|
on Central and Western Asia |
| By: | Iwan Bos (Maastricht University); Marco A. Marini (Sapienza University of Rome); Riccardo D. Saulle (University of Padova) |
| Abstract: | This paper examines capacity-constrained oligopoly pricing with sellers who seek myopic improvements. We employ the Myopic Stable Set solution concept and establish the existence of a unique pure-strategy price solution for any given level of capacity. This solution is shown to coincide with the set of pure-strategy Nash equilibria when capacities are large or small. For an intermediate range of capacities, it predicts a price interval that includes the mixed-strategy support. This stability concept thus encompasses all Nash equilibria and oers a pure-strategy solution when there is none in Nash terms. It particularly provides a behavioral rationale for di erent pricing patterns, including Edgeworth price cycles and states of hypercompetition with supply shortages. We also analyze the impact of a change in firm size distribution. A merger among the biggest firms may lead to more price dispersion as it increases the maximum and decreases the minimum myopically stable price. |
| Keywords: | Bounded Rationality, Capacity Constraints, Mergers, Myopic Stable Set, Oligopoly Pricing, Supply Shortages |
| JEL: | C72 D43 L13 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:fem:femwpa:2021.32&r= |
| By: | Ufuk Akcigit; Marc Melitz |
| Abstract: | This chapter was prepared for the Handbook of International Economics (Vol. 5) edited by Gita Gopinath, Elhanan Helpman, and Kenneth Rogoff. We provide a review of the recent literature -- both theoretical and empirical -- analyzing the multi-dimensional connections between globalization and innovation. We develop a model that features many of those mechanisms that connect trade and innovation. It features the joint selection of firms into innovation and international market participation (in our model, we restrict that participation to exports). Our model also highlights how exposure to international markets affects the incentives for innovation. |
| JEL: | F12 O31 O4 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29611&r= |
| By: | Böhl, Gregor; Lieberknecht, Philipp |
| Abstract: | We show that if business cycles are driven by financial shocks, the interplay between the effective lower bound (ELB) and the costs of external financing can generate an additional supply-side channel, which causes a disconnect between inflation and output. In normal times, factor costs dominate firms' marginal costs and hence inflation; credit spreads and the nominal interest rate, which together constitute external financing costs, balance out in response to a financial shock. When nominal rates are constrained by the ELB, larger spreads can partly offset the effect of lower factor costs on firms' price setting. The Phillips curve is hence flat at the ELB, but features a positive slope in normal times and thus an overall hockey stick shape. This mechanism also weakens the effects of forward guidance on inflation, since such policy reduces spreads and thereby financing costs. |
| Keywords: | Phillips curve,financial frictions,effective lower bound,disinflation,forward guidance |
| JEL: | C62 C63 E31 E32 E44 E52 E58 E63 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bubdps:552021&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:journl:halshs-03472910&r= |
| By: | Matthias Stefan; Martin Holmén; Felix Holzmeister; Michael Kirchler; Erik Wengström |
| Abstract: | To study whether clients benefit from delegating financial investment decisions to an agent, we run an investment allocation experiment with 408 finance professionals (agents) and 550 participants from the general population (clients). In several between-subjects treatments, we vary the mode of decision-making (investment on one's own account vs. investments on behalf of clients) and the agents' incentives (aligned vs. fixed). We find that finance professionals show higher decision-making quality than participants from the general population when investing on their own account. However, when deciding on behalf of clients, professionals' decision-making quality does not significantly differ from their clients', neither when compensated with a fixed payment nor when facing aligned incentives. Our results further identify a considerable challenge in risk communication between agents and clients: While finance professionals tend to take into account principals' desired risk levels, the constructed portfolios by professionals show considerable overlaps in portfolio risk across different risk levels requested by principals. We argue that this result is due to differences in risk perception. |
| Keywords: | Experimental finance, finance professionals, delegated decision-making, risk communication |
| JEL: | C93 G11 G41 |
| Date: | 2022–02 |
| URL: | http://d.repec.org/n?u=RePEc:inn:wpaper:2022-02&r= |
| By: | Henry Ogiugo (Ajayi Crowther University); Isaac Adesuyi (Elizade University); Sunday Ogbeide (Elizade University) |
| Abstract: | This paper applied the capital-asset pricing model (CAPM) to determine stock returns of listed firms in the Nigeria Stock Exchange (NSE). For the purpose of investigation, annual data on stock price of twenty six (26) listed firms, Treasury bill a measure of risk-free rate and all share indexes a proxy for market returns were extracted while beta value was computed for the period 2010 to 2016 upon which the model was analyzed. Finding indicates that the CAPM generated a very high return among the firms given the influence of the beta coefficient. The study concludes that higher market risk measured by beta, is associated with higher expected returns. It is therefore recommended that managers of firms in other sectors in Nigeria need to constantly use this model to price security return with a view to guiding investors at investing in securities based on risk preference behavior and also to enable them maximize wealth from a basket of portfolio. . |
| Keywords: | Market returns,Treasury bill,beta,covariance,security return,Stock Returns |
| Date: | 2020–12–30 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-03454792&r= |
| By: | Lilah Shema Zlatokrilov (Bank of Israel) |
| Abstract: | In this work, we propose a way to examine the development of fintech banking in the previous decade (2010â2020) through a new index that measures innovation tendency. The index is based on textual analysis of financial statement relying on a sample of 127 banks from 18 countries for the years 2012â2019. The results were compared to the expected trends in the market as may be predicted by the "disruptive innovation" model, given that "fintech" represents the phenomenon known as technologically innovative disorder. The comparison indicates that the proposed index can explain the variance between banks and countries in terms of the development of innovation in banks. The index was found to be significant positively correlated with the granting of a regulatory license to a digital bank without branches. Thus a digital bank may have the effect of innovative disruption to traditional banking in the country in which it was established. While the index reflects a past situation, it shows that banks that have identified the introduction of the innovative disruption have preceded others by using "innovative" terms in their financial statements, so tracking the development of financial statements is of material forecasting value. Based on the literature on the subject, it can be said that if banksâ propensity for innovation increases as fintech becomes more established in the country, an innovation - supporting banking regulation is an important factor in maintaining the competition in banking services a head of the entry of the large technology companies, since the tendency of a regulated market is to wait for the regulator's instructions. |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:boi:wpaper:2021.20&r= |
