Pacific Economic Cooperation (APEC) has been promoting digital transformation as a key mean for regional economic growth and economic integration. The digitalization agenda within APEC is further accelerating since the COVID-19 pandemic. Recently at the APEC Leaders' Meeting in November 2020, the APEC Putrajaya Vision 2040 was adopted, which includes "Innovation and Digitalization" addressing inclusive economic participation through digital economy and technology as a focus area for the next 20 years. However, it is still difficult to expect visible outcomes in the field of digital inclusion within APEC. Upon this backdrop, this article examines the progress of digitalization in the Asia-Pacific region, compares and analyzes the digital transformation policies of major economies in the region, demonstrates the effect of the digital gap on economic performance in the region, and goes on to produce policy implications. |
| Keywords: | Asia-Pacific; digitalization; APEC; economic participation; policy |
| Date: | 2021–06–14 |
| URL: | http://d.repec.org/n?u=RePEc:ris:kiepwe:2021_032&r= |
| By: | Batuo E. Michael (Westminster Business School, University of Westminster); George Kararach (African Development Bank); Issam Malki (Westminster Business School, University of Westminster) |
| Abstract: | This paper attempts to offer an empirical assessment of the main macroeconomic and institutional drivers of inequality in Africa. We also propose a two-step econometric methodology to account for the distributional properties of income per capita of economies in our sample. We employ panel data models and data sets encompassing 52 African countries. spanning the years 1980–2017. The findings suggest that (i) income per capita in Africa is divergent and there exist groups or “clubs” of convergence, (ii) the Kuznets’s curve relationship holds only for economies at the bottom of the income distribution, and (iii) macroeconomic and institutional factors play a limited role across African economies. This last finding shows that the distributional property of income may offer insight into which economic forces could help to reduce inequality in Africa. |
| Keywords: | Income convergence and distribution, income inequality, macroeconomics and institutional effects, Africa JEL classification: C33, O4, F15, D63 |
| Date: | 2021–10–12 |
| URL: | http://d.repec.org/n?u=RePEc:adb:adbwps:2479&r= |
| By: | Sheng Guo (Department of Economics, Florida International University) |
| Abstract: | Using a panel sample from the Panel Study Income Dynamics (1999-2015), I find that homeowners’ contemporaneous spending and nonhome wealth increased with home equity withdrawals, but their longer-term spending and wealth declined if their home equity was extracted during the housing boom period. Following Hurst and Stafford’s (2004) definition of liquidity constraint, I find that the constrained homeowners' contemporaneous spending increased less, while their financial wealth increased more than those of the unconstrained. Unconstrained homeowners invested more than constrained homeowners in nonhome real estate and businesses. In the long run, the consumption spending of both groups persistently declined, while their wealth recovered from initial declines. |
| Keywords: | Consumption, Liquidity constraint, Housing market, Home equity, Mortgage |
| JEL: | D91 D14 E21 G21 G02 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:fiu:wpaper:2122&r= |
| By: | Yulong Chen; Liyuan Ma; Peter F. Orazem (Center for Agricultural and Rural Development (CARD) at Iowa State University) |
| Abstract: | The US federal government has not increased the minimum wage since 2009. However, since then, 29 states and the District of Columbia have increased their minimum wage above the federal level. Many studies analyze the effect of the minimum wage on employment with mixed results. To the extent a consensus exists, it is that the minimum wage likely has small negative effects on low-skill employment. Because prevailing wages are lower in rural markets than in urban markets, rural workers and firms should face the largest positive or negative impacts from a commonly applied minimum wage. While Even and MacPherson did find that rural areas had a greater adverse effect from the minimum wage, Godoy and Rich and Winters find that the lowest wage or least populated areas had the least negative, or even positive, employment effects from minimum wage increases. |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:ias:cpaper:apr-winter-2021-4&r= |
| By: | Dertwinkel-Kalt, Markus; Wey, Christian |
| JEL: | D43 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:vfsc21:242336&r= |
| By: | Ben J. Heijdra; Pim Heijnen |
