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on Central and Western Asia |
| By: | Klump, Rainer; Jurkat, Anne; Schneider, Florian |
| Abstract: | Robots are continuously transforming industrial production worldwide and thereby also inducing changes in a variety of production-related economic and social relations. While some observers call this transformation an unprecedented "revolution", others regard it as a common pattern of capitalist development. This paper contributes to the literature on the effects of the rise of industrial robots in three ways. Firstly, we describe the historic evolution and organizational structure of the International Federation of Robotics (IFR), which collects data on the international distribution of industrial robots by country, industry, and application from industrial robot suppliers worldwide since 1993. Secondly, we extensively analyze this IFR dataset on industrial robots and point out its specificities and limitations. We develop a correspondence table between the IFR industry classification and the International Standard Industrial Classification (ISIC) Revision 4 and shed some light on the price development of industrial robots by compiling data on robot price indices. We further compute implicit depreciation rates inherent to the operational stocks of robots in the IFR dataset and find an average depreciation rate of aggregate robot stocks between 4% and 7% per year between 1993 and 2019. Moreover, tracking the share of industrial robots that are not classified to any industry or application we find that their share in total robot stocks has sharply declined after 2005. We also compare IFR data with other data sources such as UN Comtrade data on net imports and unit prices of industrial robots or data on robot adoption from firm-level surveys in selected countries. Thirdly, we provide a comprehensive overview of the empirical research on industrial robots that is based on the IFR dataset. We identify four important strands of research on the rise of robots: (i) patterns of robot adoption and industrial organization, (ii) productivity and growth effect of robot adoption, (iii) its impact on employment and wages, and (iv) its influence on demographics, health, and politics. |
| Keywords: | Robots, productivity, growth, employment, industry classification, depreciation rates, IFR |
| JEL: | C23 E1 J2 J24 O3 O33 O4 O47 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:110390&r= |
| By: | Fernando Alvarez (University of Chicago and NBER); Andrea Ferrara (Northwestern University); Erwan Gautier (Banque de France); Hervé Le Bihan (Banque de France); Francesco Lippi (LUISS University and EIEF) |
| Abstract: | In a broad class of sticky price models the non-neutrality of nominal shocks is captured by a simple sufficient statistic: the ratio of the kurtosis of the size-distribution of price changes over the frequency of price changes. We test this theoretical prediction using data for a large number of firms representative of the French economy. We use the micro data to measure the cross sectional moments, including kurtosis and frequency, for about 120 PPI industries and 220 CPI categories. We use a Factor Augmented VAR to measure the sectoral responses to a monetary shock, as summarized by the cumulative impulse response of sectoral prices (CIRP), under three alternative identification schemes. The estimated CIRP correlates with the kurtosis and the frequency consistently with the prediction of the theory (equal coefficients with opposite signs). The analysis also shows that other moments not suggested by the theory, such as the mean, standard deviation and skewness of the size-distribution of price changes, are not correlated with the CIRP. Several robustness checks of these findings are analyzed. |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:eie:wpaper:2109&r= |
| By: | Ofori, Isaac K.; Asongu, Simplice |
| Abstract: | Motivated by the projected rebound of foreign direct investment (FDI) inflow to sub-Saharan Africa (SSA) following the implementation of the AfCFTA and the finalization of the Africa Investment Protocol, we examine how FDI modulates the effects of various governance dynamics on inclusive growth in SSA. We do this by testing two hypotheses first, whether unconditionally FDI and various governance indicators (rule of law, control of corruption, regulatory quality, governance effectiveness, political stability, and voice and accountability) foster inclusive growth in SSA; and second, whether these governance dynamics engender positive synergy with FDI on inclusive growth in SSA. Using data from the World Bank’s World Governance Indicators and the World Development Indicators for the period 1990–2020, we employ several fixed effects, random effects, and the system GMM estimators for the analysis. First, we find that FDI and all our governance dynamics are significant inclusive growth enhancers in SSA. Second, though FDI amplifies the effects of all our governance dynamics on inclusive growth in SSA, governance effectiveness, voice and accountability, and political stability are keys. Policy recommendations are provided. |
| Keywords: | AfCFTA; Economic Integration; FDI; Governance; Inclusive Growth; Africa |
| JEL: | F15 F43 F60 O55 R58 |
| Date: | 2021–01 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:110612&r= |
| By: | Eduard Hromada (Czech Technical University in Prague, Faculty of Civil Engineering) |
| Abstract: | Currently, there is an increasing interest in the real estate market and many small and large investors regularly monitor real estate prices and price trends at the national and regional level. The covid-19 pandemic has caused a change in long-term trends in the real estate market. The paper deals with a regression analysis of selected technical and economic parameters that affect the real estate market in the Czech Republic. Specifically, these parameters are: the relationship between the average mortgage rate and the price of an apartment for sale, the relationship between the average mortgage rate and the number of properties offered for sale and the influence of the existence of a terrace, balcony or loggia on the unit price of the apartment. The results of the work are based on the EVAL software, which collects data on real estate advertising in the Czech Republic. |
| Keywords: | Real estate market, EVAL software, regression analysis |
| JEL: | C13 C35 R31 |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:sek:ibmpro:12713384&r= |
| By: | Isaac K. Ofori (University of Insubria, Varese, Italy); Christopher Quaidoo (University of Professional Studies, Accra, Ghana); Pamela E. Ofori (University of Insubria, Varese, Italy) |
| Abstract: | This study uses machine learning techniques to identify the key drivers of financial development in Africa. To this end, four regularization techniques— the Standard lasso, Adaptive lasso, the minimum Schwarz Bayesian information criterion lasso, and the Elasticnet are trained based on a dataset containing 86 covariates of financial development for the period 1990 – 2019. The results show that variables such as cell phones, economic globalisation, institutional effectiveness, and literacy are crucial for financial sector development in Africa. Evidence from the Partialing-out lasso instrumental variable regression reveals that while inflation and agricultural sector employment suppress financial sector development, cell phones and institutional effectiveness are remarkable in spurring financial sector development in Africa. Policy recommendations are provided in line with the rise in globalisation, and technological progress in Africa. |
