|
on Central and Western Asia |
| By: | Juan Antolin-Diaz; Ivan Petrella; Juan F. Rubio-Ramirez |
| Abstract: | A long tradition in macro finance studies the joint dynamics of aggregate stock returns and dividends using vector autoregressions (VARs), imposing the cross-equation restrictions implied by the Campbell-Shiller (CS) identity to sharpen inference. We take a Bayesian perspective and develop methods to draw from any posterior distribution of a VAR that encodes a priori skepticism about large amounts of return predictability while imposing the CS restrictions. In doing so, we show how a common empirical practice of omitting dividend growth from the system amounts to imposing the extra restriction that dividend growth is not persistent. We highlight that persistence in dividend growth induces a previously overlooked channel for return predictability, which we label "dividend momentum." Compared to estimation based on ordinary least squares, our restricted informative prior leads to a much more moderate, but still significant, degree of return predictability, with forecasts that are helpful out of sample and realistic asset allocation prescriptions with Sharpe ratios that outperform common benchmarks. |
| Keywords: | CS restrictions; Bayesian VAR; optimal allocation |
| JEL: | C32 C53 G11 G12 E47 |
| Date: | 2021–11–10 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedawp:93480&r= |
| By: | Blanka Horvath (ETH Zürich - Department of Mathematics); Josef Teichmann (ETH Zurich; Swiss Finance Institute); Zan Zuric (Imperial College London - Department of Mathematics) |
| Abstract: | We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional) Markovian setup. In particular we analyse the hedging performance of the original architecture under rough volatility models with view to existing theoretical results for those. Furthermore, we suggest parsimonious but suitable network architectures capable of capturing the non-Markoviantity of time-series. Secondly, we analyse the hedging behaviour in these models in terms of P&L distributions and draw comparisons to jump diffusion models if the the rebalancing frequency is realistically small. |
| Keywords: | Imperfect Hedging, Derivatives Pricing, Derivatives Hedging, Deep Learning, Rough Volatility |
| JEL: | C61 C58 C45 G32 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:chf:rpseri:rp2188&r= |
| By: | Hans Manner (University of Graz, Austria); Gabriel Rodriguez (Department of Economics, Pontificia Universidad Catolica del Peru); Florian Stöckler (University of Graz, Austria) |
| Abstract: | Focusing on countries whose economies are exposed to fluctuations in commodity prices and exchange rates, we study the vulnerability of these stock market returns to exchange rate and commodity price shocks. Methodologically, we rely on non-parametric structural break tests and we allow for multiple changepoints in the volatilities of the different variables and for distinct breaks in the dependence between the series. This approach allows separating changes in country- and commodity specific risk and changes in the degree of spillover. The return distributions are modeled using a Copula-GARCH model incorporating the estimated changepoints and we measure risk-spillovers with the conditional Value-at-Risk. We find evidence for various changepoints at different points in time, implying changes in risk and spillovers. In particular, there is evidence of increased spillover risk after the outbreak of the global financial crisis in 2008, but conditional risk is also high after the outbreak of Covid-19. |
| Keywords: | stock markets; commodity prices; changepoint analysis; volatility; dependence modeling; copula; CoVaR. |
| JEL: | C12 C32 C52 C53 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:grz:wpaper:2021-14&r= |
| By: | Wayne Geerling (Monash University); Kristofer Nagy (Monash University); Elaine Rhee (University of Arizona); Jadrian Wooten (Penn State University) |
| Abstract: | Economic educators have been teaching with pop culture for decades, but until recently the focus was on English-based media. In this paper, we build on the work of Wooten al. (2021b), who showed how K-pop can be integrated into the principles-level curriculum. We develop three teaching guides that can be used to teach aspects of behavioral economics, game theory and indifference curve analysis – topics which are taught at the end of most principles-level courses but are also standalone upper level courses. The three artists chosen – BTS, BLACKPINK and TWICE – have huge global followings. We hope this paper will contribute to the library of diverse and inclusive teaching resources while helping to address the deficit of resources available to instructors of upper level courses. |
| Keywords: | Inclusive teaching, media, music, teaching economics, game theory |
| JEL: | A20 A21 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:mos:moswps:2021-18&r= |
| By: | Sarah Flèche (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, CEP - LSE - Centre for Economic Performance - LSE - London School of Economics and Political Science); Anthony Lepinteur (University of Luxembourg [Luxembourg]); Nattavudh Powdthavee (WBS - Warwick Business School - University of Warwick [Coventry]) |
| Abstract: | Can capital constraints explain why there are more male than female entrepreneurs in most societies? We study this issue by exploiting longitudinal data on lottery winners. Comparing between large to small winners, we find that an increase in lottery win in period t-1 significantly increases the likelihood of becoming self-employed in period t. This windfall effect is statistically the same in magnitude for men and women; a one percent increase in exogenous income increases the probability of female selfemployment by 0.6 percentage points, which is approximately 10% of the gender entrepreneurial gap. These results suggest that we can causally reduce the gender entrepreneurial gap by improving women's access to capital that might not be as readily available to the aspiring female entrepreneurs as it is to male entrepreneurs. |
| Keywords: | BHPS JEL codes: J16,lottery wins,self-employment,gender inequality,BHPS JEL Codes: J16,Gender inequality,J24,J21 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:hal:cesptp:halshs-03472910&r= |
| By: | F. Boissay; F. Collard; Jordi Galí; C. Manea |
| Abstract: | We study whether a central bank should deviate from its objective of price stability to promote financial stability. We tackle this question within a textbook New Keynesian model augmented with capital accumulation and microfounded endogenous financial crises. We compare several interest rate rules, under which the central bank responds more or less forcefully to inflation and aggregate output. Our main findings are threefold. First, monetary policy affects the probability of a crisis both in the short run (through aggregate demand) and in the medium run (through savings and capital accumulation). Second, a central bank can both reduce the probability of a crisis and increase welfare by departing from strict inflation targeting and responding systematically to fluctuations in output. Third, financial crises may occur after a long period of unexpectedly loose monetary policy as the central bank abruptly reverses course. |
| Keywords: | Financial crisis, monetary policy |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:upf:upfgen:1810&r= |
| By: | Luis Carranza Ugarte (Universidad San Martin de Porres.); Julian Diaz Saavedra (Department of Economic Theory and Economic History, University of Granada.); Jose Enrique Galdon-Sanchez (Universidad Publica de Navarra.) |