| Abstract: | We study the rent-seeking phenomenon using a simple, static general equilibrium model. The economy consists of two sectors, both employing a constant returns-to-scale technology with labor as its sole input. One of the sectors is a monopoly, where a continuum of agents compete for a share of monopoly profits (i.e. rent). Agents are heterogeneous in labor productivity and rent-seeking ability: they face a choice between engaging in (productive) work or vying for a share of the rent (i.e. a contest against other rent-seekers). At the aggregate level, rent-seeking reduces the available amount of labor in the economy and thereby lowers output and welfare (rent-seeking is inefficient). At the individual level, rent-seeking shifts income towards rent-seekers. Consequently, an economy with few rent-seekers tends to have high income inequality: an effect that is exacerbated by the fact that rent is decreasing in the number of rent-seekers (low levels of rent-seeking increase inequity). This tradeoff between efficiency and equity is the primary focus of this paper. We investigate how the distribution of rent-seeking ability and the correlation between labor productivity and rent-seeking ability shape this tradeoff. |
| Keywords: | rent-seeking, economic waste, inequality, monopolization, contest |
| JEL: | D62 D63 D72 E13 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_9375&r= |
| By: | Xuexin WANG (Xiamen University) |
| Abstract: | This study proposes new generalized spectral tests for multivariate Martingale Difference Hypotheses, especially suitable for high-dimensionality situations. The new tests are based on the martingale difference divergence covariance (MDD) proposed by Shao and Zhang (2014). It considers block-wise serial dependence of all lags, therefore, is consistent against general block-wise nonparametric Pitman’s local alternatives at the parametric rate n−1/2, where n is the sample size, and free of a user-chosen parameter. In order to cope with the highdimensionality in the sense that the dimension of time series is comparable to or even greater than the sample size, it is pivotal to employ a bias-reduced estimator for each individual MDD in the test statistic. Monte Carlo simulations reveal that the bias-reduced statistic generally performs better than its competitors substantially. Moreover, it is robust to heteroskedasticity of unknown forms and heavy-tails in the data generating processes. We apply our approach to test the efficient market hypothesis on the US stock market, using data sets on the monthly and daily data of portfolios sorted by industry. Our test results provide strong evidence against the efficient market hypothesis with respect to the US stock market at monthly frequency |
| Keywords: | Efficient Market Hypothesis; Generalized Spectral Tests; Nonintegrable Weighting Function; High-dimensionality; Bias Reduction |
| JEL: | C12 C22 |
| Date: | 2021–11–06 |
| URL: | http://d.repec.org/n?u=RePEc:wyi:wpaper:002596&r= |
| By: | Esmaeil Ebadi |
| Abstract: | This paper elucidates the influence of stock market volatility on U.S. consumption using pooled mean group (PMG) estimation of 46 states over the period from 1998 to 2017. The findings confirm that the PMG estimates of the effect of stock market volatility on consumption are robust to the lag order, lag selection criteria, and outliers compared with the mean group (MG) and the dynamic fixed effect (DFE) methods. I find that stock market volatility reduces total consumption, nondurables, services, and durables consumption. However, durables consumption responds to stock market volatility to a greater degree than nondurables and services consumption, and adjusts more quickly to market disequilibria. Although Romer (1999) identified the adverse effect of stock market volatility on durables consumption during the Great Depression, the current investigation reveals that the stability of the stock market plays a critical role in redressing market disequilibria and influences not only durables consumption but also nondurables and services consumption. In addition, the data provides evidence to reject the null of no cointegration among the models’ variables, which contrasts with the pervasive view concerning the consumption function. Since the short-run income elasticities are far less than the long-run ones, I reconfirm that the permanent income hypothesis (PIH) is valid in the US. As a result, the short-run efficacy of macroeconomic policies in terms of resolving market disequilibria is limited, as it takes time for consumers to build confidence in the permanency of their income. |
| Keywords: | Stock market volatility; Consumption; Uncertainty hypothesis; Permanent income hypothesis; Panel cointegration. |
| JEL: | E21 |
| Date: | 2021–06–06 |
| URL: | http://d.repec.org/n?u=RePEc:eei:rpaper:eeri_rp_2021_06&r= |