| Keywords: | Africa, Elasticnet, Financial Development, Financial Inclusion, Lasso, Regularization, Variable Selection |
| JEL: | C01 C14 C52 C53 C55 E5 O55 |
| Date: | 2021–01 |
| URL: | http://d.repec.org/n?u=RePEc:agd:wpaper:21/074&r= |
| By: | Taguchi, Hiroyuki |
| Abstract: | This paper aims to examine the effects of demographic dynamics on economic growth with a focus on working-age population and saving rate in 17 Asian economies for the past period from 1970 to 2018 and for the future period from 2018 to 2050. For the analytical methodology, this study applies a panel vector autoregressive model considering endogenous interactions among concerned variables. The main findings are summarized as follows: first, the estimation identified both the direct channel from working-age population share to economic growth and the indirect channel through saving rate; second, the estimated result also found the feedback effect from economic growth to saving rate; third, the contribution ratio of the demographic effect to economic growth for the past period, around 30 percent on average, is consistent with those in previous studies; and fourth, in the projection for 2018-2050, the degrees of the negative demographic effects in sample economies are getting larger than those of previous studies, due to the earlier-coming population onus with aging. |
| Keywords: | demographic dynamics, economic growth, Asia, saving rate, working-age population, panel vector-autoregressive model |
| JEL: | J11 O11 O53 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:110609&r= |
| By: | Jung, Jione (KOREA INSTITUTE FOR INTERNATIONAL ECONOMIC POLICY (KIEP)); Yoo, Aila (KOREA INSTITUTE FOR INTERNATIONAL ECONOMIC POLICY (KIEP)) |
| Abstract: | A decade has passed since Korea joined the OECD Development Assistance Committee (DAC) as its 24th member in 2010. The total volume of Korea's Official Development Assistance (ODA) is approximately 2.2 billion USD, and has doubled over the past decade. Together with the quantitative achievements, Korea also has made endeavors to improve the quality of ODA implementation by establishing a proper legal foundation, policies, and strategies at the country level. In this regards, it is necessary for Korea to identify the challenges to overcome, and to establish mid-term or long-term strategy for better development cooperation to become a responsible middle-power donor country. Thus, the study aims to suggest long-term policy directions for international development cooperation through an assessment of Korea's ODA performance over the past 10 years. To review in detail Korea's achievements in the field of ODA since joining the OECD DAC, the study briefly analyzes the quantitative achievements to date and conducts a comprehensive study on implementation of major strategies and policies. |
| Keywords: | Korea; OECD; DAC; ODA; performance |
| Date: | 2021–03–18 |
| URL: | http://d.repec.org/n?u=RePEc:ris:kiepwe:2021_011&r= |
| By: | M. Eren Akbiyik; Mert Erkul; Killian Kaempf; Vaiva Vasiliauskaite; Nino Antulov-Fantulin |
| Abstract: | Understanding the variations in trading price (volatility), and its response to external information is a well-studied topic in finance. In this study, we focus on volatility predictions for a relatively new asset class of cryptocurrencies (in particular, Bitcoin) using deep learning representations of public social media data from Twitter. For the field work, we extracted semantic information and user interaction statistics from over 30 million Bitcoin-related tweets, in conjunction with 15-minute intraday price data over a 144-day horizon. Using this data, we built several deep learning architectures that utilized a combination of the gathered information. For all architectures, we conducted ablation studies to assess the influence of each component and feature set in our model. We found statistical evidences for the hypotheses that: (i) temporal convolutional networks perform significantly better than both autoregressive and other deep learning-based models in the literature, and (ii) the tweet author meta-information, even detached from the tweet itself, is a better predictor than the semantic content and tweet volume statistics. |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2110.14317&r= |
| By: | Siyi Wang; Xing Yan; Bangqi Zheng; Hu Wang; Wangli Xu; Nanbo Peng; Qi Wu |
| Abstract: | We design a system for risk-analyzing and pricing portfolios of non-performing consumer credit loans. The rapid development of credit lending business for consumers heightens the need for trading portfolios formed by overdue loans as a manner of risk transferring. However, the problem is nontrivial technically and related research is absent. We tackle the challenge by building a bottom-up architecture, in which we model the distribution of every single loan's repayment rate, followed by modeling the distribution of the portfolio's overall repayment rate. To address the technical issues encountered, we adopt the approaches of simultaneous quantile regression, R-copula, and Gaussian one-factor copula model. To our best knowledge, this is the first study that successfully adopts a bottom-up system for analyzing credit portfolio risks of consumer loans. We conduct experiments on a vast amount of data and prove that our methodology can be applied successfully in real business tasks. |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2110.15102&r= |
| By: | Kumon, Yuzuru |
| Abstract: | This paper uses a new dataset of Japanese village censuses, 1637-1872, to measure inequality in landownership. Surprisingly, lands were relatively equally distributed, and most peasants were de-facto landowners. Further, there was no trend in wealth inequality. This contrasts with Western Europe where wealth inequality was high and increasing. To explain this, I use a linked multi-generational dataset of village censuses to study land transmissions. I find that Japanese households differed from Europeans due to widespread adoption of male heirs when reproduction failed. As non-marginal landowners almost always had an heir, lands were kept in the family. In contrast, elite English male lines failed 25% of the time leading to a highly unequal redistribution of their lands via will or marriage of heiresses. Finally, the institutional differences in adoption had roots in church policy in the 4th century and this may partially explain why Western Europe was more unequal by 1800. |
| Date: | 2021–11–08 |
| URL: | http://d.repec.org/n?u=RePEc:tse:iastwp:126149&r= |
| By: | D'Auria, Bernardo; Salmerón Garrido, Jose Antonio |
| Abstract: | The binary information collects all those events that may or may not occur. With this kind of variables, a large amount of information can be captured, in particular, about financial assets and their future trends. In our paper, we assume the existence of some anticipative information of this type in a market whose risky asset dynamics evolve according to a Brownian motion and a Poisson process. Using Malliavin calculus and filtration enlargement techniques, we compute the semimartingale decomposition of the mentioned processes and, in the pure jump case, we give the exact value of the information. Many examples are shown, where the anticipative information is related to some conditions that the constituent processes or their running maximum may or may not verify. |