| By: | Laszlo Tetenyi |
| Abstract: | Developing countries typically integrate into the world economy by first opening up to trade and then later, if at all, by integrating their capital markets. I study the effects of postponing the opening of capital markets in a standard trade model with financial frictions and firm dynamics. As trade barriers fall, the model predicts that capital misallocation declines in the aggregate, but increases among exporters. Allowing capital inflows helps all firms but it also magnifies the losses from misallocation. In the quantitative experiment calibrated to the Hungarian integration episode of the 90s, the benefit of cheaper capital dominates the adverse effect of growing capital misallocation on productivity, leading to higher output, consumption, and welfare than under closed capital markets. Moreover, Hungary could have gained an extra 1 % in welfare, on top of the overall gain of 7 %, by immediately allowing capital inflows after the reduction in trade barriers. |
| JEL: | F15 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ptu:wpaper:w202119&r= |
| By: | Zyed Achour (INTES - Institut national du travail et des études sociales - Université de Carthage - University of Carthage) |
| Abstract: | In this chapter, we address the following question: Does board gender diversity affect global risk? Drawing on agency theory, upper echelon theory, and human capital theory, we hypothesize that gender diversity on the board of directors will decrease the volatility of firm risk. Applying fixed effect estimation on a panel data of listed French companies (SBF120) for the years 2011–2018, the results show a negative link between the percentage of female directors on the board and the standard deviation of monthly stock return as firm risk proxy suggesting that the inclusion of more women on corporate boards could improve financial stability. Our findings contribute to the literature by providing empirical evidence from France occupying the first place at the European level with the most female presence on the boards of directors.1 |
| Keywords: | board gender diversity,board of directors,corporate governance,firm risk,SBF 120 |
| Date: | 2021–11–15 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-03471445&r= |
| By: | Thube, Sneha; Peterson, Sonja; Nachtigall, Daniel; Ellis, Jane |
| Abstract: | This paper reviews quantitative estimates of the economic and environmental benefits from different forms of international co-ordination on carbon pricing based on economic modelling studies. Forms of international co-ordination include: harmonising carbon prices (e.g. through linking carbon markets), extending the coverage of pricing schemes, phasing out fossil fuel subsidies, developing international sectoral agreements, and establishing co-ordination mechanisms to mitigate carbon leakage. All forms of international co-operation on carbon pricing could deliver benefits, both economic (e.g. lower mitigation costs) and environmental (e.g. reducing greenhouse gas (GHG) emissions and carbon leakage). There is scope to considerably increase the coverage of carbon pricing, since until 2021 only around 40% of energy-related CO2 emissions in 44 OECD and G20 countries face a carbon price. There is also significant scope to improve international co-ordination on carbon pricing: moving from unilateral carbon prices to a globally harmonized carbon price to reach the 1st round of NDC targets for 2030 can reduce global mitigation cost on average by two thirds or $229 billion. Benefits tend to be higher with broader participation of countries, broader coverage of emissions and sectors and, more ambitious policy goals. Extending carbon pricing to non-CO2 GHG could reduce global mitigation costs by up to 48%. Absolute cost savings from harmonized carbon prices increase by almost 70% in 2030 for reductions in line with the 2 °C target. Most, but not all, countries gain economic benefits from international co-operation, and these benefits vary significantly across countries and regions. Complementary measures outside co-operation on carbon pricing (e.g. technology transfers) could potentially ensure that co-operation provides economic benefits for all countries. |
| Keywords: | climate change mitigation,harmonizing carbon pricing,fossil fuel subsidy reforms,border carbon adjustment,greenhouse gas mitigation,sectoral agreements,climate-economy-modelling |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:ifwkie:248648&r= |
| By: | Schain, Jan Philip |
| Abstract: | This article analyzes the impact of institutional investors on firm productivity duringthe financial crisis 2008/09 across European manufacturing industries. Using propen-sity score matching combined with a difference in differences estimator I find a positivesignificant effect of 2% of foreign institutional ownership. Employing a variety of prox-ies for financial constraints, the article shows that the effect is driven by industries,countries, and firms that are more financially constrained indicating that foreign insti-tutional ownership prevents the known productivity slowdown during the financial crisisby alleviating financial constraints. |
| Keywords: | Institutional Investors,Financial Crisis,Productivity,Financial Constraints |
| JEL: | F61 G23 G32 G01 L25 D22 D24 |
| Date: | 2022 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:dicedp:379&r= |
| By: | Julia M. Puaschunder (The New School, Department of Economics, School of Public Engagement, USA) |
| Abstract: | The fields of law and economics are hallmarks of social sciences. Legal studies account for the oldest foundations of scholarly work and have ever since been part of academic institutions. Since the inception of the science of economics, this standardized way of measuring utility had rising popularity. Surprisingly, the interdisciplinary discourse of Law and Economics has just recently started in the previous decades. In today’s world, the time has come to acknowledge the power of integrating Law and Economics as a most important approach to solve the most pressing issues of our contemporary times. Climate change, inequality and the introduction of Artificial Intelligence (AI) into our society will require the bundled strength of Law and Economics to successfully understand, harness the positive advancement but also curb harmful consequences of the opportunities and threats of our contemporary society. Law offers a humane-ethical clarity, governmental impetus and practical feasibility but also historical adaptability to implement societal changes including a legal birds-eye view of comparative approaches around the world, an exemplary sensitivity to disparate impacts of external influences on society but also clear guidelines how far the individual freedom can be granted in light of common security protection and societal welfare enhancement. Economics features the most advanced discounting of future value methods, an exemplary formalization of societal welfare maximization over time but also the most sophisticated ways to quantify societal losses over time and in often-overlooked or behaviorally-unforeseen externalities. Only in the harmonious combination of both disciplines will the most pressing contemporary predicaments of our time be solved and widespread inequalities be alleviated through fine-tuned redistribution mechanisms. Acknowledging the power of an interdisciplinary approach and cherishing a unique field of Law and Economics can help bridge the gap between societal entities. Adopting an interdisciplinary study approach with a commonly-understood language will promote a mutual understanding of multi-faceted insights in order to harvest the benefits of a fruitful Law and Economics Gestalt that is greater than its law and economics components. |