| Abstract: | The Covid 19 pandemic has caused both a decrease in tax revenues and an increase in public spending, forcing governments to increase fiscal deficits to unprecedented levels. Given these circumstances, it is foreseeable that fiscal rules will play a predominant role in the design of many countries’ recovery policies. We develop a general equilibrium, overlapping generations model for a small, open economy in order to study the impact of several fiscal rules upon welfare, public expenditures and growth. We calibrate the model to the Peruvian economy. In this economy, fiscal rules have been widely used and, unlike in other Latin American countries, they have been relatively successful. We find that fiscal rules will generate better results in terms of output and welfare if, in addition to maintaining control over the fiscal result, they also eliminate the bias in favor of current expenditure. We also find that the performance of economies that implement structural rules tends to be better than the performance of economies that implement rules based on current results. |
| Keywords: | Fiscal policy, Infrastructure, Public spending, Public Deficit, Debt limits. |
| JEL: | E62 H54 O23 |
| Date: | 2021–12–03 |
| URL: | http://d.repec.org/n?u=RePEc:gra:wpaper:21/14&r= |
| By: | Marina Lovchikova; Johannes Matschke |
| Abstract: | Capital flows into emerging markets are volatile and associated with risks. A common prescription is to impose counter-cyclical capital controls that tighten during economic booms to mitigate future sudden-stop dynamics, but it has been challenging to document such patterns in the data. Instead, we show that emerging markets tighten their capital controls in response to volatility in international financial markets and elevated risk aversion. We develop a model in which this behavior arises from a desire to manipulate the risk premium. When investors are more risk-averse or markets are volatile, investors require a high marginal compensation to hold risky emerging market debt. Regulators are able to exploit this tight link and raise capital inflow controls, thereby lowering the risk premium and reducing the overall cost of debt. We emphasize that risk premium manipulations via capital controls are only optimal from the perspective of the individual emerging market, but not from a global perspective. This suggests that the use of capital controls may impose costs in an international context. |
| Keywords: | Capital Controls; Risk Aversion; Risk Premium; Volatility |
| JEL: | F36 F38 F41 |
| Date: | 2021–09–08 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedkrw:93103&r= |
| By: | Zineb El Filali Ech-Chafiq (DAO - Données, Apprentissage et Optimisation - LJK - Laboratoire Jean Kuntzmann - Inria - Institut National de Recherche en Informatique et en Automatique - CNRS - Centre National de la Recherche Scientifique - UGA - Université Grenoble Alpes - Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology - UGA - Université Grenoble Alpes, Natixis); Pierre Henry-Labordere (CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique - X - École polytechnique - CNRS - Centre National de la Recherche Scientifique, Natixis); Jérôme Lelong (DAO - Données, Apprentissage et Optimisation - LJK - Laboratoire Jean Kuntzmann - Inria - Institut National de Recherche en Informatique et en Automatique - CNRS - Centre National de la Recherche Scientifique - UGA - Université Grenoble Alpes - Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology - UGA - Université Grenoble Alpes) |
| Abstract: | The value of an American option is the maximized value of the discounted cash flows from the option. At each time step, one needs to compare the immediate exercise value with the continuation value and decide to exercise as soon as the exercise value is strictly greater than the continuation value. We can formulate this problem as a dynamic programming equation, where the main difficulty comes from the computation of the conditional expectations representing the continuation values at each time step. In (Longstaff and Schwartz, 2001), these conditional expectations were estimated using regressions on a finite-dimensional vector space (typically a polynomial basis). In this paper, we follow the same algorithm; only the conditional expectations are estimated using Regression trees or Random forests. We discuss the convergence of the LS algorithm when the standard least squares regression is replaced with regression trees. Finally, we expose some numerical results with regression trees and random forests. The random forest algorithm gives excellent results in high dimensions. |
| Keywords: | Regression trees,Random forests,Bermudan options,Optimal stopping |
| Date: | 2021–11–19 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-03436046&r= |
| By: | Miryana Grigorova (School of Mathematics - University of Leeds - University of Leeds); Marie-Claire Quenez (LPSM (UMR_8001) - Laboratoire de Probabilités, Statistiques et Modélisations - SU - Sorbonne Université - CNRS - Centre National de la Recherche Scientifique - UP - Université de Paris); Agnès Sulem (MATHRISK - Mathematical Risk Handling - UPEM - Université Paris-Est Marne-la-Vallée - ENPC - École des Ponts ParisTech - Inria de Paris - Inria - Institut National de Recherche en Informatique et en Automatique) |
| Abstract: | We study the superhedging prices and the associated superhedging strategies for American options in a non-linear incomplete market model with default. The points of view of the seller and of the buyer are presented. The underlying market model consists of a risk-free asset and a risky asset driven by a Brownian motion and a compensated default martingale. The portfolio processes follow non-linear dynamics with a non-linear driver f. We give a dual representation of the seller's (superhedging) price for the American option associated with a completely irregular payoff $(\xi_t)$ (not necessarily càdlàg) in terms of the value of a non-linear mixed control/stopping problem. The dual representation involves a suitable set of equivalent probability measures, which we call f-martingale probability measures. We also provide two infinitesimal characterizations of the seller's price process: in terms of the minimal supersolution of a constrained reflected BSDE and in terms of the minimal supersolution of an optional reflected BSDE. Under some regularity assumptions on $\xi$, we also show a duality result for the buyer's price in terms of the value of a non-linear control/stopping game problem. |
| Keywords: | Control problems with non-linear expectation,Constrained reflected BSDE,f-expectation,Non-linear pricing,Incomplete markets,American options,Optimal stopping with non-linear expectation,Non-linear optional decomposition,Pricing-hedging duality |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-02025835&r= |
| By: | Maelle Vaille (Larefi - Laboratoire d'analyse et de recherche en économie et finance internationales - Université Montesquieu - Bordeaux 4) |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-03432692&r= |
| By: | Jose E. Gomez-Gonzalez (Escuela Internacional de Ciencias Económicas y Administrativas, Universidad de La Sabana, Chía, Colombia.); Jorge M. Uribe (Department of Economics and Finance, Universitat Oberta de Catalunya, Barcelona, Spain. Riskcenter, Universitat de Barcelona.); Oscar M. Valencia (Fiscal Affair Department, Inter-American Development Bank, Washington, DC, US.) |
| Abstract: | We study volatility spillovers between the corporate sector’s and Latin American countries’ CDS. Daily data from October 14 2006 to August 23 2021 are employed. Spillovers are computed both for the raw data and for filtered series which factor out the effect of global common factors on the various CDS series. Results indicate that most spillovers occur within groups, i.e., within countries and within global corporations. However, considerable spillovers are also registered from LAC sovereigns to corporations and vice versa. Interesting differences are encountered between filtered and unfiltered data. Specifically, spillovers from countries to corporations are overestimated (in about 4.3 percentage points) and spillovers from corporations to sovereigns are underestimated (in about 5.8 percentage points) when unfiltered data is used. This result calls for a revision of results obtained from studies that do not consider the role of global common factors on system spillovers. Like in most related studies, spillovers show considerable time-variation, being larger during times of financial or economic distress. When looking at total system spillovers over time, those corresponding to unfiltered series are always larger than those corresponding to filtered series. The difference between the two time-series is largest in times of distress, indicating that global factors play a major role in times of crises. Similar conclusions are derived from network analysis. |