| Keywords: | Optimal Portfolio; Malliavin Calculus; Clark-Ocone Formula; Insider Information; Value Of The Information |
| Date: | 2021–11–16 |
| URL: | http://d.repec.org/n?u=RePEc:cte:wsrepe:33624&r= |
| By: | Mr. Zhongxia Zhang |
| Abstract: | Classical theories of monetary economics predict that real stock returns are negatively correlated with inflation when monetary policy is countercyclical. Previous empirical studies mostly focus on a small group of developed countries or a few countries with hyperinflation. In this paper, I examine the stock return-inflation relation under different monetary policy regimes and conditions using an expanded dataset of 71 economies. Empirical evidence suggests that the stock return-inflation relation is partially driven by monetary policy. If a country’s monetary authority conducts a more countercyclical monetary policy, the stock return-inflation relation becomes more negative. In addition, the results differ by monetary policy framework. In exchange rate anchor countries, stock markets do not respond to monetary policy cyclicality. In inflation targeting countries, stock markets react more strongly to inflation. A key contribution of this paper is to classify inflation targeters by their behaviors, and illustrate that behavior matters in shaping market perceptions: markets react to inflation and monetary policy cyclicality when central banks are able to control inflation within their target bands. In this case markets are sensitive to inflation dynamics when inflation is above the announced target bands. Finally, when monetary policy is constrained by the Zero Lower Bound (ZLB), a structural break is introduced and real stock returns no longer respond to inflation and monetary policy cyclicality. |
| Keywords: | monetary policy cyclicality; stock return-inflation relation; countercyclical monetary policy; market perception; inflation targeting country; Inflation; Stocks; Emerging and frontier financial markets; Inflation targeting; Central bank policy rate; Global |
| Date: | 2021–08–20 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2021/219&r= |
| By: | Ms. Marialuz Moreno Badia; Yuan Xiang; Juliana Gamboa-Arbelaez |
| Abstract: | In the wake of the COVID-19 pandemic, debt levels in emerging and developing economies have surged raising concerns about fiscal sustainability. Historically, negative interest-growth differentials in these countries have played a debt-stabilizing role. But is this enough to prevent countries from falling into debt distress? Drawing from a sample of 150 emerging and developing economies going back to the 1970s, we find that interest-growth differentials have remained relatively low, dampening debt increases in the run up to a crisis. But in the face of persistent primary deficits, debt service tends to rise abruptly—particularly in emerging markets—and a fiscal crisis ensues. There is also evidence that a large part of the debt build-up around crises stems from valuation effects associated with external debt and the materialization of contingent liabilities. These findings underscore that, though not necessarily a red-herring, low interest-growth differentials cannot fully offset the deleterious effects of large fiscal deficits, forex exposures, or hidden debts. |
| Keywords: | dampening debt; interest-growth differential; debt build-up; debt-stabilizing role; debt Decomposition; Debt sustainability analysis; Real interest rates; Contingent liabilities; Global |
| Date: | 2021–09–07 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2021/229&r= |
| By: | Yoon, Deok Ryong (KOREA INSTITUTE FOR INTERNATIONAL ECONOMIC POLICY (KIEP)); Song, Wonho (Chung-Ang University); Lee, Jinhee (KOREA INSTITUTE FOR INTERNATIONAL ECONOMIC POLICY (KIEP)) |
| Abstract: | As the linkage between domestic and foreign financial markets grows stronger, concerns have been raised about the inflow and outflow of foreign investment capital as a source of financial instability whenever the financial market becomes unstable. Considering that opening the capital market is not an option, it becomes essential to examine the determinants of foreign investment to maximize the benefits of foreign capital inflows and outflows for sound growth in the real sector as well as the financial sector. Accordingly, this study attempts to produce evidence-based policy implications by empirically analyzing the determinants of the inflow and outflow of foreign investment funds. |
| Keywords: | foreign; capital flow; interest rate; exchange; capital market |
| Date: | 2021–05–31 |
| URL: | http://d.repec.org/n?u=RePEc:ris:kiepwe:2021_026&r= |
| By: | Chamberlain, Emma |
| Abstract: | Any wealth tax design needs to resolve the question of who should pay it it How wide should the net be cast? Setting high or low exempt thresholds affects avoidance behaviour and may influence whether one should tax by reference to the household (and if so how that should be defined) or simply on each individual who owns wealth over a certain threshold. Typically, wealth taxes in other countries have not been imposed on non-residents except in relation to real property but questions remain over whether any exempt period should be given to new arrivals, not least for administrative convenience. A one-off wealth tax would require a different design in a number of respects from an annual wealth tax. For example, a one off tax t would need to be designed to catch those who have recently left the UK and contain modifications for recent arrivals. Trusts, foundations and similar vehicles pose particular problems in the design of a wealth tax and the author suggests some possible solutions and connecting factors that could be considered. |
| Keywords: | avoidance; one-off tax; tax design; wealth tax; household; trusts; ES/LO11719/1; Wiley deal |
| JEL: | D31 H24 |
| Date: | 2021–10–25 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:lserod:111925&r= |
| By: | Arthur Akhmetov (Bank of Russia, Russian Federation); Anna Burova (Bank of Russia, Russian Federation); Natalia Makhankova (Bank of Russia, Russian Federation); Alexey Ponomarenko (Bank of Russia, Russian Federation) |
| Abstract: | We offer tools for measuring, monitoring and analysing the liquidity of financial markets in the context of various liquidity aspects. The liquidity mismatch concept makes it possible to assess how liquidity risk acceptance varies across economic sectors. We calculate liquidity indices – that is, liquidity mismatch indicators, and conduct a comparative analysis of the degree of liquidity risk acceptance by various sectors of the Russian economy. The values of liquidity indices in the household sector vary significantly across countries, depending on the degree of population involvement in the stock market. We use the proposed tools to assess the development of financial market segments in Russia and conduct cross-country comparisons of the degree of liquidity of capital markets. Higher liquidity of financial markets is associated with a higher development of these markets; however, this is fraught with liquidity risks that may lead to financial losses. Considering the concept of liquidity in various aspects, we expand the discussion of the availability and development of long-term investment financing in Russia. |
| Keywords: | market liquidity, liquidity mismatch, liquidity risks, bank-based and market- based financing, financial instruments, balances of financial assets and liabilities |
| JEL: | G10 G23 O16 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:bkr:wpaper:wps82&r= |
