|
on Central and Western Asia |
| By: | David William Witts (Business School, Durham University, UK); Emili Tortosa-Ausina (IVIE, Valencia and IIDL and Department of Economics, Universitat Jaume I, Castellón, Spain); Iván Arribas (IVIE, ERI-CES and Department of Economic Analysis, Universitat de València, Spain) |
| Abstract: | The rise of the Internet, social media and the unfettered access to financial markets has fostered a new era of retail investing. Investing is no longer the activity of the professional, but is available to all, and being exploited to the greatest extent by users of Wall Street Bets. This research considered the implications of retail investors within the Wall Street Bets community on financial markets. Utilising VAR, ARDL and VECM models, we find that Wall Street Bets sentiment provides some incremental investment information, illustrating short-term predictive power over returns of specific assets, and may be beneficial in forecasting short-term volatility and trading volume. |
| Keywords: | ARDL models, Reddit, Sentiment Analysis, VADER, Wall Street Bets |
| JEL: | G1 G40 G41 C58 D53 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:jau:wpaper:2021/13&r= |
| By: | Ceyhun Gürkan (Ankara Üniversitesi) |
| Date: | 2021–11–20 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-03414839&r= |
| By: | Peter Andre (University of Bonn); Ingar Haaland (University of Bergen and CESifo); Christopher Roth (University of Cologne); Johannes Wohlfart (Department of Economics and CEBI, University of Copenhagen) |
| Abstract: | We survey retail investors at an online bank to study beliefs about the autocorrelation of aggregate stock returns, and how these beliefs shape investment decisions measured in administrative account data. Individuals' beliefs exhibit substantial heterogeneity and predict trading responses to market movements. We inform a random half of our respondents that historically the autocorrelation of aggregate returns was close to zero, which persistently changes their beliefs. Among those initially believing in mean reversion, treated respondents buy significantly less equity during the COVID-19 crash four months later. Our results highlight how heterogeneity in subjective models causally drives trade in asset markets. |
| Keywords: | Narratives, Inflation, Beliefs, Macroeconomics, Fiscal Policy, Monetary Policy |
| JEL: | D83 D84 E31 E52 E71 |
| Date: | 2021–11–25 |
| URL: | http://d.repec.org/n?u=RePEc:kud:kucebi:2118&r= |
| By: | Kraemer-Eis, Helmut; Botsari, Antonia; Gvetadze, Salome; Lang, Frank; Torfs, Wouter |
| Abstract: | This working paper provides you with an overview of the main markets relevant to the EIF. It starts by discussing the general market environment, then looks at the markets for SME equity and debt products. In addition, it focusses on a number of thematic policy areas of interest to the EIF, such as Inclusive Finance, Fintech and Green finance & investment. |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:eifwps:202175&r= |
| By: | Cécile Edlinger (BETA - Bureau d'Économie Théorique et Appliquée - UNISTRA - Université de Strasbourg - UL - Université de Lorraine - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement); Maxime Merli (UNISTRA - Université de Strasbourg); Antoine Parent (OFCE - Observatoire français des conjonctures économiques - Sciences Po - Sciences Po) |
| Abstract: | In this article, we propose an original analysis of advice given by financial analysts prior to WW1. Our article focuses on the writings of A. Neymarck, one of the most popular French analysts in the early 20th Century. The creation of portfolios from a new database composed of the monthly returns of all the security types listed on the official Paris Stock Exchange from 1903 to 1912 has provided results demonstrating that Neymarck correctly identified the risk in a number of sectors. The performances of these portfolios, which were built according to Neymarck's guidelines, confirm Neymarck's ranking in terms of both risk and return: the richer the investor, the riskier and the more profitable his portfolio was seen to be. Finally, the Modern Portfolio Theory enables us to pinpoint the few imperfections in Neymarck's advice, which globally appears to be driven by reliable financial analysis. |
| Keywords: | Portfolio advice,Diversification before WW1,Financial markets prior WW1 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-03403339&r= |
| By: | Marco Cipriani; Antonio Guarino; Andreas Uthemann |
| Abstract: | We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on financial market outcomes. In our sequential trading model, there are price-elastic noise and informed traders. We estimate the model through maximum likelihood for a sample of sixty New York Stock Exchange (NYSE) stocks in 2017. We quantify the effect of introducing an FTT given the parameter estimates. An FTT increases the proportion of informed trading, improves information aggregation, but lowers trading volume and welfare. For some less-liquid stocks, however, an FTT blocks private information aggregation. |
| Keywords: | financial transaction tax; market microstructure; structural estimation |
| JEL: | G14 D82 C13 |
| Date: | 2021–12–01 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednsr:93431&r= |
| By: | Ron van der Meyden |
| Abstract: | Convertible instruments are contracts, used in venture financing, which give investors the right to receive shares in the venture in certain circumstances. In liquidity events, investors may have the option to either receive back their principal investment, or to receive a proportional payment after conversion of the contract to a shareholding. In each case, the value of the payment may depend on the choices made by other investors who hold such convertible contracts. A liquidity event therefore sets up a game theoretic optimization problem. The paper defines a general model for such games, which is shown to cover all instances of the Y Combinator Simple Agreement for Future Equity (SAFE) contracts, a type of convertible instrument that is commonly used to finance startup ventures. The paper shows that, in general, pure strategy Nash equilibria do not necessarily exist in this model, and there may not exist an optimum pure strategy Nash equilibrium in cases where pure strategy Nash equilibria do exist. However, it is shown when all contracts are uniformly one of the SAFE contract types, an optimum pure strategy Nash equilibrium exists. Polynomial time algorithms for computing (optimum) pure strategy Nash equilibria in these cases are developed. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2111.12237&r= |
| By: | Andrew Hawley; Ke Wang |
| Abstract: | The COVID-19 pandemic has materially affected U.S. consumer behavior and business operations in many important aspects. This note focuses on the changes in banks’ balance sheets and demonstrates how we could apply a novel measure of portfolio similarity to balance sheet data and assess the drivers of similarity change along the path of the pandemic. |
| Date: | 2021–11–26 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgfn:2021-11-26-1&r= |
| By: | Francesco Cesarone; Manuel L Martino; Fabio Tardella |
