|
on Central and Western Asia |
| By: | Fernando E. Alvarez; Andrea Ferrara; Erwan Gautier; Hervé Le Bihan; Francesco Lippi |
| Abstract: | In a broad class of sticky price models the non-neutrality of nominal shocks is encoded 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 (i.e. they enter the relationship as a ratio). 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 CIR . Several robustness checks are discussed |
| JEL: | E31 E5 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29490&r= |
| By: | Advani, Arun; Tarrant, Hannah |
| Abstract: | In this paper, we review the existing empirical evidence on how individuals respond to the incentives created by a net wealth tax. Variation in the overall magnitude of behavioural responses is substantial: estimates of the elasticity of taxable wealth vary by a factor of 800. We explore three key reasons for this variation: tax design, context and methodology. We then discuss what is known about the importance of individual margins of response and how these interact with policy choices. Finally, we use our analysis to systematically narrow down and reconcile the range of elasticity estimates. We argue that a well-designed wealth tax would reduce the tax base by 7–17 per cent if levied at a tax rate of 1 per cent. |
| Keywords: | behavioural responses; efficiency; tax elasticities; wealth tax; ES/L011719/1; ES/V012657/1; International Inequalities Institute AFSEE COVID‐19 fund |
| JEL: | D14 H21 H26 H31 |
| Date: | 2021–10–25 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:lserod:112695&r= |
| By: | Bhattacharya, Rudrani (National Institute of Public Finance and Policy); Mundle, Sudipto |
| Abstract: | In this paper we have used our recently updated Factor Augmented Time Varying Coefficients Regression (FA-TVCR) model (Bhattacharya, Chakravartti and Mundle, 2019; Bhattacharya, Bhandari and Mundle 2021) to nowcast GDP growth for 2021-22 and forecast it for the year 2022-23. Our GDP growth nowcast for 2021-22 is 9.9 per cent, somewhat higher than the RBI projection of 9.5 per cent. The forecast for 2022-23 is 5.2 per cent. Factoring in an inflation rate of 5 per cent, this would translate to a nominal GDP growth rate of 10.2 per cent which is lower than the RBI projection of 12.3-13 percent but slightly higher than the 15th Finance Commission projection of 9.5 percent. |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:npf:wpaper:21/361&r= |
| By: | Guoxi Duan (Graduate School of Economics, Osaka University); Hisashi Tanizaki (Graduate School of Economics, Osaka University) |
| Abstract: | This paper analyzes CSI 300 index and its 300 constituent stocks with seven market efficiency measures: autocorrelation of daily returns, autocorrelation of absolute daily returns, runs test, forecast ability of other historical data on daily return (the predictive ability of yesterday fs change of trading volume on today fs return in this paper), the return of specific trading strategy, variance ratio and pricing errors contained in daily return. We do a Principal component analysis to convert these indicators to a single indicator representing the market efficiency. Then we try to find the co-movement among different measures through correlation coefficient and among different stocks through OLS regression: market efficiency values of individual stocks are regressed on market efficiency values of CSI 300 for seven measures respectively. We found that different market efficiency measures are indeed consistent to each other to some extent and the individual stocks are somewhat consistent with the whole market indicating there is a systematic market efficiency in stock market in China. Our finding also support the idea that the market efficiency in Chinese stock market is changing all time without showing a clear upward trend from 2005 to 2020. In the end, we set three hypotheses to explain relatively high level of market efficiency in 2005, 2012, 2017 and 2019: the ability of market detecting and reacting to pricing errors, public information or private information is becoming quickly and accurately. We found that when the market is in a bad condition, the market contains more pricing-errors in daily returns and the ability of market detecting and reacting to private information is also bad. |
| Keywords: | stock market, market efficiency hypothesis, random walk, investment strategy |
| JEL: | G10 G14 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:osk:wpaper:2123&r= |
| By: | A.R.S. Ibn Ali (Graduate School of Economics, Osaka University) |
| Abstract: | This study addresses the influencing factors on financial behavior of consumers in emerging markets. In particular, we examine the role of psychographic variables (i.e., lifestyle, brand loyalty, and personality) and demographic variables (i.e., age, income, education, family size, and occupation) in affecting individual decisions to use several types of consumer loans. A survey was conducted to collect data from 447 Indonesian consumers, and a probit model analysis was used to measure the effect of the variables. The results revealed that the effect of psychographic and demographic variables varies depending on financial product types (i.e., housing loans, car loans, and motorbike loans). Saving is positively associated with the use of car loans, but is negatively associated with the use of motorbike loans. The findings could be useful for marketers of financial products to improve market segmentation and target their offerings more effectively. |
| Keywords: | Microcredit, status consumption, emerging markets, psychographic variables, demographic variables, financial behavior. |
