|
on Central and Western Asia |
| By: | Botsari, Antonia; Kiefer, Kilian; Lang, Frank; Legnani, Davide |
| Abstract: | The EIF VC Survey, the EIF Private Equity Mid-Market Survey, and the EIF Business Angels Survey (the largest combined regular survey exercises among GPs and Business Angels on a pan-European level) provide an opportunity to retrieve unique market insights. This publication is based on the results of the 2021 EIF PE Mid-Market Survey. The paper focuses on the market sentiment and the impact of COVID-19. The study looks at the current situation, developments in the recent past and expectations for the future. The main results are summarised and compared over time. The publication provides a valuable insight of the developments and the market situation in 2021, as well as an outlook for the near future. |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:eifwps:202178&r= |
| By: | Brückbauer, Frank; Schröder, Michael |
| Abstract: | The ZEW Financial Market Survey is a monthly panel survey among financial market experts that was launched in December 1991. The survey focuses on the experts' expectations about international financial markets and macroeconomic developments. We describe the ZEW Financial Market Survey and the resulting research dataset, which 1) is available for free for academic researchers, 2) is large and includes long individual time series (99,001 responses by 2,002 respondents, as of September 2021), and 3) contains rich information on the financial market experts collected over the years and which can be combined with the data on expectations. We give a detailed overview of the academic publications based on ZEW FMS data and provide information on how to access the dataset. |
| Keywords: | research dataset,financial market experts,financial market expectations |
| JEL: | C8 D84 G17 G4 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:zewdip:21100&r= |
| By: | Montserrat Guillen (Riskcenter-IREA, Universitat de Barcelona.); Miguel Santolino (Riskcenter-IREA, Universitat de Barcelona.); Xenxo Vidal-Llana (Riskcenter-IREA, Universitat de Barcelona.) |
| Abstract: | During a pandemic period, uncertainty about the evolution of the economy is expected to increase, conditioning the economic decisions of individuals. This article studies which factors influence the appearance of subjective economic uncertainty and what are the economic expectations of individuals. The impact of the pandemic on the household economy and the subjective uncertainty that individuals express about the future economic situation of their households are analyzed based on a set of socioeconomic factors that cannot be considered in macroeconomic studies on uncertainty. We use data from a survey conducted in October 2021 taking a representative sample of the population residing in Catalonia (Spain) with a total of 1,604 people interviewed. The results suggest that, when controlling for all other factors, individuals in households with greater saving capacity are those who express less uncertainty regarding their future economic situation and women show greater future uncertainty than men. This study finds evidence that there is an association between the age of the interviewees and economic expectations, with older people being the most pessimistic. However, it is concluded that age is not associated with a greater presence of subjective uncertainty, which means that there has not been a deterioration of confidence beyond retirement. |
| Keywords: | Economic behavior, Expectations, Survey, Savings, Lockdown, Pandemic, Inequality. JEL classification: C83, D14, D31, G41. |
| Date: | 2022–02 |
| URL: | http://d.repec.org/n?u=RePEc:ira:wpaper:202202&r= |
| By: | Jaydip Sen; Ashwin Kumar R S; Geetha Joseph; Kaushik Muthukrishnan; Koushik Tulasi; Praveen Varukolu |
| Abstract: | Stock price prediction is a challenging task and a lot of propositions exist in the literature in this area. Portfolio construction is a process of choosing a group of stocks and investing in them optimally to maximize the return while minimizing the risk. Since the time when Markowitz proposed the Modern Portfolio Theory, several advancements have happened in the area of building efficient portfolios. An investor can get the best benefit out of the stock market if the investor invests in an efficient portfolio and could take the buy or sell decision in advance, by estimating the future asset value of the portfolio with a high level of precision. In this project, we have built an efficient portfolio and to predict the future asset value by means of individual stock price prediction of the stocks in the portfolio. As part of building an efficient portfolio we have studied multiple portfolio optimization methods beginning with the Modern Portfolio theory. We have built the minimum variance portfolio and optimal risk portfolio for all the five chosen sectors by using past daily stock prices over the past five years as the training data, and have also conducted back testing to check the performance of the portfolio. A comparative study of minimum variance portfolio and optimal risk portfolio with equal weight portfolio is done by backtesting. |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2201.05570&r= |
| By: | Xiang Hui; Tobias J. Klein; Konrad Stahl |
| Abstract: | Anonymous markets would be very difficult to successfully operate without the possibility that buyers rate the seller. Yet many empirical results yield that ratings are non-random and concentrate on extreme experiences. We develop a model of rating decisions in which the buyer is willing to share publicly her opinion about a transaction, if its realized quality differs much from the quality expected by her, where expected quality is influenced by an aggregate of the seller’s past ratings. We demonstrate our results empirically using raw data from eBay. In spite of the non-randomness of responses, unweighted rating aggregates appear to rather well reflect reported buyer experience as long as expectations are not extreme. |
| Keywords: | Online Markets, Rating, Reputation |
| JEL: | D83 L12 L13 L81 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:bon:boncrc:crctr224_2021_267v1&r= |
| By: | Zineb El Filali Ech-Chafiq (DAO); Pierre Henry-Labordere (CMAP); J\'er\^ome Lelong (DAO) |
| 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. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2201.02587&r= |
| By: | Jinping Zhang; Keming Zhang |
| Abstract: | Risk management is very important for individual investors or companies. There are many ways to measure the risk of investment. Prices of risky assets vary rapidly and randomly due to the complexity of finance market. Random interval is a good tool to describe uncertainty with both randomness and imprecision. Considering the uncertainty of financial market, we employ random intervals to describe the returns of a risk asset and consider the tail risk, which is called the interval-valued Conditional Value at Risk (ICVaR, for short). Such an ICVaR is a risk measure and satisfies subadditivity. Under the new risk measure ICVaR, as a manner similar to the classical portfolio model of Markowitz, optimal interval-valued portfolio selection models are built. Based on the real data from mainland Chinese stock market, the case study shows that our models are interpretable and consistent with the practical scenario. |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2201.02987&r= |
| By: | Martin M. Andreasen (Aarhus University, CREATES, and the Danish Finance Institute); Giovanni Caggiano (Monash University and University of Padova); Efrem Castelnuovo (University of Padova); Giovanni Pellegrino (Aarhus University) |
| Abstract: | This paper uses a nonlinear vector autoregression and a non-recursive identification strategy to show that an equal-sized uncertainty shock generates a larger contraction in real activity when growth is low (as in recessions) than when growth is high (as in expansions). An estimated New Keynesian model with recursive preferences and approximated to third order around its risky steady state replicates these state-dependent responses. The key mechanism behind this result is that firms display a stronger upward nominal pricing bias in recessions than in expansions, because recessions imply higher inflation volatility and higher marginal utility of consumption than expansions. |
| Keywords: | New Keynesian Model, Nonlinear SVAR, Non-recursive identification, State-dependent uncertainty shock, Risky steady state |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:pad:wpaper:0275&r= |
| By: | Das, Satadru (Reserve Bank of India); Gadenne, Lucie (University of Warwick, Institute for Fiscal Studies and CEPR); Nandi, Tushar (Indian Institute of Science Education and Research (IISER), Kolkata); Warwick, Ross (Institute for Fiscal Studies) |
| Abstract: | This paper investigates the effect of electronic payments technology on firms' tax compliance in a large developing economy. We consider India's demonetization policy which, by limiting the availability of cash, led to a large increase in the use of electronic forms of payments. Using administrative data on firms' tax returns and variation in the strength of the demonetization shock across local areas, we find that greater use of electronic payments leads to firms reporting more sales to the tax authorities. This effect is strong enough to explain roughly half of the large (11%) increase in reported sales observed during demonetization. |
| Keywords: | tax compliance ; electronic payments ; demonetization JEL Classification: H26 ; O23 ; H25 |
| Date: | 2022 |
| URL: | http://d.repec.org/n?u=RePEc:wrk:warwec:1393&r= |
| By: | Lionel Fontagné (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique); Erica Perego; Gianluca Santoni |
| Abstract: | Pandemics, global warming, food security, ageing, depletion of certain raw materials... our economies are faced with global problems, calling for long term actions and raising intergenerational issues. To guide economic policies, it is therefore essential to have a sound framework for reflection. The MaGE (Macroeconometrics of the Global Economy) model, developed by CEPII, makes it possible to draw the fundamental trends of the world economy in the long term, up to 2050. Assuming that the current dynamics of growth and technological catch-up will continue, and taking into account demographic dynamics, the balance of economic power will be strongly transformed over the next generation. Above all, energy consumption is expected to continue to grow at a sustained rate, and even double, despite efforts to improve energy efficiency. Ambitious policies to decarbonize our economies will be necessary to make these prospects for economic growth sustainable. |
| Keywords: | Energy efficiency,Growth models,Long-term growth,Energy use,Total Factor Productivity |
| Date: | 2021–12–09 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-03474032&r= |
| By: | Chistov, Valery; Tanwar, Sunita; Yadav, C.S. |
| Abstract: | Sustainable Entrepreneurship and Innovation are essential tools in the transition towards a more fair, healthy, and sustainable society. This chapter gives an overview of the two decades of research on the topic and discusses the current state of its application. It shows that the current literature lacks a more profound theoretical and practical investigation. Nevertheless, these gaps may be covered soon, as the number of publications in this area is growing. Additionally, the chapter explores the importance of a radical approach, open innovation strategies, and collaboration to foster sustainable entrepreneurship and innovation and tackle the Grand Challenges of modern society. |
| Date: | 2021–12–04 |
| URL: | http://d.repec.org/n?u=RePEc:osf:ecoevo:r5ebg&r= |
| By: | Beatriz de la Flor (Universidad Complutense de Madrid and ICAE (Spain).); Javier Ojea-Ferreiro (Universidad Complutense de Madrid and ICAE (Spain).); Eva Ferreira (Universidad Complutense de Madrid and ICAE (Spain).) |
| Abstract: | The safe-haven property of gold has been widely studied, although little attention has been paid to how exchange rate movements could affect hedging strategies. We analyse the exchange rate role in stock portfolios hedged with gold in several regions from the point of view of non-US and US investors, using vine copulas to model the relation between gold, stock and exchange rates. We find a leading role played by exchange rate hedging stock losses, which outstrips the position of gold (index) in non-US (US) portfolios. The inclusion of the exchange rate can reduce the ES between 107 and 162 bps. An out-of-sample exercise supports our results. The implications of this study go beyond risk management decisions. Regulatory and supervisory authorities might find tools to assess the performance of financial assets under market distress scenarios. |
| Keywords: | Exchange rate risk; Hedging strategy; Risk measures; Tail dependence; Vine copula. |
| JEL: | C52 C58 C61 F13 G1 |
| Date: | 2022 |