| By: | Han, Minsoo (KOREA INSTITUTE FOR INTERNATIONAL ECONOMIC POLICY (KIEP)); An, Sungbae (KOREA INSTITUTE FOR INTERNATIONAL ECONOMIC POLICY (KIEP)); Kim, Hyosang (KOREA INSTITUTE FOR INTERNATIONAL ECONOMIC POLICY (KIEP)); Kim, Subin (KOREA INSTITUTE FOR INTERNATIONAL ECONOMIC POLICY (KIEP)); Lee, Jinhee (KOREA INSTITUTE FOR INTERNATIONAL ECONOMIC POLICY (KIEP)) |
| Abstract: | To make a meaningful response logic to future exchange rate pressures, we monitor the determinants of the current account and exchange rate. First, according to the analysis of current account determinants, the current account imbalance will gradually ease from a long-term and structural perspective if the domestic financial market develops or access to the international financial market is strengthened. In addition, existing structural current account estimates that do not take into account international financial market conditions may have underestimated the structural current account balance of emerging countries such as Korea. Second, based on the analysis of the currency determinants, we can argue that the weak won is structurally inevitable due to the weak yuan. |
| Keywords: | current account; exchange rate; financial market; Korea |
| Date: | 2021–04–02 |
| URL: | http://d.repec.org/n?u=RePEc:ris:kiepwe:2021_017&r= |
| By: | Michael Peters; Conor Walsh |
| Abstract: | Population growth has declined markedly in almost all major economies since the 1970s. We argue this trend has important consequences for the process of firm dynamics and aggregate growth. We study a rich semi-endogenous growth model of firm dynamics, and show analytically that a decline in population growth reduces creative destruction, increases average firm size and concentration, raises market power and misallocation, and lowers aggregate growth in the long-run. We also show lower population growth has positive effects on the level of productivity, making the short-run welfare impacts ambiguous. In a quantitative application to the U.S, we find that the slowdown in population growth since the 1980s and the projected continuation of this trend accounts for a substantial share of the fall in the entry and exit rates and the increase in firm size. By contrast, the impact on markups is modest. The effect on aggregate growth is positive for around two decades, before turning negative thereafter. |
| JEL: | J11 L11 O3 O4 O44 |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29424&r= |
| By: | De Meza, David; Reito, Francesco; Reyniers, Diane J. |
| Abstract: | Adverse selection famously leads to the crowding out of socially benecial trades. We show that even more trades may be simultaneously crowded in. The reason is that, in the absence of complete unravelling, \lemons" fetch more under adverse selection. It is demonstrated how these \bad" trades occur in insurance, credit and used-car markets, and some policy implications are discussed. |
| Keywords: | adverse selection; insurance; credit; used cars |
| JEL: | C13 D14 D82 |
| Date: | 2021–10–29 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:lserod:112574&r= |
| By: | Ozili, Peterson Kitakogelu |
| Abstract: | This study investigates the correlation between financial inclusion and legal system quality among developed countries from 2004 to 2012. The findings reveal a positive correlation between financial inclusion and legal system quality. The findings suggest that improvements in legal system quality goes hand in hand with improvements in the level of financial inclusion. More specifically, higher supply of ATM per 100,000 adults is correlated with stronger insolvency resolution framework among G7, European and non-European countries. Also, the number of bank branch per 100,000 adults is positively correlated with strong rule of law and legal rights in non-European countries. Also, the number of ATMs per 100,000 adults is positively correlated with strength of insolvency resolution framework and negatively correlated with the time it takes to resolve insolvency before, during and after the global financial crisis. |
| Keywords: | Law, development, financial inclusion, ATM, bank branch, legal rights, legal system, rule of law, insolvency resolution. |
| JEL: | G20 G21 G28 K00 K12 K23 K40 K42 K49 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:110518&r= |
| By: | La, Meeryung (KOREA INSTITUTE FOR INTERNATIONAL ECONOMIC POLICY (KIEP)) |
| Abstract: | ASEAN continues its efforts to liberalize services trade in the region as part of the process of establishing the ASEAN Economic Community (AEC). ASEAN has been increasing the level of regional liberalization through package negotiations of the ASEAN Framework Agreement on Services (AFAS). After signing the 10th AFAS package, the package negotiations were replaced by the ASEAN Trade in Services Agreement (ATISA), which takes a negative list approach and includes regulatory cooperation between member states. Upon this backdrop, this paper attempts to examine the progress of service market integration within ASEAN and analyze the impact of service liberalization pursued by ASEAN. Based on the analysis results, we also present policy implications to enhance cooperation with ASEAN in the service sectors. |
| Keywords: | ASEAN; service; integration; ASEAN Economic Community; AEC; AFAS; ATISA |
| Date: | 2021–05–28 |
| URL: | http://d.repec.org/n?u=RePEc:ris:kiepwe:2021_029&r= |
| By: | Tancheva, Z. (Tilburg University, School of Economics and Management) |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:tiu:tiutis:3cdb4eb6-0313-4a7a-81c4-21b97ce91a7b&r= |
| By: | Naman Shukla; Kartik Yellepeddi |
| Abstract: | We present a novel framework to learn functions that estimate decisions of sellers and buyers simultaneously in an oligopoly market for a price-sensitive product. In this setting, the aim of the seller network is to come up with a price for a given context such that the expected revenue is maximized by considering the buyer's satisfaction as well. On the other hand, the aim of the buyer network is to assign probability of purchase to the offered price to mimic the real world buyers' responses while also showing price sensitivity through its action. In other words, rejecting the unnecessarily high priced products. Similar to generative adversarial networks, this framework corresponds to a minimax two-player game. In our experiments with simulated and real-world transaction data, we compared our framework with the baseline model and demonstrated its potential through proposed evaluation metrics. |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2110.13303&r= |
| By: | Ferrari, Giorgio (Center for Mathematical Economics, Bielefeld University); Schuhmann, Patrick (Center for Mathematical Economics, Bielefeld University); Zhu, Shihao (Center for Mathematical Economics, Bielefeld University) |
| Abstract: | This paper proposes and solves an optimal dividend problem in which a two-state regime- switching environment affects the dynamics of the company’s cash surplus and, as a novel feature, also the bankruptcy level. The aim is to maximize the total expected profits from dividends until bankruptcy. The company’s optimal dividend payout is therefore influenced by four factors simul- taneously: Brownian fluctuations in the cash surplus, as well as regime changes in drift, volatility and bankruptcy levels. In particular, the average profitability can assume different signs in the two regimes. We find a rich structure of the optimal strategy, which, depending on the interaction of the model’s parameters, is either of *barrier-type* or of *liquidation-barrier type*. Furthermore, we provide explicit expressions of the optimal policies and value functions. Finally, we complement our theoret- ical results by a detailed numerical study, where also a thorough analysis of the sensitivities of the optimal dividend policy with respect to the problem’s parameters is performed. |