| JEL: | G21 G41 G51 G53 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:osk:wpaper:2121&r= |
| By: | Zhou, Haiwen |
| Abstract: | Empirical evidence shows that firms located in regions with larger population size are on average larger and more productive. To explain this empirical observation, firms producing intermediate goods are assumed to choose their technologies with different levels of fixed and marginal costs. In this general equilibrium model of economic geography, intermediate good producers engage in oligopolistic competition. The model is tractable and leads to interesting and analytical results. An intermediate good producer in the region with a higher population produces a higher level of output and has a lower marginal cost of production regardless of the existence of regional trade. With regional trade, if a worker moves from the region with a lower number of workers to the region with a higher number of workers, intermediate good producers in both regions choose less advanced technologies. |
| Keywords: | Technology choice, economic geography, international trade, increasing returns, oligopoly |
| JEL: | D43 F12 L13 O14 R12 |
| Date: | 2021–12–04 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:110939&r= |
| By: | Heiner Mikosch (KOF and ETH Zurich); Christopher Roth (University of Cologne); Samad Sarferaz (KOF and ETH Zurich); Johannes Wohlfart (Department of Economics and CEBI) |
| 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 information. 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: | 2021–12–01 |
| URL: | http://d.repec.org/n?u=RePEc:kud:kucebi:2120&r= |
| By: | Yang, Yunfan |
| Keywords: | Consumer/Household Economics |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:ags:iaae21:315392&r= |
| By: | Clements, Adam (Queensland University of Technology, Australia); Hurn, Stan (Queensland University of Technology, Australia); Volkov, Vladimir (Tasmanian School of Business & Economics, University of Tasmania) |
| Abstract: | Forecasting intraday trading volume is an important problem in economics and finance. One influential approach to achieving this objective is the non-linear Component Multiplicative Error Model (CMEM) that captures time series dependence and intraday periodicity in volume. While the model is well suited to dealing with a non-negative time series, it is relatively cumbersome to implement. This paper proposes a system of linear equations, that is estimated using ordinary least squares, and provides at least as good a forecasting performance as that of the CMEM. This linear specification can easily be applied to model any time series that exhibits diurnal behaviour. |
| Keywords: | Volume, forecasting, high-frequency data, CMEM, diurnal |
| JEL: | C22 G00 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:tas:wpaper:38716&r= |
| By: | Lee, Seungcheol; Luetticke, Ralph; Ravn, Morten O. |
| Abstract: | We introduce frictional financial intermediation into a HANK model. Households are subject to idiosyncratic and aggregate risk and smooth consumption through savings and consumer loans intermediated by banks. The banking friction introduces an endogenous countercyclical spread between the interest rate on savings and on loans. This interacts with incomplete markets because borrowers and savers face different intertemporal prices, and induces a time-varying mass point of high MPC households. Aggregate shocks through their impact on the spread give rise to consumption inequality. We show this mechanism to be empirically relevant. Ex-ante macro prudential regulation reduces welfare by reducing consumption smoothing. JEL Classification: C11, D31, E32, E63 |
| Keywords: | business cycles, incomplete markets, macroprudential regulation, monetary policy, financial frictions |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20212622&r= |
| By: | Shafik, Minouche |
| Abstract: | Capitalism needs a new social contract to better manage the consequences of technology and an increasingly diverse and flexible workforce. That social contract should retain the benefits of flexibility but do a better job of providing security in the form of mandatory benefits, putting a floor on incomes, and investing far more in helping workers adapt to economic shocks and rising automation. It also means a new deal with business that would achieve a more level playing field in how capital and labour are taxed. |
| Keywords: | capitalism; social contract; labour markets; taxation of capital; OUP deal |
| JEL: | P00 J08 I38 A13 |
| Date: | 2021–12–01 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:lserod:112213&r= |
| By: | Nick James; Kevin Chin |
| Abstract: | This paper uses new and recently introduced mathematical techniques to undertake a data-driven study on the systemic nature of global inflation. We start by investigating country CPI inflation over the past 70 years. There, we highlight the systemic nature of global inflation with a judicious application of eigenvalue analysis and determine which countries exhibit most "centrality" with an inner-product based optimization method. We then turn to inflationary impacts on financial market securities, where we explore country equity indices' equity robustness and the varied performance of equity sectors during periods of significant inflationary pressure. Finally, we implement a time-varying portfolio optimization to determine which asset classes were most beneficial in increasing portfolio Sharpe ratio when an investor must hold a core (and constant) allocation to equities. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2111.11022&r= |
| By: | Bui, Anh Tuan; Pham, Linh Chi; Ta, Thi Khanh Van |