| Keywords: | AI, Artificial Intelligence, Climate Change, Coronavirus crisis, COVID-19, Disparate impact, Economics, Economics of the Environment, Environmental Justice, Environmental Governance, Equality, Family, Female Empowerment, Gender, Household, Law, Law and Economics, Mathematical formalization, Monetary policy, Multiplier, Nuclear family, Redistribution, Social Justice, Sustainability, Zero Waste movement |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:smo:lpaper:0117&r= |
| By: | Ms. Mitali Das; Ms. Gita Gopinath; Şebnem Kalemli-Özcan |
| Abstract: | We show that “preemptive” capital flow management measures (CFM) can reduce emerging markets and developing countries’ (EMDE) external finance premia during risk-off shocks, especially for vulnerable countries. Using a panel dataset of 56 EMDEs during 1996–2020 at monthly frequency, we document that countries with preemptive policies in place during the five year window before risk-off shocks experienced relatively lower external finance premia and exchange rate volatility during the shock compared to countries which did not have such preemptive policies in place. We use the episodes of Taper Tantrum and COVID-19 as risk-off shocks. Our identification relies on a difference-in-differences methodology with country fixed effects where preemptive policies are ex-ante by construction and cannot be put in place as a response to the shock ex-post. We control the effects of other policies, such as monetary policy, foreign exchange interventions (FXI), easing of inflow CFMs and tightening of outflow CFMs that are used in response to the risk-off shocks. By reducing the impact of risk-off shocks on countries’ funding costs and exchange rate volatility, preemptive policies enable countries’ continued access to international capital markets during troubled times. |
| Keywords: | Preemptive policies, UIP, external finance premia, risk-off shocks, FX debt |
| Date: | 2022–01–07 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2022/003&r= |
| By: | John Ameriks; Andrew Caplin; Minjoon Lee; Matthew D. Shapiro; Christopher Tonetti |
| Abstract: | Cognitive decline may lead older Americans to make poor financial decisions. Preventing poor decisions may require timely transfer of financial control to a reliable agent. Cognitive decline, however, can develop unnoticed, creating the possibility of suboptimal timing of the transfer of control. This paper presents survey-based evidence that wealthholders regard suboptimal timing of the transfer of control, in particular delay due to unnoticed cognitive decline, as a substantial risk to financial well-being. This paper provides a theoretical framework to model such a lack of awareness and the resulting welfare loss. |
| JEL: | D14 E21 G51 G53 |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29634&r= |
| By: | Andrea Bellucci (University of Insubria); Serena Fatica; Aliki Georgakaki; Gianluca Gucciardi (UniCredit Bank); Simon Letout; Francesco Pasimeni (IRENA – International Renewable Energy Agency) |
| Abstract: | This paper explores the role of green innovation in attracting venture capital (VC) financing. We use a unique dataset that matches information on VC transactions, companies' balance sheet variables and data on patented innovation at the firm level over the period 2008-2017. Taking advance of a novel granular definition of green innovative activities that tracks patents at the firm level, we show that green innovators are more likely to receive VC funding than firms without green patents. Likewise, a larger share of green vs. non-green patents in a firm's portfolio increases the probability of receiving VC finance. Robustness checks and extensions tackling several dimensions of heterogeneity corroborate the view that green patenting is an important driver of VC funding. |
| Keywords: | Venture capital, Green ventures, Patents, Green technology |
| JEL: | G24 M13 M21 O35 Q55 |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:anc:wmofir:171&r= |
| By: | Spyridon Boikos (University of Macedonia); Theodore Panagiotidis (University of Macedonia); Georgios Voucharas (University of Macedonia) |
| 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: | 2021–12–29 |
| URL: | http://d.repec.org/n?u=RePEc:lie:wpaper:98&r= |
| By: | Philip J. Glandon; Kenneth Kuttner; Sandeep Mazumder; Caleb Stroup |
| Abstract: | How is macroeconomic research conducted and what is it trying to accomplish? We explore these questions using information gleaned from 1,894 articles published in ten leading journals. We find that over the past 40 years there has been a growing emphasis on increasingly sophisticated quantitative theory, such as DSGE modeling, and papers employing these methods now account for the majority of articles in macro journals. The shift towards quantitative theory is mirrored by a decline in the use of econometric methods to test economic hypotheses. Econometric techniques borrowed from applied microeconomics have to a large extent displaced time series methods, and empirical papers increasingly rely on micro and proprietary data sources. Market imperfections are pervasive, and the amount of research involving financial frictions has increased significantly in the past ten years. The frequency with which non-macro JEL codes appear in macro articles indicates a great deal of overlap between macroeconomics and other fields. |
| JEL: | A11 A14 B22 B41 E00 |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29628&r= |
| By: | Ana Cristina Soares; Philipp Meinen |
| Abstract: | This paper analyses the impact of financial frictions on markup adjustments at the firm level. We use a rich panel data set that matches information on banking relationships with firm-level data. By relying on insights from recent contributions in the literature, we obtain exogenous credit supply shifters and markups that are both firm specific and time varying. We uncover new findings at this level. In particular, firms more exposed to liquidity risks tend to raise markups in response to negative bank-loan supply shocks, while less exposed firms generally reduce them. Further empirical analyses suggest that our findings are mostly consistent with models featuring a sticky customer base, where financially constrained firms have an incentive to raise markups in order to sustain liquidity. Our results have important economic implications regarding the cyclicality of the aggregate markup. |
| JEL: | D22 G01 G10 L11 L22 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ptu:wpaper:w202122&r= |
| By: | Ignacio Campomanes (NCID, University of Navarra) |