| URL: | http://d.repec.org/n?u=RePEc:ucm:doicae:2201&r= |
| By: | Herve Kaffo Fotio (University of Maroua, Cameroon); Tii N. Nchofoung (University of Dschang, Cameroon); Simplice A. Asongu (Yaoundé, Cameroon) |
| Abstract: | Despite growing attention on the role of renewable energy in promoting economic growth and environmental sustainability, its adoption rate remains uncomfortably low, especially in developing countries. This study attempts to explore the ways to extend the installed capacity of renewable energy in 16 sub-Saharan African (SSA) countries over the period 1980-2017. The results from panel cointegration econometric techniques suggest that policies to enhance financial integration should increase the installed capacity of renewable energy in SSA, though the beneficial effect is only statistically significant in the long run. This effect holds, although disproportionately when the financial integration index is disaggregated into its de facto and de jure aspects. Moreover, the quantile regression analysis reveals that the effect of financial integration on renewable energy capacity is positive but heterogeneous across the conditional distribution of renewable energy capacity. However, the positive effect of financial integration is not enough to ensure the diversification of the energy mix, measured as the share of renewable installed capacity in the total installed capacity. The results show that economic growth is positively linked to renewable energy generation capacity while financial development is negatively associated with renewable energy production. Overall, these findings suggest that policies to increase the openness to foreign capitals are welcomed as far as renewable energy generation is concerned. |
| Keywords: | Financial integration, Renewable energy, Sub-Saharan Africa, Cointegration |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:agd:wpaper:22/016&r= |
| By: | Bellucci, Andrea (Universita Degli Studi Dell'insubria); Fatica, Serena (European Commission); Georgakaki, Aliki (European Commission); Gucciardi, Gianluca (Unicredit Bank); Letout, Simon (European Commission); Pasimeni, Francesco (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: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:jrs:wpaper:202111&r= |
| By: | Mounir Dahmani (Université de Gafsa, Tunisie); Mohamed Mabrouki (Université de Gafsa, Tunisie); Adel Ben Youssef (Université Côte d'Azur, France; GREDEG CNRS) |
| Abstract: | This paper analyzes the nexus between consumption of renewable and non-renewables energies, financial development, diffusion of information and communication technology (ICT) and economic growth in the MENA countries. We employ a cross-section augmented autoregressive distributed lag (CS-ARDL) modeling approach to analyze the effect of our explanatory variables on economic growth. We find a positive impact of renewable and non-renewable energies on economic growth. Financial development is related negatively to economic growth which may be explained among other things, by a weak financial sector, macroeconomic volatility and financial crises, or the existence of non-linear relationships. We find a positive and statistically significant influence of ICT on GDP. Renewable energies and diffusion of ICT can be considered important determinants of improved economic activity, job creation and create jobs and a better environment. |
| Keywords: | ICT, financial development, renewable and non-renewable energy consumption, MENA, dynamic panel, CS-ARDL |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:gre:wpaper:2021-46&r= |
| By: | S{\o}ren Fiig Jarner |
| Abstract: | In this report we derive the strategic (deterministic) allocation to bonds and stocks resulting in the optimal mean-variance trade-off on a given investment horizon. The underlying capital market features a mean-reverting process for equity returns, and the primary question of interest is how mean-reversion effects the optimal strategy and the resulting portfolio value at the horizon. In particular, we are interested in knowing under which assumptions and on which horizons, the risk-reward trade-off is so favourable that the value of the portfolio is effectively bounded from below on the horizon. In this case, we might think of the portfolio as providing a stochastic excess return on top of a "guarantee" (the lower bound). Deriving optimal strategies is a well-known discipline in mathematical finance. The modern approach is to derive and solve the Hamilton-Jacobi-Bellman (HJB) differential equation characterizing the strategy leading to highest expected utility, for given utility function. However, for two reasons we approach the problem differently in this work. First, we wish to find the optimal strategy depending on time only, i.e., we do not allow for dependencies on capital market state variables, nor the value of the portfolio itself. This constraint characterizes the strategic allocation of long-term investors. Second, to gain insights on the role of mean-reversion, we wish to identify the entire family of extremal strategies, not only the optimal strategies. To derive the strategies we employ methods from calculus of variations, rather than the usual HJB approach. |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2201.05375&r= |
| By: | João Tovar Jalles; Georgios Karras |
| Abstract: | Early evidence suggests that COVID-19 caused a sharp decrease in international trade and a widening of current account imbalances. This paper shows that (qualitatively) similar responses have characterized the effects of previous pandemics. Using data from a sample of 170 countries, we find that a pandemic shock is typically followed by a sizable decrease in output and trade volumes, but an uneven current account response: balances improve in developed (or surplus) economies but deteriorate in developing (or deficit) ones. We also explore potential mechanisms for this asymmetry, and our evidence is pointing to national saving and the business cycle phase as the main reasons behind the divergent current account dynamic responses. |
| Keywords: | pandemics; current account; local projection; panel data; recessions; nonlinearities |
| JEL: | C33 E32 F14 F40 I15 |
| Date: | 2022–02 |
| URL: | http://d.repec.org/n?u=RePEc:ise:remwps:wp02142022&r= |
| By: | Dong, Mei; Huangfu, Stella |
| Abstract: | The difference in unemployment rates between the U.S. and Europe is well documented. In this paper we develop a simple model with frictional labour, goods and credit markets to understand the extent to which difference in unemployment rates across the U.S. and Europe can be explained by differences in income tax rate, unemployment benefits, monetary policy, and financial liberalizations. Our quantitative analysis shows that among these four factors, labour income taxes is the leading cause of the observed cross-country difference in unemployment rates, followed by unemployment benefits and financial liberalizations. Monetary policy is not a contributing factor to the comparatively high unemployment in Europe. |
| Keywords: | credit; money; search; unemployment |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:syd:wpaper:2021-08&r= |
| By: | Narciz Balasoiu (Academy of Economic Studies – Faculty of International Business, Bucharest, Romania) |
| Abstract: | The block chain is seen as a new generation of the Internet, even called by some experts the New Internet. It can also be considered as an Internet of Transactions. These definitions tend to associate the block chain with the concept of the Internet of the People who use it daily and which are in turn extended to the Internet of Things (IoT) or to Internet of Value. This type of technology has multiple uses in financial and banking sector, but one of the most notorious applications associated with block chain remain the so-called cryptocurrencies. This field has grown rapidly in recent years, and the key to success and growing popularity are the seven principles: Decentralization, transparency, and security through security, stability and constancy over time, consensus, and responsibility. |
| Keywords: | Block chain, finance, cryptocurrencies, bitcoin, Fintech |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:smo:lpaper:0060&r= |
| By: | Alessi, Lucia (European Commission); Battiston, Stefano (University Ca' Foscari of Venice) |
| Abstract: | We develop the first top-down method to estimate the greenness of financial portfolios, in terms of alignment to the EU Taxonomy for sustainable activities. We also develop a method to estimate, at the same time, the portfolio exposure to climate transition risk. We provide sector-level, standardized and transparent coefficients for both estimates, based on definitions of greenness and transition risk that are applicable across countries. We analyse the portfolios of Euro Area investors in 2020, based on the confidential Securities Holdings Statistics of the European Central Bank. We find that, overall, the greenness of Euro Area investors' portfolios is lower than their exposure to transition risk (1.3% vs. 5.5%). Across financial institutions, we estimate greenness and exposure to transition risk, respectively, at 1.4% and 6.1% for investment funds, at 0.3% and 1.7% for banks and at 1.2% and 5.0% for insurers. Our analysis also shows that investors with large amounts invested in green activities can have at the same time large exposures to transition risk. |
| Keywords: | greenness, climate transition risk, climate-related financial disclosures, EU Taxonomy, green financial flows |
| JEL: | G2 G3 Q54 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:jrs:wpaper:202114&r= |
| By: | Giulio Bottazzi; Daniele Giachini |
| Abstract: | We consider a market economy where two rational agents are able to learn the distribution of future events. In this context, we study whether moving away from the standard Bayesian belief updating, in the sense of under-reaction to some degree to new information, may be strategically convenient for traders. We show that, in equilibrium, strong under-reaction occurs, thus rational agents may strategically want to bias their learning process. Our analysis points out that the underlying mechanism driving ex-ante strategical decisions is diversity seeking. Finally, we show that, even if robust with respect to strategy selection, strong under-reaction can generate low realized welfare levels because of a long transient phase in which the agent makes poor predictions. |
| Keywords: | Learning, Strategic interaction, Behavioral Bias, Financial Markets |
| Date: | 2022–01–15 |
| URL: | http://d.repec.org/n?u=RePEc:ssa:lemwps:2022/02&r= |
| By: | Thiago Revil T. Ferreira |
| Abstract: | I document business cycle properties of the full cross-sectional distributions of U.S. stock returns and credit spreads from financial and nonfinancial firms. The skewness of returns of financial firms (SRF) best predicts economic activity, while being a barometer for lending conditions. SRF also affects firm-level investment beyond firms' balance sheets, and adverse SRF shocks lead to macroeconomic downturns with tighter lending conditions in vector autoregressions (VARs). These results are consistent with a lending channel in which cross-sectional financial firms' balance sheets play a prominent role in business cycles. I rationalize this argument with a model that matches the VAR evidence. |
| Keywords: | Cross-Sectional; Skewness; Business Cycles; Lending Channel |
| JEL: | E32 E37 E44 |
| Date: | 2022–02–04 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgif:1335&r= |
| By: | Greenwood, John (The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise); Hanke, Steve (The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise) |
| Abstract: | In the United States and numerous other economies, we are witnessing a flood of ad hoc explanations for inflation. These deal primarily with supply chain issues that have arisen since the Covid-19 pandemic and the re-opening of economies. There is a widespread view among officials at the Federal Reserve System, economists in the Biden Administration, academics (led by people like Paul Krugman, who claims to be a spokesman for “Team Transitory”), and even large parts of the business community that the current bout of U.S. inflation is largely the result of supply chain disruptions that will turn out to be “transitory,” and that the inflationary pressures will dissipate in 2022 as the supply chain issues are resolved. The authors argue that this consensus will prove to be wrong because of its failure to distinguish between relative price changes and changes in the overall price level. The movement of any single set of relative prices fails to convey information about the overall inflation rate. The overall inflation rate and price level are determined by changes in the money supply broadly measured. The Quantity Theory of Money (QTM) and the equation of exchange confirms this relationship. On the other hand, changes in relative prices result from changes in demand and supply conditions in the real sector of the economy. Relative price changes are, therefore, independent of changes in the money supply. So, while a doubling of the money supply will result in a doubling of all nominal prices, relative prices in the economy will remain unaffected. Due to central banks' monetary mismanagement, excess money has been produced in most countries since the Covid-19 pandemic started in early 2020. As a result of this excess money creation, the authors anticipate that the U.S. and Israel are likely to see increases in their overall price levels of approximately 28% and 20%, respectively, over the next few years, whereas the U.K. will likely see an increase of about 11% in the overall price level over a similar period. Meanwhile, for countries like China, Japan, Switzerland, and New Zealand that did not create excess money, the authors anticipate negligible increases in the rate of overall inflation. |