| By: | James Drummond (OECD); Daniel Shephard (Columbia University); Daniel Trnka (OECD) |
| Abstract: | Governments are created and run by humans, who can experience the same behavioural biases and barriers as individuals in society. Therefore, it makes sense to explore how behavioural insights (BI) can be applied to the governance of regulatory policy making, and not just to the design of regulations themselves. Applying BI can help improve the efficiency and effectiveness of the decision-making process, which can, in turn, help improve regulatory decisions. This paper maps the ways in which barriers and biases can affect the institutions, processes and tools of regulatory governance, with a focus on regulatory oversight bodies and regulatory management tools. It concludes with practical ways governments can translate these findings into research and reforms that can help future-proof regulatory policy making and ensure it is agile, responsive and fit for tackling important and complex policy challenges. |
| Keywords: | Behavioural economics, Behavioural insights, Regulation, Regulatory governance, Regulatory policy |
| JEL: | A1 H11 K23 Z18 F00 N40 D7 E03 |
| Date: | 2021–11–11 |
| URL: | http://d.repec.org/n?u=RePEc:oec:govaah:16-en&r= |
| By: | Gern, Klaus-Jürgen; Hauber, Philipp; Kooths, Stefan; Stolzenburg, Ulrich |
| Abstract: | The German economy is picking up speed again. After the resurgence of the Covid-19 pandemic had interrupted the economic recovery in the winter half-year, GDP will expand at a fast pace in the further course of the year and exceed its pre-crisis level again. With the removal of the pandemic-related restrictions, activity will rebound, especially in those areas that were previously particularly burdened. Retail trade and contact-intensive services in particular are likely to benefit from the rebound in private household consumption. For the time being, however, the recovery will be delayed in the manufacturing industry. The strong global recovery has brought with it multi-layered supply bottlenecks that are noticeably hampering production in many firms. Despite the very good order situation, production in the manufacturing industry will therefore probably only gradually return to its recovery path in the second half of the year, provided that the supply bottlenecks then gradually ease. With the supply bottlenecks, price pressures have also increased, especially as economic momentum is high worldwide. Thus, prices for raw materials, intermediate goods and transport services have recently been on a broad upward trend. All in all, GDP is expected to grow by 3.9 percent this year and by 4.8 percent in 2022. Consumer prices will rise at a much faster rate of probably 2.6 percent this year and by around 2 percent in 2022. |
| Keywords: | advanced economies,emerging economies,monetary policy,COVID19 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:ifwkeo:81&r= |
| By: | Irina Iakimenko (National Research University Higher School of Economics); Maria Semenova (National Research University Higher School of Economics); Eugeny Zimin (National Research University Higher School of Economics) |
| Abstract: | Correctly estimating borrower credit risk is a task of particular and growing importance for banks all around the globe. Formal information sharing mechanisms are aimed to reduce information asymmetry in the credit markets and to enhance the precision of those estimates. In the literature, however, whether more, and more detailed, borrower information shared by credit bureaus and credit registries is always associated with higher quality bank credit portfolios and lower credit risk is not completely unambiguous. More credit information disclosed by information intermediaries tends to result in a weaker disciplinary effect of credit history, which means higher credit risk. The accuracy of assessing the creditworthiness of borrowers grows due to an increase in the predictive power of scoring models, which leads to a reduction in credit risk. In this paper, we make a first attempt to examine the nonlinearity of this effect. We study the relationship between the depth of credit information disclosed and the stability of the banking sector in terms of credit risk. Based on data on 80 countries for 2004–2015, we show that the relationship between disclosure and credit risk is non-linear: we observe the lowest levels of credit risk at the minimum and maximum levels of disclosure. We analyze the influence of national institutional quality and financial development on the nature of the relationship. We show that credit risk decreases with increasing amounts of disclosure by credit bureaus and credit registers in well-developed financial markets and in a high-quality institutional environment. |
| Keywords: | Credit risk, Credit bureau, Credit registry, Bank, Information sharing |