| Abstract: | Using firm-level data on 11,000 companies across seven countries in South Asia, this paper explores the effects of access to finance on employment growth and performance at the firm level. The paper focuses on how the impact of financing obstacles varies across firm sizes. The results show that higher obstacles in access to finance reduces employment growth and performance for firms of all sizes, especially micro and small firms. We find significant differences between firms with less than 10 employees and small firm, which suggests that significant reforms are needed to drive micro firm growth to small and medium enterprises. |
| Keywords: | Access to finance obstacles,employment growth,Total factor of productivity |
| JEL: | J21 J41 M51 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:glodps:991&r= |
| By: | Yusuf Kenan Bagir; Unal Seven |
| Abstract: | We study whether the linkage between financing and productivity growth strengthens as the severity of financial constraints increases by using firm-level administrative data from a large emerging economy. We also explore whether upstream firms’ financial constraints play a role in the linkage between finance and productivity. Using a combination of administrative databases of tax registry and firm-to-firm trade data of 896,317 Turkish firms from 2007 to 2018, employing various robustness tests and controlling for reverse causality, we find strong evidence that firms facing higher financial constraints exhibit a higher sensitivity of total factor productivity (TFP) growth to debt growth. Moreover, we show that a rise in upstream firms’ financial constraint level also leads to increased sensitivity of TFP growth to debt growth. Our results reveal important channels through which financial constraints could hinder productivity growth in Turkey. |
| Keywords: | TFP growth, Financial constraints, Debt growth |
| JEL: | D24 G30 O16 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:tcb:wpaper:2132&r= |
| By: | Fisher, Jack (London School of Economics); Gavazza, Alessandro (London School of Economics); Liu, Lu (Imperial College Business School); Ramadorai, Tarun (Imperial College Business School); Tripathy, Jagdish (Bank of England) |
| Abstract: | Evidence from a range of countries reveals that household inaction in mortgage refinancing can be pervasive despite financial incentives to take action. Inactive households may implicitly cross-subsidise active households, allowing competitive lenders to set lower average mortgage rates. To provide a money-metric assessment of cross-subsidies, we construct a model of household refinancing and structurally estimate it on rich administrative data on the stock of loans in the UK mortgage market in June 2015. We estimate sizeable cross-subsidies during this sample period, from relatively poorer households and those located in less-wealthy areas towards richer households and those located in wealthier areas. The findings over this sample period highlight how the design of household finance markets can contribute to wealth inequality. Estimated cross-subsidies may differ in more recent periods given changes in the UK mortgage market since 2015. |
| Keywords: | Mortgages; refinancing; cross-subsidies; wealth inequality; household inaction; household finance |
| JEL: | D63 G21 L51 N20 R21 R31 |
| Date: | 2021–11–05 |
| URL: | http://d.repec.org/n?u=RePEc:boe:boeewp:0948&r= |
| By: | Hans Buehler; Phillip Murray; Mikko S. Pakkanen; Ben Wood |
| Abstract: | We present a numerically efficient approach for learning minimal equivalent martingale measures for market simulators of tradable instruments, e.g. for a spot price and options written on the same underlying. In the presence of transaction cost and trading restrictions, we relax the results to learning minimal equivalent "near-martingale measures" under which expected returns remain within prevailing bid/ask spreads. Our approach to thus "removing the drift" in a high dimensional complex space is entirely model-free and can be applied to any market simulator which does not exhibit classic arbitrage. The resulting model can be used for risk neutral pricing, or, in the case of transaction costs or trading constraints, for "Deep Hedging". We demonstrate our approach by applying it to two market simulators, an auto-regressive discrete-time stochastic implied volatility model, and a Generative Adversarial Network (GAN) based simulator, both of which trained on historical data of option prices under the statistical measure to produce realistic samples of spot and option prices. We comment on robustness with respect to estimation error of the original market simulator. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2111.07844&r= |
| By: | Tim Jenkinson; Hyeik Kim; Michael S. Weisbach |
| Abstract: | This paper provides an introduction to buyouts and the academic literature about them. Buyouts are initiated by “buyout funds”, which are limited partnerships raised from mostly institutional investors. The funds earn returns for their investors by improving the operations of the firms they acquire and exiting them for a profit. Buyout funds have grown substantially and currently raise more than $400 billion annually in capital commitments. We first discuss the institutional environment that developed to foster such buyouts and to provide incentives for general partners and firm managers to earn returns for the fund’s investors. We then describe various strategies that funds use to increase the values of their portfolio companies. The paper provides up to date statistics on all aspects of the buyout industry. Finally, we present a summary of the academic literature on buyouts. This literature has paid particular attention to the extent to which buyouts earn risk-adjusted abnormal returns for their investors, as well as the sources of those returns. |