| Abstract: | This paper analyzes how the different mechanisms proposed to explain the inequality-growth relation are affected by the introduction of social mobility in a politico-economic environment with imperfect tax enforcement. I show that the direct negative effect of inequality on growth predicted by models of incomplete markets is especially pronounced in societies with low social mobility, while it is lessened in highly mobile economies. This is due the different effects of the increase in inequality on redistribution in each case. Conversely, in models where inequality favors economic growth because of investment indivisibilities or heterogeneity in marginal propensities to save among the population, the opposite result applies. Inequality is especially beneficial for economic growth when social mobility is low, as the compensating effect of redistribution is reduced. Finally, exogenous taxation costs modulate the previous findings depending on whether redistribution helps or retards economic growth. Conditional correlations of market inequality and economic growth across countries point to an important modulating effect of social mobility. |
| Keywords: | Inequality, Social Mobility, Economic Growth, Taxation |
| JEL: | E24 E62 O43 P16 |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:inq:inqwps:ecineq2022-599&r= |
| By: | Naji Massad (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique); Jørgen Vitting Andersen (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, CNRS - Centre National de la Recherche Scientifique) |
| Abstract: | We introduce a non-linear pricing model of individual stock returns that defines a "stickiness" parameter of the returns. The pricing model resembles the capital asset pricing model (CAPM) used in finance but has a non-linear component inspired from models of earth quake tectonic plate movements. The link to tectonic plate movements happens, since price movements of a given stock index is seen adding "stress" to its components of individual stock returns, in order to follow the index. How closely individual stocks follow the index's price movements, can then be used to define their "stickiness". |
| Keywords: | stickiness of stock returns,non-linear CAPM |
| Date: | 2020–06 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:halshs-03483251&r= |
| By: | Yuanrong Wang; Tomaso Aste |
| Abstract: | Market conditions change continuously. However, in portfolio's investment strategies, it is hard to account for this intrinsic non-stationarity. In this paper, we propose to address this issue by using the Inverse Covariance Clustering (ICC) method to identify inherent market states and then integrate such states into a dynamic portfolio optimization process. Extensive experiments across three different markets, NASDAQ, FTSE and HS300, over a period of ten years, demonstrate the advantages of our proposed algorithm, termed Inverse Covariance Clustering-Portfolio Optimization (ICC-PO). The core of the ICC-PO methodology concerns the identification and clustering of market states from the analytics of past data and the forecasting of the future market state. It is therefore agnostic to the specific portfolio optimization method of choice. By applying the same portfolio optimization technique on a ICC temporal cluster, instead of the whole train period, we show that one can generate portfolios with substantially higher Sharpe Ratios, which are statistically more robust and resilient with great reductions in maximum loss in extreme situations. This is shown to be consistent across markets, periods, optimization methods and selection of portfolio assets. |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2112.15499&r= |
| By: | Nils D. Steiner (Johannes Gutenberg University Mainz) |
| Abstract: | One popular explanation for the rise of populism points to growing economic inequality. This explanation remains contested, however, not least because direct evidence on the link between economic inequality and support for populism is scarce. This contribution puts forth the simple argument that anti-elite populist sentiments flourish in contexts of high economic inequality, when and because individuals perceive income distributions to be unfair. To probe the different observable implications of this argument, several survey datasets are analyzed. First, German survey data indicate that individuals who think that differences in income are too large are much more inclined to hold populist attitudes. Second, international survey data from the ISSP show the trend towards growing income concentration to be reflected in a growing tendency of the public to view income differences as too large. Third, international survey data from the latest wave of the CSES suggest that populist attitudes are more widespread in countries with higher levels of economic inequality. Collectively, these findings point to the plausibility of a link between growing inequality and populism’s upsurge, thereby contributing to the ongoing debate. |
| Keywords: | Populism, populist attitudes, economic inequality, injustice perceptions, inequity aversion |
| Date: | 2022–01–14 |
| URL: | http://d.repec.org/n?u=RePEc:jgu:wpaper:2203&r= |
| By: | Ion LAPTEACRU |
| Abstract: | Based on an extensive dataset of 1,156 European banks over the 1995-2015 period, we aim to provide new insights on the determinants of European banks’ risk-taking during crisis events, employing a novel asymmetric Z-score. Our results suggest that more capital, lower ratios of loans to deposits and of liquid assets to total assets and lower share of non-deposit and short-term funding in total funding are associated with lower bank risk and this relationship is stronger during the crises. Moreover, having low costs compared to their revenues reduces the risk of European banks in normal times and has the same impact during the crises. Being involved in non-interest-generating activities makes banks riskier. Finally, being large and having higher net interest margin make banks more stable, but this positive effect is diminished for the size and vanished for the profitability during crisis times. And some differences are observed between Western and Eastern European countries. countries exhibit less regulatory intensity than developed countries. This result suggests that it will require more technical and financial resources for developing countries to comply with measures imposed by developed countries that adopt more stringent technical measures than they do. |
| Keywords: | European banking; bank risk; financial crisis; Z-score |
| JEL: | G21 |
| Date: | 2022 |
| URL: | http://d.repec.org/n?u=RePEc:grt:bdxewp:2022-02&r= |
| By: | Berrak Bahadir (Department of Economics, Florida International University); Dora Gicheva (Department of Economics, University of North Carolina at Greensboro) |
| Abstract: | This paper investigates the macroeconomic implications of the rise in outstanding student debt in the United States using state-level data for the 2003–2019 period. We show that an increase in the state-level student debt-to-income ratio contributes to lower consumption growth in the medium run. The estimated effects are larger when we use an instrumental variable approach relying on exogenous policy changes including variations in state appropriations for higher education, increases in annual limits for subsidized federal student loans, and federal loan interest rate changes. The instrumental variable results show the hypothetical impact of an increase in student debt without an associated increase in educational attainment. We also find suggestive evidence that expansions in student loans lead to subsequent increases in credit card debt. |