| JEL: | G21 G28 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:hig:wpaper:85/fe/2021&r= |
| By: | Bartscher, Alina Kristin; Kuhn, Moritz; Schularick, Moritz; Wachtel, Paul |
| Abstract: | This paper aims at an improved understanding of the relationship between monetary policy and racial inequality. We investigate the distributional effects of monetary policy in a unified framework, linking monetary policy shocks both to earnings and wealth differentials between black and white households. Specifically, we show that, although a more accommodative monetary policy increases employment of black households more than white households, the overall effects are small. At the same time, an accommodative monetary policy shock exacerbates the wealth difference between black and white households, because black households own less financial assets that appreciate in value. Over multi-year time horizons, the employment effects are substantially smaller than the countervailing portfolio effects. We conclude that there is little reason to think that accommodative monetary policy plays a significant role in reducing racial inequities in the way often discussed. On the contrary, it may well accentuate inequalities for extended periods. |
| Keywords: | monetary policy,racial inequality,income distribution,wealth distribution,wealth effects |
| JEL: | E40 E52 J15 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:lawfin:15&r= |
| By: | Kaiser, Tim; Oberrauch, Luis |
| Abstract: | We study the impact of a recent curriculum reform introducing mandatory economic education in higher-track secondary schools in Southwest Germany. The curriculum reform provides the opportunity to leverage the exogenous variation in exposure to economic education relative to the previous cohort not affected by the reform. One year after exposure to the mandate, we observe positive treatment effects on test scores measuring cognitive elements of economic competence only for students with high test scores at baseline. Two years after exposure to the mandate, we find positive treatment effects on test scores across the entire distribution, as well as socio-emotional skills relevant to financial decision making while we do not observe effects on self-reported financial behaviors. At the same time, we find no changes in social preferences and normative attitudes that could give rise to concerns of indoctrination effects regarding students’ views on profit maximization and the market mechanism. |
| Keywords: | Economic education,financial literacy,impact evaluation,social preferences,indoctrination,financial behaviors |
| JEL: | A21 G53 I21 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:esprep:245801&r= |
| By: | Damian Kisiel; Denise Gorse |
| Abstract: | This work proposes a novel portfolio management technique, the Meta Portfolio Method (MPM), inspired by the successes of meta approaches in the field of bioinformatics and elsewhere. The MPM uses XGBoost to learn how to switch between two risk-based portfolio allocation strategies, the Hierarchical Risk Parity (HRP) and more classical Na\"ive Risk Parity (NRP). It is demonstrated that the MPM is able to successfully take advantage of the best characteristics of each strategy (the NRP's fast growth during market uptrends, and the HRP's protection against drawdowns during market turmoil). As a result, the MPM is shown to possess an excellent out-of-sample risk-reward profile, as measured by the Sharpe ratio, and in addition offers a high degree of interpretability of its asset allocation decisions. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2111.05935&r= |
| By: | Lucrezia Reichlin (London Business School); Giovanni Ricco (OFCE - Observatoire français des conjonctures économiques - Sciences Po - Sciences Po); Thomas Hasenzagl |
| Abstract: | We evaluate the role of financial conditions as predictors of macroeconomic risk first in the quantile regression framework of Adrian et al. (2019b), which allows for non-linearities, and then in a novel linear semi-structural model as proposed by Hasenzagl et al. (2018). We distinguish between price variables such as credit spreads and stock variables such as leverage. We find that (i) although the spreads correlate with the left tail of the conditional distribution of GDP growth, they provide limited advanced information on growth vulnerability; (ii) nonfinancial leverage provides a leading signal for the left quantile of the GDP growth distribution in the 2008 recession; (iii) measures of excess leverage conceptually similar to the Basel gap, but cleaned from business cycle dynamics via the lenses of the semi-structural model, point to two peaks of accumulation of risks – the eighties and the first eight years of the new millennium, with an unstable relationship with business cycle chronology. |