| Keywords: | Optimal dividend policy, Regime-switching, Regime-dependent bankruptcy levels, HJB equation, Singular stochastic control |
| Date: | 2021–11–15 |
| URL: | http://d.repec.org/n?u=RePEc:bie:wpaper:657&r= |
| By: | Singh, Aarti; Suda, Jacek; Zervou, Anastasia |
| Abstract: | We study the effects of monetary policy shocks on the growth rates of hiring, employment and earnings of new hires across firms of different sizes. We find that contractionary and expansionary monetary policy shocks have different effects on hiring and employment growth for small and large firms. Relative to large firms, small firms are less responsive to contractionary monetary policy shocks while they are more responsive to expansionary shocks. We also find that, as a consequence of monetary policy shocks, the earnings of new hires changes, and this wage effect depends on the sign of the shock and the size of the firms. We use a heterogeneous firm model with a working capital constraint, an upward sloping marginal cost curve and a financial accelerator effect, and augment it with the wage effect. We find that our empirical results are consistent with the model as long as the combined effect due to varying steepness of the marginal cost curve and the wage effect is stronger than the financial accelerator channel. |
| Keywords: | Heterogeneous firms, financing constraints, labour market, monetary policy |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:syd:wpaper:2021-07&r= |
| By: | Gianni La Cava (Reserve Bank of Australia); Lydia Wang (Reserve Bank of Australia) |
| Abstract: | It is well documented that household wealth has risen significantly in recent decades and that both sides of the household balance sheet – assets and liabilities – have expanded. We document a less well-known phenomenon: household liquid assets (such as cash, deposits and equities) have also risen strongly relative to income over the same period. This is true for Australia and for most advanced economies. We explore the determinants of liquidity across households and over time, using a range of household surveys for Australia. We find that household liquidity is strongly associated with life cycle factors, such as age and housing tenure. The increase in liquidity over recent decades has been broad based across households, though strongest amongst those with mortgage debt. Consistent with this, the share of liquidity-constrained households has declined significantly. The growth in liquidity is closely connected to developments in the housing market. First, higher housing prices have lifted the deposit requirement for potential home buyers, encouraging such households to save more in liquid assets. Second, higher mortgage debt has increased the repayment risks associated with future income declines, leading indebted home owners to save more for precautionary reasons, partly through paying down debt ahead of schedule. The process of building wealth and liquidity through debt amortisation has been supported by the trend decline in interest rates and unique financial innovations such as mortgage offset and redraw accounts that have made housing wealth more liquid. Overall, the rise in household liquidity appears to have increased the financial resilience of the household sector. |
| Keywords: | household liquidity; mortgage debt; housing prices; liquidity constraints; amortisation |
| JEL: | B22 E13 E20 E40 E50 E7 G51 R21 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:rba:rbardp:rdp2021-10&r= |
| By: | Götz, Martin; Gozzi, Juan Carlos |
| Abstract: | We analyze the effect of the geographic expansion of banks across U.S. states on the co-movement of economic activity between states. Exploiting the removal of interstate banking restrictions to construct time-varying instrumental variables at the state-pair level, we find that bilateral banking integration increases output co-movement between states. The effect of financial integration depends on the nature of the idiosyncratic shocks faced by states and is stronger for financially dependent industries. Finally, we show that integration increases the similarity of bank lending fluctuations between states and contributes to the transmission of deposit shocks across states. |
| Keywords: | banking integration,synchronization,financial deregulation,business cycles |
| JEL: | E32 F36 F44 G21 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bubdps:372021&r= |
| By: | Remzi Uctum; Georges Prat |
| Abstract: | Using Consensus Economics survey-based data we show that oil price expectations are not rational, implying that the ex-ante premium is a more relevant concept than the widely popular ex-post premium. We propose for the 3- and 12-month horizons a portfolio choice model with risky oil assets and a risk-free asset. At the maximized expected utility the risk premium is defined as the product of the risk price by the expected oil return volatility. We show that the representative investor can be risk averse or risk seeking depending on the state of nature, implying that the price of risk is positive or negative, respectively. The price of risk and expected volatility being unobservable magnitudes, a state-space model, where the risk prices are represented as stochastic unobservable components and where expected volatilities depend on historical squared returns, is estimated using Kalman filtering. We find evidence of significant disparities of risk prices according to horizons: higher amplitudes and risk seeking behaviour are associated with short horizons and lower fluctuations and risk aversion attitude characterize longer horizons. We show that macroeconomic, financial and oil market-related factors drive risk prices whose signs are consistent with the predictions of prospect theory. An upward sloped term structure of oil risk premia prevails in average over the period. |
| Keywords: | oil market, oil price expectations, ex-ante risk premium |
| JEL: | D81 G11 Q43 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:drm:wpaper:2021-31&r= |
| By: | Jeremy Turiel; Tomaso Aste |
| Abstract: | Flash crashes in financial markets have become increasingly important attracting attention from financial regulators, market makers as well as from the media and the broader audience. Systemic risk and propagation of shocks in financial markets is also a topic or great relevance who has attracted increasing attention in recent years. In the present work we bridge the gap between these two topics with an in-depth investigation of the systemic risk structure of co-crashes in high frequency trading. We find that large co-crashes are systemic in their nature and differ from small crashes. We demonstrate that there is a phase transition between co-crashes of small and large sizes, where the former involves mostly illiquid stocks while large and liquid stocks are the most represented and central in the latter. This suggest that systemic effects and shock propagation might be triggered by simultaneous withdrawn or movement of liquidity by HFTs and market makers having cross-asset. |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2110.13701&r= |
| By: | Siddhartha Chib; Minchul Shin; Anna Simoni |