| Abstract: | Value-at-Risk is one of the most popular risk management tools in the financial industry. Over the past 20 years several attempts to include VaR in the portfolio selection process have been proposed. However, using VaR as a risk measure in portfolio optimization models leads to problems that are computationally hard to solve. In view of this, few practical applications of VaR in portfolio selection have appeared in the literature up to now. In this paper, we propose to add the VaR criterion to the classical Mean-Variance approach in order to better address the typical regulatory constraints of the financial industry. We thus obtain a portfolio selection model characterized by three criteria: expected return, variance, and VaR at a specified confidence level. The resulting optimization problem consists in minimizing variance with parametric constraints on the levels of expected return and VaR. This model can be formulated as a Mixed-Integer Quadratic Programming (MIQP) problem. An extensive empirical analysis on seven real-world datasets demonstrates the practical applicability of the proposed approach. Furthermore, the out-of-sample performance of the optimal Mean-Variance-VaR portfolios seems to be generally better than that of the optimal Mean-Variance and Mean-VaR portfolios. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2111.09773&r= |
| By: | Hervé Le Bihan (Banco de España and Banque de France); Magali Marx (Banque de France); Julien Matheron (Banque de France) |
| Abstract: | A number of central banks in advanced countries use ranges, or bands, around their inflation target to formulate their monetary policy strategy. The adoption of such ranges has been proposed by some policymakers in the context of the Fed and the ECB reviews of their strategies. Using a standard New Keynesian macroeconomic model, we analyze the consequences of tolerance range policies, characterized by a stronger reaction of the central bank to inflation when inflation lies outside the range, than when it is close to the target, i.e., the central value of the band. We show that (i) a tolerance band should not be a zone of inaction: the lack of reaction within the band endangers macroeconomic stability and leads to the possibility of multiple equilibria; (ii) the trade-off between the reaction needed outside the range versus inside appears unfavorable: a very strong reaction, when inflation is far from the target, is required to compensate for a moderately lower reaction within tolerance band; (iii) these results, obtained within the framework of a stylized model, are robust to many alterations, in particular allowing for the zero lower bound. |
| Keywords: | monetary policy, inflation ranges, inflation bands, zero lower bound (ZLB), endogenous regime switching |
| JEL: | E31 E52 E58 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:bde:wpaper:2142&r= |
| By: | Francesco Menoncin; Paolo Panteghini; Luca Regis |
| Abstract: | We model a risk-averse firm owner who wants to maximize the intertemporal expected utility of firm’s dividends. The optimal dynamic control problem is characterized by two stochastic state variables: the equity value, and profitability (ROA) of the _rm. According to the empirical evi-dence, we let profitability follow a mean reverting process. The problem is solved in a quasi-explicit form by computing both the optimal dividend and the optimal debt. Finally, we calibrate the model to actual US data and check both the properties of the solution and its sensitivity to the model parameters. In particular, our results show that the optimal dividend is smooth over time and that leverage is predominantly constant over time. Neither asymmetric information nor frictions are necessary to obtain these findings. |
| Keywords: | dividend policy, capital structure, profit mean-reversion, closed-form, stochastic optimization |
| JEL: | H25 G32 G35 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_9407&r= |
| By: | Németh, Petra; Szabó-Bakos, Eszter |
| Abstract: | There is increasing attention to the sustainability and fairness of the pay-as-you-go pension system as a consequence of the aging society and the imbalance between the old and the young generation’s number. In this system, the pension depends only on the previous contribution, which indirectly punishes childbearing. The purpose of this article is to compare the effect of the present Hungarian regulation to a possible child-related compensational pension scheme, where the amount of pension takes into account the childbearing time. The evaluation of the pension systems is based on the lifespan utility of representative agents (with or without children) and the economic effects of the possible pension reform. We built up a dynamic general equilibrium model in an overlapping generations framework (calibrated on the basis of Hungarian data) to investigate the effects of our pension reform proposal. As a result we receive that such a pension system could increases the utility of the consumer who has children by 0.2149% percent, but decrease the steady state utility of childless consumer by 0,0130% percent. The amount of children and the time spent with children increase slightly, but these positive elements that could have raised the output does not compensate the negative effect of the decreasing work-related efforts, so the output falls. |
| Keywords: | Computable General Equilibrium Models, OLG model, Public Pension, Retirement Policies |
| JEL: | C68 H55 J26 D15 |
| Date: | 2021–12–04 |
| URL: | http://d.repec.org/n?u=RePEc:cvh:coecwp:2021/07&r= |
| By: | Ricardo Crespo (Universidad Austral) |
| Date: | 2021–11–20 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-03415956&r= |
| By: | Gorodnichenko, Yuriy (University of California, Berkeley); Sergeyev, Dmitriy (Bocconi University) |
| Abstract: | We document a new fact: in U.S., European and Japanese surveys, households do not expect deflation, even in environments where persistent deflation is a strong possibil- ity. This fact stands in contrast to the standard macroeconomic models with rational expectations. We extend a standard New Keynesian model with a zero-lower bound on inflation expectations. Unconventional monetary policies, such as forward guid- ance, are weaker. In liquidity traps, the government spending output multiplier is finite, and adverse aggregate supply shocks are not expansionary. The possibility of confidence-driven liquidity traps is attenuated. |
| Keywords: | inflation expectations, non-rational beliefs, survey data |
| JEL: | E5 E7 G4 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp14853&r= |
| By: | Mario Holzner (The Vienna Institute for International Economic Studies, wiiw); Branimir Jovanović (The Vienna Institute for International Economic Studies, wiiw); Goran Vukšić |
| Abstract: | This paper investigates how corporate income taxes affect international trade, and identifies the underlying channel. Using data on 33 NACE sectors, for 34 EU and OECD economies, over the period 2005-2014, we find that corporate income taxes reduce exports and imports only when the stock of foreign direct investment (FDI) is high. The effect is present primarily in the service sector and in countries with low corporate taxes. We interpret these findings as evidence that multinational enterprises reduce their operations in countries that raise their corporate taxes. The effect has been found to be small on aggregate, implying that the expected increase in corporate taxes in the future, arising from the global minimum tax, is unlikely to hurt international trade. |