| Keywords: | Financial cycle,Business cycle,Credit,Financial crises,Downside risk,Entropy,Quantile regressions |
| Date: | 2020–01–01 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-03403077&r= |
| By: | Germinal G. Van |
| Abstract: | Structural changes play an essential role in the economic development of a country. They represent the evolution of economic dynamics within the macroeconomy. As we know, the economic sectors of a country do not affect the whole economy equally and their level of output generates economic fluctuations. The purpose of this paper is to analyze the impact of the three major economic sectors on the aggregate production of the United States since the 1990s. This paper essentially argues that the service sector is the sector that has contributed the most to the development of the U.S. economy since the 2000s because technological progress increased the rapid changes in the structure of the macroeconomy. Through the use of several econometric methods, we aim to rigorously analyze how the economic policy of each sector impacted economic growth. |
| Keywords: | Econometrics, Economic Policy, Statistical Methods, Macroeconomics, Structural Change. |
| JEL: | C33 C49 E22 O43 N27 |
| Date: | 2021–04–04 |
| URL: | http://d.repec.org/n?u=RePEc:eei:rpaper:eeri_rp_2021_04&r= |
| By: | Toshitaka Sekine (Hitotsubashi University); Toshiaki Shoji (Seikei University); Tsutomu Watanabe (University of Tokyo) |
| Abstract: | In October 2019, the Japanese government started a unique program that offered points (discounts) for cashless payments. Using credit card transaction data, we compare credit card usage at restaurants that participated in this program and those that did not. Our main findings are as follows. First, the number of card users was 9- 12 percent higher in participating than in non-participating restaurants. Second, the positive impact of the program on the number of card users persisted even after the program ended in June 2020, indicating that the program had a lasting effect to promote cashless payments. Third, the impact of the program was significantly larger at restaurants that started accepting credit cards more recently, since the share of cash users at those restaurants was larger just before the program started. Finally, two-thirds of the difference between participating and non-participating restaurants disappeared during the first surge of COVID-19 in April 2020, suggesting that customers switched from cash to cashless payments to reduce the risk of infection both at participating and non-participating restaurants, but the extent to which customers switched was larger at non-participating restaurants with a larger share of cash users just before the pandemic. |
| Keywords: | Cash and cashless payments, technology adoption, promotion program, COVID-19 |
| JEL: | E42 O33 O38 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:upd:utmpwp:036&r= |
| By: | Jie Chen; Lingfei Li |
| Abstract: | We develop deep learning models to learn the hedge ratio for S&P500 index options directly from options data. We compare different combinations of features and show that a feedforward neural network model with time to maturity, Black-Scholes delta and a sentiment variable (VIX for calls and index return for puts) as input features performs the best in the out-of-sample test. This model significantly outperforms the standard hedging practice that uses the Black-Scholes delta and a recent data-driven model. Our results demonstrate the importance of market sentiment for hedging efficiency, a factor previously ignored in developing hedging strategies. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2111.03477&r= |
| By: | Oberrauch, Luis; Kaiser, Tim |
| Abstract: | We study the role of cognitive ability and financial literacy for inter-temporal decision-making using an adapted version of the Convex Time Budget Protocol. We document substantial heterogeneity in choice-patterns and estimated parameters at the individual-level: We find that subjects with higher cognitive ability and domain specific-knowledge are more likely to make patient inter-temporal choices, to allocate the entire budget to a single payment-date, and to allocate the entire budget to corner choices as interest rates increase. At the same time, domain specific knowledge is uncorrelated with choice consistency and estimated individual error parameters, suggesting these results are not driven by a reduction in random noise among high ability respondents. These results serve as suggestive evidence for inter-temporal arbitrage among high ability respondents, thereby revealing a potential confound in time-preference elicitation tasks relying on time-dated monetary rewards. |