| Keywords: | Volatility spillovers, Corporate debt, Latin American countries, Filtered and unfiltered data, Factor models. JEL classification: G01, G12, C22. |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:ira:wpaper:202118&r= |
| By: | Yuriy Gorodnichenko; Dmitriy Sergeyev |
| 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 possibility. 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 guidance, 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. |
| JEL: | E5 E7 G4 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29496&r= |
| By: | Chen Tong; Peter Reinhard Hansen; Zhuo Huang |
| Abstract: | We introduce a new volatility model for option pricing that combines Markov switching with the Realized GARCH framework and leads to a novel pricing kernel with a regime-specific variance risk premium. An analytical approximation method based on an Edgeworth expansion of cumulative returns enables us to derive the pricing formula for European options in this setting. The Markov switching Realized GARCH model is easy to estimate because inferences about regimes can be deduced with realized volatility measures. In an empirical application with S&P 500 index options from 1990 to 2019, we find that investors' aversion to volatility-specific risk is time varying. The proposed framework outperforms competing methods and reduces option pricing errors by 15% or more both in-sample as well as out-of-sample. |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2112.05308&r= |
| By: | Spyridon Boikos (Department of Economics, University of Macedonia, Greece); Theodore Panagiotidis (Department of Economics, University of Macedonia, Greece); Georgios Voucharas (Department of Economics, University of Macedonia, Greece) |
| Abstract: | Is there any specific structure of the financial system which promotes economic growth or does this structure depend on the level of economic growth itself? Financial development and financial reforms affect economic growth, but less is known on how this effect varies across different levels of the conditional distribution of the growth rates. We examine this by using panel data for 81 countries for more than 30 years. We account for unobserved heterogeneity and operate within alternative econometric approaches. The findings indicate that financial reforms are important determinants of growth, especially when a country faces relatively low levels of economic growth. Financial development does matter for growth, however, the size and significance of the effect vary. Financial reforms affect economic growth more than financial development. We reveal that the components of financial reforms, which are more important for economic growth, are the supervision of banks and the regulation of securities markets. |
| Keywords: | Financial Development, Financial Reforms, Economic Growth, Quantile Regression, Panel Data |
| JEL: | O16 O40 G10 G20 C21 C23 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:rim:rimwps:21-24&r= |
| By: | Dani Rodrik |
| Abstract: | In the public imagination globalization’s adverse effects have loomed large, contributing significantly to the backlash against the political mainstream and the rise of far-right populism. The literature on trade and inequality is in fact exceptionally rich, with important theoretical insights as well as extensive empirical findings that sheds light on this recent experience. Some of the key results of this literature, discussed here, are as follows: Redistribution is the flip side of the gains from trade, and it becomes larger relative to net gains from trade in the advanced stages of globalization. Compensation is difficult for both economic and political reasons. International trade often differs from other market exchanges, raising fairness concerns in ways that domestic markets do not. The economic benefits of deep integration are generally ambiguous. Dynamic or growth gains from trade are uncertain. |
| JEL: | F02 F16 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29507&r= |
| By: | Hendrik Hakenes (Institute for Financial Economics and Statistics, University of Bonn, ECONtribute, and CEPR); Eva Schliephake (Universidade Catolica Portuguesa, Catolica Lisbon School of Business & Economics, Portugal) |
| Abstract: | To reduce a negative externality, socially responsible households can invest responsibly (SRI), consume responsibly (SRC), or do both. Which is better? In a closed microeconomic model with intertwined product and capital markets, we analyze how responsible households should use SRI and SRC to maximize their impact. Both strategies reduce the externality as long as investors are risk-averse and the products have no perfect substitutes. Responsible households gain the highest impact when using SRC in equal proportion to SRI. A mere focus on SRC is never efficient. SRI plays a role in any green strategy. The financial performance of green investments is determined by the responsible households' mix between SRI and SRC. |
| Keywords: | Socially responsible investment (SRI), ethical investment, socially responsible consumption (SRC), sustainable investment, sustainable consumption, green investment, divestment, ESG, SPI |
| JEL: | D16 G30 G23 D62 D64 H44 M14 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:ajk:ajkdps:134&r= |
| By: | Mu, Yali |
| Keywords: | Marketing |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:ags:iaae21:315382&r= |
| By: | Marcin Borsuk (European Central Bank, Germany Institute of Economics, Polish Academy of Sciences, Poland School of Economics, University of Cape Town, South Africa); Oskar Kowalewski (Institute of Economics, Polish Academy of Sciences, Poland IESEG School of Management, Univ. Lille, CNRS, UMR 9221 - LEM - Lille Économie Management, F-59000 Lille, France Univ. Lille, UMR 9221 - LEM - Lille Economie Management, France CNRS, UMR 9221 - LEM - Lille ´Economie Management, France); Pawel Pisany (Institute of Economics, Polish Academy of Sciences, Poland) |
| Abstract: | In this study, we employ a new dataset on bank ownership and reassess the links between domestic and foreign ownership and lending during the 1996– 2018 period. Additionally, we distinguish between privately-owned and state-controlled banks and nd that the lending activities of foreign state-controlled and privately-owned banks dier, particularly following the nancial crisis of 2008. Our analysis conrms that foreign state-controlled and privately-owned banks provided credit during domestic banking crises in host countries, whereas lending by domestic state-controlled banks contracted. Further, foreign state-controlled banks reduced their credit base during a home banking crisis, whereas foreign privately-owned banks expanded lending. Hence, we nd that the credit supply of foreign state-controlled and privately-owned banks differs in host countries because of exogenous shocks. We also nd weak evidence that foreign state control can be a transmission channel during a sovereign crisis in the home country. However, we nd no evidence that foreign banks, state-controlled or privately-owned, transmit a currency crisis to a host country. Overall, our results suggest a mixed banking sector comprising foreign and domestic state-controlled banks and privately-owned banks to contribute to nancial stability during domestic and international crises. |
| Keywords: | : foreign banks, state-controlled banks, private banks, credit growth, crisis |
| JEL: | G01 G21 G28 |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:ies:wpaper:f202110&r= |
| By: | Jonathan J Adams (Department of Economics, University of Florida) |