| Date: | 2021–12–01 |
| URL: | http://d.repec.org/n?u=RePEc:ris:jhisae:0198&r= |
| By: | Leonardo Becchetti (CEIS & DEF, University of Rome "Tor Vergata"); Sara Mancini (University of Rome "Tor Vergata"); Nazaria Solferino (Università della Calabria) |
| Abstract: | Based on results of the different fields of the game theoretic literature on strategic interactions and social dilemmas, gift exchange and procedural utility, we argue that corporate social responsibility and relational skills i) with other firms; ii) between employers and workers iii) among workers and iv) with stakeholders are associated to positive effects on productivity. We test our research hypothesis on a large representative sample of Italian firms including the universe of medium and large companies and accounting for 91.3 percent of domestic employees. We find that companies with higher relational skills report significantly higher value added per worker after controlling for relevant concurring factors. More specifically, the identified significant skill related components are: i) corporate policies considering strategic workers’ wellbeing; ii) team working attitudes considered as priority soft skills when hiring workers; iii) initiatives in favour of the productive network operating in the same local area and iv) involvement of stakeholders in CSR projects. |
| Keywords: | relational skills, corporate productivity, gift exchange, team working |
| JEL: | L22 L25 L14 J53 |
| Date: | 2022–01–25 |
| URL: | http://d.repec.org/n?u=RePEc:rtv:ceisrp:530&r= |
| By: | Lööf, Hans (CESIS - Centre of Excellence for Science and Innovation Studies, Royal Institute of Technology); Sahamkhadam, Maziar (Linnaeus University); Stephan, Andreas (Linnaeus University) |
| Abstract: | This paper investigates how optimal portfolios of timber & forestry stocks perform relative to the global S&P timber & forestry index when corporate social responsibility (CSR) is considered. We incorporate CSR in the construction of optimal portfolios by utilizing environmental, social, and governance (ESG) scores. Historical as well as copula-augmented predictive models and ESG-constrained optimization are used to analyze out-of-sample performance of various portfolio strategies over the period 2018-2021. The results of copula-based portfolio strategies are better than of the historical models. Another insight gained by this study is that socially responsible investments in forestry stocks are feasible without sacrificing risk-adjusted returns. |
| Keywords: | portfolio optimization; ESG; forestry stocks; return; risk; vine copula |
| JEL: | G11 G12 G17 G32 |
| Date: | 2022–02–16 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:cesisp:0490&r= |
| By: | Oleh Danyliv |
| Abstract: | The article is an empirical study of market impact through order book events. It describes a mechanism of extracting an average participation rate and a market impact of small orders which represent individual slices of large metaorders. The study is based on tick data for futures contracts. It is shown that the impact could be either linear or a concave function as a function of trading volume, depending on the instrument. After normalisation, this dependency is shown to be very similar for a wide range of instruments. A simple yet effective model for market impact estimation is proposed. This model is linear in nature and is derived based on straightforward microstructure reasoning. The estimation shows satisfactory results for both concave and linear market impact volume dependencies. |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2201.02983&r= |
| By: | Van, Germinal G. |
| Abstract: | The main objective of this paper is to propose an analytical framework to examine the foundations of the theory of efficient growth. The theory of efficient growth is a newly developed theory based on the principles of the neoclassical framework. It argues that an economy grows efficiently under two conditions. First, that the public and the private sectors both perform independently from each other. Second, the sum of their independent performances reaches an equilibrium. This equilibrium determines the optimum point of economic growth, and this optimal point illustrates the efficiency of economic growth. |
| Keywords: | Economic Growth, Mathematical Economics, Economic Theory, Macroeconomics, Business Cycle, Fiscal Policy |
| JEL: | C60 E13 E6 E62 |
| Date: | 2022–01–10 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:111461&r= |
| By: | Luca Benati; Juan Pablo Nicolini |
| Abstract: | We revisit the estimation of the welfare costs of inflation originating from lack of liquidity satiation. We use data for the United States and several other developed countries. Our computations are heavily influenced by the recent experience of very low, even negative, short-term rates observed in the countries we study. We obtain estimates that range between 0.20% and 1.5% of lifetime consumption for the United States and find even higher values for some European countries. |
| Keywords: | Money demand; Lower bound on interest rates |
| JEL: | E41 E43 E52 |
| Date: | 2021–09–24 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedmwp:93467&r= |
| By: | Kato, Hayato; Okoshi, Hirofumi |
| Abstract: | Do low corporate taxes always favor multinational production over economic integration? We propose a two-country model in which multinationals choose the locations of production plants and foreign distribution affiliates and shift profits between them through transfer prices. With high trade costs, plants are concentrated in the low-tax country; surprisingly, this pattern reverses with low trade costs. Indeed, economic integration has a non-monotonic impact: falling trade costs first decreases and then increases the plant share in the high-tax country, which we empirically confirm. Moreover, allowing for transfer pricing makes tax competition tougher and international coordination on transfer-pricing regulation can be beneficial. |
| Keywords: | Profit shifting; Multinational firms; Intra-firm trade; Trade costs; Foreign direct investment (FDI) |
| JEL: | F12 F23 H25 H26 |
| Date: | 2022–01–09 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:111439&r= |
| By: | Matteo M. Marini (Department of Public Economics, Masaryk University, Brno, Czech Republic) |
| Abstract: | This paper is a follow-up investigation to the aggregate data meta-analysis by Marini (2021), the latter study being designed to detect what experimental protocols moderate the effect of emotions on risk-taking. Our work purports to check the robustness of Marini (2021)’s findings when gender is taken into account as a moderator, as well as to make a contribution to the debate about the role of national culture in risky decision making. The goal is pursued by pooling individual participant data from the subset of studies that make use of multiple price lists as risk elicitation method. We find that gender does not moderate the influence of emotions on risk propensity and we successfully replicate evidence that sadness promotes risk aversion, the use of financial incentives lowers data variability, and subjects take greater risks when studies are conducted in individualist countries. After ruling out the influence of emotions, we still find support for a positive link between individualism and risk-seeking. |
| Keywords: | meta-analysis, gender differences, emotion, risk-taking, individualism |
| JEL: | C91 D81 D91 J16 |
| Date: | 2022 |
| URL: | http://d.repec.org/n?u=RePEc:jau:wpaper:2022/04&r= |
| By: | Hearson, Martin; Rixen, Thomas |
| Abstract: | We discuss the history, political determinants and current challenges of global tax governance. We divide the last century into three eras: foundation, during which states built a regime to prevent double taxation using bilateral treaties and soft multilateral coordination; stability, during which this regime failed to adapt to the growth in volume and complexity of cross-border trade and investment capital; finally, the current era of crisis, characterized by politicization, an appetite to reform longstanding institutions, and a willingness to trample over fiscal sovereignty. Existing scholarship explaining this trajectory of change can be organized through well-established interest-based, power-based and ideational accounts. We argue that future research could build on this existing scholarship by reorienting in three different ways: from tax competition towards double taxation and tax sovereignty, from the OECD to emerging markets and developing countries, and from mid-level theorization towards the bigger picture of global political economy, of which tax is an intrinsic part. |
| Keywords: | Finance, |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:idq:ictduk:17076&r= |
| By: | Neyer, Ulrike; Stempel, Daniel |
| Abstract: | Empirical evidence suggests that considerable differentials in inflation rates exist across households. This paper investigates how central banks should react to household inflation heterogeneity in a tractable New Keynesian model. We include two households that differ in their consumer price inflation rates after adverse shocks. The central bank reacts to either an average of the households' consumer price inflation rates or their individual rates, respectively. After a negative demand shock, the consumer price inflation rates of both households diverge less from their steady states when the central bank only considers the individual inflation rate of the household experiencing the higher inflation rate. Furthermore, output fluctuates less under that regime. After a negative supply shock, a central bank only considering the household experiencing the higher inflation rate mitigates the immediate effects of the shock on both consumer price inflation rates more effectively. Our results imply that central banks, which react discretionarily to differing inflation experiences in an economy, lead to a more efficient attainment of an economy-wide inflation target and to lower fluctuations of all inflation rates. |
| Keywords: | Business cycles,inflation,inequality,household heterogeneity,New Keynesian models |
| JEL: | E31 E32 E52 |
| Date: | 2022 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:dicedp:378&r= |
| By: | Narciz Balasoiu (Academy of Economic Studies, Faculty of International Business, Bucharest, Romania) |
| Abstract: | The development of world trade along with accelerated globalization has an effect not only on economic development or the strengthening of international cooperation, but also facilitated sophisticated mechanisms by which the payment of tax obligations by multinational companies is circumvented. Transfer pricing and tax havens, considered both individual and combined practices, negatively affect a country's ability to implement fiscal policy and improve budget revenue collection capacity. The problem is even greater in the case of states with a fragile economy, where the dynamics of development is vitally related to the elimination of legal, immoral or illegal tax evasion practices. The Transfer pricing mechanism has also been optimized to handle taxable transactions between companies affiliated to a particular group. Multinational companies avoid taxes by overestimating imports and underestimating exports, thus managing to distribute revenues in various regions of the globe that have great tax advantages. |
| Keywords: | tax havens, profit shifting, tax evasion, corporation, fiscal legislation |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:smo:lpaper:0049&r= |
| By: | de Brauw, Alan; Bulte, Erwin |