| Abstract: | We consider the Bayesian analysis of models in which the unknown distribution of the outcomes is specified up to a set of conditional moment restrictions. The nonparametric exponentially tilted empirical likelihood function is constructed to satisfy a sequence of unconditional moments based on an increasing (in sample size) vector of approximating functions (such as tensor splines based on the splines of each conditioning variable). For any given sample size, results are robust to the number of expanded moments. We derive Bernstein-von Mises theorems for the behavior of the posterior distribution under both correct and incorrect specification of the conditional moments, subject to growth rate conditions (slower under misspecification) on the number of approximating functions. A large-sample theory for comparing different conditional moment models is also developed. The central result is that the marginal likelihood criterion selects the model that is less misspecified. We also introduce sparsity-based model search for high-dimensional conditioning variables, and provide efficient MCMC computations for high-dimensional parameters. Along with clarifying examples, the framework is illustrated with real-data applications to risk-factor determination in finance, and causal inference under conditional ignorability. |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2110.13531&r= |
| By: | Jha, Saumitra (Stanford University); Shayo, Moses (Hebrew University of Jerusalem) |
| Abstract: | Many studies document low rates of financial literacy and suboptimal levels of participation in financial markets. These issues are particularly acute among women. Does this reflect a self-reinforcing trap? If so, can a nudge to participate in financial markets generate knowledge, confidence, and further increase informed participation? We conduct a large field experiment that enables and incentivizes working-age men and women--a challenging group to reach with standard financial training programs--to trade stocks for four to seven weeks. We provide no additional educational content. We find that trading significantly improves financial confidence, as reflected in stock market participation, objective and subjective measures of financial knowledge, and risk tolerance. These effects are especially strong among women. Participants also become more self-reliant and consult others less when making financial decisions. |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:ecl:stabus:3933&r= |
| By: | Li, Bin |
| Abstract: | This paper is a complementary explanation of the World Economics Association (WEA) 2019 “Going Online” conference paper “How Could Cognitive Revolution Happen To Economics? An Introduction to the Algorithm Framework Theory”. |
| Keywords: | Bounded Rationality; Instructions; Algorithm; Combinatorial Explosion; Subjectivity; Mental Distortion |
| JEL: | A10 B00 C63 Z10 |
| Date: | 2020–06–30 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:110581&r= |
| By: | Ryuichiro Hirano (Bank of Japan); Yoshihiko Hogen (Bank of Japan); Nao Sudo (Bank of Japan) |
| Abstract: | In the Financial System Report, the Bank of Japan monitors developments of the Financial Activity Indexes (FAIXs), which showed large deviations from the trend during Japan fs bubble period of the late 1980s, as a means to detect early warning signals of financial imbalances caused by overheating of domestic financial activities. This article constructs corresponding FAIXs in 17 countries and asks if they are able to predict a banking crisis in these countries. The result shows that among the FAIXs, total credit to GDP ratio, which is an indicator that is considered to capture credit activities of the private sector as a whole, has a reasonable degree of predictive power for these crises. The nature of banking crises differs, however, and these indicators do not necessarily have high predictive power for banking crises that occur when domestic financial activity is not overheated. In addition, the probability of a banking crisis occurring rises when the "red" signal of the total credit to GDP ratio lasts for a prolonged period or when this "red" signal happens together with "red" signals of other indicators. |
| Keywords: | Financial Imbalance; Banking Crisis; Heat map |
| JEL: | G01 G21 G32 |
| Date: | 2021–11–19 |
| URL: | http://d.repec.org/n?u=RePEc:boj:bojrev:rev21e05&r= |
| By: | Sergey Kovbasyuk (New Economic School); David C. Brown (University of Arizona); Tamara Nefedova (Universit Ì e Paris Dauphine-PSL) |
| Abstract: | By combining investors’ portfolio holdings with trading and commissions data, we analyze the determinants of IPO allocations. We distinguish among common explanations for investors’ IPO profits: information revelation, quid pro quo arrangements (related to commissions), and post-IPO trading behaviors. We find that information proxies explain the majority of the variation in IPO profits, while commissions and post-IPO trading behaviors explain relatively little. Commissions and post-IPO trading matter at the extensive, but not intensive, margins, while information matters at both. Different explanations matter for allocations and IPO profits to Investment Managers, Hedge Funds, and Banks, Pension Funds and Insurers. |
| Keywords: | IPOs, Allocations, Institutional Investors, Underwriters, Money Left on the Table |
| JEL: | G23 G24 G32 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:abo:neswpt:w0283&r= |
| By: | Yea, Sangjun (KOREA INSTITUTE FOR INTERNATIONAL ECONOMIC POLICY (KIEP)) |
| Abstract: | Throughout this study, I consider some possible changes that may occur when the WTO's AB is reformed based on the opinions stated by the US. Especially focusing on the issues of activist AB and its reviewing member countries' domestic law, I conclude that banning the AB's activist role may result in more opportunistic and inefficient policy choices on the part of member countries as to importing industries with less disputes cases. Regarding the latter issue, I argue that limiting the AB's standard of review does not much change strategic decisions of member countries. |
| Keywords: | WTO; Appellate Body; US |
| Date: | 2021–05–20 |
| URL: | http://d.repec.org/n?u=RePEc:ris:kiepwe:2021_027&r= |
| By: | Mrs. Marina V Rousset; Frederic Lambert; Jose Torres; Luis Herrera; Grey Ramos; Mr. Dmitry Gershenson |
| Abstract: | Despite some improvement since 2011, Latin America and the Caribbean continue to lag behind other regions in terms of financial inclusion. There is no clear evidence that fintech developments have supported greater financial inclusion in LAC, contrary to what has been observed elsewhere in the world. Case studies by national policy experts suggest that barriers to entry in the financial sector, along with a constraining regulatory environment, may have hindered a faster adoption of fintech. However, fintech development seems to have accelerated in the wake of the COVID-19 pandemic and with the support of recent policy initiatives. |
| Keywords: | fintech development; policy initiative; financial product; cash transfer program; ACH Colombia; electronic cash; per capita income; credit card payment; Financial inclusion; Fintech; Financial sector; Caribbean; Middle East and Central Asia; Central America; South America; Asia and Pacific |
| Date: | 2021–08–20 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2021/221&r= |
| By: | Giacomo Bonanno (Department of Economics, University of California Davis) |