| Keywords: | taxation, profits, international trade, exports, imports, FDI |
| JEL: | F14 F23 H25 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:wii:wpaper:212&r= |
| By: | Ilyas El Ghordaf (Université Mohamed 1 Oujda MAROC); Abdelbari El Khamlichi (UCD - Université Chouaib Doukkali, IAE - UCA - Institut d'Administration des Entreprises - Clermont-Auvergne - UCA - Université Clermont Auvergne) |
| Abstract: | There is an important literature focused on profit warnings and its impact on stock returns. We provide evidence from Moroccan stock market which aims to become an African financial hub. Despite this practical improvement, academic researches that focused on this market are scarce and our study is a first investigation in this context. Using the event study methodology and a sample of companies listed in Casablanca Stock Exchange for the period of 2009 to 2016, we examined whether the effect of qualitative warning is more negative compared to quantitative warnings in a short event window. Our empirical findings show that the average abnormal return on the date of announcement is negative and statistically significant. The magnitude of this negative abnormal return is greater for qualitative warnings than quantitative ones. |
| Keywords: | Profit warnings,event study,returns,disclosure,Morocco,stock exchange JEL Classifications: G14 |
| Date: | 2021–05–19 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-03420284&r= |
| By: | Heiner Mikosch (KOF and ETH Zurich); Christopher Roth (University of Cologne, ECONtribute, briq, CESifo, CEPR, CAGE Warwick, C-SEB); Samad Sarferaz (KOF and ETH Zurich); Johannes Wohlfart (Department of Economics and CEBI, University of Copenhagen, CESifo, Danish Finance Institute) |
| Abstract: | We leverage the small open economy Switzerland as a testing ground for basic premises of macroeconomic models of endogenous information acquisition, using tailored surveys of firms and households. First, we show that firms perceive a greater exposure to exchange rate movements than households, which is reflected in higher levels of information acquisition and less dispersed beliefs about past and future exchange rate realizations. Similarly, within the two samples, acquisition of exchange rate information strongly increases in various proxies for stake size. Second, households who perceive higher costs of acquiring or processing information acquire less infor-mation. Finally, an exogenous increase in the perceived uncertainty of the exchange rate increases firms’ demand for a report about exchange rate developments, but not households’. Our findings inform the modeling of information frictions in macroeconomics. |
| Keywords: | Information acquisition, Uncertainty, Stake Size, Firms, Households |
| JEL: | D12 D14 D83 D84 E32 G11 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:ajk:ajkdps:129&r= |
| By: | Vaiva Vasiliauskaite; Fabrizio Lillo; Nino Antulov-Fantulin |
| Abstract: | We study the information dynamics between the largest Bitcoin exchange markets during the bubble in 2017-2018. By analysing high-frequency market-microstructure observables with different information theoretic measures for dynamical systems, we find temporal changes in information sharing across markets. In particular, we study the time-varying components of predictability, memory, and synchronous coupling, measured by transfer entropy, active information storage, and multi-information. By comparing these empirical findings with several models we argue that some results could relate to intra-market and inter-market regime shifts, and changes in direction of information flow between different market observables. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2111.09057&r= |
| By: | Minseog Oh; Donggyu Kim |
| Abstract: | In this paper, we investigate the effect of the U.S.--China trade war on stock markets from a financial contagion perspective, based on high-frequency financial data. Specifically, to account for risk contagion between the U.S. and China stock markets, we develop a novel jump-diffusion process. For example, we consider three channels for volatility contagion--such as integrated volatility, positive jump variation, and negative jump variation--and each stock market is able to affect the other stock market as an overnight risk factor. We develop a quasi-maximum likelihood estimator for model parameters and establish its asymptotic properties. Furthermore, to identify contagion channels and test the existence of a structural break, we propose hypothesis test procedures. From the empirical study, we find evidence of financial contagion from the U.S. to China and evidence that the risk contagion channel has changed from integrated volatility to negative jump variation. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2111.09655&r= |
| By: | Tanzi, Vito (Fiscal Affairs, International Monetary Fund) |
| Abstract: | In democratic countries with market economies, there is the presumption that elections determine policies, including tax policies, to deal with expected, collective needs and with national public goods. However, the importance of global public goods and of global public "bads" has increased in a globalized world. Policies have continued to be made by national governments. This creates problems in dealing with pandemics, global warming and other global problems, that may come at times unexpectedly. This new reality has not led to changes in either the institutional setting of policies or the preparation for "uncertain events". National policies continue to be focused on normal developments. They tend to ignore the possible coming of" uncertain events", events the probability of which cannot be estimated statistically. Dealing with uncertain, unpredictable events is of course difficult. However, these events do occasionally materialize as history shows. This points to the need to reorient both economic theory and economic institutions more towards these uncertain, and often global, events. There is a need for developing a federalism literature at the global level. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:npf:wpaper:21/360&r= |
| By: | Nikitas Stamatopoulos; Guglielmo Mazzola; Stefan Woerner; William J. Zeng |