| Abstract: | Can waves of optimism and pessimism produce large macroeconomic bubbles, and if so, is there anything that policymakers can do about them? Yes and yes. I study a business cycle model where agents with rational expectations receive noisy signals about future productivity. The model features dispersed information, which allows aggregate noise shocks to produce frequent large bubbles in the capital stock. Because of the information friction, a policymaker with an informational advantage can improve outcomes. I consider policies that affect investment incentives by distorting the intertemporal wedge. I calculate the optimal policy rule, and find that policymakers should discourage investment booms after aggregate news shocks. |
| JEL: | D84 E21 E32 |
| Date: | 2020–09 |
| URL: | http://d.repec.org/n?u=RePEc:ufl:wpaper:001005&r= |
| By: | Salomé Baslandze |
| Abstract: | This working paper reviews recent empirical evidence on large firms and nonproductive strategies that hinder creative destruction and reallocation. The focus is on three types of nonproductive strategies: political connections, nonproductive patenting, and anticompetitive acquisitions. Across different contexts using granular micro data sets, we overwhelmingly see that as firms gain market share, they increasingly rely on nonproductive strategies but reduce their productive, innovation-based strategies. I also discuss theoretical channels, aggregate implications, and potentials for some policies. |
| Keywords: | creative destruction; innovation; growth; patents; political connections; firm dynamics |
| JEL: | O3 O4 |
| Date: | 2021–09–30 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedawp:93478&r= |
| By: | Shin, Sangho |
| Abstract: | This dissertation includes three chapters that cover topics on international trade. The first chapter focuses on various production strategies of multinational firms and presents a complex global sourcing model. Multinational firms have been the driving force of growing global production over the past decades. With multinational firms’ Foreign Direct Investment (FDI), international trade is engaged on the firm level, rather than on a country or industry level. However, their production strategies are not limited to FDI. One option would be arms’ length contracts, so-called outsourcing, even though firm productivity determines the sourcing strategies. In this paper, we extend the range of complex global sourcing strategies used by multinational firms, in which they utilize outsourcing as an additional strategy and connect it to the location choice. The analysis reveals that the equilibrium regime of firms is determined by industry characteristics such as the relative fixed costs and the outsourcing related parameter. Along with firm productivity, the results show the implications of self-selection into FDI versus outsourcing.The second chapter provides the welfare implication of heterogeneous multinational firms by using a general equilibrium simulation model. We extend the model presented in the first chapter to the general equilibrium and quantify the gains from trade, comparing them with the trade-only model. The gains from trade liberalization can be higher with both trade and multinational firms than with only trade. The income path induced by multinational firms is a significant factor in explaining the gap of gains across models. FDI by multinational firms can re-organize the foreign factor market that drives the welfare gains to respond more sensitively in our model than with the trade-only model. Additionally, our model implies that welfare responses differ, depending upon the production boundaries.In the last chapter, we discuss the recent Korea-Japan trade dispute in 2019. This work primarily focuses on quantifying the economic impacts of the dispute and how much it creates trade diversion with their major trading partners. Using the GTAPinGAMS model calibrated to the latest GTAP 10 database, we consider the non-tariff barriers in our model—the export controls by the Japanese government and boycotts by Koreans. We control bilateral trade shocks to reflect the observed trade responses in the Korea Customs Service data. We analyze the impacts of the trade dispute on welfare, sectoral outputs, and trade patterns. Our results show that the trade dispute impacts Korea the most, and Japan is followed. The welfare impacts estimated in this study would be 0.14% ($1033.71 million) for Korea and 0.01% ($345.69 million) for Japan. Additionally, the trade dispute between the two countries creates slight trade diversion with their major trading partners, such as China, the United States, the EU, and Asian countries. Consequently, Japan loses by 2.46% of its trade flow to Korea while slightly increasing exports to other countries. On the other hand, Korea’s imports from Japan decrease moderately, but the trade flow with other countries increases, so that the total percent changes in imports would be 0.18%. Even though the dispute might be initiated and justified by the complicated historical and political reasons between two countries, the results in this work show that the economic impacts are not negligible, which have direct trade policy implications for understanding and restoring the relations. |
| Date: | 2021–01–01 |
| URL: | http://d.repec.org/n?u=RePEc:isu:genstf:202101010800009619&r= |
| By: | Martin Hillebrand (ESM); Marko Mravlak (ESM); Peter Schwendner (Zurich University of Applied Sciences) |
| Abstract: | This study analyses investor demand in syndicated EFSF and ESM bond issuances from 2014 to 2020 on an unprecedented granularity level of individual orders. In particular, we investigate three main aspects of order book dynamics: first, we determine the main factors segmenting investor demand. Second, we analyse price dynamics in the transactions and its relation to investor demand. Third, we examine whether there are any indications of order book inflation that might explain the increased volatility in order book volume. We identify issuance tranche and tenor as the main determinants of investor demand, which are to a large extent anticipated by the envisaged notional amount of the issuance. Further, we note that the pricing of ESM bond issuances is carried out in an economical manner, i.e. the new issue premium tends to be lower in a market context with large demand. Lastly, we look at the drivers of large order books and find a mixture of above average number and volume of orders. This confirms that there are no indications of order book inflation tendencies in the analysed time period. |
| Keywords: | Investor demand, bond issuance, bond syndication, bond primary market, investor behaviour, order books, order book inflation, new issue premium |
| JEL: | G12 G15 G23 G40 |
| Date: | 2021–12–22 |
| URL: | http://d.repec.org/n?u=RePEc:stm:wpaper:50&r= |
| By: | HORIKAWA Takumi (Bank of Japan); MATSUI Yujiro (Bank of Japan); GEMMA Yasufumi (Bank of Japan) |
| Abstract: | In this paper, we attempt to understand the characteristics of the Japanese government bond (JGB) repo market by applying network analysis methods to highly granular data on JGB repo transactions. We especially use a measure of "network centrality" which quantitatively identifies financial institutions that play an important role in the transaction network and a "community detection" method which identifies groups of financial institutions that have close transactional relationships with each other. From the results, it was observed that some highly important financial institutions functioned as intermediaries for transactions and that continuous transaction relationships within groups were built around them. These characteristics may contribute to the efficient matching of cash borrowing and lending needs, and to the smooth execution of large-lot transactions. We also conducted some analysis of the behavior of the network structure of the JGB repo market under market stress using the data from March 2020, when the repo rate fluctuated significantly due to the spread of the COVID-19 pandemic. The results of the analysis in this paper indicate the importance of continuously monitoring the functioning of the JGB repo market, and also provide clues for maintaining and improving the functioning and robustness of the market. |