| Abstract: | Efforts to promote the development of agricultural value chains are a common element of strategies to stimulate economic growth in low-income countries. Since the world food price crisis in 2007-2008, developing country governments, international donor agencies, and development practitioners have placed additional emphasis on making agricultural value chains work better for the poor. As value chains evolve to serve new markets, they tend to become less inclusive. For example, if a market for high quality rice arises within an economy, it is inherently easier for traders who sell rice to retailers to source that high quality rice from larger farms that are better able to control its quality than from dozens of smallholder farms. As a result, the normal path of value chain evolution can be biased against smallholders; hence, it is important to understand what types of interventions can make value chains more inclusive while also making them more efficient. In this brief, we summarize studies on five types of value chain interventions that were supported by the CGIAR’s Research Program on Policies, Institutions, and Markets (PIM) through its Flagship 3 on Inclusive and Effective Value Chains. Figure 1 illustrates a “typical†agricultural value chain, including the five intervention types (in orange). These include interventions that attempt to deal with multiple production constraints; certification; contract farming; public-private partnerships; and “other†services related to trading and marketing agricultural products. Apart from the last category, these interventions all involve production. This reflects the fact that smallholder producers can be considered, in some ways, the weakest link in evolving agricultural value chains (de Brauw and Bulte 2021). Hence, it is sensible to target interventions either at or close to smallholders. However, in some cases, the best way to overcome smallholder constraints may be to help actors at other points in the value chain overcome constraints. Many interventions share a focus on reducing transaction costs to promote smallholder market integration. Ideally, interventions increase both efficiency and inclusion, but we observe that such win-win outcomes are rare. Trade-offs appear to be more common than synergies, and some value chain interventions involve clear winners and losers. |
| Keywords: | WORLD; value chains; public-private partnerships; inclusion; smallholders; policies; certification; contract farming; intervention; agricultural value chains; farmers |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:fpr:othbrf:1293757357&r= |
| By: | Kramer, Berber; Hazell, Peter; Alderman, Harold; Ceballos, Francisco; Kumar, Neha; Timu, Anne G. |
| Abstract: | Agricultural insurance has attracted considerable interest in recent years. Innovations in agricultural index insurance have raised expectations that the private sector can overcome shortcomings associated with more traditional indemnity-based products like multi-peril crop insurance, and contribute to strengthen agricultural risk management at scale across developing countries. This paper updates previous reviews on agricultural insurance but differs in that it goes beyond the prognosis that recent innovations can help make insurance more commercially viable. As such, it addresses two important challenges that have received limited attention. First, it distinguishes different types of farm households and recognizes that many are excluded from the insurance market, describing additional innovations that can help make insurance more accessible to these excluded groups. Second, it acknowledges that insurance for catastrophic risks is unaffordable for most farmers and summarizes new developments in disaster assistance and safety net programs that can provide broader protection against these risks. |
| Keywords: | agricultural insurance; technology; innovation; social safety nets; disasters; literature reviews; technological innovations; disaster assistance |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:fpr:ifprid:2057&r= |
| By: | Hayato Kato; Hirofumi Okoshi |
| Abstract: | Do low corporate taxes always favor multinational production over economic integration? We propose a two-country model in which multinationals choose the locations of production plants and foreign distribution affiliates and shift profits between them through transfer prices. With high trade costs, plants are concentrated in the low-tax country; surprisingly, this pattern reverses with low trade costs. Indeed, economic integration has a non-monotonic impact: falling trade costs first decreases and then increases the plant share in the high-tax country, which we empirically confirm. Moreover, allowing for transfer pricing makes tax competition tougher and international coordination on transfer-pricing regulation can be beneficial. |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2201.02919&r= |
| By: | Foroni, Claudia; Gelain, Paolo; Marcellino, Massimiliano |
| Abstract: | We use mixed-frequency (quarterly-monthly) data to estimate a dynamic stochastic general equilibrium model embedded with the financial accelerator mechanism à la Bernanke et al. (1999). We find that the financial accelerator can work very differently at monthly frequency compared to the quarterly frequency, i.e. we document its inversion. That is because aggregating monthly data into quarterly leads to large biases in the estimated quarterly parameters and, as a consequence, to a deep change in the transmission of shocks. JEL Classification: C52, E32, E52 |
| Keywords: | DSGE models, financial accelerator, mixed-frequency data |
| Date: | 2022–02 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20222637&r= |
| By: | María Bru Muñoz (Banco de España) |
| Abstract: | Is financial exclusion after default a relevant driver of sovereign default incentives? I find new evidence that suggests that this is not the case, and that there are substantial differences in the behavior of different lenders after a sovereign default. Private lenders tend to decrease their funding to developing countries that have defaulted to banks or to the Paris Club. But the financing from official creditors, i.e. bilateral and multilateral, remains mainly unaffected by the different sovereign defaults, only with some exceptions mostly related to defaults to multilateral lenders. This different pattern for official financing is very relevant since official loans are the main source of funds for developing economies. Official creditors continue offering funding to countries even after default, casting doubt on the relevance of one of the main assumptions in sovereign default models, the so-called financial exclusion. |
| Keywords: | sovereign default, financial exclusion, heterogeneous lenders, official creditors, emerging markets. |
| JEL: | F34 G15 |
| Date: | 2022–02 |
| URL: | http://d.repec.org/n?u=RePEc:bde:wpaper:2206&r= |
| By: | Christos Koulovatianos; Carsten Schröder |
| Abstract: | Income-Dependent Equivalence Scales and Choice Theory: Implications for Poverty MeasurementEquivalence 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:diwsop:diw_sp1157&r= |
| By: | James Malley; Apostolis Philippopoulos |
| Abstract: | This paper quantitatively assesses the macroeconomic effects of the recently agreed U.S. bipartisan infrastructure spending bill in a neoclassical growth model. We add to the literature by considering a more detailed tax structure, different types of infrastructure spending and linkages between the final and intermediate goods sectors. We find that infrastructure spending cannot fully pay for itself despite public and private capital being underprovided. We further find long-run output multipliers above unity if infrastructure spending and rising public debt are financed by consumption, dividend and labour income taxes and below one for corporate taxes. We also show that except for the consumption tax, the size of the multipliers critically depends on the Frisch labour supply elasticity. Finally, when we compute differences in welfare across different public financing regimes, the net welfare gains and losses are relatively minor. |
| Keywords: | Infrastructure investment, public capital, fiscal multipliers, taxation |
| JEL: | E62 H41 H54 |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:gla:glaewp:2022_03&r= |
| By: | Jeremy Srouji (Université Côte d'Azur, France; GREDEG CNRS; International Institute of Social Studies - Erasmus University Rotterdam) |
| Abstract: | The literature on currency internationalization, with its focus on the essential attributes of an international currency issuer, is largely inadequate for explaining what causes the currency of a country to be adopted and to remain as world money. This paper argues that embedded within the well-known framework of the functions of money – as a medium of exchange, unit of account and store of value – are fundamental assumptions about how Economics defines and understands money. Drawing on conventional and Post Keynesian approaches, it demonstrates that current theories of currency internationalization, and questions of international money more generally, are embedded in underlying theories of money that are very specific about the process through which currencies achieve and maintain an international position. It also finds that a better understanding of the functional approach to money can bring greater theoretical clarity to the positions of various authors on questions of international money. At the same time, it argues that shortfalls in both the conventional and Post Keynesian approaches to money are inevitably also transposed to the international level. These need to be addressed before a more comprehensive theory of currency internationalization can emerge. |
| Keywords: | international money, international reserves, US dollar, currency internationalization, cryptocurrency |
| JEL: | E12 E13 E42 E52 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:gre:wpaper:2021-44&r= |
| By: | ferrara, giancarlo; campagna, arianna; bucci, valeria; atella, vincenzo |
| Abstract: | Presumptive taxation methods are policy tools widespread adopted by fiscal authorities with the aim to improve voluntary tax compliance and to fight tax evasion. Such methods allow authorities to uncover firms’ under-reporting, but face several limits. In particular, presumptive taxation methods do not allow to disentangle when the presence of under-reporting is ascribable to tax evasion behaviour or to the lack of managerial skills and inefficiency. To overcome the main presumptive taxation weakness, we propose combining presumptive frameworks with a measure of technical efficiency, thus developing an integrated approach for tax evasion analysis able to support the audit activities of fiscal authorities. Further, we provide some considerations in terms of tax compliance and support our approach with evidence obtained from an empirical application based on Italian firms. |
| Keywords: | Tax Compliance, Presumptive Taxation, Efficiency, Stochastic Frontier, Business Sector Studies |
| JEL: | C14 D24 H26 H32 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:111516&r= |
| By: | Anusha Chari; Karlye Dilts Stedman; Kristin J. Forbes |
| Abstract: | Evidence suggests that macroprudential policy has small and insignificant effects on the volume of portfolio flows. We show, however, that these minor effects mask very different relationships across the global financial cycle. A tighter ex-ante macroprudential stance amplifies the impact of global risk shocks on bond and equity flows—increasing outflows by significantly more during risk-off episodes and increasing inflows significantly more during risk on episodes. These amplification effects are more prominent at the “extremes,” especially for extreme risk-off periods, and are larger for regulations that target specific risks (such as currency or housing exposures) than those which strengthen generalized cyclical buffers (such as the CCyB). This paper estimates these relationships using a policy-shocks approach that corrects for reverse causality by combining high-frequency risk measures with weekly data on portfolio investment and a new measure of macroprudential regulations that captures the intensity of policy stances. Overall, the results support a growing body of evidence that macroprudential regulation can reduce the volume and volatility of bank flows but shift risks in ways that aggravate vulnerabilities in other parts of the financial system. |
| Keywords: | Macroprudential regulation |
| JEL: | F32 F34 F38 G15 G23 G28 |
| Date: | 2021–12–17 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedkrw:93599&r= |
| By: | Pramanik, Subhajit |
| Abstract: | In this article, a comparative analysis has been done on the possibility of a correlation between economic growth and exchange rates. To represent the factor of growth GDP, inflation, growth has been examined in different cases. In the same way for exchange rates, nominal exchange rate, real exchange rate has been analysed based on the specific cases. Here we also see a machine learning approach to find the correlation in both short and long run time periods. Some empirical tests and data analysis was done by many economists have also been clustered here to map the total overview in a better manner. |
| Keywords: | GDP, Machine Learning, Exchange rates, Nominal exchange rate, Real exchange rate, Inflation, Trade |
| JEL: | F0 F41 F43 F47 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:111504&r= |