| JEL: | G24 G34 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29502&r= |
| By: | Guoxi Duan (Graduate School of Economics, Osaka University); Hisashi Tanizaki (Graduate School of Economics, Osaka University) |
| Abstract: | This paper studies market efficiency from weak form aspect using data of Shanghai Stock Exchange composite index (SSEC) and Shenzhen Stock Exchange composite index (SZSEC) under expected return theory. Some classical methods are used to examine the features of stock returns and a little evidence against mutually independency, random walk of returns, and sub-martingale of stock prices is found. A notion of a new simple statistical test based on information set for judgement of market efficiency is proposed. Through hypothesis tests, evidence indicating inefficient markets around 2008, 2011 and 2018 under expected return theory is found. It is a new finding that SZSEC is more sensitive to information and therefore may be more appealing to investors than SSEC. Moreover, there is an another new finding that when market extends in size the degree of whole market efficiency declines. From the relationship between market efficiency and volatility, volatility is not a very good criterion for market efficiency but some rough rules can be concluded to help investors make their decisions on what time to conduct their own strategies. Finally, the results suggest that it is the time to think about strategies. |
| Keywords: | stock market, market efficiency hypothesis, random walk, investment strategy, hypothesis test |
| JEL: | C12 G12 G14 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:osk:wpaper:2122&r= |
| By: | Yajie Yang; Longfeng Zhao; Lin Chen; Chao Wang; Jihui Han |
| Abstract: | In this study, we propose a new multi-objective portfolio optimization with idiosyncratic and systemic risks for financial networks. The two risks are measured by the idiosyncratic variance and the network clustering coefficient derived from the asset correlation networks, respectively. We construct three types of financial networks in which nodes indicate assets and edges are based on three correlation measures. Starting from the multi-objective model, we formulate and solve the asset allocation problem. We find that the optimal portfolios obtained through the multi-objective with networked approach have a significant over-performance in terms of return measures in an out-of-sample framework. This is further supported by the less drawdown during the periods of the stock market fluctuating downward. According to analyzing different datasets, we also show that improvements made to portfolio strategies are robust. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2111.11286&r= |
| By: | John Kuada (Aalborg, Denmark) |
| Abstract: | Purpose – The purposes of this paper are to review the streams of studies that link financial inclusion to small enterprise growth in Sub-Sahara Africa (SSA), to identify the research gaps they provide, and to prepare an agenda for future research in the field. Design/methodology/approach – The study employs systematic literature search method to identify relevant literature from journals. It then adopts a narrative approach for the review, highlighting the findings from the prior studies and gaps requiring research attention. Findings – The discussions reveal that there is a need for future studies that can unpack small enterprise growth determinants, identify growth-enabling entrepreneurial characteristics and examine the contextual variabilities that shape their effectiveness. Originality/value – There is currently no comprehensive/integrated review exploring the link between financial inclusion and small enterprise growth in SSA. This review therefore provides insights that contribute to the development of this stream of research. |
| Keywords: | Financial inclusion, entrepreneurship, small businesses, enterprise growth, Africa |
| Date: | 2021–01 |
| URL: | http://d.repec.org/n?u=RePEc:agd:wpaper:21/084&r= |
| By: | Enders, Zeno; Hünnekes, Franziska; Müller, Gernot J. |
| Abstract: | We assess how firm expectations about future production impact current production and pricing decisions. Our analysis is based on a large survey of firms in the German manufacturing sector. To identify the causal effect of expectations, we rely on the timing of survey responses and match firms with the same fundamentals but different views about the future. Firms that expect their production to increase (decrease) in the future are 15 percentage points more (less) likely to raise current production and prices, compared to firms that expect no change in production. In a second step, we show that expectations also matter even if they turn out to be incorrect. Lastly, we aggregate expectation errors across firms and find that they account for about 15 percent of aggregate fluctuations. JEL Classification: E32, D84, E71 |
| Keywords: | business cycle, news, noise, propensity score matching, survey data |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20212621&r= |
| By: | Misha Perepelitsa |