| Keywords: | Network analysis; Financial markets; Repo transactions; PageRank; Bow-tie decomposition; Community detection |
| JEL: | D85 G14 G20 L14 |
| Date: | 2021–12–21 |
| URL: | http://d.repec.org/n?u=RePEc:boj:bojwps:wp21e14&r= |
| By: | Raslan Alzuabi (Department of Economics, University of Sheffield, UK); Sarah Brown (Department of Economics, University of Sheffield, UK); Daniel Gray (Department of Economics, University of Sheffield, UK); Mark N Harris (School of Accounting,Economics and Finance, Curtin University, Perth, Australia); Christopher Spencer (School of Business and Economics, Loughborough University, UK) |
| Abstract: | We explore the empirical relationship between borrowing constraints and household financial portfolio allocation. To motivate our analysis we develop a mean-variance model of portfolio allocation with three tradable asset classes defined by increasing risk, and establish a link between borrowing restrictions and financial portfolio allo- cation at the household level. Under non-restrictive assumptions the proportion of wealth allocated to the medium-risk asset is ambiguous. We also demonstrate that in the presence of both correlated background risk and borrowing constraints the domain of the non-binding risk-return space will be a function of background risk. We then analyse the US Survey of Consumer Finances with a view to empirically exploring the predictions of our theoretical framework. The distribution of medium-risk assets in US households is remarkably similar to that for high-risk assets, and suggests the presence of a more general ‘risk puzzle’, which our proxies for borrowing constraints partially explain. Our findings indicate that such constraints are inversely related to the proportion of financial wealth allocated to both high-risk and medium-risk assets, but are positively related to low-risk asset holdings. In light of our findings, further work aimed at accounting for the allocation of medium-risk assets in US households is considered expedient. |
| Keywords: | Asset Allocation; Borrowing Constraints; Fractional Models |
| JEL: | G11 D11 D14 C35 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:shf:wpaper:2021009&r= |
| By: | Mr. Zhongxia Jin; Haobin Wang; Yue Zhao |
| Abstract: | Although foreign exchange (FX) futures markets have been relatively prevalent in many developed countries and emerging markets, some other countries, including China, have not established such a market partly due to concerns about its ability to amplify the risk of the underlying exchange rate’s volatility. This paper analyzes the impact of establishing FX futures markets on the volatility of the underlying spot rate based on data from major developing countries. Our analysis shows that FX futures market is not empirically associated with an increase in FX volatility and in some cases even with a decrease in FX volatility. Compared with the over-the-counter (OTC) market, the FX futures markets can better meet the hedging needs of small and medium-sized enterprises due to their standardized products, greater transparency, and stronger oversight. Going forward, it is in China’s interests to accelerate the establishment of an FX futures market and allow for a more market-based approach to ensure the stability and sustainability of such a market. |
| Keywords: | FX futures market, exchange rate, market-based regulation |
| Date: | 2021–11–12 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2021/268&r= |
| By: | Sushant Acharya; Keshav Dogra; Sanjay R. Singh (Department of Economics, University of California Davis) |
| Abstract: | We formalize the idea that the financial sector can be a source of non-fundamental risk. Households’ desire to hedge against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices may fall, risk-averse households demand safe assets from leveraged intermediaries, whose issuance of safe assets exposes the economy to self-fulfilling fire sales. Policy can eliminate non-fundamental risk by (i) increasing the supply of publicly backed safe assets, through issuing government debt or bailing out intermediaries, or (ii) reducing the demand for safe assets, through social insurance or by acting as a market maker of last resort. |
| Keywords: | safe assets, self-fulfilling asset market crashes, liquidity, fire sales |
| JEL: | D52 D84 E62 G10 G12 |
| Date: | 2021–12–19 |
| URL: | http://d.repec.org/n?u=RePEc:cda:wpaper:345&r= |
| By: | Karim Barigou (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon); Lukasz Delong (Warsaw School of Economics - Institut of Econometrics) |
| Abstract: | This paper considers the pricing of equity-linked life insurance contracts with death and survival benefits in a general model with multiple stochastic risk factors: interest rate, equity, volatility, unsystematic and systematic mortality. We price the equity-linked contracts by assuming that the insurer hedges the risks to reduce the local variance of the net asset value process and requires a compensation for the non-hedgeable part of the liability in the form of an instantaneous standard deviation risk margin. The price can then be expressed as the solution of a system of non-linear partial differential equations. We reformulate the problem as a backward stochastic differential equation with jumps and solve it numerically by the use of efficient neural networks. Sensitivity analysis is performed with respect to initial parameters and an analysis of the accuracy of the approximation of the true price with our neural networks is provided. |
| Keywords: | Equity-linked contracts,Neural networks,Stochastic mortality,BSDEs with jumps,Hull-White stochastic interest rates,Heston model |
| Date: | 2021–11–10 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-02896141&r= |
| By: | Igor Fedotenkov; Anneleen Vandeplas |
| Abstract: | This paper studies the link between the demographic structure of populations and firm entry rates in the European Union. We find that firm entry rates have a hump-shaped relationship with human demography, with the 40-54 age group having the strongest positive impact on firm entry. Potential mechanisms through which this relationship may arise include labour market participation, demand and access to entrepreneurship (linked with experience and access to finance). Perhaps more surprisingly, firm entry again picks up with generations aged 80 and over expanding. This could relate to the fact that a larger 80+ age cohort reflects greater longevity, which in turn increases savings, reduces interest rates and therefore increases availability of external financing. When controlling for life expectancy and interest rates, the coefficient corresponding to the 80+ age cohort sharply declines and becomes insignificant. Based on the results of the analysis, we assess the implications of our results for firm entry rates by 2025 and 2030, using UN population projections. |
| Keywords: | Firm entry rates, demographic structure, longevity |
| JEL: | D22 J11 J15 L29 M13 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:lic:licosd:42821&r= |
| By: | Francesco Furlanetto; Antoine Lepetit; Ørjan Robstad; Juan F. Rubio-Ramirez; Pål Ulvedal |
| Abstract: | In this paper, we identify demand shocks that can have a permanent effect on output through hysteresis effects. We call these shocks permanent demand shocks. They are found to be quantitatively important in the United States, in particular when the sample includes the Great Recession. Recessions driven by permanent demand shocks lead to a permanent decline in employment and investment, although output per worker is largely unaffected. We find strong evidence that hysteresis transmits through a rise in long-term unemployment and a decline in labor force participation and disproportionately affects the least productive workers. |
| Keywords: | hysteresis; structural vector autoregressions; sign restrictions; long-run restrictions; employment; labor productivity; local projections |
| JEL: | C32 E24 E32 |