| Abstract: | We introduce a quantum algorithm to compute the market risk of financial derivatives. Previous work has shown that quantum amplitude estimation can accelerate derivative pricing quadratically in the target error and we extend this to a quadratic error scaling advantage in market risk computation. We show that employing quantum gradient estimation algorithms can deliver a further quadratic advantage in the number of the associated market sensitivities, usually called greeks. By numerically simulating the quantum gradient estimation algorithms on financial derivatives of practical interest, we demonstrate that not only can we successfully estimate the greeks in the examples studied, but that the resource requirements can be significantly lower in practice than what is expected by theoretical complexity bounds. This additional advantage in the computation of financial market risk lowers the estimated logical clock rate required for financial quantum advantage from Chakrabarti et al. [Quantum 5, 463 (2021)] by a factor of 50, from 50MHz to 1MHz, even for a modest number of greeks by industry standards (four). Moreover, we show that if we have access to enough resources, the quantum algorithm can be parallelized across 30 QPUs for the same overall runtime as the serial execution if the logical clock rate of each device is ~30kHz, same order of magnitude as the best current estimates of feasible target clock rates of around 10kHz. Throughout this work, we summarize and compare several different combinations of quantum and classical approaches that could be used for computing the market risk of financial derivatives. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2111.12509&r= |
| By: | Li, Wenhui; Ockenfels, Peter; Wilde, Christian |
| Abstract: | This paper sets up an experimental asset market in the laboratory to investigate the effects of ambiguity on price formation and trading behavior in financial markets. The obtained trading data is used to analyze the effect of ambiguity on various market outcomes (the price level, volatility, trading activity, market liquidity, and the degree of speculative trading) and to test the quality of popular empirical market-based measures for the degree of ambiguity. We find that ambiguity decreases market prices and trading activity; ambiguity leads to lower market liquidity through wider bid-ask spreads; and ambiguity leads to less speculative trading. We also find that popular market-based measures of ambiguity used in the empirical literature do not seem to correctly capture the true degree of ambiguity. |
| Keywords: | ambiguity,financial market,market price,volatility,trading activity,bidask spread,market-based measure of ambiguity,laboratory experiment |
| JEL: | D81 G10 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:safewp:326&r= |
| By: | Davoli, Maddalena (Goethe University Frankfurt); Rodríguez-Planas, Núria (Queens College, CUNY) |
| Abstract: | Using data from 74 countries, we uncover important differences in the association between financial literacy and preferences by the level of economic development. We find that patience is only salient in wealthier countries, i.e. countries with their GDP per capita above the sample median. In such cases, countries with higher level of patience display higher levels of financial literacy. Importantly, this association is not driven by a multitude of institutional or cultural factors known to be related to financial literacy. In impoverished countries, we document a higher level of financial literacy in countries with higher levels of risk-taking but with lower levels of trust, positive reciprocity, and altruism. Countries' legal origin drives most of the association with risk-taking and about two fifths of the relationship with trust and positive reciprocity. At the same time, the country's religious composition drives the association between altruism and financial knowledge. Our findings underscore that financial education programs need to be tailored to the cultural aspect of group preferences and suggest what type of traits policies and programs ought to be reinforced in poorer countries. |
| Keywords: | financial literacy, preferences, and economic development |
| JEL: | D14 E2 I22 |
| Date: | 2021–09 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp14759&r= |
| By: | Vats, Nishant; Kundu, Shohini |
| Abstract: | This paper explores the transmission of non-capital shocks through banking networks. We develop a methodology to construct non-capital (idiosyncratic) shocks, using labor productivity shocks to large firms. We document a change in the relationship between foreign idiosyncratic shocks and domestic economic growth between 1978 and 2000. Contemporaneous changes in banking integration drive this phenomenon as geographically diversified banks divert funds away from economies experiencing negative shocks towards other unaffected economies. Our GIV estimates suggest that a 1% increase in bank loan supply is associated with a 0.05-0.26 pp increase in economic growth. Lastly, this can potentially explain the Great Moderation. JEL Classification: E32, E44, F36, G21, G28, O47, R11, R12 |
| Keywords: | credit, cross-border spillovers, deregulation, financial intermediation, growth, idiosyncratic shocks, the Great Moderation |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:srk:srkwps:2021128&r= |
| By: | Mr. Simon Johnson; Ms. Priscilla S Muthoora |
| Abstract: | In this paper, we review the role of the political economy in inclusive growth. We find that political economy forces on the demand and supply side have weakened redistribution over time and contributed to a new wave of populism. We document growing support for a rethink of the social contract to make growth more inclusive and discuss some of its broad elements. |
| Keywords: | Political Economy; Inequality; Redistribution; Growth; Labor program; income skew; skew of voter turnout; opposition to Redistribution; public social; Income inequality; Income; Inclusive growth; Fiscal redistribution; Global; Europe; Social protection spending; COVID-19; government policy; populist government; government commitment; inhibiting government responsiveness; government legitimacy |
| Date: | 2021–03–19 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2021/082&r= |
| By: | Jiangwei Liu; Xiaohong Huang |
| Abstract: | Research on crude oil price forecasting has attracted tremendous attention from scholars and policymakers due to its significant effect on the global economy. Besides supply and demand, crude oil prices are largely influenced by various factors, such as economic development, financial markets, conflicts, wars, and political events. Most previous research treats crude oil price forecasting as a time series or econometric variable prediction problem. Although recently there have been researches considering the effects of real-time news events, most of these works mainly use raw news headlines or topic models to extract text features without profoundly exploring the event information. In this study, a novel crude oil price forecasting framework, AGESL, is proposed to deal with this problem. In our approach, an open domain event extraction algorithm is utilized to extract underlying related events, and a text sentiment analysis algorithm is used to extract sentiment from massive news. Then a deep neural network integrating the news event features, sentimental features, and historical price features is built to predict future crude oil prices. Empirical experiments are performed on West Texas Intermediate (WTI) crude oil price data, and the results show that our approach obtains superior performance compared with several benchmark methods. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2111.09111&r= |
| By: | Haruka Takayama (Economics Faculty, University at Albany, SUNY, U.S.A., Junior Research Fellow, Research Institute for Economics and Business Administration, Kobe University, JAPAN) |