| Abstract: | The problem of investing into a cryptocurrency market requires good understanding of the processes that regulate the price of the currency. In this paper we offer a view of a cryptocurrency market as self-organized speculative Ponzi scheme that operates on the platform of a price bubble spontaneously created by traders. The synergy between investors and traders creates an interesting dynamical patterns of the price and systematic risk of the system. We use microscale, agent-based models to simulate the system behavior and derive macroscale ODE models to estimate such parameters as the return rate and total value of investments. We provide the formula for the total risk of the system as a sum of two independent components, one being characteristic of the price bubble and the other of the investor behavior. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2111.11315&r= |
| By: | Mr. Irineu E de Carvalho Filho; Hans Weisfeld; Fei Liu; Mr. Fabio Comelli; Mr. Andrea F Presbitero; Alexis Meyer-Cirkel; Mrs. Sandra V Lizarazo Ruiz; Klaus-Peter Hellwig; Rahul Giri; Chengyu Huang |
| Abstract: | In recent years, Fund staff has prepared cross-country analyses of macroeconomic vulnerabilities in low-income countries, focusing on the risk of sharp declines in economic growth and of debt distress. We discuss routes to broadening this focus by adding several macroeconomic and macrofinancial vulnerability concepts. The associated early warning systems draw on advances in predictive modeling. |
| Keywords: | Early warning systems; crisis prediction; machine learning; low-income countries; inflation crisis; stress episode; crisis concept; crisis probability; missed crisis; LIC inflation trend; Inflation; Banking crises; Commodity prices; Global |
| Date: | 2020–12–18 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2020/289&r= |
| By: | Anjali Sharma (National E-Governance Services Ltd.); Susan Thomas (xKDR Forum) |
| Abstract: | A missing link in the field of public procurement in India is an empirical sense of the magnitudes involved. In this paper we construct conservative estimates of basic facts about purchases by the union government and by central public sector enterprises. These calculations are based on fiscal statistics from the detailed demand for grants of union ministries and the annual statements published by the CGA. We obtain estimates of revenue, capital and total procurement in 2016-17. The estimated total purchases work out to about 11 to 12 per cent of GDP of that year. This suggests that a 10% improvement in purchasing capability would yield gains of about 1% of GDP. |
| JEL: | H H5 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:anf:wpaper:10&r= |
| By: | Fakhri Hasanov; Leila Dagher (King Abdullah Petroleum Studies and Research Center) |
| Abstract: | There is no commodity whose interlinkages with the macroeconomy have been studied as extensively as oil, starting with Hamilton’s (1983) seminal study. Thousands of subsequent studies have examined the relationship between oil prices and various economic variables, including the stock market. This strand of the literature began with the pioneering work of Kling (1985). Since then, other financial markets, such as banking, have also received a fair share of analysis. |
| Keywords: | Agent Based Modeling, Oil Market, Macroeconomics |
| Date: | 2021–11–23 |
| URL: | http://d.repec.org/n?u=RePEc:prc:dpaper:ks--2021-dp018&r= |
| By: | Tatsuru Kikuchi; Toranosuke Onishi; Kenichi Ueda |
| Abstract: | We present positive evidence of price stability of cryptocurrencies as a medium of exchange. For the sample years from 2016 to 2020, the prices of major cryptocurrencies are found to be stable, relative to major financial assets. Specifically, after filtering out the less-than-one-month cycles, we investigate the daily returns in US dollars of the major cryptocurrencies (i.e., Bitcoin, Ethereum, and Ripple) as well as their comparators (i.e., major legal tenders, the Euro and Japanese yen, and the major stock indexes, S&P 500 and MSCI World Index). We examine the stability of the filtered daily returns using three different measures. First, the Pearson correlations increased in later years in our sample. Second, based on the dynamic time-warping method that allows lags and leads in relations, the similarities in the daily returns of cryptocurrencies with their comparators have been present even since 2016. Third, we check whether the cumulative sum of errors to predict cryptocurrency prices, assuming stable relations with comparators' daily returns, does not exceeds the bounds implied by the Black-Scholes model. This test, in other words, does not reject the efficient market hypothesis. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2111.08390&r= |
| By: | Ms. Helene Poirson |
| Abstract: | The COVID-19 crisis induced an unprecedented launch of unconventional monetary policy through asset purchase programs (APPs) by emerging market and developing economies. This paper presents a new dataset of APP announcements and implementation from March until August 2020 for 27 emerging markets and 8 small advanced economies. APPs’ effects on bond yields, exchange rates, equities, and debt spreads are estimated using different methodologies. The results confirm that APPs were successful in significantly reducing bond yields in EMDEs, and these effects were stronger than those of policy rate cuts, suggesting that such UMP could be important tools for EMDEs during financial market stress. |
| Keywords: | Unconventional monetary policy;emerging markets;COVID-19;local currency bond markets.;WP;market dysfunctionalities;app announcement;CB transparency;market functioning;markets query;tackling market dysfunctionality;transparency Index; exchange rates; market mechanism; CB credibility; market participant; CB intervention; CB monetary policy stance; Sovereign bonds; Bond yields; Yield curve; Securities; Bonds; Africa; Global |
| Date: | 2021–01–22 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2021/014&r= |