| Keywords: | Intertemporal choice,cognitive ability,financial literacy,narrow bracketing,arbitrage |
| JEL: | G53 D15 D91 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:esprep:245802&r= |
| By: | TSURUTA Daisuke; UCHIDA Hirofumi |
| Abstract: | The aim of this paper is to examine whether trade credit contributes to absorbing adverse shocks to firms. If the relaxation of trade credit terms contributes to holding back the level of real activities, firms that postpone payment to suppliers would not reduce the amount of purchases when they encounter exogenous adverse shocks. We test this hypothesis by investigating the relation between the postponement of payment and the reduction in purchase amounts by using data of SMEs obtained from two corporate surveys after the Global Financial Crisis and the COVID-19 shocks. From our analysis, we do not find that firms that postponed the payment are less likely to reduce the amount of purchases, which indicates that trade credit does not contribute to absorbing adverse shocks. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:eti:dpaper:21089&r= |
| By: | Krahnen, Jan Pieter; Rocholl, Jörg; Thum, Marcel |
| Abstract: | We raise some critical points against a naïve interpretation of "green finance" products and strategies. These critical insights are the background against which we take a closer look at instruments and policies that might allow green finance to become more impactful. In particular, we focus on the role of a taxonomy and investor activism. We also describe the interaction of government policies with green finance practice - an aspect, which has been mostly neglected in policy debates but needs to be taken into account. Finally, the special case of green government bonds is discussed. |
| Keywords: | Green Finance,Climate Change,Sustainability,Taxonomy,ESG |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:safewh:87&r= |
| By: | Emanuel Kohlscheen; Richhild Moessner |
| Abstract: | We study the effects of globalisation on the slope of the New Keynesian Phillips curve for CPI inflation, based on a broad panel of 35 countries and controlling for possibly non-linear exchange rate effects. We find that the output gap generally has a significant positive effect on inflation, but that this effect decreases as integration in the global economy increases. We conclude that the advance of globalisation has been a key force behind the flattening of price Phillips curves across the world. |
| Keywords: | inflation, globalisation, openness, output gap, Phillips curve |
| JEL: | E52 E58 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_9383&r= |
| By: | Tsutomu Watanabe (Graduate School of Economics, University of Tokyo); Yuki Omori (Nowcast Inc.) |
| Abstract: | The spread of COVID-19 infections has led to substantial changes in consumption patterns. While demand for services that involve face-to-face contact has decreased sharply, online consumption of goods and services, such as through e-commerce, is increasing. The aim of this paper is to investigate whether online consumption will continue to increase even after COVID-19 subsides. Online consumption requires upfront costs, which have been regarded as one of the factors inhibiting the diffusion of online consumption. However, if many consumers made such upfront investments due to the pandemic, they would have no reason to return to offline consumption after the pandemic has ended. We examine whether this was actually the case using credit card transaction data. Our main findings are as follows. First, the main group responsible for the increase in online consumption are consumers who were already familiar with it before the pandemic. These consumers increased the share of online spending in their overall spending. Second, some consumers that had never used the internet for purchases before started to do so due to COVID-19. However, the fraction of consumers making this switch was not very different from the trend before the crisis. Third, by age group, the switch to online consumption was more pronounced among youngsters than seniors. These findings suggest that it is not the case that during the pandemic a large number of consumers made the upfront investment necessary to switch to online consumption, so a certain portion of the increase in online consumption is likely to fall away again once COVID-19 subsides. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:cfi:fseres:cf524&r= |
| By: | pierre Aldama (OFCE - Observatoire français des conjonctures économiques - Sciences Po - Sciences Po); Jérôme Creel (OFCE - Observatoire français des conjonctures économiques - Sciences Po - Sciences Po) |