| Abstract: | When a multinational firm invests abroad, it can either establish a new facility (greenfield investment, GF) or purchase a local firm (cross-border merger and acquisition, M&A). Using a novel US firm-level dataset, I provide the first evidence that multinationals with higher levels of intangible capital systematically invest through GF rather than through M&A. Motivated by this empirical result, I develop and quantify a general equilibrium search model of a multinational firm's choice between M&A and GF. The model implies that equilibrium FDI patterns can be suboptimal from the host country's perspective. In particular, since the gap between the productivities of multinationals and local firms is larger in less developed countries, policymakers there can increase welfare by incentivizing FDI through M&A. By allowing highly productive multinationals to use local intangible capital, this policy increases aggregate productivity more than the laissez-faire outcome. |
| Keywords: | FDI; Cross-border M&A; Greenfield FDI; Intangible capital |
| JEL: | F14 F21 F23 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:kob:dpaper:dp2021-24&r= |
| By: | Gerhard Hambusch (Finance Discipline Group, University of Technology Sydney); David Michayluk (Finance Discipline Group, University of Technology Sydney); Kevin Terhaar; Gerhard Van de Venter (Finance Discipline Group, University of Technology Sydney) |
| Abstract: | This article examines ethical decision making related to insider trading. Using case study scenarios, we shed light on differences in evaluating the use of material nonpublic information when the expected outcomes of insider trading benefit clients versus the investment professional trading on inside information. Participants perceive insider trading that is expected to benefit clients to be a less egregious ethical violation even though it is as equally illegal as trading to benefit oneself directly. Although the judgment about insider trading should be independent of the benefit recipient, it is not. Given the increasing regulatory scrutiny of ethical behavior, this finding is important because professionals’ duties to (1) pursue clients’ best interest and (2) protect capital markets may represent conflicting obligations when evaluating whether to use material nonpublic information. In addition, our results show that individuals with a professional credential tend to view insider trading to be more unethical compared with others without a credential. |
| Keywords: | Legal/regulatory/public policy; security analysis and valuation; risk management |
| Date: | 2021–01–01 |
| URL: | http://d.repec.org/n?u=RePEc:uts:ppaper:2021-1&r= |
| By: | Jacques Minlend (Univ Rennes, CNRS, CREM - UMR 6211, F-35000 Rennes, France); Isabelle Cadoret (Univ Rennes, CNRS, CREM - UMR 6211, F-35000 Rennes, France); Tovonony Razafindrabe (Univ Rennes, CNRS, CREM - UMR 6211, F-35000 Rennes, France) |
| Abstract: | While there exist numerous studies on volatility transmission across commodity markets, particularly across oil and agricultural markets, uncertainty diffusion across commodity markets remains absent from the literature. This situation is mainly due to the lack of an appropriate measure of commodity price uncertainty, which is known to be different from volatility. This study focuses on the measure of commodity price uncertainty and how it is transferred from one commodity market to another. Our contribution is twofold: (i) we construct, for each group of commodity markets and different maturities, an aggregate predictability-based measure of uncertainty, and (ii) we analyze uncertainty diffusion across different commodity markets using a vector autoregressive model. Our findings show that: first, there is a bi-causal uncertainty transfer between agriculture, energy and industry markets, except for precious metals markets. Second, the industrial commodity market is also assumed to be the transmission channel of commodity uncertainty spread, given its close link with the global economic activity. Notably, we discuss the fact that industrial uncertainty can be used as a proxy for macroeconomic uncertainty. Finally, precious metals insensitivity to other markets’ shocks reinforces its nature of safe haven. |
| Keywords: | Commodity uncertainty, vector autoregressive model, macroeconomic uncertainty |
| JEL: | Q02 C32 E32 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:tut:cremwp:2021-02&r= |
| By: | Yongchen Zhao (Department of Economics, Towson University) |
| Abstract: | We propose a procedure that jointly estimates expectation, uncertainty, and disagreement using a flexible hierarchical ordered response model and individual-level qualitative data. Based on the Michigan survey of US consumers, our results reveal how their inflation expectations and the associated uncertainty are affected by various factors, including their perceptions of economic conditions, recollections of relevant news reports, and sociodemographic characteristics. An examination of the dynamics of inflation uncertainty and disagreement produces evidence in support of using the latter as a proxy of the former. However, our results also highlight important episodes (such as the start of the COVID pandemic) in which the two series diverge. |
| Keywords: | Joint estimation, Quantification, Household demographics, Subjective news shocks, Hierarchical ordered response model. |
| JEL: | C53 E31 D80 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:tow:wpaper:2021-03&r= |
| By: | Neely, Megan Tobias; Carmichael, Donna |
| Abstract: | A once-in-a-century pandemic has sparked an unprecedented health and economic crisis. Less examined is how predatory financial investors have shaped the crisis and profited from it. We examine how U.S. shadow banks, such as private equity, venture capital, and hedge fund firms, have affected hardship and inequality during the crisis. First, we identify how these investors helped to hollow out the health care industry and disenfranchise the low-wage service sector, putting frontline workers at risk. We then outline how, as the downturn unfolds, shadow banks are shifting their investments in ways that profit on the misfortunes of frontline workers, vulnerable populations, and distressed industries. After the pandemic subsides and governments withdraw stimulus support, employment will likely remain insecure, many renters will face evictions, and entire economic sectors will need to rebuild. Shadow banks are planning accordingly to profit from the fallout of the crisis. We argue that this case reveals how financial investors accumulate capital through private and speculative investments that exploit vulnerabilities in the economic system during a time of crisis. To conclude, we consider the prospects for change and inequality over time. |
| Keywords: | Covid-19; crisis; financial services; financialization; inequality; neoliberalism; shadow banking; coronavirus |
| JEL: | F3 G3 |
| Date: | 2021–11–01 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:lserod:112697&r= |
| By: | FitzRoy, Felix (University of St. Andrews); Jin, Jim (University of St. Andrews) |