| By: | Francesco Filippucci (PSE - Paris School of Economics - ENPC - École des Ponts ParisTech - ENS Paris - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique - EHESS - École des hautes études en sciences sociales - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, PJSE - Paris Jourdan Sciences Economiques - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS Paris - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement) |
| Abstract: | Activation policies and cash transfers are often used jointly, but the literature has only evaluated them one conditional on the other. This paper evaluates an innovative French program that provided a year of cash transfers and intensive activation measures to disadvantaged youth Not in Employment Education or Training (NEETs). I develop a difference-indifference methodology that extends De Chaisemartin and D'Haultfoeuille (2020a) to a setting where individuals enter the population of interest in cohorts. While no significant effect was found when participants are enrolled, after completion of the program compliers reported an increase of 33 percentage points in the probability of employment and of 72 hours worked on a quarterly basis. No effect was detected on wages. I investigate the mechanisms using the timing of activation measures, the phase-out of the cash transfer, and a framework with discrete labor supply and search frictions. I find that the zero effect during enrollment arises from a negative reaction to implicit taxation from transfer phase-out, lock-in from training, and a counterbalancing positive effect of activation. This finding suggests potential complementarities between cash transfers and activation measures. Moreover, it shows that disadvantaged NEETs have low job finding rates at baseline, large elasticity of labor supply, and significant time constraints. |
| Keywords: | active labor market policies,cash transfers,NEETs,job search,difference-in-difference |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:hal:psewpa:halshs-03524083&r= |
| By: | Franck Aggeri (CGS i3 - Centre de Gestion Scientifique i3 - MINES ParisTech - École nationale supérieure des mines de Paris - PSL - Université Paris sciences et lettres - CNRS - Centre National de la Recherche Scientifique) |
| Keywords: | industrial ecoparks,industrial ecology |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-03503290&r= |
| By: | Andreas Fuster (Ecole Polytechnique Fédérale de Lausanne; Swiss Finance Institute; Centre for Economic Policy Research (CEPR)); David O. Lucca (Federal Reserve Banks - Federal Reserve Bank of New York); James I. Vickery (Federal Reserve Bank of Philadelphia) |
| Abstract: | This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the economic effects of mortgage securitization. We also assemble descriptive statistics about market size, growth, security characteristics, prepayment, and trading activity. Throughout, we highlight insights from the expanding body of academic research on the MBS market and mortgage securitization. |
| Keywords: | mortgage finance, securitization, agency mortgage-backed securities, TBA, option-adjusted spreads, covered bonds. |
| JEL: | G10 G12 G21 |
| Date: | 2022–02 |
| URL: | http://d.repec.org/n?u=RePEc:chf:rpseri:rp2213&r= |
| By: | Sanz, Leandro (Ohio State University) |
| Abstract: | Insider trading during the early months of the COVID-19 pandemic provides a unique opportunity to study how corporate insiders benefit from information flows in their network of business contacts. I find that insiders at firms with activities in China sell more shares of their companies than other insiders and do so earlier. Consistent with an information channel, I show that firms with supply-chain relationships and subsidiaries in China, more local assets and employees, and insiders overseeing global operations drive these effects. Insiders' private information seems to have been forward-looking, which allowed them to avoid significant losses during the period. |
| JEL: | D83 D85 F23 G14 |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:ecl:ohidic:2021-20&r= |
| By: | Asongu, Simplice; Soumtang, Valentine; Edoh, Ofeh |
| Abstract: | This study assesses financial determinants of informal financial sector development in 48 Sub-Saharan African countries for the period 1995-2017. Quantile regressions are used as the empirical strategy which enables the study to assess the determinants throughout the conditional distribution of informal sector development dynamics. The following financial determinants affect informal financial development and financial informalization differently in terms of magnitude and sign: bank overhead costs; net internet margin; bank concentration; return on equity; bank cost to income ratio; financial stability; loans from non-resident banks; offshore bank deposits and remittances. The determinants are presented from a plethora of perspectives, inter alia: U-Shape, S-Shape and positive or negative thresholds. The study not only provides a practical way by which to assess the incidence of financial determinants on informal financial sector development, but also provides financial instruments by which informal financial development can be curbed. |
| Keywords: | Informal finance; financial development; Africa |
| JEL: | G2 O1 O55 |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:111559&r= |
| By: | Tran, Quoc Duy; Huynh, Cong Minh |
| Abstract: | This paper empirically investigates the impact of Information and Communication Technology (ICT) on financial development proxied by Domestic credit/GDP and Money supply/GDP in ten ASEAN countries over the period 2000-2020. Results from fixed effects for panel data show that ICT stimulates financial development by both proxies. Remarkably, the impact of ICT on financial development proxied by Money supply/GDP is stronger than that proxied by Domestic credit/GDP, implying the important channel of Money supply/GDP through which ICT can stimulate financial development. In addition, other important determinants of financial development are confirmed in the context of ASEAN countries, including economic growth, trade openness, and urbanization. The findings consolidate the utilization of ICT to boost financial development in ASEAN countries. |
| Keywords: | ASEAN countries; Financial development; ICT |
| JEL: | L96 O16 O32 O33 |
| Date: | 2022–01–11 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:111462&r= |
| By: | Kozo Ueda |
| Abstract: | This study constructs a tractable duopoly model with price stickiness to consider the strategic pricing of duopolistic firms and its implications for monetary policy. Dynamic strategic complementarity, in which an increase in a firm's price increases the optimal price set by the rival firm in the following periods, increases steady-state price and the real effect of monetary policy. However, when temporary sales arise as a mixed strategy, the real effect of monetary policy decreases considerably. |
| Date: | 2022–02 |
| URL: | http://d.repec.org/n?u=RePEc:tcr:wpaper:e167&r= |
| By: | Clément Mathonnat; Alexandru Minea (CERDI - Centre d'Études et de Recherches sur le Développement International - CNRS - Centre National de la Recherche Scientifique - UCA - Université Clermont Auvergne); Marcel Voia |
| Abstract: | A large literature looks at the influence of financial development on the costs in terms of output of crises. Our contribution takes a somewhat different path, by looking at the impact of financial development on the length of banking crises. Using a large database spanning over almost found decades, our estimations show that on average the length of crises is statistically higher in countries with higher financial development. Confirmed by various robustness tests, this finding exhibits various heterogeneities related, among others, to the time period or countries' economic development level. |
| Abstract: | Une littérature abondante analyse l'influence du développement financier sur les coûts en termes de sortie de crises. Notre contribution emprunte un chemin quelque peu différent, en examinant l'impact du développement financier sur la longueur des crises bancaires. En utilisant une base de données couvrant plusieurs décennies, nos estimations montrent qu'en moyenne la durée des crises est statistiquement plus longue dans les pays ayant un développement financier plus élevé. Confirmé par divers tests de robustesse, ce résultat présente diverses hétérogénéités liées, entre autres, à la période étudiée ou au niveau de développement économique des pays. |
| Keywords: | pays en développement,crises,développement financier |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-03509485&r= |
| By: | H. Youn Kim (Western Kentucky University); José Alberto Molina (Departamento de Análisis Económico, Universidad de Zaragoza); Ka Kei Gary Wong (University of Macau) |
| Abstract: | This paper jointly analyzes consumer demand and consumption with allowance for durable goods and liquidity constraints. An indirect utility function is specified with the user cost of durable goods, and demand functions for nondurable and durable goods and a consumption growth equation are derived by incorporating liquidity constraints. The model is estimated for Norwegian consumers for 1979-2018, and results reveals that traditional demand analyses ignoring durable goods leads to a significant bias in the elasticities of nondurable goods. Durable goods are found to be necessities and price-inelastic like most nondurable goods. Norwegian consumers are, in general, impatient with low risk aversion. There is weak evidence for liquidity constraints, which have no important influence on consumption. No strong evidence exists for intertemporal substitution in consumption of nondurable and durable goods. However, there is a considerable effect of uncertainty on consumption, especially for durable goods, which can explain consumption/saving behavior during the current Covid pandemic. |
| Keywords: | Indirect utility function, User cost of durable goods, Euler equation, Risk aversion, Intertemporal substitution |
| JEL: | E21 D15 D12 |
| Date: | 2022–01–18 |
| URL: | http://d.repec.org/n?u=RePEc:boc:bocoec:1047&r= |
| By: | Li, Jianpei; Zhang, Wanzhu |
| Abstract: | We analyse a two-period model in which a monopolistic seller may adopt behavior-based price discrimination (BBPD) and charge consumers different prices based on their purchasing histories. We show that if there is quality uncertainty and prices convey valuable information about product quality, BBPD can be profitable for the seller both when the seller can and can not commit to future prices, contrasting the traditional view that the seller would like to avoid BBPD due to strategic delay of consumption on the consumers' side. BBPD increases consumers' sensitivity to a price change in the first period and enables the high type seller to signal product quality with relatively low prices, effectively reducing signaling costs in comparison to uniform pricing. In the separating equilibria that survive the intuitive criterion, first-time purchasers pay lower prices than repeat purchasers. |
| Keywords: | Behavior-based Price Discrimination (BBPD); Quality Uncertainty; Signaling |
| JEL: | D82 L11 L15 |
| Date: | 2022–01–17 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:111572&r= |
| By: | Arun Advani (Institute for Fiscal Studies and University of Warwick); Felix Koenig (Institute for Fiscal Studies and Carnegie Mellon University); Lorenzo Pessina (Institute for Fiscal Studies and Columbia University, New York); Andy Summers (Institute for Fiscal Studies and London School of Economics) |
| Abstract: | In this paper we study the contribution of migrants to the rise in UK top incomes. Using administrative data on the universe of UK taxpayers we show migrants are over-represented at the top of the income distribution, with migrants twice as prevalent in the top 0.1% as anywhere in the bottom 97%. These high incomes are predominantly from labour, rather than capital, and migrants are concentrated in only a handful of industries, predominately finance. Almost all (85%) of the growth in the UK top 1% income share over the past 20 years can be attributed to migration. |
| Date: | 2020–09–21 |
| URL: | http://d.repec.org/n?u=RePEc:ifs:ifsewp:20/31&r= |
| By: | Dyotona Dasgupta (O.P. Jindal Global University); Anuradha Saha (Ashoka University) |
| Abstract: | In a novel framework, this paper captures the effects of perceived self-efficacy beliefs, built on the basis of the socio-economic background, on human capital investments and skill distribution. Ex-ante children are homogeneous, but depending on parental education and job status, parents form different beliefs on the returns to their children's education. An unskilled (poor) parent underestimates the probability of her child getting a skilled job upon getting education and overestimates the corresponding income. The skilled (rich) parents do the opposite. We find that the steady-state mass of educated adults, skilled workers, and income inequality depend on the degree of bias and the degree of a affinity for the well-being of the child. In economies with low child affinity, irrespective of the degree of bias, there is always a poverty trap. For moderate child affinity, behavioral biases may give rise to multiple equilibria as well as lower the steady-state inequality. For huge child affinity, even a small bias induces poor adults to invest with a higher probability than the rich. |