| Date: | 2021–11–09 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedawp:93479&r= |
| By: | Siwan Anderson (University of British Columbia); Chris Bidner (Simon Fraser University) |
| Abstract: | An institutional perspective emphasizes the fact that behaviour is shaped by rules that humans superimpose on their economic environment. In the context of the family, such rules govern vital processes such as family formation, dissolution, and inter-generational property transmission. Here we outline such a perspective, showing that it has important implications for policy and represents a relatively under-explored area of research in the economics of the family. We first document the extensive and systematic variation in family rules that exists both contemporaneously and historically. We then show that understanding this variation is important, yet under-appreciated, by drawing together a broad range of research that studies the far reaching consequences of family rules. We proceed with a structured review of existing research that attempts to understand the origins of various family rules. The institutional perspective makes clear that much impor- tant and exciting work remains to be done in terms of understanding the origin of the rules that govern family-related behaviour. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:sfu:sfudps:dp21-14&r= |
| By: | Han Han Peking (University School of Economics); Benoit Julien (UNSW Sydney); Liang Wang (University of Hawaii Manoa) |
| Abstract: | We study the robustness of two well-known and frequently observed multilateral trading protocols, price posting and auction, in small markets. In the context of directed search, sellers choose and commit to an ex-ante trading protocol to attract buyers. When constructing equilibrium, the deviating seller usually chooses the same mechanism as non-deviating sellers. In this paper, however, we allow the deviating seller to bargain with a buyer. In this setup, we find that price posting and auction are not robust mechanisms, because there is always a profitable deviation of bargaining. Then, we introduce a new hybrid multilateral trading protocol, which combines auction and bargaining. We show that when sellers commit to such a mechanism, the equilibrium is robust to deviations of bargaining. |
| Keywords: | Housing market; Auction; Bargaining; Directed Search; Price Posting |
| JEL: | D40 D83 E40 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:hai:wpaper:202106&r= |
| By: | Hilbrich, Sören |
| Abstract: | The market for social financial instruments is rapidly growing. The issuance of social bonds, for instance, reached $149.4 billion in 2020, showing an extraordinary growth of 720% compared to 2019 (ADB, 2021, p. 14). By providing capital for certain types of investments associated with positive social impacts, these instruments are intended to close funding gaps that hamper the realisation of social goals, as laid down, for instance, in the 2030 Agenda for Sustainable Development. In addition, social finance might set incentives for enterprises to engage in more sustainable business models that would give them access to social financial instruments potentially associated with a lower cost of capital. However, the magnitude of the potential contribution to society of social finance is a matter of debate. This paper focuses on an important challenge for social finance that concerns the plurality of existing definitions of social investments. The paper provides an overview of the definitions followed by market participants, describes the EU taxonomy for sustainable activities as a potential standard in this context, and discusses implications for development policy. |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:diedps:292021&r= |
| By: | Daniel Aparicio-Pérez (Department of Finance and Accounting, Universitat Jaume I, Castellón, Spain); Maria Teresa Balaguer-Coll (Department of Finance and Accounting, Universitat Jaume I, Castellón, Spain); Emili Tortosa-Ausina (IVIE, Valencia and IIDL and Department of Economics, Universitat Jaume I, Castellón, Spain) |
| Abstract: | The link between fiscal decentralization and economic growth is a work-horse field of research which has historically arrived to ambiguous conclusions. Nevertheless, less is known about the regional consequences of an asymmetric decentralized system as in the case of Spain. In this article, we provide evidence for the literature evaluating the two-extreme-cases regions (The Basque Country and The Valencian Community) in terms of how they have been benefited/harmed, after the approval of their respective more recent critical laws regarding the Spanish fiscal decentralization process: (i) the Basque Economic Agreement (BEA, hereinafter) approved in 2002 and (ii) the 2001-model within the common financing system. To undertake this analysis, we develop our empirical strategy based on diff-in-diff regression and the Synthetic Control Method. We intend to demonstrate that an asymmetric fiscal decentralized system, based on cultural or political reasons rather than economic ones, is not innocuous for the economic development of a given region and it has quasi-permanent consequences in terms of convergence for the whole country. We find that the BEA approved in 2002 would have increased the Basque Country level of GDP per capita under diff-in-diff regression and under Synthetic Control method. Conversely, we also find that the approval of the 2001-model, within the common financing system, has implied a considerably reduction in the Valencian level of GDP per capita, also under both methods. |
| Keywords: | economic growth, fiscal decentralization, difference-in-differences, synthetic control method |
| JEL: | C22 H11 H73 H77 O40 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:jau:wpaper:2021/15&r= |
| By: | Emanuele Gabriel Margherita (Università degli studi della Tuscia [Viterbo]); Alessio Maria Braccini |
| Abstract: | In this study, we analyse the value creation of Industry 4.0 (I40) technologies in flexible manufacturing (FM) under a sustainability perspective. I40 is a popular strategy that Western manufacturing organizations adopt to face competition from low-cost producers. Organizations adopting I40 use advanced digital technologies to make production processes more flexible and increasingly automated. Several pieces of evidence confirm how I40 leads to higher productivity and higher-quality products, improving the economic performance of organizations. However, increasing automation may also lead to the reduction of human labour in the production process, which may contribute to the disappearance of jobs, the reduction of expertise and the loss of know-how in manufacturing organizations. While the literature acknowledges the technical and economic advantages of I40, the sustainability of the value created through these technologies deserves further investigation. To address the gap, we complement the IT value theory with the concept of sustainability, including the three dimensions of economic, environmental and social sustainability. We perform a multiple case study analysis of four Italian manufacturing organizations that have successfully implemented I40 technologies in FM. The cases show that I40 technologies support sustainable organizational value when they are deployed with a worker-centric approach. In this condition, the organization leverages workforce activities to continuously fine-tune the technologies and to exploit the adaptive features of the technologies to continuously improve processes. |
| Keywords: | flexible manufacturing,Industry 4.0,sustainability,triple bottom line,social sustainability,multiple case study,technology adoption,IT value,sustainable value |
| Date: | 2021–07–29 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-03442440&r= |
| By: | Samuel Brien |