| By: | Holden, Stein T.; Tilahun, Mesfin |
| Keywords: | Risk and Uncertainty |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:ags:iaae21:315108&r= |
| By: | Bertocchi, Graziella; Bonacini, Luca; Murat, Marina |
| Abstract: | We investigate the gender gap in Economics among bachelor's and master's grad- uates 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 con- tent 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 |
| JEL: | A22 I23 J16 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:glodps:995&r= |
| By: | Abdul A. Erumban; Gaaitzen de Vries |
| Abstract: | This paper proposes an empirical framework that relates poverty reduction to production growth. We use the GGDC/UNU-WIDER Economic Transformation Database to measure the contribution to growth of productivity improvements within sectors and structural change—the reallocation of workers across sectors—for 42 developing countries from 1990 to 2018. Next, the contributions are used in a regression analysis, which indicates that poverty reduction is significantly related to structural change and productivity growth in manufacturing. |
| Keywords: | Poverty, Production, Growth, Manufacturing, Structural change, Developing countries |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:unu:wpaper:wp-2021-172&r= |
| By: | Singh, K.M.; Ahmad, Nasim; Pandey, Vagish Vandana; Kumari, Tulika; Singh, Ritambhara |
| Abstract: | Rice is the most important staple food of the country consumed by about 65 per cent of the population (Singh and Singh, 2020). It is grown in almost all the states, however, the major rice producing states with respect to its share in total rice production of the country during 2018-19 are West Bengal (13.79%), Uttar Pradesh (13.34%), Andhra Pradesh including Telangana (12.84%), Punjab (11.01%), Odisha (6.28%), Chhattisgarh (5.61%), Tamil Nadu (5.54%), Bihar (5.19%), Assam (4.41%), Haryana (3.88%) and Madhya Pradesh (3.86%). In the present study, an attempt has been made to assess the growth trends and instability in area, production and productivity of rice in major rice growing states during the period 2001-02 to 2018-19. The results of the investigation revealed that compound growth rate of area under rice was almost constant in the country during the period under investigation while it was fluctuating across the states but growth rates of production and productivity was found positive and significant. Instability indices of area under rice were found to be less as compared to production and productivity. Although production of rice has increased due to technological changes in cultivation practices but increased instability in production also indicated distress in rice production across the states. Most of the States registered negative profitability in rice cultivation and only the farm business income was found to be positive. Hence, policy makers, planners and stakeholders should formulate policies to sustain the rice farming in the country for food security of the nation. Restriction may be imposed on purchase of rice below MSP or government may adopt proper mechanism to stop distress sale of farm produces particularly rice. As paddy is water consuming crop and sustainability of ground water and other natural resources is threatened from paddy cultivation in areas with scarce groundwater specifically in states like Punjab and Haryana. It would adversely affect food security in the long run. Hence, farmers should be encouraged to shift out from paddy cultivation in the states where groundwater is depleting and should only grow paddy in water surplus areas keeping the sustainability of groundwater in mind. |
| Keywords: | Rice, Growth, Instability, Profitability, Loss, Farm business income |
| JEL: | O11 O13 Q1 Q12 |
| Date: | 2021–06–10 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:110635&r= |
| By: | Kenji Hatakenaka (Graduate School of Economics, Osaka University); Kosuke Oya (Graduate School of Economics, Osaka University) |
| Abstract: | Price discovery is an important built-in function of financial markets and the central issue in the market microstructure research. Market participants need to know whether the price discovery has been achieved or how much progress has been made in order to trade at an appropriate price they consider. Since various economic events such as earnings announcement affect the price discovery, the intraday transition of price discovery varies date-by-date. In this study, we propose a statistical method to see when and how fast the intraday price discovery progresses using the high frequency price series on a daily basis. The proposed method consists of estimating three candidate models which gauge the different types of price discovery progress, i.e. no progress, smooth progress and abrupt progress, and selecting the most appropriate model based on Bayesian approach. We conduct simulation analysis to assess the performance of our proposed method and confirm that the method depicts the state of price discovery appropriately. The empirical study using the Japanese stock market index shows that the proposed method well categorizes the intraday price discovery progresses on a daily basis. |
| Keywords: | pre-opening period, market microstructure, partial adjustment model |
| JEL: | C11 G14 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:osk:wpaper:2119&r= |
| By: | Luca Benati; Juan-Pablo Nicolini |