| Keywords: | Human Capital Investment; Behavioral Inequality; Behavioral Bias; Behavioral Trap |
| Date: | 2021–11–30 |
| URL: | http://d.repec.org/n?u=RePEc:ash:wpaper:72&r= |
| By: | Belloc, Filippo; Burdin, Gabriel; Landini, Fabio |
| Abstract: | The interplay between labor institutions and the firm-level adoption of new technologies such as robotics and other advanced digital tools remains poorly understood. Using a cross-sectional sample of more than 20000 European establishments, this paper documents a positive association between shop-floor employee representation (ER) and the utilization of these advanced technologies. We extensively dig into the potential mechanisms driving this correlation by exploiting rich information on the de facto role played by ER bodies in relation to well-defined decision areas of management, such as work organization, dismissals, training and working time. In addition, we conduct a quantitative case study using a panel of Italian firms and exploiting size-contingent policy rules governing the operation of ER bodies in the context of a local-randomization regression discontinuity design. The analysis suggests a positive effect of ER on investments in advanced technologies around the firm size cutoff, although the results are sensitive to the type of technology and specification choices. We also document positive effects on training intensity and process innovation and no evidence of employment losses or changes in the composition of employment. Taken together, our findings cast doubts on the idea that ER discourages technology adoption. On the contrary, ER seems to influence work organization and certain workplace practices in ways that may enhance the complementary between labor and new advanced technologies. |
| Keywords: | Automation,Robots,Digitalization,Unions,Employee Representation,Labor Market Institutions |
| JEL: | J50 O32 O33 |
| Date: | 2022 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:glodps:1038&r= |
| By: | Juan Carlos Cuestas (IEI and Department of Economics, Universitat Jaume I, Castellón, Spain); Mercedes Monfort (IEI and Department of Economics, Universitat Jaume I, Castellón, Spain) |
| Abstract: | In this paper we contribute to the long literature on the effect of fiscal policy on the real economy. In particular, we focus on the effect of government consumption on private consumption for a pool of European economies. The results show that the effect is different when comparing the periods before and after 2008. |
| Keywords: | Great Moderation, fiscal policy, crisis, private consumption |
| JEL: | C22 F15 |
| Date: | 2022 |
| URL: | http://d.repec.org/n?u=RePEc:jau:wpaper:2022/05&r= |
| By: | Glauber, Joseph W.; Laborde Debucquet, David; Piñeiro, Valeria |
| Abstract: | The upcoming WTO Ministerial in November 2021 will once again provide WTO Members with an opportunity to address and reform agricultural domestic support. As pointed out in the Draft Chair Text on Agriculture of 29 July 2021, the Domestic Support pillar has been at the heart of the agricultural negotiations since their commencement in 2000, and, to date, has proven to be a challenging area to achieve consensus on how best to further reforms in that area. This paper examines three broad questions: First, what would be the effect on agricultural trade if Members were to fully utilize domestic support entitlements under the current Agreement on Agriculture. To study the role of existing policy space inherited from the Uruguay Round, we examine the impact of full utilization of domestic support entitlements on agricultural markets. Under the scenario, trade-distorting support would increase to USD 1.3 trillion, 5.5 times the level under the baseline scenario (USD 246 billion). Assuming full use of policy space, global agricultural production is projected to increase by 6 percent and global prices will drop by 8 percent, with all agricultural product prices showing declines. While farm income rises, a greater share of farm income comes from taxpayer resources, and the efficiency of additional transfers (ratio between increase in farmer income and taxpayer cost) is about 60 percent. The second objective of the paper is to discuss and analyze new disciplines that would further the re-forms accomplished under the Agreement on Agriculture by harmonizing support levels across Members and providing additional constraints to prevent Members from undermining these disciplines by concentrating support in a few commodities. The paper examines how these disciplines would affect production, prices, trade and farm sector income compared to a business-as-usual baseline. We find that using an overall concept of Overall Trade Distorting Support including all forms of trade-distorting measures, associated with amber and blue boxes, will have very negligible impacts on applied policies by 2030 and small effects on the agricultural markets overall. Extending this discipline to measures currently notified under Art. 6.2., the development box, will not put significant constraints on developing countries. Moving to this simplified and more transparent framework will require to define properly an anti-concentration clause, limiting the amount of payments that can benefit the producers of a specific commodity. Such feature will be quite important for sensitive commodities like cotton. Lastly, the paper examines how the proposed disciplines would affect agricultural markets under the alternative baseline that assumes that Members will utilize full entitlements under the current AoA. De-pending on the discipline scenarios, the potential subsidies increase will be reduced by USD 240 billion to USD 800 billion. |
| Keywords: | models; computable general equilibrium models; trade; WTO; agricultural trade; MIRAGRODEP; Computable General Equilibrium (CGE) model |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:fpr:prnote:1290143966&r= |
| By: | Jose-Maria Serena; Marina-Eliza Spaliara; Serafeim Tsoukas |
| Abstract: | Using a cross-country firm-bank dataset, we examine how an unexpected increase in bank capital requirements by the European Banking Authority (EBA) affects firms' financial choices. Our results first suggest that the regulatory shock implies a reduction in the supply of bank credit, with US firms affected the most. Yet, following the capital exercise, US firms are able to tap into the public bond markets and secure credit lines from nonbank financial institutions. This has implications for their capital structure and their real outcomes. These results suggest that diversified domestic loan markets, in which banks and nonbank financial institutions lend to corporations, can help overcome reductions in cross-border bank funding. |
| Keywords: | International bank credit, nonbank lenders, external financing |
| JEL: | G32 E22 F32 D22 |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:gla:glaewp:2022_04&r= |
| By: | Max Marczinek; Stephan Maurer; Ferdinand Rauch |
| 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. |
| Date: | 2022–01–26 |
| URL: | http://d.repec.org/n?u=RePEc:oxf:wpaper:963&r= |
| By: | Rod Garratt; Michael Junho Lee; Antoine Martin; Joseph Torregrossa |
| Abstract: | Stablecoins, which we define as digital assets used as a medium of exchange that are purported to be backed by assets held specifically for that purpose, have grown considerably in the last two years. They rose from a market capitalization of $5.7 billion on December 1, 2019, to $155.6 billion on January 21, 2022. Moreover, a market that was once dominated by a single stablecoin—Tether (USDT)—now boasts five stablecoins with valuations over $1 billion (as of January 21, 2022; data about the supply of stablecoins can be found here). Analysts have started to pay increased attention to the stablecoin market, and the President’s Working Group (PWG) on Financial Markets released a report on stablecoins on November 1, 2021. In this post, we explain why we believe stablecoins are unlikely to be the future of payments. |
| Keywords: | digital currencies; stablecoins |
| JEL: | E5 G21 E42 |
| Date: | 2022–02–07 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednls:93680&r= |
| By: | Edmond Berisha (Feliciano School of Business, Montclair State University, Montclair, NJ 07043); Orkideh Gharehgozli (Feliciano School of Business, Montclair State University, Montclair, NJ 07043); Rangan Gupta (Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa) |
| Abstract: | US economy is facing inflation jump, which is running at 30 year high. Using inequality and inflation data that are available at a high frequency, i.e. on a quarterly basis for over 30 years, we find evidence that inflation causes swings in income distribution rapidly. The dynamic response of inequality to changes in inflation alters over a fourquarter period. We show that the contemporaneous impact of inflation on inequality is negative; however, after three quarters the impact becomes positive and stronger in magnitude. From our results we learn that over a one year period, higher inflation would exacerbate income inequality in USA. The positive impact of inflation on income inequality is stronger when inflation rate, initially, is above the sample average. |
| Keywords: | Inflation, Inequality, United States |
| JEL: | D60 O40 O50 |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:pre:wpaper:202206&r= |
| By: | Simplice A. Asongu (Yaounde, Cameroon); Nicholas M. Odhiambo (Pretoria, South Africa) |
| Abstract: | This study focuses on linkages between bank accounts and supply-side mobile money drivers for mobile money innovations. It seeks to understand how bank accounts can be complemented with mobile subscription and mobile connectivity dynamics (i.e., mobile connectivity coverage and mobile connectivity performance) for mobile money innovations. The empirical evidence is based on quadratic Tobit regressions. First, there are positive net relationships from the roles of mobile subscriptions and mobile connectivity coverage in modulating bank accounts for mobile money innovations. Second, mobile connectivity performance does not significantly modulate bank accounts for mobile money innovations. Third, given the negative marginal relationships associated with the positive net relationships, thresholds for complementary policies in mobile money supply factors that are worthwhile for bank accounts to stimulate mobile money innovations are provided. The thresholds are: (i) mobile subscription rates of 87.50%, 80.50%, and 98.50% of the adult population for respectively, the mobile money accounts, the mobile used to send money, and the mobile used to receive money, and (ii) mobile connectivity coverages of 64.00%, 69.33%, and 78.00% for respectively, the mobile money accounts, the mobile used to send money, and the mobile used to receive money. |
| Keywords: | Mobile money; technology diffusion; financial inclusion; inclusive innovation |
| JEL: | D10 D14 D31 D60 O30 |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:agd:wpaper:22/011&r= |
| By: | Simplice A. Asongu (Yaounde, Cameroon); Nicholas M. Odhiambo (Pretoria, South Africa) |
| Abstract: | This research assesses the importance of financial access on value added in three economic sectors in 25 countries in Sub-Saharan Africa using data for the period 1980-2014. The empirical evidence is based on the Generalised Method of Moments. Financial access is measured with private domestic credit, while the three outcome variables are: value added in the agricultural, manufacturing, and service sectors, respectively. Enhancing financial access does not significantly improve value added in the agricultural and manufacturing sectors, while enhancing financial access improves value added in the service sector.An extended analysis shows that in order for the positive net incidence of enhancing credit access on value added to the service sector to be maintained, complementary policies are required when domestic credit to the private sector is between 77.50% and 98.50% of GDP. Policy implications are discussed. |
| Keywords: | Economic Output; Financial Development; Sub-Saharan Africa |
| JEL: | E23 F21 F30 O16 O55 |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:exs:wpaper:22/009&r= |
| By: | Bohdan M. Pavlyshenko |