| Abstract: | This paper examines the effect of wealth concentration on firms’ market powerwhen firm entry is driven by entrepreneurs facing uninsurable idiosyncratic risks. Undergreater wealth concentration, households in the lower end of the wealth distribution aremore risk averse and less willing (or able) to bear the risk of entrepreneurial activities.This has implications for firm entry, competitiveness, and market power.I calibrate a Schumpeterian model of endogenous growth with heterogeneous riskaverse entrepreneurs competing to catch up with firms. This model is unique in thatboth household wealth distribution and a measure of firm markup are endogenouslydetermined on a balanced growth path. I find that a spread in the wealth distributiondecreases entrepreneurial firm creation, resulting in greater aggregate firm marketpower. This result is supported by time series evidence obtained from the estimationof a structural panel VAR with OECD data from eight countries. |
| Keywords: | Wealth inequality, market power, growth, Schumpeterian, endogenous growth, entrepreneur |
| JEL: | E22 E21 L12 O31 O33 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:qed:wpaper:1476&r= |
| By: | Pablo Garcés (Pontifical Catholic University of Ecuador) |
| Abstract: | Behavioral economics offers an account of actual human behavior. Contrasting with the conventional normative approach to rationality, rational choice theory, describes the deviations from optimal decision making. These are attributed to failures in two systems, one in charge of automatic behavior (System 1) and the other responsible for reflective one (System 2). As important as this is, an elaboration of the interaction between them seems to be lacking. Philosophical pragmatism can contribute to address this want. It provides an evolutionary explanation of how people act accounting for the continuity of behavior including habitual and reflective action. The former is captured by habits and the latter directed towards objects. Additionally, it proposes a dialogical self, consisting of an interaction between the 'I', denoting impulse, and the 'me', referring to reflective action. As such, pragmatism can provide fertile ground on which to cultivate behavioral insights. |
| Keywords: | behavioral economics,pragmatism,rationality,agency,transaction |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-03426533&r= |
| By: | Håvard Halland |
| Abstract: | Strategic investment funds (SIFs) are instruments of economic and financial policy, and the operations of these funds have important fiscal implications. These implications span the full cycle of the SIFs’ operations, from funding, through capital allocation, to operations and maintenance of the invested assets. SIFs with a capacity to deploy capital efficiently have the potential to increase the effectiveness of the public expenditure programmes in the SIFs’ respective home countries. However, the establishment and operations of SIFs also carry important fiscal risks, which need to be recognised and addressed. This paper considers the flows of capital into and out of SIFs, as well as the relationship of these flows to the fiscal framework and macro-fiscal context of the SIFs’ home countries. It also looks at the fiscal liabilities that can result from SIFs’ activities, and from their possible insolvency and bankruptcy, offering suggestions for how these risks can be mitigated. Les fonds d'investissement stratégique (SIF pour leur acronyme en anglais) sont des instruments de politique économique et financière, et leurs opérations ont des implications fiscales importantes. Ces implications couvrent un cycle complet, allant du financement à l'allocation de capital, et des opérations à la maintenance des actifs investis. Les SIF capables de déployer efficacement leurs capitaux peuvent accroître l'efficacité des programmes de dépenses publiques dans les pays d'origine des SIF. Cependant, la création et le fonctionnement des SIF comportent également des risques fiscaux importants, qui doivent être reconnus et pris en compte. Ce document examine les flux de capitaux entrant et sortant des SIF, ainsi que la relation de ces flux avec le cadre budgétaire et le contexte macro-budgétaire des pays d'origine des SIF. Il examine également les responsabilités fiscales qui peuvent résulter des activités des SIF et de leur éventuelle insolvabilité et faillite, offrant des recommandations sur la manière dont ces risques peuvent être atténués. |
| Keywords: | fiscal liabilities, fiscal management, fiscal risk, national development funds, public financial management, sovereign debt, sovereign wealth funds, strategic investment funds |
| JEL: | G23 G28 H30 H81 O23 |
| Date: | 2021–12–20 |
| URL: | http://d.repec.org/n?u=RePEc:oec:dcdaab:41-en&r= |
| By: | Zeug, Walther; Kluson, Forrest Rafael; Mittelstädt, Nora; Bezama, Alberto; Thrän, Daniela |
| Abstract: | Our current economic systems are transgressing planetary boundaries globally and yet societal needs are not sufficiently and equally fulfilled. Fostering the bioeconomy as an economy based on renewable resources can be a transformation towards a sustainable future, to fulfill societal needs within planetary boundaries. However, sustainability is not intrinsic to the bioeconomy and consequently advanced and comprehensive monitoring systems on a national scale are needed. In the systemic modeling and monitoring of the German bioeconomy (SYMOBIO) a comprehensive national monitoring framework in the context of global dynamics was developed, and a first pilot report of monitoring results was published and presented to the public in June 2020. Stakeholder participation plays a role in informing monitoring from the beginning. Consequently, in this study we aim at evaluating the pilot report and monitoring as well as the general perception of the bioeconomy by an open survey. We collected approximately 100 responses, mainly from the stakeholder group "science". Most stakeholders are moderately satisfied with the monitoring and reporting. However, social aspects of the bioeconomy like hunger, poverty and inequalities are considered to be underrepresented, and the socio-economic perspective is viewed as too narrow. Future monitoring efforts should be oriented more on international agreed frameworks like the SDGs and be comparable to other monitoring systems and levels. Regarding general perceptions of the bioeconomy, a majority of stakeholders have a vision of a socio-ecological transformation, in contrast to German and European strategies which are seen as business-as-usual capitalism using additional renewable resources. Even though most stakeholders see the current development of bioeconomy critically, they consider the future development as open and encourage a sustainable bioeconomy that creates sustainable consumption and production patterns, global responsibility and compliance with planetary boundaries, as well as economic and ecological justice and participation shaping the overall economy. Our analysis underpins previous perspectives from stakeholder workshops and is embedded in increasingly polarizing societal mentalities of transformations. |
| Keywords: | bioeconomy,sustainability,monitoring,stakeholder participation |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:ufzdps:82021&r= |
| By: | Antoine Bonnet; Alexandre Kolev |