| Abstract: | We revisit the estimation of the welfare costs of inflation originating from lack of liquidity satiation. We use data for the United States and several other developed countries. Our computations are heavily influenced by the recent experience of very low, even negative, short term rates observed in the countries we study. We obtain estimates that are close to those obtained by Lucas (2000), and an order of magnitude higher than those in Ireland (2009). |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:ube:dpvwib:dp2113&r= |
| By: | Michael Sposi; Kei-Mu Yi; Jing Zhang |
| Abstract: | We add to recent evidence on deindustrialization and document a new pattern: increasing industry polarization over time. We assess whether these patterns can be explained by a dynamic open economy model of structural change in which the two primary driving forces are sector-biased productivity growth and sectoral trade integration. We calibrate the model to the same countries used to document our patterns. We find that sector-biased productivity growth is important for deindustrialization, and sectoral trade integration is important for industry polarization through specialization. The interaction of these two driving forces is also essential. The key transmission channel is the declining relative price of manufacturing goods to services over time. |
| JEL: | F11 F43 O11 O41 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29483&r= |
| By: | Jan R. Magnus (Vrije Universiteit Amsterdam and Tinbergen Institute); Anatoly A. Peresetsky (New Economic School) |
| Abstract: | An explanation of the Dunning–Kruger effect is provided which does not require any psychological explanation, because it is derived as a statistical artefact. This is achieved by specifying a simple statistical model which explicitly takes the (random) boundary constraints into account. This model fits the data perfectly. |
| Keywords: | Dunning-Kruger effect, Boundary conditions, Tobit model. |
| JEL: | A22 C24 C91 D84 D91 I21 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:abo:neswpt:w0286&r= |
| By: | van den End, Jan Willem; Konietschke, Paul; Samarina, Anna; Stanga, Irina M. |
| Abstract: | This paper investigates how the monetary policy transmission channels change once the economy is in a low interest rate environment. We estimate a nonlinear model for the euro area and its five largest countries over the period 1999q2-2019q1 and allow for the effects of monetary policy shocks to be state dependent. Using smooth transition local projections, we examine the impulse responses of investment, savings, consumption, and the output gap to an expansionary monetary policy shock under normal and low interest rate regimes. We find evidence for a macroeconomic reversal rate related to the substitution effects becoming weaker relative to the income effects in a low interest rate regime. In this regime the effects of monetary policy shocks are either less powerful or reverse sign compared with a normal rate regime. JEL Classification: E21, E22, E43, E52 |
| Keywords: | low interest rate environment, monetary policy, reversal rate |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20212620&r= |
| By: | Couaillier, Cyril |
| Abstract: | How do banks set their target capital ratio? How do they adjust to reach it? This paper answers these questions using an original dataset of capital ratio targets directly announced to investors by European banks, materially improving data quality compared to usual estimated implicit target. It provides the following key lessons. First, targets are affected by capital requirements and a procyclical behavior consistent with market pressure. Second, banks do not distinguish between the different types of capital requirements for setting their targets, suggesting weak usability of the regulatory buffers. Third, the distance between actual CET1 ratio and the target is a valuable predictor of future balance-sheet adjustment, suggesting that banks actively drive their capital ratios toward their announced targets, through capital accumulation and portfolio rebalancing. Fourth, this adjustment occurs both above and below targets, but banks below target adjust faster, suggesting stronger pressure. These results provide important lessons for policymakers regarding the design of the prudential framework and the effectiveness of countercyclical policies. JEL Classification: E51, E58, G21, G28 |
| Keywords: | bank credit, bank regulation, target capital structure |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20212618&r= |
| By: | Douadia Bougherara (CEE-M, Univ. Montpellier, CNRS, INRAE, Institut Agro, Montpellier, France); Lana Friesen (School of Economics, University of Queensland, Brisbane, Australia); Céline Nauges (Toulouse School of Economics, INRAE, University of Toulouse Capitole, Toulouse, France) |
| Abstract: | We study the interaction between risk taking and skewness seeking behavior among the French population using an experiment that elicits certainty equivalent over lotteries that vary the second and third moments orthogonally. We find that the most common behavior is risk avoidance and skewness seeking. On average, we find no interaction between the two, and a weakly significant interaction only in some segments of the population. That is, in most cases, skewness seeking is not affected by the variance of the lotteries involved, nor is risk taking affected by the skewness of the lotteries. We also find a significant positive correlation between risk avoiding and skewness seeking behavior. Older and female participants make more risk avoiding and more skewness seeking choices, while less educated people and those not in executive occupations are more skewness seeking. |
| Keywords: | Risk; Skewness; Certainty Equivalent; Experiment |
| JEL: | C91 D81 D91 G11 G22 |
| Date: | 2021–11–25 |