| Abstract: | The paper studies the linear model for Bitcoin price which includes regression features based on Bitcoin currency statistics, mining processes, Google search trends, Wikipedia pages visits. The pattern of deviation of regression model prediction from real prices is simpler comparing to price time series. It is assumed that this pattern can be predicted by an experienced expert. In such a way, using the combination of the regression model and expert correction, one can receive better results than with either regression model or expert opinion only. It is shown that Bayesian approach makes it possible to utilize the probabilistic approach using distributions with fat tails and take into account the outliers in Bitcoin price time series. |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2201.02729&r= |
| By: | Edoardo Rainone (Bank of Italy) |
| Abstract: | Following the implementation of negative policy rates, interest rates on bank deposits reached their historic lows, with values close or equal to zero. This paper investigates the implications of such a new environment for the demand of currency. We find evidence of a structural break in the demand of currency when rates on deposits fall below 0.1 per cent. Exploiting time, bank and banknote denomination variation, as well as exogenous reforms that affected currency payments and holdings, our analysis finds that the increase of currency in circulation seems to be mostly driven by transactions instead of store-of-value demand. |
| Keywords: | financial stability, monetary policy, negative interest rates, deposits, zero lower bound, money demand |
| JEL: | E41 E42 E52 E58 |
| Date: | 2022–02 |
| URL: | http://d.repec.org/n?u=RePEc:bdi:wptemi:td_1359_22&r= |
| By: | Kramer, Berber; Ceballos, Francisco; Hazell, Peter; Timu, Anne G. |
| Abstract: | KEY MESSAGES • A recent external review of IFPRI’s research on agricultural insurance found that, since 2009, IFPRI has made important contributions to the literature on factors constraining farmers’ demand for agricultural insurance and on gender inclusiveness of insurance and, since 2015, has focused more specifically on developing new forms of insurance that can reduce basis risk at the farm level and make insurance more attractive to farmers. • IFPRI’s work on flexible insurance contracts, picture-based insurance, and bundling agricultural insurance with credit, seeds, and other agricultural services shows that well-designed insurance can significantly improve on standard index products, increase demand among smallholders, and lead to greater use of bundled inputs like improved seeds and climate-smart farming practices. • ILRI’s long-term success with its index-based livestock insurance (IBLI) product illustrates that an action-oriented approach aimed at working with strong implementing partners on the ground ensures that, when a product is successful, it has the potential to scale up quickly, leading to significant development impacts. • Important knowledge gaps that warrant further CGIAR research include: 1) segmenting product design and marketing strategies for different target groups, such as sustainable commercial insurance and inclusive insurance; 2) the value and optimal design of programs and policies to remove tail-end catastrophic risks, and of insurance more broadly within a more holistic risk management framework; and 3) cost-benefit analyses around the net social benefits of insurance subsidies, and how these subsidies can best be designed and targeted to achieve their purposes. |
| Keywords: | agricultural insurance; research; livestock insurance; insurance; livestock; risk management; public policies; picture-based insurance |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:fpr:othbrf:1290143038&r= |
| By: | Corinna Ghirelli (Banco de España); Danilo Leiva-León (Banco de España); Alberto Urtasun (Banco de España) |
| Abstract: | In this article, we measure changes over time in the synchronization of housing price cycles across Spanish cities. In doing so, we rely on a regime-switching framework that identifies the housing price cycles of pairs of cities, and simultaneously infers the evolving relation between those cycles. These bilateral relationships are then summarized into an aggregate synchronization index of city-level housing cycles. The estimates suggest that Spanish housing prices have followed a convergence pattern, which picked in 2009 and slightly decreased afterwards. We also identify the cities that have been the main contributors to this convergence process. Moreover, we show that differences in population growth and economic structure are key factors to explain the evolution of housing price synchronization among Spanish cities. |
| Keywords: | housing cycles, synchronization, Spain |
| JEL: | E31 C32 R11 |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:bde:wpaper:2205&r= |
| By: | Allen Head; Timothy Kam; Sam Ng; Isaac Pan |
| Abstract: | Using micro-level data for the U.S., we provide new evidence—at national and state levels—of a positive (negative) relationship between the standard deviation (coefficient of variation) and the average in bank lending-rate markups. In a quantitative theory consistent with these empirical observations, banks’ lending market power is determined in equilibrium and is a novel channel of monetary policy. At low inflation, banks tend to extract higher markups from existing loan customers rather than competing for additional loans. As a result, banking activity need not be welfare-improving if inflation is sufficiently low. This result speaks to concerns regarding market power in the banking sectors of low-inflation countries. Normatively, under a given inflation target, welfare gains arise if a central bank can use additional liquidity-provision (or tax-and-transfer) instruments to offset banks’ market-power incentives. |
| Keywords: | Banking and Credit; Markups Dispersion; Market Power; Stabilization Policy; Liquidity |
| JEL: | E41 E44 E51 E63 G21 |
| Date: | 2022–02 |
| URL: | http://d.repec.org/n?u=RePEc:acb:cbeeco:2022-684&r= |
| By: | Ben Youssef, Slim |
| Abstract: | This paper evaluates the symmetric and asymmetric relationships between military spending (MS) and oil imports (OIM) in China. For this purpose, we use the autoregressive distributed lag (ARDL) and the non-linear ARDL approaches, with annual data ranging from 1989 to 2016. In the long-run, MS increases OIM, renewable energy (RE) consumption, and gross domestic product (GDP). RE consumption increases arms exports (AE) and GDP but reduces OIM. Interestingly, OIM reduces AE and AE harm GDP. OIM seem to have a non-linear and asymmetric impact on MS both in the short- and long-run. In the long-run, an increase in OIM by 1% increases MS by 0.853%, while a reduction of OIM by 1% reduces MS by 1.467%. The cumulative dynamic multiplier effects indicate that China reacts very rapidly to positive shocks, but is very cautious about reducing its MS in the event of a negative shock. It appears that China is prompt to reduce considerably its MS whenever it is assured about its energy security. This could be partially achieved by increasing its RE consumption, and the military sector is invited to contribute especially through its R&D activities. This could lead to a cleaner environment and a more peaceful world. |
| Keywords: | Renewable energy; oil imports; arms exports; military spending; non-linear and linear autoregressive distributed lag; China. |
| JEL: | C32 H56 O53 Q42 |
| Date: | 2021–07–01 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:111413&r= |
| By: | Tolga U. Kuzubas; Burak Saltoglu |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:bou:wpaper:2021/06&r= |
| By: | Masolo, Riccardo M (Bank of England) |
| Abstract: | Surprises in survey responses on perceived business conditions produce strong comovement in unemployment, consumption, investment, and output, and a muted response of inflation and measured total factor productivity (TFP). This suggests that news play an important role in explaining business cycle fluctuations, but also that attention should not be limited to TFP news. Employment news are the main driver of the overall index of reported business conditions. Vector autoregression impulse responses can be matched by a New Keynesian model in which individual risk, a positive supply of liquid funds, and complementarity between labour and capital inputs are modelled explicitly and the assumption of free entry of vacancies is done away with. |
| Keywords: | News; unemployment; business cycles; search frictions; individual risk |
| JEL: | C30 E31 E32 |
| Date: | 2022–01–07 |
| URL: | http://d.repec.org/n?u=RePEc:boe:boeewp:0958&r= |
| By: | Eirik S. Amundsen (Department of Economics, University of Bergen; Department of Food and Resource Economics, University of Copenhagen); Anders Skonhoft (Department of Economics, Norwegian University of Science and Technology) |
| Abstract: | This paper studies the relationship between population size and the rate of time preference (RTP) in pre-capitalist subsistence agricultural communities. The RTP is reflected in the community´s propensity to invest in and maintain new arable land that may be considered as an inherent characteristic of the considered community. Using a Malthusian framework, we show how communities with a low RTP end up with a high steady-state subsistence population compared to communities with a high RTP. Furthermore, unsustainable “optimum population” sizes are identified where consumption per capita has a maximal value. Finally, the paper shows that the population growth rate may have no bearing on the resulting subsistence steady-state population size. A population with a higher growth rate only reaches the subsistence steady-state population size faster and have a lower maximal consumption per capita along the path to the subsistence level. |
| Keywords: | Population growth, Malthusian model, Rate of time preference |
| JEL: | O12 Q12 |
| Date: | 2022–02 |
| URL: | http://d.repec.org/n?u=RePEc:foi:wpaper:2022_01&r= |
| By: | Lorenzo Ricci; Giovanni Soggia; Lorenzo Trimarchi |
| Abstract: | This paper investigates the impact of idiosyncratic shocks in bank lending standards on firm credit in Italy, using survey data from the Regional Bank Lending Survey to identify bank supply conditions. From 2009 to 2019, we document that a one-standard-deviation tightening in lending standards reduces firm credit growth by 0.21 percentage points and explains 4.3% of the total variation. This effect is driven mainly by liquidity provisionsto firms for credit lines. Examining the extensive margin of the bank-firm relationship, we find that a negative shock significantly impacts the probability of accepting new loan applications and the likelihood of the bank-firm relationship breaking up. We also show firms cannot smooth individual bank shocks by borrowing more from other lenders. Changes to lending standards have sizable and persistent effects on aggregatecredit and production, especially at times of high economic uncertainty. |
| Keywords: | Credit Growth, Bank Lending Standards, Credit Lines |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:eca:wpaper:2013/338083&r= |
| By: | Knut Anton Mork (Department of Economics, Norwegian University of Science and Technology); Haakon Andreas Trønnes (Department of Economics, Norwegian University of Science and Technology); Vegard Skonseng Bjerketvedt (Department of Industrial Economics and Technology Management, Norwegian University of Science and Technology) |
| Abstract: | We study the dynamic performance of a sovereign wealth fund with the dual purpose of preserving wealth to future generations and provide regular contributions to annual budgets. We do not seek to derive optimal results but use stochastic simulations to study the implications of existing rules. Because our immediate focus is on the Norwegian Government Pension Fund Global, popularly referred to as the oil fund, we study rules established for this fund and calibrate our model from data for this fund’s financial returns as well as the Norwegian fiscal policy for which fund withdrawals make up an integral part. However, our results should be of interest to other sovereign wealth funds as well as endowment funds for universities and other non-profit institutions. Withdrawals are limited to the fund’s expected real returns as a first approximation; however, deviations from this rule are allowed to fund automatic stabilizers as well as discretionary fiscal policy. On top of that, the rule also allows smoothing so as to avoid abrupt changes. We find that this combination of rules implies considerable uncertainty regarding the fund’s future development. It does not preserve the fund’s value for future generations, not even in expectation, and will eventually lead to depletion. Keeping risk (equity share) low and withdrawal rates below the expected rate of return are possible remedies. However, for the depletion risk to be eliminated, stricter bounds must be put on countercyclical fiscal policy than the pattern followed in recent decades. |
| Keywords: | Sovereign wealth funds, Long-term risk, Fiscal smoothing, Depletion risk |
| JEL: | C63 E62 G11 |
| URL: | http://d.repec.org/n?u=RePEc:nst:samfok:19222&r= |