| Keywords: | student loans, household credit, consumption, credit card debt |
| JEL: | E21 G51 I22 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:fiu:wpaper:2126&r= |
| By: | Nicolás Salamanca (Melbourne Institute: Applied Economic & Social Research, The University of Melbourne | ARC Centre of Excellence for Children and Families over the Life Course Institute of Labor Economics); Andries de Grip (Research Centre for Education and the Labour Market, Institute of Labor Economics; Netspar); Olaf Sleijpen (Department of Economics, Maastricht University; De Nederlandsche Bank) |
| Abstract: | We show that people exposed to greater pension risk are less likely to invest in risky assets. We exploit a reform that links people’s future pension benefits to their pension funds’ funding ratio—a measure of the fund’s financial health—making funding ratios a fund-specific measure of pension risk. The effect of pension risk is stronger for people who are better informed about their pensions, for retirees and pension-age non-retirees, and for wealthier people. The funding ratio does not affect investments in a pre-reform period, nor does it affect bequest intentions, (expected) retirement, or the motivations for saving. |
| Keywords: | Individual portfolio choice; background risk; retirement planning; pension reform; The Netherlands |
| JEL: | D14 J22 |
| Date: | 2020–04 |
| URL: | http://d.repec.org/n?u=RePEc:iae:iaewps:wp2020n05&r= |
| By: | Christos Koulovatianos; Carsten Schröder |
| Abstract: | Equivalence Scales are a tool for removing the heterogeneity of household sizes in the measurement of inequality, and affect poverty assessments and poverty lines. We address the disadvantage that poor households may suffer due to their reduced ability to share goods within the household. This disadvantage is important to estimate and embed in standard analysis, as it seems to have a substantial quantitative impact on the measurement of poverty. We also suggest that future research on the role of subsistence incomes of different household types in utility functions may shed light on explanations for poverty and may guide anti-poverty policies. |
| Keywords: | Equivalent incomes, household-size economies, inequality, demographics and poverty, child costs, Generalized Equivalence Scale Exactness |
| JEL: | I32 D14 D63 D15 |
| Date: | 2022 |
| URL: | http://d.repec.org/n?u=RePEc:diw:diwwpp:dp1991&r= |
| By: | Sarantis Tsiaplias (Melbourne Institute: Applied Economic & Social Research, the University of Melbourne); Qi Zeng (Department of Finance, the University of Melbourne); Guay Lim (Melbourne Institute: Applied Economic & Social Research, the University of Melbourne) |
| Abstract: | Using a novel quarterly survey of 23 thousand Australian retail equity investors spanning eight years, we study the relationship between investor beliefs and their trading preferences. We provide evidence that, consistent with Mean-Variance preferences, both lower returns and higher volatility increase the marginal propensity to sell. Furthermore, we find that while demographic characteristics and investment experiences are predictive of the holding preferences of retail investors, they are uninformative about their trading directional preferences (i.e. whether to buy or sell). Our findings suggest that a representative-agent portfolio model with Mean-Variance preferences is sufficient to explain the trading directional preferences of retail investors, but not their holding patterns. |
| Keywords: | investor expectiations, shareholder surveys, trading preferences, Mean-Variance utility. |
| JEL: | G11 G40 C35 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:iae:iaewps:wp2021n27&r= |
| By: | Urban Jermann |
| Abstract: | The credit sensitivity of LIBOR helped lenders during the financial crisis. SOFR is not credit-sensitive and would not have provided that support. The cumulative additional interest from LIBOR during the crisis is estimated to be between 1% to 2% of the notional amount of outstanding loans, depending on the tenor and type of SOFR rate used. The amount of LIBOR business loans owned by banks could have been as high as about 2trn, and the overall additional interest income banks received thanks to LIBOR could have been as high as 30bn dollars. The analysis also shows that a compounded SOFR reduces insurance relative to a term SOFR. |
| JEL: | E43 G21 G28 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29614&r= |
| By: | Biagio Bossone |
| Abstract: | This article is about the economics of the power of global finance to enforce its own interests over national economies. In line with the capital structure irrelevance principle of Modigliani and Miller (1958) as applied to corporate finance, the article shows that the value of the public sector claims (money and debt) of a financially globalized economy is independent of the capital structure of the government’s finances. In particular, the article transposes the Modigliani-Miller approach (enhanced as needed) to public finances and proves a new "neutrality theorem" (and two important related corollaries) whereby, in an economy that is internationally highly financially integrated, the cost of the capital needed by governments to finance their deficits is independent of whether: i) financing originates from debt or money, ii) debt is denominated in domestic or foreign currency, and iii) money and debt are issued under floating or fixed exchange rates. The two corollaries show that governments seeking to monetize their deficits must remunerate money holdings with a return that vary inversely with credibility is lower and directly with the stock of money (eventually defying the original policy objective). The article discusses the options available for countries to approach financial globalization. |
| Keywords: | capital structure; credibility; debt, equity, and money; global financial investors; credibility; policy space; public sector claims |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:pke:wpaper:pkwp2202&r= |
| By: | Jose Luis Oreiro; Kalinka Martins da Silva |
| Abstract: | The Brazilian New Developmentalist School, also known as "consensus of São Paulo", can be understood as an approach to the deep determinants of economic development in which macroeconomic policy regime has a key role in explaining the long-term growth differentials among countries, notably middle-income countries. The school was originated from the seminal works of Bresser-Pereira (2006, 2007 and 2009) who defined new developmentalism as a set of proposals for institutional reforms and economic policies, whereby the middle-income countries seek to achieve the per-capita income level of developed countries. The first aim of this article is to present the theoretical foundations and the recent developments of the New Developmentalism School. Regarding the theoretical foundations, New Developmentalism is based on the so-called Structuralist Development Macroeconomics, which can be understood as a synthesis between Classical Development Theory, Latin American Structuralism and Post-Keynesian demand-led growth models. One of the most known and controversial features of new developmentalism is the key role of the manufacturing industry and real exchange rate in the process of economic development. The present article presents the state-of-the art reasoning of the New-Developmentalist school about why and how real exchange rate and manufacturing industry matters for long-run growth. Finally, the article discusses the convergences and divergences between New-Developmentalism and Balance of Payments Constrained Growth models, which are up today the major heterodox explanation for uneven development. |