| URL: | http://d.repec.org/n?u=RePEc:qld:uq2004:650&r= |
| By: | Simplice A. Asongu (Yaounde, Cameroon); Valentine B. Soumtang (Yaoundé, Cameroon); Ofeh M. Edoh (Yaoundé, Cameroon) |
| Abstract: | The study assesses how financial institution dynamics have affected poverty and the severity of poverty in 42 sub-Saharan African countries for the period 1980-2019. In order to increase for policy relevance of the study, three financial development indicators are used, namely: financial institutions depth, financial institutions access and financial institutions efficiency. The adopted empirical strategy is a quantile regressions approach which enables the study to assess how financial institutions dynamics affect poverty and the severity of poverty throughout the conditional distribution of poverty and severity of poverty. The findings show various tendencies, inter alia: (i) financial institutions depth (efficiency) consistently decreases the severity of poverty (poverty headcount) and (ii) financial institutions access consistently decreases both poverty and the severity of poverty and the decreasing effect increases with increasing levels of poverty in the top quantiles and throughout the conditional distribution of the severity of poverty. Policy implications are discussed with respect of SDG1 on poverty reduction. |
| Keywords: | financial development; poverty alleviation; Africa |
| JEL: | G20 I10 I20 I30 O10 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:agd:wpaper:21/081&r= |
| By: | Al Lily, Miriam; Waibel, Hermann |
| Abstract: | This paper presents results from one of the first independent socioeconomic household surveys to study urban poverty among Saudi nationals. This survey was administered to 496 Saudi households in Dammam in 2019. Poverty is conceptualised as relative poverty, which is based on the country’s inflation adjusted national poverty line of $6 per person per day. The methodology is based on the Foster-Greer-Thorbecke (FGT) poverty index, which is used to analyse the socioeconomic determinants of the prevalence, intensity, and severity of poverty. The results indicate that education and unemployment are crucial determinants of poverty outcomes. In addition, large family sizes combined with the tradition of having a single breadwinner also pushes households into poverty. Female-headed households are particularly vulnerable. Furthermore, social capital positively impacts the welfare of households, whereas being of African descent has a negative influence. However, health, personal attitudes, and being of Bedouin origin are not significant variables in the model. The social welfare system is able to mitigate some of the disadvantages, but not all. Overall, approximately one third of poor households are being lifted out of poverty by social welfare payments. |
| Keywords: | Arab World; Social Exclusion; Urban Poverty; Poverty Determinants; Poverty Gap |
| JEL: | O12 I32 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:han:dpaper:dp-691&r= |
| By: | Zaretski, Aliaksandr |
| Abstract: | I characterize optimal government policy in a sticky-price economy with different types of consumers and endogenous financial constraints in the banking and entrepreneurial sectors. The competitive equilibrium allocation is constrained inefficient due to a pecuniary externality implicit in the collateral constraint and other externalities arising from consumer type heterogeneity. These externalities can be corrected with appropriate fiscal instruments. Independently of the availability of such instruments, optimal monetary policy aims to achieve price stability in the long run and approximate price stability in the short run, as in the conventional New Keynesian environment. Compared to the competitive equilibrium, the constrained efficient allocation significantly improves between-agent risk sharing, approaching the unconstrained Pareto optimum and leading to sizable welfare gains. Such an allocation has lower leverage in the banking and entrepreneurial sectors and is less prone to the boom-bust financial crises and zero-lower-bound episodes observed occasionally in the decentralized economy. |
| Keywords: | constrained efficiency; effective lower bound; financial constraints; leverage limits; optimal monetary policy; Ramsey equilibrium |
| JEL: | E32 E44 E52 E63 G28 |
| Date: | 2021–05–16 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:110757&r= |
| By: | Francesco Furno |
| Abstract: | This paper extends a standard general equilibrium framework with a corporate tax code featuring two key elements: tax depreciation policy and the distinction between c-corporations and pass-through businesses. In the model, the stimulative effect of a tax rate cut on c-corporations is smaller when tax depreciation policy is accelerated, and is further diluted in the aggregate by the presence of pass-through entities. Because of a highly accelerated tax depreciation policy and a large share of pass-through activity in 2017, the model predicts small stimulus, large payouts to shareholders, and a dramatic loss of corporate tax revenues following the Tax Cuts and Jobs Act (TCJA-17). These predictions are consistent with novel micro- and macro-level evidence from professional forecasters and sectoral tax returns. At the same time, because of less-accelerated tax depreciation and a lower pass-through share in the early 1960s, the model predicts sizable stimulus in response to the Kennedy's corporate tax cuts - also supported by the data. The model-implied corporate tax multipliers for Trump's TCJA-17 and Kennedy's tax cuts are +0.6 and +2.5, respectively. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2111.12799&r= |