| Abstract: | This paper presents empirical evidence of asymmetric fiscal policy along the business cycle, using a real-time panel data on 19 OECD countries. We estimate various specifications of fiscal policy rules, in which ex ante fiscal policy has two major objectives: macroeconomic stabilization and fiscal consolidation. First, we find that a symmetric fiscal policy rule may not be an accurate representation of real-time fiscal policy. We find evidence in favor of asymmetric fiscal policy, in particular regarding the response to output gap. Second, fiscal policy appears to be generally procyclical in downturns and a-cyclical in upturns, typically in the Euro Area and during the crisis. Third, we do not find significant evidence of a procyclical fiscal consolidation in the OECD and the Euro Area, although surplus-debt feedback coefficients are generally larger in downturns. Our results are robust to an alternative measure of business cycle and to country exclusion. |
| Keywords: | Fiscal policy rules,Real-time data,Asymmetric stabilization,Fiscal consolidation |
| Date: | 2020–03–01 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-03403071&r= |
| By: | Almås, Ingvild; Ringdal, Charlotte; Hoem Sjursen, Ingrid |
| Abstract: | To describe and understand the economic inequality in a given so- ciety, it is necessary to understand intra-household inequality. House- holds can hide important inequalities, but can also be essential units for redistribution in society. This paper gives an overview of within- household distributions in different settings, both between the adults and also between adults and children. It documents that there are sub- stantial inequalities within households in some contexts and that these often, but not always, disfavor women and children. The paper also discusses the importance of intra-household allocations for poverty and inequality measurement. Methods that assign each household member a per-adult share of household consumption leads to underestimation of inequalities and miss-classification of poverty. In comparison, struc- tural models seem to do better in predicting individual poverty when disaggregated data on allocation within households are not available. Main determinants of power in household decision-making are also discussed, and relatedly, so are two important policy questions: Are targeted transfers to women good for female empowerment? And, are targeted transfers to mothers good for child outcomes? The empirical evidence is clearly pointing to targeting being beneficial for female empowerment, but the evidence is less clear when it comes to child outcomes. |
| Keywords: | Within-household resource allocation,inequality,measurement |
| JEL: | D13 D63 J13 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:glodps:961&r= |
| By: | Bernt P. Stigum |
| Abstract: | The paper lists salient characteristics of the certainty theory of consumer choice and discusses the import of prominent empirical analyses of the theory. All of them reject the theory’s empirical relevance which suggests that the theory is unfit to analyze consumer choice in an uncertain world. The paper presents an extension of the certainty theory to a theory about consumer choice under uncertainty in which consumer behavior has interesting new properties. I conclude with an empirical test of the empirical relevance of an uncertainty version of Stone’s Linear Expenditure System. In the given empirical context Stone’s System is empirically relevant. |
| Keywords: | Utility function, linear expenditure system, almost ideal demand system, income and substitution effects, expectations’ effect. |
| JEL: | A12 B23 B41 C01 C18 C30 C45 C51 C52 D12 D41 D59 |
| Date: | 2021–10–08 |
| URL: | http://d.repec.org/n?u=RePEc:eei:rpaper:eeri_rp_2021_08&r= |
| By: | Krouglov, Alexei |
| Abstract: | Presented here is a simplified mathematical model exploring dynamic factors of the economic growth. In particular, it examines two factors affecting the economic growth – first factor is an increase of the rates of product investment and another factor is an increase of the rates of product demand. Economic growth is presented through an increase of the rates of monetary demand. If the rates of monetary demand evolve there is an economic growth. If the rates of monetary demand decrease there is an economic decline. Both an increase of the product investment and increase of the product demand have similar effects with regard to equilibrium between the product supply and product demand. For investment and demand increases the model explores scenarios of constant-rate and constant-accelerated product amendments. |
| Keywords: | economic growth; investment increase; demand increase |
| JEL: | C61 E32 O42 |
| Date: | 2021–10–21 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:110314&r= |
| By: | Leonardo Cadamuro; Francesco Papadia |