| Abstract: | As Asian societies continue to undergo rapid economic transformation, income distribution and social stratification are set to change radically. A primary characteristic of this evolution is the emergence of wealthier Asian middle-income classes. While middle-income classes are a heterogeneous group, they often come with new policy expectations, and the extent to which they will call for policy changes that are beneficial to more fragile segments of society remains unclear. This paper investigates the characteristics of different income classes in Asia in order to explore the extent to which the emergence of wealthier Asian middle-income classes could become a driver for more inclusive societies. From this perspective, we assess whether middle-income classes share common characteristics with the poor and the near-poor in six Asian countries, i.e. Cambodia, China, Indonesia, Thailand, Pakistan and Viet Nam. The paper finds that, in some aspects, middle-income classes share a number of similar characteristics with lower income classes. We discuss how this resemblance could result in support for policies that could benefit larger segments of society. We also underline the necessity to better integrate the needs of the poor and the near-poor in policy discussions, especially in areas where the interests of lower and upper income classes do not necessarily converge. La rapide transformation des économies émergentes d’Asie a radicalement modifié leur distribution du revenu et leur structure sociale. Cette évolution est notamment caractérisée par l’augmentation du revenu des classes moyennes. Quoique ces classes moyennes sont fortement hétérogènes, il est généralement admis que leur émergence s’accompagne de nouvelles préférences et demandes sur le plan des politiques publiques, et l’alignement de ses préférences avec celles de segments plus fragiles de la société reste à établir. Cet article évalue la mesure dans laquelle les classes moyennes sont différentes des populations pauvres et quasi-pauvres, et, sur cette base, si elles peuvent apparaître comme des moteurs de croissance inclusive, dans six pays asiatiques émergents : le Cambodge, la Chine, l’Indonésie, la Thaïlande, le Pakistan et le Viet Nam. L’article met en évidence une série de similarités entre leur classes moyennes respectives et des groupes au revenu moindre. Nous observons comment ces similarités peuvent soutenir des politiques bénéficiant à de larges pans de la société. Nous soulignons également la nécessité d’intégrer d’avantage les besoins spécifiques des foyers pauvres et quasi-pauvres dans l’établissement de politiques publiques, en particulier dans des domaines où leurs intérêts divergent de ceux des classes moyennes et supérieures. |
| Keywords: | Asia, Income distribution, Inequalities, Social Classes |
| JEL: | D63 N35 O15 |
| Date: | 2021–12–20 |
| URL: | http://d.repec.org/n?u=RePEc:oec:devaaa:347-en&r= |
| By: | Viktor Malein (University of Southern Denmark) |
| Abstract: | Between 1890 and 1913, Russian Empire experienced a rapid transition to an industrial economy, catching up with Western countries. Using accidental elements in German settlement locations in Russia 1763-1861, the paper estimates the effects of the more educated Germans in Russia’s industrial transition in 1890-1913. I demonstrate that German settlers had significant external benefits in their regions through improved schooling infrastructure and increased literacy among the local population. Educational benefits translated into a higher share of industrial occupations, per-capita local expenditures and urbanization by 1897. I also find a positive impact of education on productivity, mainly in industries that experienced technological transformation and had higher human capital requirements. Furthermore, panel estimates reveal that German areas experienced a higher industrial growth only after 1890 with the adaption of more progressive technologies. Finally, I find no evidence supporting alternative explanations of the German impact: increased agricultural productivity, lower exposure to serfdom, demographic transition or changes in landownership structure. |
| Keywords: | Human capital, Russian economic history, Industrialization |
| JEL: | N14 I25 O47 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:hes:wpaper:0221&r= |
| By: | Sonia Bhalotra, Sonia (University of Warwick, CEPR, IEA,CAGE,IZA); Venkataramani, Atheendar (University of Pennsylvania); Walther, Selma (University of Sussex, IZA and CERGE-EI) |
| Abstract: | We investigate women’s fertility, labor and marriage market responses to large declines in child mortality. We find delayed childbearing, with lower intensive and extensive margin fertility, a decline in the chances of ever having married, increased labor force participation and an improvement in occupational status. This constitutes the first evidence that improvements in child survival allow women to start fertility later and invest more in the labor market. We present a new theory of fertility that incorporates dynamic choices and reconciles our findings with existing models of behavior. |
| Keywords: | women’s labor force participation ; fertility timing ; childlessness ; child mortality ; medical innovation JEL Classification: J13 ; I18 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:wrk:warwec:1388&r= |
| By: | Ambler, Kate; Herskowitz, Sylvan; Maredia, Mywish K. |
| Abstract: | Commonly used data collection practices use annual recall to capture individuals’ labor activities over a year. However, long recall periods are likely to suffer from distortions and loss, particularly when work patterns are seasonal and informal. In a panel of rural households in Malawi, we use a survey experiment to test the effect of using long recall periods on the reported number of labor activities, labor supply, and types of work relative to those resulting from a set of shorter, quarterly interviews. We document large losses from the longer recall window, particularly on the extensive margin of labor supply with reductions of over 20%. These losses are greatest for periods furthest from the last survey round and are especially large among individuals whose labor supply is being reported for them, reaching as high as 50% losses for some outcomes. The composition of households’ primary respondents, predominantly male and older, as well as differential effects by age both suggest that use of long recall may lead to meaningful biases by both age and gender in resulting data. |
| Keywords: | Agricultural and Food Policy, Community/Rural/Urban Development, Consumer/Household Economics, Labor and Human Capital |
| Date: | 2021–12–23 |
| URL: | http://d.repec.org/n?u=RePEc:ags:midasp:316616&r= |
| By: | Colin Davis; Ken-ichi Hashimoto; Ken Tabata |
| Abstract: | This paper examines how unionization affects economic growth through its impact on industry concentration in a two-country model of international trade and endogenous productivity growth. Knowledge spillovers link firm-level productivity in innovation with geographic patterns of industry ensuring a faster rate of output when industry is relatively concentrated in the country with the greater labor supply. We show that stronger bargaining power in the relatively large country increases the rate of output growth when labor unions are employment-oriented, but decreases the rate of growth when unions are wage-oriented. We then calibrate the model using labor market data for the United States and the United Kingdom and study the effects of falling union bargaining power on industry location patterns, output growth, and national welfare. |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:dpr:wpaper:1154&r= |
| By: | Karthik Athreya (Federal Reserve Bank of Richmond); Felicia Ionescu (Federal Reserve Board); Urvi Neelakantan (Federal Reserve Bank of Richmond) |
| Abstract: | Online appendix for the Review of Economic Dynamics article |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:red:append:18-378&r= |
| By: | Gael M. Martin; David T. Frazier; Christian P. Robert |
| Abstract: | The 21st century has seen an enormous growth in the development and use of approximate Bayesian methods. Such methods produce computational solutions to certain `intractable' statistical problems that challenge exact methods like Markov chain Monte Carlo: for instance, models with unavailable likelihoods, high-dimensional models, and models featuring large data sets. These approximate methods are the subject of this review. The aim is to help new researchers in particular -- and more generally those interested in adopting a Bayesian approach to empirical work -- distinguish between different approximate techniques; understand the sense in which they are approximate; appreciate when and why particular methods are useful; and see the ways in which they can can be combined. |
| Keywords: | Approximate Bayesian inference, intractable Bayesian problems, approximate Bayesian computation, Bayesian synthetic likelihood, variational Bayes, integrated nested Laplace approximation |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:msh:ebswps:2021-24&r= |