| Keywords: | New-Developmentalism, Structuralist Development Macroeconomics, Real Exchange Rate |
| JEL: | O11 O14 O40 |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:pke:wpaper:pkwp2204&r= |
| By: | Courtney Coile; et al. |
| Abstract: | The decline in the labor force participation of older men throughout the 20th century, as well as the substantial increases in participation among older men and women over the past two decades, have generated substantial interest in understanding the effect of public pension programs on retirement decisions. This paper details the work of the National Bureau of Economic Research’s International Social Security (ISS) Project, a long-term collaboration among researchers in a dozen developed countries, to explore this and related questions. The ISS project employs a harmonized approach to conduct within-country analyses that can be combined for meaningful cross-country comparisons. The key lesson learned from this project is that the choices of policy makers affect the incentive to work at older ages and that these incentives have important effects on retirement behavior. |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:fda:fdaddt:2022-02&r= |
| By: | Habis, Helga; Perge, Laura |
| Abstract: | In this paper, we show that the capital asset pricing model can be derived from a three-period general equilibrium model. We show that our extended model yields a Pareto efficient outcome. This result indicates that the beta pricing formula could be applied in a long term model settings as well. |
| Keywords: | general equilibrium, CAPM, intertemporal choice, Pareto efficiency |
| JEL: | D15 D53 G12 |
| Date: | 2022–01–18 |
| URL: | http://d.repec.org/n?u=RePEc:cvh:coecwp:2022/01&r= |
| By: | Mawuli Segnon (Department of Economics, Institute for Econometric and Economic Statistics and Chair of Empirical Economics, University of Munster, Germany); Rangan Gupta (Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa) |
| Abstract: | We investigate the role of geopolitical risks (GPR) in forecasting stock market volatility in a robust autoregressive Markov-switching GARCH mixed data sampling (ARMSGARCH-MIDAS) framework that accounts for structural breaks through regime switching and allows us to disentangle short- and long-run volatility components driven by geopolitical risks. An empirical out-of-sample forecasting exercise is conducted using unique data sets on Dow Jones Industrial Average (DJIA) index and geopolitical risks that cover the time period from January 3, 1899 to December 31, 2020. We find that geopolitical risks as explanatory variables can help to improve the accuracy of stock market volatility forecasts. Furthermore, our empirical results show that the macroeconomic variables such as output measured by recessions, inflation and interest rates contain information that is complementary to the one included in the geopolitical risks. |
| Keywords: | Geopolitical risks, Volatility forecasts, Markov-switching GARCH-MIDAS |
| JEL: | C52 C53 C58 |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:pre:wpaper:202203&r= |
| By: | Max Marczinek (University of Oxford); Stephan Maurer (University of Konstanz and CEP); Ferdinand Rauch (University of Oxford, CEP and CEPR) |
| Abstract: | How do trade networks persist following disruptions of political networks? We study different types of persistence following the decline of the Hanseatic League using a panel of 21,590 city-level trade flows over 190 years, covering 1,425 cities. We use the Sound Toll data, a dataset collected by the Danish crown until 1857 that registered every ship entering or leaving the Baltic Sea, forming one of the most granular and extensive trade data sets. We measure trade flows by counting the number of ships sailing on a particular route in a given year and estimate gravity equations using PPML and an appropriate set of fixed effects. Bilateral gravity estimation results show that trade among former Hansa cities only shows persistence after its dissolution in 1669 for about 30 years, but this persistence is not robust across different regression specifications. However, when we incorporate the flag under which a ship is sailing and consider trilateral trade (where an observation is a combination of origin, destination, and flag), we find that trade persistently exceeds the gravity benchmark: Hansa cities continued to trade more with each other, but only on ships that were owned in another former Hansa city and thus sailed under a Hansa flag. Similar effects are found for trade among former Hansa cities and their trading posts abroad, yet again only conditional on the ship sailing under a former Hanseatic flag. Trade flows among the same pair of origin and destination cities, but under a different flag, do not show this persistence. Our main result shows that the identity of traders persists longer and more strongly than other forms of trading relationships we can measure. Apart from these new quantitative and qualitative insights on the persistence of trade flows, our paper is also of historic interest, as it provides new and detailed information on the speed of decline of trade amongst members of the Hanseatic League. |
| Keywords: | Hanseatic League, Hansa, Gravity |
| JEL: | F14 N73 N93 |
| Date: | 2022–01–26 |
| URL: | http://d.repec.org/n?u=RePEc:knz:dpteco:2201&r= |
| By: | Basant, Rakesh; Jaiswal, Neha |
| Abstract: | Based on the literature, the paper identifies processes that get initiated post an M&A event and affect the acquiring firm’s innovation efforts. We apply panel fixed effects estimation techniques to analyze the individual impact of mergers and acquisitions on R&D intensity of acquiring firms using data for 217 publically listed Indian pharmaceutical firms (both acquirers and non-acquirers) during 1999-2018. The study finds that acquisitions rather than mergers provide impetus to R&D in the acquiring firms. This suggests that these two combinations – mergers and acquisitions - do not unleash the same type of innovation activity related processes in the acquiring firm. Results also show that when mergers or acquisitions are combined with purchase of assets, they have a positive impact on R&D intensity. Purchase of assets when combined with M&A seem to provide access to relevant complementary assets that makes R&D activity profitable for the acquirer post the merger or acquisition event. Possibly, firms view purchase of assets as a strategy that is complementary to M&A strategies for enhancing innovation. The paper shows that impact of M&A on R&D takes time and it is useful to analyze the impact of mergers and acquisitions separately, rather than combining the two together. |
| Date: | 2022–01–25 |
| URL: | http://d.repec.org/n?u=RePEc:iim:iimawp:14670&r= |
| By: | Thitithep Sitthiyot; Kanyarat Holasut |