| Abstract: | Economists and central bankers no longer consider monetary aggregates relevant for inflation forecasts. We explain this neglect by advancing and testing the hypothesis that monetary aggregates are only relevant for inflation in unsettled monetary and inflationary conditions. When inflation is basically stable around the central bank target (1.9 percent), as it has been in most of the last two decades, there is no apparent relationship between monetary aggregates and inflation.... |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:bre:wpaper:45602&r= |
| By: | Elvis Dze Achuo (University of Dschang, Cameroon); Tii N. Nchofoung (University of Dschang, Cameroon); Simplice A. Asongu (Yaoundé, Cameroon); Gildas Dohba Dinga (The University of Bamenda, Cameroon) |
| Abstract: | Achieving sustainable development has been the dream of every society across the globe especially sequel to the dawn of the industrial revolution. Thus, understanding the fundamental determinants of the socio-politico-economic development of every economy is of prime importance for investors, policymakers, development agencies and the society at large. It is in this light that this study sought to empirically examine the key factors that explain the socioeconomic development patterns in Africa. The Instrumental Variable Two Stage Least Squares (IV-2SLS) estimation technique is adopted for a panel of 38 African countries over the 1996-2019 period. The empirical findings reveal that financial development and human capital are development enhancing in Africa while external financial inflows are detrimental to economic development. In addition, when other specific macroeconomic and structural variables were introduced in the model, the results show that institutional quality through governance, natural resources abundance, and industrialisation all explain both the social and economic development dynamics. These results were specific to income group, export structures and level of development. Moreover, salient policy implications are discussed. |
| Keywords: | Underdevelopment, Financial development, Human capital, Institutional quality, Africa |
| Date: | 2021–01 |
| URL: | http://d.repec.org/n?u=RePEc:exs:wpaper:21/073&r= |
| By: | Matteo Malavasi (Department of Actuarial Studies and Business Analytics, Macquarie University, Australia); Gareth W. Peters (Department of Statistics and Applied Probability, University of California Santa Barbara, USA; Department of Actuarial Studies and Business Analytics, Macquarie University, Australia); Pavel V. Shevchenko (Department of Actuarial Studies and Business Analytics, Macquarie University, Australia; Center for Econometrics and Business Analytics, St. Petersburg State University, Russia); Stefan Tr\"uck (Department of Actuarial Studies and Business Analytics, Macquarie University, Australia); Jiwook Jang (Department of Actuarial Studies and Business Analytics, Macquarie University, Australia); Georgy Sofronov (Department of Mathematics and Statistics, Macquarie University, Australia) |
| Abstract: | In this study an exploration of insurance risk transfer is undertaken for the cyber insurance industry in the United States of America, based on the leading industry dataset of cyber events provided by Advisen. We seek to address two core unresolved questions. First, what factors are the most significant covariates that may explain the frequency and severity of cyber loss events and are they heterogeneous over cyber risk categories? Second, is cyber risk insurable in regards to the required premiums, risk pool sizes and how would this decision vary with the insured companies industry sector and size? We address these questions through a combination of regression models based on the class of Generalised Additive Models for Location Shape and Scale (GAMLSS) and a class of ordinal regressions. These models will then form the basis for our analysis of frequency and severity of cyber risk loss processes. We investigate the viability of insurance for cyber risk using a utility modelling framework with premium calculated by classical certainty equivalence analysis utilising the developed regression models. Our results provide several new key insights into the nature of insurability of cyber risk and rigorously address the two insurance questions posed in a real data driven case study analysis. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2111.03366&r= |
| By: | Shreya Bose; Ibrahim Ekren |
| Abstract: | We study the continuous time Kyle-Back model with a risk averse informed trader.We show that in a market with multiple assets and non-Gaussian prices an equilibrium exists. The equilibrium is constructed by considering a Fokker-Planck equation and a system of partial differential equations that are coupled with an optimal transport type constraint at maturity. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2111.01957&r= |