| Abstract: | We argue in favor of a departure from the standard equilibrium approach in game theory in favor of the less ambitious goal of describing only the actual behavior of rational players. We investigate the notion of rationality in behavioral models of extensive-form games (allowing for imperfect information), where a state is described in terms of a play of the game instead of a strategy profile. The players' beliefs are specified only at reached decision histories and are modeled as pre-choice beliefs, allowing us to carry out the analysis without the need for (objective or subjective) counterfactuals. The analysis is close in spirit to the literature on self-confirming equilibrium, but it does not rely on the notion of strategy. We also provide a characterization of rational play that is compatible with pure-strategy Nash equilibrium. |
| Keywords: | Rationality, extensive-form game, self-confirming equilibrium, Nash equilibrium, behavioral model |
| JEL: | C7 |
| Date: | 2021–11–17 |
| URL: | http://d.repec.org/n?u=RePEc:cda:wpaper:344&r= |
| By: | Courtney Coile |
| Abstract: | As Americans work longer in response to a changing retirement landscape, it is important to ask whether there are groups being left out of this trend. Geography is a natural lens through which to examine this question, given regional disparities in the employment of prime-age individuals. In this study, we explore the geography of retirement using data from the U.S. Census/American Community Survey and other sources. We find large differences across U.S. commuting zones in employment rates at older ages, with a gap of about 20 percentage points between areas at the 90th and 10th percentiles of employment. Low-employment areas are systematically different, with a less educated and more diverse population, more low-wage jobs and import competition from China, poorer health outcomes and health care access, lower government spending, and more income inequality. Although these correlations are not necessarily causal, these factors collectively can explain about four-fifths of the geographic variation in employment at older ages. |
| JEL: | J22 J26 R23 |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29433&r= |
| By: | Valentin Zelenyuk (School of Economics, University of Queensland, Brisbane, Qld 4072, Australia) |
| Abstract: | The goal of this monograph is to very concisely outline the economic theory foundations and trends of the field of Efficiency and Productivity Analysis, also sometimes referred to as Performance Analysis. We start with the profit maximization paradigm of mainstream economics, use it to derive a general profit efficiency measure and then present its special cases: revenue maximization and revenue efficiency, cost minimization and cost efficiency. We then consider various types of technical and allocative efficiencies (directional and Shephard’s distance functions and related Debreu-Farrell measures as well as non-directional measures of technical efficiency), showing how they fit or decompose the profit maximization paradigm. We then cast the efficiency and productivity concepts in a dynamic perspective that is frequently used to analyze the productivity changes of economic systems (firms, hospitals, banks, countries, etc.) over time. We conclude this monograph with an overview of major results on aggregation in productivity and efficiency analysis, where the aggregate productivity and efficiency measures are theoretically connected to their individual analogues. |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:qld:uqcepa:170&r= |
| By: | John Micklewright (University College London); Andrea Brandolini (Banca d'Italia) |
| Abstract: | We discuss the instrumental and intrinsic reasons for concern about poverty, its definition – absolute/relative, unidimensional/multidimensional – and the visual communication of what poverty really means. |
| Keywords: | Great poverty, income, consumption, multidimensional poverty, communication. |
| JEL: | C80 I32 |
| Date: | 2021–11–01 |
| URL: | http://d.repec.org/n?u=RePEc:qss:dqsswp:2132&r= |
| By: | Bao Hoang Nguyen (School of Economics, University of Queensland, Brisbane, Qld 4072, Australia); Robin C. Sickles (Economics Department, Rice University, Houston, TX 77251-1892, USA); Valentin Zelenyuk (School of Economics and Centre for Efficiency and Productivity Analysis, University of Queensland, Brisbane, Qld 4072, Australia) |
| Abstract: | Our chapter provides a brief introduction to the stochastic frontier paradigm - one of the most powerful techniques for performance analysis developed over the last few decades to address various research questions for many contexts with empirical applications in a wide variety of economic sectors such as banking, healthcare, agriculture, and so on. We also document the estimation routines used to implement the classical models as well as the recent developments in this research area for practitioners, especially those who are willing to use Stata, but also with tips on sources for R and Matlab users. |
| Keywords: | Technical efficiency, Stochastic frontier analysis, Panel data, Semi-parametric, Stata, Matlab, R. |
| URL: | http://d.repec.org/n?u=RePEc:aso:wpaper:wp0001&r= |
| By: | Lonsky, Jakub; Ruiz, Isabel; Vargas-Silva, Carlos |
| Abstract: | The role of ethnic immigrant networks in facilitating international trade is a well-established phenomenon in the literature. However, it is less clear whether this relationship extends to illegal trade and unauthorized immigrants. In this paper, we tackle this question by focusing on the case of the heroin trade and unauthorized Chinese immigrants in the early 1990s United States. Between mid-1980s and mid-1990s, Southeast Asia became the dominant source of heroin in the US. Heroin from this region was trafficked into the US by Chinese organized criminals, whose presence across the country can be approximated by the location of unauthorized Chinese immigrants. Instrumenting for the unauthorized Chinese immigrant enclaves in 1990 with their 1900 counterpart, we first show that Chinese presence in a community led to a sizeable increase in local opiates-related arrests, a proxy for local heroin markets. This effect is driven by arrests for sale/manufacturing of the drugs. Next, we examine the consequences of Chinese-trafficked heroin by looking at its impact on US Vietnam-era veterans - a group particularly vulnerable to heroin addiction in the early 1990s. Using a triple-difference estimation, we find mostly small but statistically significant detrimental effects on labor market outcomes of Vietnam veterans residing in unauthorized Chinese enclaves in 1990. |
| Keywords: | Trade networks,heroin markets,Vietnam veterans,labor market outcomes |
| JEL: | F16 F22 J15 K42 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:glodps:974&r= |
| By: | Andrea Coletta; Matteo Prata; Michele Conti; Emanuele Mercanti; Novella Bartolini; Aymeric Moulin; Svitlana Vyetrenko; Tucker Balch |