| Abstract: | To simultaneously overcome the limitation of the Gini index in that it is less sensitive to inequality at the tails of income distribution and the limitation of the inter-decile ratios that ignore inequality in the middle of income distribution, an inequality index is introduced. It comprises three indicators, namely, the Gini index, the income share held by the top 10%, and the income share held by the bottom 10%. The data from the World Bank database and the Organization for Economic Co-operation and Development Income Distribution Database between 2005 and 2015 are used to demonstrate how the inequality index works. The results show that it can distinguish income inequality among countries that share the same Gini index but have different income gaps between the top 10% and the bottom 10%. It could also distinguish income inequality among countries that have the same ratio of income share held by the top 10% to income share held by the bottom 10% but differ in the values of the Gini index. In addition, the inequality index could capture the dynamics where the Gini index of a country is stable over time but the ratio of income share of the top 10% to income share of the bottom 10% is increasing. Furthermore, the inequality index could be applied to other scientific disciplines as a measure of statistical heterogeneity and for size distributions of any non-negative quantities. |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2112.15284&r= |
| By: | Julien Prat (CNRS - Centre National de la Recherche Scientifique, CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - X - École polytechnique - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - CNRS - Centre National de la Recherche Scientifique); Benjamin Walter |
| Date: | 2021–08–01 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-03506522&r= |
| By: | Javad T. Firouzjaee; Pouriya Khaliliyan |
| Abstract: | Oil companies are among the largest companies in the world whose economic indicators in the global stock market have a great impact on the world economy and market due to their relation to gold, crude oil, and the dollar. To quantify these relations we use the correlation feature and the relationships between stocks with the dollar, crude oil, gold, and major oil company stock indices, we create datasets and compare the results of forecasts with real data. To predict the stocks of different companies, we use Recurrent Neural Networks (RNNs) and LSTM, because these stocks change in time series. We carry on empirical experiments and perform on the stock indices dataset to evaluate the prediction performance in terms of several common error metrics such as Mean Square Error (MSE), Mean Absolute Error (MAE), Root Mean Square Error (RMSE), and Mean Absolute Percentage Error (MAPE). The received results are promising and present a reasonably accurate prediction for the price of oil companies' stocks in the near future. The results show that RNNs do not have the interpretability, and we cannot improve the model by adding any correlated data. |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2201.00350&r= |
| By: | Michel Alexandre; Gilberto Tadeu Lima, Luca Riccetti, Alberto Russo |
| Abstract: | The purpose of this paper is to contribute to a further understanding of the impact of monetary policy shocks on a financial network, which we dub the “financial network channel of monetary policy transmission†. To this aim, we develop an agent-based model (ABM) in which banks extend loans to firms. The bank-firm credit network is endogenously time-varying as determined by plausible behavioral assumptions, with both firms and banks being always willing to close a credit deal with the network partner perceived to be less risky. We then assess through simulations how exogenous shocks to the policy interest rate affect some key topological measures of the bank-firm credit network (density, assortativity, size of largest component, and degree distribution). Our simulations show that such topological features of the bank-firm credit network are significantly affected by shocks to the policy interest rate, and this impact varies quantitatively and qualitatively with the sign, magnitude, and duration of the shocks. |
| Keywords: | Financial network; monetary policy shocks; agent-based modeling. |
| JEL: | C63 E51 E52 G21 |
| Date: | 2022–01–19 |
| URL: | http://d.repec.org/n?u=RePEc:spa:wpaper:2022wpecon1&r= |
| By: | Maniquet, François (Université catholique de Louvain, LIDAM/CORE, Belgium) |
| Abstract: | Poverty measurement based on income or consumption fails to be consistent with welfare: a higher utility (that is, preference satisfaction) of an individual may go together with an increase in the contribution of this individual to poverty. The equivalence approach, which consists of computing the money needed to maintain a given level of utility, is the way to adjust income poverty measurement so that it becomes consistent with welfare. We review four equivalence approaches, and we compare the properties that each approach satisfies or fails to satisfy. Poverty measurement based on deprivation measures, on the other hand, cannot be adjusted to become consistent with welfare. We discuss how weights and deprivation thresholds can be designed in order to decrease the discrepancy between poverty and welfare in deprivation measures. |
| Keywords: | Multidimensional poverty measurement ; preferences ; equivalent income ; distance function ; welfare ratio ; counting approach |
| JEL: | D63 I32 |
| Date: | 2021–09–30 |
| URL: | http://d.repec.org/n?u=RePEc:cor:louvco:2021021&r= |
| By: | Davide Furceri; Mrs. Swarnali A Hannan; Julia Estefania-Flores; Mr. Jonathan David Ostry; Mr. Andrew K. Rose |
| Abstract: | We develop a new Measure of Aggregate Trade Restrictions (MATR) using data from the IMF’s Annual Report on Exchange Arrangements and Exchange Restrictions. MATR is an empirical measure of how restrictive official government policy is towards the international flow of goods and services. MATR is simple, ad hoc, plausible, quantitative, easily updated, based solely on policy-relevant measures of trade policy, and covers an unbalanced sample of up to 157 countries annually between 1949 and 2019. MATR is strongly correlated with, but more comprehensive than, existing measures of openness and trade policy existing measures. We use MATR to show that trade restrictions are harmful for the economy and lead to significant contractions in output. |
| Keywords: | Empricial, data, protection, tariffs, non-tariff barriers, policy, annual, panel. |
| Date: | 2022–01–07 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2022/001&r= |
| By: | Thitithep Sitthiyot; Kanyarat Holasut |
| Abstract: | The pursuit of having an appropriate level of income inequality should be viewed as one of the biggest challenges facing academic scholars as well as policy makers. Unfortunately, research on this issue is currently lacking. This study is the first to introduce the theoretical concept of targeted level of income inequality for a given size of population. By employing the World Bank's data on population size and Gini coefficient from sixty-nine countries in 2012, this study finds that the relationship between Gini coefficient and natural logarithm of population size is nonlinear in the form of a second-degree polynomial function. The estimated results using regression analysis show that the majority of countries in the sample have Gini coefficients either too high or too low compared to their appropriate values. These findings could be used as a guideline for policy makers before designing and implementing public policies in order to achieve the targeted level of income inequality. |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2201.00161&r= |