| Abstract: | Few skilled workers in the UK have flexible working time – GPs are the exception – most can only choose between unemployment, or full-time work, which has changed little in recent years, while part time work is mainly unskilled. This market rigidity imposes major welfare losses, in contrast to flexibility of worktime for all in the Netherlands, which has the best work-life balance. Stagnating real wages and rising employer market power and inequality follow declining unionisation, but a standard four-day week, tax reform, basic income, and flexibility rights for all could reverse these trends and provide major welfare gains. |
| Keywords: | working hours, relative income, labour share, basic income |
| JEL: | D63 J22 H23 |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp14810&r= |
| By: | Kamila, Anshuman (Economic Division, Department of Economic Affairs, Ministry of Finance) |
| Abstract: | This paper examined fiscal dominance in the Indian context by measuring the impact of Centre's primary fiscal balance on real interest rates and real GDP growth rate in the VECM framework. It was observed that an improvement in fiscal balance had a positive impact on real interest rate prior to 2003, and in the subsequent periods it turned negative. With regard to the impact of primary fiscal balance on real growth rate, it was observed that the period of 1978-2003 remained a period of dominant fiscal presence and an improvement in fiscal balance i.e. a reduction in fiscal deficit had a positive growth effect. The period following 2003, there was no evidence of fiscal dominance in the Indian economy. |
| Keywords: | VECM ; Cholesky impulse response ; fiscal dominance ; FRBM |
| JEL: | E52 E62 H62 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:npf:wpaper:21/359&r= |
| By: | Mr. Damien Capelle |
| Abstract: | This paper develops a model where large financial intermediaries subject to systemic runs internalize the effect of their leverage on aggregate risk, returns and asset prices. Near the steady-state, they restrict leverage to avoid the risk of a run which gives rise to an accelerator effect. For large adverse shocks, the system enters a zone with high leverage and possibly runs. The length of time the system remains in this zone depends on the degree of concentration through a franchise value, price-drop and recapitalization channels. The speed of entry of new banks after a collapse has a stabilizing effect. |
| Keywords: | franchise value; recapitalization channel; net worth; price-drop channel; real asset; Asset prices; Competition; Shadow banking; Investment banking; Bank deposits; Global |
| Date: | 2021–04–23 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2021/102&r= |
| By: | Seth R. Gitter (Department of Economics, Towson University); Melissa Groves (Department of Economics, Towson University) |
| Abstract: | Student performance in economics has long suffered from racial, gender, and socioeconomic disparities at all levels, from introductory college courses to PhD graduate numbers. In March 2020, COVID-19 forced most universities to deliver all courses online. This shift online had the potential to increase grade disparities present along racial, gender, and socioeconomic lines in all college courses. Using data from Fall 2019 to Spring 2021 with 3,000 students enrolled in principles of microeconomics classes at a large non-flagship public university, we find evidence of grade disparities based on these key demographics. First, we show that disparities in microeconomics classes were similar to students’ grades in all other classes, suggesting that what we see in economics is just a reflection of problems across many disciplines. Second, we demonstrate that the disparities remain relatively unchanged, even in the second year of the pandemic when classes continued online. These results suggest that policy and programmatic changes aimed at addressing disparities would be more effective if aimed at the university as a whole rather than just economics courses. |
| Keywords: | Educational Access, Inequality, Teaching Methods for Economic Principles. |
| JEL: | A22 I21 I24 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:tow:wpaper:2021-02&r= |
| By: | Grytten, Ola Honningdal (Dept. of Economics, Norwegian School of Economics and Business Administration) |
| Abstract: | The present paper seeks to investigate the importance of financial instability during four banking crises, with focus on the small open economy of Norway. The crises elaborated on are the Post First world war crisis of the early 1920s, the mid 1920s Monetary crisis, the Great Depression of the 1930s and the Scandinavian banking crisis of 1987-1993. <p> The paper firstly offers a brief description of the financial instability hypothesis as applied by Minsky, Kindleberger, and in a new explicit dynamic financial crisis model. Financial instability creation basically happens in times of overheating, overspending and over lending, i.e., during significant booms, and have devastating effects after markets have turned into a state of crises. <p> Thereafter, the paper tests the validity of the financial instability hypothesis by using a quantitative structural time series model. The test reveals upheaval of financial and macroeconomic indicators prior to the crises, making the economy overheat and create asset bubbles due to huge growth in debt. These conditions caused the following banking crises. <p> Finally, the four crises are discussed qualitatively. The conclusion is that significant increase in money supply and debt caused overheating, asset bubbles and finally financial and banking crises which spread to the real economy. |
| Keywords: | Financial crises; banking crises; financial stability; macroeconomic; economic history; monetary expansion |
| JEL: | E44 E51 E52 F34 G15 N24 |
| Date: | 2021–11–11 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:nhheco:2021_018&r= |
| By: | Matic, Jovanka; Packham, Natalie; Härdle, Wolfgang |
| Abstract: | The cryptocurrency (CC) market is volatile, non-stationary and non-continuous. This poses unique challenges for pricing and hedging CC options. We study the hedge behaviour and effectiveness for a wide range of models. First, we calibrate market data to SVI-implied volatility surfaces, which in turn are used to price options. To cover a wide range of market dynamics, we generate price paths using two types of Monte Carlo simulations. In the first approach, price paths follow an SVCJ model (stochastic volatility with correlated jumps). The second approach simulates paths from a GARCH-filtered kernel density estimation. In these two markets, options are hedged with models from the class of affine jump diffusions and infinite activity Lévy processes. Including a wide range of market models allows to understand the trade-off in the hedge performance between complete, but overly parsimonious models, and more complex, but incomplete models. Dynamic Delta, Delta-Gamma, Delta-Vega and minimum variance hedge strategies are applied. The calibration results reveal a strong indication for stochastic volatility, low jump intensity and evidence of infinite activity. With the exception of short-dated options, a consistently good performance is achieved with Delta-Vega hedging in stochastic volatility models. Judging on the calibration and hedging results, the study provides evidence that stochastic volatility is the driving force in CC markets. |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:irtgdp:2021021&r= |