| Abstract: | Simulated environments are increasingly used by trading firms and investment banks to evaluate trading strategies before approaching real markets. Backtesting, a widely used approach, consists of simulating experimental strategies while replaying historical market scenarios. Unfortunately, this approach does not capture the market response to the experimental agents' actions. In contrast, multi-agent simulation presents a natural bottom-up approach to emulating agent interaction in financial markets. It allows to set up pools of traders with diverse strategies to mimic the financial market trader population, and test the performance of new experimental strategies. Since individual agent-level historical data is typically proprietary and not available for public use, it is difficult to calibrate multiple market agents to obtain the realism required for testing trading strategies. To addresses this challenge we propose a synthetic market generator based on Conditional Generative Adversarial Networks (CGANs) trained on real aggregate-level historical data. A CGAN-based "world" agent can generate meaningful orders in response to an experimental agent. We integrate our synthetic market generator into ABIDES, an open source simulator of financial markets. By means of extensive simulations we show that our proposal outperforms previous work in terms of stylized facts reflecting market responsiveness and realism. |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2110.13287&r= |
| By: | Allan Dizioli; Aneta Radzikowski; Daniel Rivera Greenwood |
| Abstract: | This paper introduces a simple, frequently and easily updated, close to the data epidemiological model that has been used for near-term forecast and policy analysis. We provide several practical examples of how the model has been used. We explain the epidemic development in the UK, the USA and Brazil through the model lens. Moreover, we show how our model would have predicted that a super infectious variant, such as the delta, would spread and argue that current vaccination levels in many countries are not enough to curb other waves of infections in the future. Finally, we briefly discuss the importance of how to model re-infections in epidemiological models. |
| Keywords: | COVID-19, epidemiology modelling, vaccines impact, virus variants and testing; vaccine hesitancy; vaccination data; Google mobility; virus variant; vaccination assumption; COVID-19; Emerging and frontier financial markets; Aging; Global |
| Date: | 2021–08–27 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2021/226&r= |
| By: | Daniel Gros |
| Abstract: | Key messages: High debt ratios represent a danger, even if interest rates are low. The key reason is increased uncertainty of growth prospects in a post-Covid economy coupled with and uncertainty with regard to the probability of future large shocks. Large negative shocks are more frequent than assumed in standard models. Another reason is that the cost of public debt might increase more than linearly as the debt ratio rises. Large negative shocks create much more problems when debt is already high. |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:econpb:_38&r= |
| By: | Maria, Gracia; Ibañez, Marcela; Wollni, Meike; Vorlaufer, Miriam |
| Keywords: | Agricultural and Food Policy, Environmental Economics and Policy |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:ags:iaae21:315925&r= |
| By: | Asongu, Simplice; Odhiambo, Nicholas |
| Abstract: | The purpose of this study is to assess the nexus between governance and renewable energy consumption in sub-Saharan Africa. The focus is on 44 countries in Sub-Saharan Africa with data from 1996 to 2016. The empirical evidence is based on Tobit regressions. It is apparent from the findings that political and institutional governance are negatively related to the consumption of renewable energy in the sampled countries. The unexpected findings are clarified and policy implications are discussed in the light of sustainable development goals. This study extends the extant literature by assessing how political governance (consisting of political stability and “voice & accountability”) and institutional governance (entailing the rule of law and corruption-control) affect the consumption of renewable energy in sub-Saharan Africa. |
| Keywords: | Renewable energy; Governance; Sub-Saharan Africa; Sustainable development |
| JEL: | H10 O11 O55 Q20 Q30 |
| Date: | 2021–01 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:110600&r= |
| By: | Yasushi Iwamoto (Faculty of Economics, The University of Tokyo) |
| Abstract: | This paper points out the importance of two perspectives on preventive measures against COVID-19 as contributions of economics: (1) clarifying the trade-off between health and economy and implementing cost-effective measures, and (2) understanding people's behavior. Policy makers will choose among the trade-offs, which are drawn by economists. If a measure is not on the efficient frontier, economics can suggest an improvement. Restraints on individual behavior and on business operations led to the trade-off between health and freedom. In order to succeed in restricting activities based on requests without legal enforcement, we need to consider two questions: why do people comply with requests for restraints (it is not selfish behavior), and why did people no longer comply with the requests (why was the effect of emergency declarations weakened)? Then, the economic perspective that "if the altruistic behavior becomes expensive, altruistic behavior will not be taken" becomes important. Actual countermeasures against COVID-19 may create problems because of the lack of understanding of people's behavior behind these two questions. They raised the cost of cooperating with the countermeasures, and some people became reluctant to do so. By introducing penalties in the amendment of the law, the government gave the selfish incentive and tried to secure the cooperation that was once lost, but this may crowd out people's altruistic behavior and undermine the social order. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:tky:jseres:2021cj302&r= |
| By: | Beghin, John C.; Nogueira, Lia |
| Abstract: | This briefing note reviews the recent surge in world and US fertilizer prices and its causes, from Worldwide supply disruptions, strong demand, various policies exacerbating the surge and changing trade patterns, and transportation and logistics issues. |
| Keywords: | International Relations/Trade |
| Date: | 2021–11–12 |
| URL: | http://d.repec.org/n?u=RePEc:ags:nbaesp:316020&r= |
| By: | Nestoras Chalkidis; Rahul Savani |
| Abstract: | A binary classifier that tries to predict if the price of an asset will increase or decrease naturally gives rise to a trading strategy that follows the prediction and thus always has a position in the market. Selective classification extends a binary or many-class classifier to allow it to abstain from making a prediction for certain inputs, thereby allowing a trade-off between the accuracy of the resulting selective classifier against coverage of the input feature space. Selective classifiers give rise to trading strategies that do not take a trading position when the classifier abstains. We investigate the application of binary and ternary selective classification to trading strategy design. For ternary classification, in addition to classes for the price going up or down, we include a third class that corresponds to relatively small price moves in either direction, and gives the classifier another way to avoid making a directional prediction. We use a walk-forward train-validate-test approach to evaluate and compare binary and ternary, selective and non-selective classifiers across several different feature sets based on four classification approaches: logistic regression, random forests, feed-forward, and recurrent neural networks. We then turn these classifiers into trading strategies for which we perform backtests on commodity futures markets. Our empirical results demonstrate the potential of selective classification for trading. |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2110.14914&r= |