| By: | Xavier Timbeau (OFCE - Observatoire français des conjonctures économiques - Sciences Po - Sciences Po); Elliot Aurissergues (OFCE - Observatoire français des conjonctures économiques - Sciences Po - Sciences Po); Eric Heyer (OFCE - Observatoire français des conjonctures économiques - Sciences Po - Sciences Po) |
| Abstract: | We propose a definition of public debt sustainability based on the possibility of conducting a fiscal effort or giving support to a macroeconomic path that makes it possible to reach a public debt target over a given horizon. The concepts of a fiscal effort and a macroeconomic trajectory are both speculative, as they rely on the anticipation of unknown futures. By making the parameters of these futures explicit and using them in a parsimonious model, we can generate trajectories that are not forecasts but a means of assessing the effort required to reach a targetthat is conditional on explicit assumptions. Debtwatch is a web applicatio n, freely accessible at https://ofce.shinyapps.io/debtwatchr, that can be used to carry out simulations, not only for France but also for other European countries and certain non-European countries such as the United States, including by modifying the parameters and exchanging assumptions with others. It is possible to carry out a calculation that is transparent (the assumptions are known and can be shared) an d reproducible (the sa me assumptions lead to the same results) and which shouldhelp to further the debate on public debt targets and the associated efforts for a selection of developed countries. |
| Keywords: | public debt,Debtwatch,simulations,calculation,developed countries |
| Date: | 2021–10–22 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-03477397&r= |
| By: | Farmer, J. Doyne; Dyer, Joel; Cannon, Patrick; Schmon, Sebastian |
| Abstract: | Simulation models, in particular agent-based models, are gaining popularity in economics. The considerable flexibility they offer, as well as their capacity to reproduce a variety of empirically observed behaviors of complex systems, give them broad appeal, and the increasing availability of cheap computing power has made their use feasible. Yet a widespread adoption in real-world modelling and decision-making scenarios has been hindered by the difficulty of performing parameter estimation for such models. In general, simulation models lack a tractable likelihood function, which precludes a straightforward application of standard statistical inference techniques. A number of recent works (Grazzini et al., 2017; Platt, 2020, 2021) have sought to address this problem through the application of likelihood-free inference techniques, in which parameter estimates are determined by performing some form of comparison between the observed data and simulation output. However, these approaches are (a) founded on restrictive assumptions, and/or (b) typically require many hundreds of thousands of simulations. These qualities make them unsuitable for large-scale simulations in economics and can cast doubt on the validity of these inference methods in such scenarios. In this paper, we investigate the efficacy of two classes of simulation-efficient black-box approximate Bayesian inference methods that have recently drawn significant attention within the probabilistic machine learning community: neural posterior estimation and neural density ratio estimation. We present a number of benchmarking experiments in which we demonstrate that neural network based black-box methods provide state of the art parameter inference for economic simulation models, and crucially are compatible with generic multivariate time-series data. In addition, we suggest appropriate assessment criteria for use in future benchmarking of approximate Bayesian inference procedures for economic simulation models. |
| Date: | 2022–02 |
| URL: | http://d.repec.org/n?u=RePEc:amz:wpaper:2022-05&r= |
| By: | Daniel Ibrahim Dabara; Job Taiwo Gbadegesin; Abdul-Rasheed Amidu; Tunbosun Biodun Oyedokun; Augustina Chiwuzie |
| Abstract: | Purpose: This study examines how returns on Nigerian REIT (N-REIT) behave in relation to inflation changes from 2008 to 2019 to provide information for investment decisions.Design/Methodology/Approach: Eleven years monthly return data from 2008 to 2019 were collected from databases and annual reports of the three active REITs in Nigeria. Inflation rates covering the study period were collected from the Central Bank of Nigeria’s database. The authors adopt the Fama and Schwert model, an extension of the Fisher hypothesis, to test N- REIT's inflation-hedging capability.Findings: The empirical results suggest that N-REIT has perverse hedging-characteristics (poor inflation hedges) across all inflation exposures (actual, expected, and unexpected). The Engle- Granger causality tests conducted corroborates these results.Practical Implication: This study reveals the peculiar nature of Nigerian REITs in relation to inflation, which could have profound investment implication for domestic and foreign investors.Originality/Value: This study is one of the first to empirically analyse the inflation-hedging characteristics of REITs in the second-largest African REIT market (N-REIT). |
| Keywords: | emerging economies; Inflation-Hedge; Investment; real estate; Returns; risk. |
| JEL: | R3 |
| Date: | 2021–09–01 |
| URL: | http://d.repec.org/n?u=RePEc:afr:wpaper:2021-033&r= |
| By: | Alessia Paccagnini (University College Dublin and CAMA); Fabio Parla (Bank of Lithuania) |
| Abstract: | We contribute to research on mixed-frequency regressions by introducing an innovative Bayesian approach. We impose a Normal-inverse Wishart prior by adding a set of auxiliary dummies in estimating a Mixed-Frequency VAR. We identify a high frequency shock in a Monte Carlo experiment and in an illustrative example with uncertainty shock for the U.S. economy. As the main findings, we document a “temporal aggregation bias” when we adopt a common low-frequency model instead of estimating a mixed-frequency framework. The bias is amplified in case of a large mismatching between the highfrequency shock and low-frequency business cycle variables. |
| Keywords: | Bayesian mixed-frequency VAR, MIDAS, Monte Carlo, uncertainty shocks, macro-financial linkages |
| JEL: | C32 E44 E52 |
| Date: | 2021–12–29 |
| URL: | http://d.repec.org/n?u=RePEc:lie:wpaper:97&r= |
| By: | Brotherhood, Luiz; Kircher, Philipp (Université catholique de Louvain, LIDAM/CORE, Belgium); Santos, Cezar; Tertilt, Michele |
| Abstract: | This paper investigates the importance of the age composition in the Covid-19 pandemic. We augment a standard SIR epidemiological model with individual choices on work and non-work social distancing. Infected individuals are initially uncertain unless they are tested. We find that older individuals socially distance themselves substantially in equilibrium. An optimal lockdown then confines the young more. The strictness and economic costs of the optimal lockdown depend on whether or not individuals can telework. Testing and quarantines save lives, even if conducted just on the young. When some testing is available, the optimal lockdown is much lighter and GDP rises even compared with a no-policy benchmark. |
| Keywords: | Covid-19 ; testing ; social distancing ; age ; age-specific policies |
| JEL: | E17 C63 D62 I10 I18 |
| Date: | 2021–04–01 |
| URL: | http://d.repec.org/n?u=RePEc:cor:louvco:2021034&r= |