| By: | Aditya Aladangady; Etienne Gagnon; Benjamin K. Johannsen; William B. Peterman |
| Abstract: | We explore the long-run relationship between income risk, inequality, and the macroeconomy in an overlapping-generations model in which households face uncertain streams of labor income and returns on their savings. To manage those risks, households can apportion their savings to a bond, whose return is safe and identical across households, and a productive asset, whose return is uncertain and can differ persistently across households. We find that greater polarization in households' labor income and returns on their savings generally accentuates households' demand for risk-free assets and the compensation they require for bearing risk, leading to higher measured income and wealth inequality, a lower risk-free real interest rate, and higher risk premiums. These findings suggest that the factors behind the observed rise in inequality over the past few decades might have contributed to the observed fall in the risk-free real interest rate and widening gap between the risk-free real interest rate and the rate of return on capital. We also find that the magnitude of the decline in the risk-free real interest rate and offsetting rise in risk premiums depend importantly on the source of income polarization, with the effects being especially large when greater inequality is caused by increased dispersion in returns on risky assets. Thus, the macroeconomic implications not only depend on the amount of inequality, but also the source of this inequality. |
| Keywords: | Income and wealth inequality; Heterogeneous returns; Risk-free real interest rate; Risk premium |
| JEL: | D31 D33 E21 E25 J11 |
| Date: | 2021–11–18 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgfe:2021-73&r= |
| By: | Mr. Andrew J Swiston |
| Abstract: | Korea’s economy has leaped to high-income status thanks to several decades of sustained high growth. However, population aging and shifts in global demand provide headwinds for future growth and Korea now faces the effects of COVID-19 on economic activity. This paper asseses the expected drag on potential growth from these factors and discusses policies that could provide offsetting upward momentum by facilitating structural transformation. We find that potential output growth slowed to about 2½ percent before the COVID-19 pandemic and would have fallen to 2 percent by 2030, mainly due to demographic factors. Moreover, there is a possibility of scarring from the COVID-19 shock as adjustment frictions from structural rigidities interact with shifts in demand and supply patterns, lowering investment and labor force participation. At the same time, industry-level analysis suggests ample scope to raise productivity, especially in services where productivity gains have lagged. Addressing these rigidities could offset a large proportion of the expected downward pressure on potential output. |
| Keywords: | Korea; productivity; demographics; population aging; potential output; potential growth; multivariate filter; accelerator model; structural reform; COVID-19; growth decomposition; productivity gain; Korea's economy; capacity utilization result; industry categorization; productivity comparison; Labor force participation; Capacity utilization; Total factor productivity; Global |
| Date: | 2021–03–26 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2021/092&r= |
| By: | J. Michael Collins; Jeff Larrimore; Carly Urban |
| Abstract: | Banking the unbanked is a common policy goal, but should this include access to bank accounts for minors? This study estimates how teenagers' access to bank accounts affects their financial development. Using variation in state laws, we show policies that permit access to independently-owned accounts increase account ownership at age 16 through age 19, although by age 24 those young adults are banked at similar rates to teens who grew up in states that do not allow minors to own accounts independently. Teens who had access to independently-owned accounts use fewer high-cost alternative financial services (like payday loans) through age 20—but are then more likely to use AFS, particularly check-cashing services, from age 21 through 24. Using credit records, we show that access to non-custodial accounts has no effects on credit scores in the short-run, but lower credit scores and more loan delinquencies at ages 21 through 24. While these state laws promote financial inclusion for teenagers, the young people who take on accounts may experience negative consequences in the longer run. |
| Keywords: | Unbanked; Financial Inclusion; Bank Regulation; Financial Capability |
| JEL: | D14 D18 G18 G21 G28 |
| Date: | 2021–11–19 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgfe:2021-75&r= |
| By: | Adema, Joop (University of Munich); Nikolka, Till (German Youth Institute (DJI)); Poutvaara, Panu (University of Munich); Sunde, Uwe (University of Munich) |
| Abstract: | We exploit the unique design of a repeated survey experiment among students in four countries to explore the stability of risk preferences in the context of the COVID-19 pandemic. Relative to a baseline before the pandemic, we find that self-assessed willingness to take risks decreased while the willingness to take risks in an incentivized lottery task increased, for the same sample of respondents. These findings suggest domain specificity of preferences that is partly reflected in the different measures. |
| Keywords: | stability of risk preferences, measurement of risk aversion, COVID-19 |
| JEL: | D12 D91 G50 |
| Date: | 2021–09 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp14755&r= |
| By: | Jonathan Raimana Chan; Thomas Huckle; Antoine Jacquier; Aitor Muguruza |
| Abstract: | We develop a new analysis for portfolio optimisation with options, tackling the three fundamental issues with this problem: asymmetric options' distributions, high dimensionality and dependence structure. To do so, we propose a new dependency matrix, built upon conditional probabilities between options' payoffs, and show how it can be computed in closed form given a copula structure of the underlying asset prices. The empirical evidence we provide highlights that this approach is efficient, fast and easily scalable to large portfolios of (mixed) options. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2111.12658&r= |
| By: | Gianni La Cava (Reserve Bank of Australia) |
| Abstract: | Economists have long been interested in the effect of business sentiment on economic activity. Using text analysis, I construct a new company-level indicator of sentiment based on the net balance of positive and negative words in Australian company disclosures. I find that company-level investment is very sensitive to changes in this corporate sentiment indicator, even controlling for fundamentals, such as Tobin's Q and expected profits, as well as controlling for measures of company-level uncertainty. I explore the mechanisms that link investment to sentiment. The conditional relationship could be because sentiment proxies for private information held by managers about the future prospects of the company or because of animal spirits among managers relative to investors. I find that the effect of sentiment on investment is relatively persistent, which is consistent with the private information story, albeit less persistent than other news shocks, such as Tobin's Q. But the effect of sentiment on investment is not any stronger at 'opaque' companies in which managers are likely to be better informed than investors, which argues against the private information story. Corporate investment has been weak in Australia since the global financial crisis (GFC) and demand-side factors, such as lower sales growth, explain more than half of this persistent weakness. Low sentiment and heightened uncertainty weighed on investment during the GFC but have been less important factors since then. |
| Keywords: | investment; sentiment; text analysis; animal spirits; business cycle |
| JEL: | D22 D25 D84 D91 E22 E71 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:rba:rbardp:rdp2021-11&r= |
| By: | Graziella Bertocchi; Luca Bonacini; Marina Murat |
| Abstract: | We investigate the gender gap in Economics among bachelor’s and master’s graduates in Italy between 2010 and 2019. First we establish that being female exerts a negative impact on the choice to major in Economics: at the bachelor level, only 73 women graduate in Economics for every 100 men, with the mathematical content of high school curricula as the key driver of the effect and a persistence of the gap at the master level. Second, within a full menu of major choices, Economics displays the largest gap, followed by STEM and then Business Economics. Third, decomposition analyses expose a unique role for the math background in driving the Economics gender gap relative to other fields. Fourth, a triple difference analysis of a high school reform shows that an increase in the math content of traditionally low math curricula caused an increase in the Economics gender gap among treated students. |
| Keywords: | Education Gender Gap, Economics, Higher Education, Business Economics, Major Choice, Major Switching, Mathematics, Stereotypes |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:cca:wchild:95&r= |
| By: | Ms. Sally Chen; Katsiaryna Svirydzenka |
| Abstract: | Can the upturns and downturns in financial variables serve as early warning indicators of banking crises? Using data from 59 advanced and emerging economies, we show that financial overheating can be detected in real time. Equity prices and output gap are the best leading indicators in advanced markets; in emerging markets, these are equity and property prices and credit gap. Moreover, aggregating this information flags financial crisis many years before the crisis. Lastly, we find that the length of financial cycles is of medium-term frequency, calling into question the longer frequency widely used in the estimation of countercyclical capital buffers. |
| Keywords: | equity price cycle; property price cycle; banking crisis; BIS-definition credit cycle; C. cycle property; Financial cycles; Banking crises; Credit; Land prices; Business cycles; Global |
| Date: | 2021–04–29 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2021/116&r= |
| By: | Copeland, Adam (FRBNY); Duffie, Darrell (Stanford GSB); Yang, Yilin (David) (Stanford GSB) |
| Abstract: | The Federal Reserve’s “balance-sheet normalization,†which reduced aggregate reserves between 2017 and September 2019, increased repo rate distortions, the severity of rate spikes, and intraday payment timing stresses, culminating with a significant disruption in Treasury repo markets in mid-September 2019. We show that repo rates rose above efficient-market levels when the total reserve balances held at the Federal Reserve by the largest repo-active bank holding companies declined and that repo rate spikes are strongly associated with delayed intraday payments of reserves to these large bank holding companies. Intraday payment timing stresses are magnified by early-morning settlement of Treasury security issuances. Substantially higher aggregate levels of reserves than existed in the period leading up to September 2019 would likely have eliminated most or all of these payment timing stresses and repo rate spikes. |
| JEL: | D47 D82 G14 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:ecl:stabus:3974&r= |
| By: | Mr. Matthieu Bellon |
| Abstract: | We examine the role of market characteristics and timing in explaining observed heterogeneity in VAT pass-through. We first extend existing theory to characterize the roles of imperfect competition and product differentiation, then investigate these relationships empirically using a panel of 14 Eurozone countries between 1999 and 2013. We find important roles for product market regulation and product quality, and little impact of advance announcement of reforms. Our findings have important implications for policy-makers considering VAT rate adjustments, by illuminating which of the consumers or the producers would experience the brunt of a reform across different settings. |
| Keywords: | Value added tax; Price effect; Pass through; Competition; Product Differentiation; pass-through heterogeneity; VAT pass-through; pass-through effect; baseline pass-through; elasticity coefficient; imperfect competition; pass-through adjustment; Value-added tax; Consumption; Commodity markets; Consumer prices; Europe |
| Date: | 2021–03–05 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2021/061&r= |
| By: | Dean Parker; Moritz Schularick |
| Abstract: | The term spread is the difference between interest rates on short- and long-dated government securities. It is often referred to as a predictor of the business cycle. In particular, inversions of the yield curve—a negative term spread—are considered an early warning sign. Such inversions typically receive a lot of attention in policy debates when they occur. In this post, we point to another property of the term spread, namely its predictive ability for financial crisis events, both internationally and in historical U.S. data. We study the predictive power of the term spread for financial instability events in the United States and internationally over the past 150 years. |
| Keywords: | yield curve; financial crisis |
| JEL: | E58 E5 N0 G01 |
| Date: | 2021–11–24 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednls:93395&r= |
| By: | Nathalie Pouokam |
| Abstract: | This paper discusses the main challenges faced by resource-rich nations in promoting equity; describes policy tools available for managing exhaustible natural resources; and analyzes the relationship between resource wealth and state fragility. It is argued that human capital accumulation, innovation, and technology diffusion can help escape the trap of low growth and resource dependence that plagues so many developing countries. But to make this possible, resource-rich nations must sustain strong citizen participation in the policy making to hold governments accountable and ensure the inclusive management of resource wealth. |
| Keywords: | resource curse; natural resource wealth; exhaustible natural resources; resource rent; resource wealth; natural resource; Natural resources; Fiscal rules; Income inequality; Exports; Global |
| Date: | 2021–04–23 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2021/097&r= |