| By: | Yu-Fu Chen; Hassan Molana |
| Abstract: | We derive a generalised version of the Ramsey-type consumption function when labour income is assumed to follow the standard geometric Brownian motion, and show how the propensity to consume might depend on its drift and diffusion parameters. This enables us to explain the circumstance in which precautionary savings can arise when a risk averse consumer faces income uncertainty, and to resolve the main consumption puzzles: excess smoothness and excess sensitivity of consumption relative to income and its insensitivity to the real interest rate. Our results also show how labour income uncertainty could explain the existence of a subsistence level of consumption and, in that context, shed light on Kuznets’ paradox regarding constancy of the average propensity to consume in the long run. Finally, we find that using the subjective rate of time preference as the sole measure of a consumer’s impatience to consume could be misleading when the path of labour income is volatile. |
| Keywords: | life-cycle model; income volatility; geometric Brownian motion; risk aversion; precautionary savings; excess sensitivity; excess smoothness; Kuznets’ paradox |
| JEL: | C61 D11 E21 D91 D80 |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:dun:dpaper:303&r= |
| By: | Andersson, Martin (Department of Economic History, Lund University); Julia, Juan P. (Unit for Economic History, University of Gothenburg); Palcio Ch., Andrés F. (Department of Economic History, Lund University) |
| Abstract: | Economic growth is usually considered the main driver of convergence – the attainment by developing countries of income levels similar to those of industrialised nations. Although it has been recognised that achieving economic growth is not the same as sustaining it, analyses of the role of economic shrinking in the catching-up process, and how to build resilience to shrinking, are in short supply. The objective of this paper is to understand how emerging economies can limit the frequency and magnitude of economic shrinking and thus increase the probability of catching up. To this end, we analyse the role of social capabilities as determinants of resilience to shrinking in 26 developing countries during the period 1964– 2018. As a representation of a broad spectrum of capabilities, we construct an Index based on five interrelated social and economic capabilities: (i) transformation of the economic structure, (ii) market inclusion, (iii) social stability, (iv) accountability and (v) autonomy of the state. We demonstrate that countries with better social capabilities are more resilient to shrinking than countries with poor capabilities. Poorly endowed countries do not necessarily lack the ability to generate growth, but their limited resilience prevents them from catching up. In addition, the paper shows that social capabilities are highly relevant in smoothing the negative effects of international trade shocks in developing countries. The main implication of the paper is that improvement of social capabilities should be regarded as a key instrument to promote long-term, sustainable economic development, and it should be emphasised over short-term maximization of economic growth. This could be done by conciliating socioeconomic transformation with other concerns, such as the sustainable use of natural resources. |
| Keywords: | economic shrinking; social capabilities; resilience; economic growth; catching up; developing countries |
| JEL: | O47 O57 |
| Date: | 2021–12–20 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:luekhi:0231&r= |
| By: | Lucian Cernat |
| Abstract: | The EU is the trading bloc with the most extensive network of bilateral free trade agreements (FTAs). These trade agreements offer tremendous market access opportunities for EU companies. However, FTAs are becoming increasingly complex. Therefore, in trying to cover many trading partners and a growing range of trade-related issues, a critical question emerges: how easy is it for EU firms to understand and take advantage of FTAs? This is a crucial question since a perfectly negotiated FTA offering optimal trade conditions would be useless if no exporter would make use of it. One effective way to facilitate FTA implementation is to rely on a combination of firm-level Trade Policy 2.0 combined with the use of algorithms to codify trade rules in simple online tools for SMEs. This paper describes two concrete examples (ROSA and Access2Procurement) deployed by the EU to "easify" the FTA implementation and ensure that companies can understand their provisions and take advantage of their benefits. L'UE est le bloc commercial qui possède le plus vaste réseau d'accords de libre-échange (ALE) bilatéraux. Ces accords commerciaux offrent d'énormes possibilités d'accès au marché pour les entreprises de l'UE. Toutefois, les ALE sont de plus en plus complexes. Par conséquent, en essayant de couvrir de nombreux partenaires commerciaux et un éventail croissant de questions liées au commerce, une question cruciale se pose : dans quelle mesure est-il facile pour les entreprises de l'UE de comprendre et de tirer parti des ALE ? Il s'agit d'une question cruciale, car un ALE parfaitement négocié offrant des conditions commerciales optimales serait inutile si aucun exportateur n'y a recours. Heureusement, il existe des preuves solides suggérant que les exportateurs utilisent les ALE, y compris les petites et moyennes entreprises (PME). Un moyen efficace de faciliter la mise en œuvre des ALE consiste à s'appuyer sur une combinaison de la politique commerciale 2.0 au niveau de l'entreprise et de l'utilisation d'algorithmes pour codifier les règles commerciales dans des outils en ligne simples pour les PME. Ce document décrit deux exemples concrets (ROSA et Access2Procurement) déployés par l'UE pour "faciliter" la mise en œuvre des ALE et faire en sorte que les entreprises puissent comprendre leurs dispositions et profiter de leurs avantages. |
| Keywords: | FTA implementation,CETA,SMEs,rules of origin,public procurement,computational law,Trade Policy 2.0., Mise en Åuvre des ALE,AECG,PME,règles d'origine,marchés publics,droit computationnel,politique commerciale 2.0. |
| Date: | 2021–12–13 |
| URL: | http://d.repec.org/n?u=RePEc:cir:circah:2021pe-05&r= |
| By: | Brixy, Udo (Institute for Employment Research (IAB), Nuremberg, Germany); Brunow, Stephan (HdBA); Ochsen, Carsten (HdBA ; Univ. Rostock) |
| Abstract: | "We compare real wage differences between centralized and peripheral areas and highly centralized and peripheral areas using vast information of German administrative data that contains more than 2.8 Million individuals and 660,000 firms. We provide substantial empirical evidence that most of the wage gaps can be explained by differences in endowments of individual and firm characteristics, particularly when unobserved individual and firm heterogeneity is appropriately accounted for. Our interpretation is that the selectivity of workers and firms in space explains most of the real wage gap between peripheral and (highly) centralized regions, and returns to characteristics are honoured rather equally in all regional types." (Author's abstract, IAB-Doku) ((en)) |
| Keywords: | IAB-Open-Access-Publikation |
| JEL: | J31 R12 |
| Date: | 2022–02–14 |
| URL: | http://d.repec.org/n?u=RePEc:iab:iabdpa:202204&r= |
| By: | Douglas Barrios (Center for International Development at Harvard University); Federico Sturzenegger; Frank Muci (Center for International Development at Harvard University); Patricio Goldstein (Center for International Development at Harvard University); Ricardo Hausmann (Center for International Development at Harvard University) |
| Abstract: | This study analyses the performance of macroeconomic policy in South Africa in 2007–2020 and outlines challenges for policy in the coming decade. After remarkable economic growth in 1997–07, South Africa’s progress slowed dramatically in 2009 with the global financial crisis. Real GDP growth decelerated more than in other emerging markets and mineral exporting peers and never recovered pre-crisis levels. In addition, the budget deficit that provided counter-cyclical support to the economy was never reigned in, leading to a rapidly rising public debt load. The study assesses three accounts of South Africa’s post-GFC growth and fiscal slump: (1) an external story; (2) a macro story; and (3) a microeconomic story. Evidence of strong linkages between micro-and political developments and growth performance is provided. |
| Keywords: | macroeconomic policy, economic growth, emerging markets, South Africa |
| JEL: | E63 E65 O55 |
| Date: | 2022–01 |
| URL: | http://d.repec.org/n?u=RePEc:cid:wpfacu:404&r= |
| By: | Jon Danielsson; Marcela Valenzuela; Ilknur Zer |
| Abstract: | The global crisis in 2008 reminded us of the importance of the financial sector for the macroeconomy, a lesson many had forgotten in the decades after the previous global crisis, the Great Depression. Financial risk matters. It is necessary for investment and growth, while also driving uncertainty, inefficiency, recessions, and crises. |
| Date: | 2022–02–03 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgfn:2022-02-03-2&r= |
| By: | Braun, Robin (Bank of England) |
| Abstract: | When quantifying the importance of supply and demand for oil price fluctuations, a wide range of estimates have been reported. Models identified via a sharp upper bound on the short-run price elasticity of supply, find supply shocks to be minor drivers. In turn, when replacing the upper bound with a fairly uninformative prior, supply shocks turn out to be quite important. In this paper, I revisit the evidence with a model identified by a combination of weakly informative priors and non-Gaussianity. For this purpose, a structural vector autoregressive (SVAR) model is developed where the distributions of the structural shocks are modelled non-parametrically. The empirical findings indicate that once non-Gaussianity is incorporated into the model, posterior mass of the short-run oil supply elasticity shifts towards zero and oil supply shocks become minor drivers of oil prices. In terms of contributions to the forecast error variance of oil prices, the model arrives at median estimates of just 6% over a 16-month horizon. |
| Keywords: | Oil market; SVAR; identification by non-Gaussianity; non-parametric Bayesian methods |
| JEL: | C32 Q43 |
| Date: | 2021–12–17 |
| URL: | http://d.repec.org/n?u=RePEc:boe:boeewp:0957&r= |
| By: | Jean-Guillaume Sahuc; Mattia Girotti; Benoît Nguyen |
| Abstract: | Negative interest rate policy makes excess liquidity costly to hold for banks and this may weaken the bank-based transmission of monetary policy. We design a rule-based tiering system for excess reserve remuneration that reduces the burden of negative rates on banks while ensuring that the central bank keeps control of interbank interest rates. Using euro-area data, we show that under the proposed tiering system, the aggregate cost of holding excess liquidity when the COVID-19 monetary stimulus fully unfolds would be more than 36% lower than that under the ECB’s current system. |
| Keywords: | Negative interest rates, excess liquidity, tiering system, bank profitability, interbank market |
| JEL: | E43 E52 G21 |
| Date: | 2022 |
| URL: | http://d.repec.org/n?u=RePEc:drm:wpaper:2022-4&r= |
| By: | Anna Laura Mancini (Bank of Italy); Pietro Tommasino (Bank of Italy) |
| Abstract: | We document that Italian public administrations systematically overestimate capital expenditures, and that the introduction of a cap on this spending item improves the accuracy of their plans. Our analysis relies on a unique dataset including budgetary figures (both planned and realized) for all Italian municipalities, and exploits a national reform which introduced a limit to realized capital expenditures only for municipalities above a given population threshold (5,000 residents). One possible interpretation of our results is that policy-makers, exploiting the imperfect knowledge of voters, benefit from promising over-ambitious investment plans. The introduction of expenditure limits makes these promises less credible, and helps to bring expenditure plans in line with reality. Furthermore, we find that capital revenues are also over-estimated, and that the forecast accuracy of capital revenues improves due to the reform. This is in line with our political-economy interpretation: as there is less room to inflate expenditures, politicians have also less incentive to indulge in window-dressing on the revenue side. |
| Keywords: | budget rules, budget execution, local public finance, official forecasts, public investment, fiscal transparency |
| JEL: | E62 H62 H68 |
| Date: | 2022–02 |
| URL: | http://d.repec.org/n?u=RePEc:bdi:wptemi:td_1360_22&r= |
| By: | Kevin Spiritus (Erasmus Universiteit Rotterdam); Etienne Lehmann (Université Panthéon-Assas Paris II); Sander Renes (Erasmus Universiteit Rotterdam) |
| Abstract: | We analyze the optimal nonlinear income tax schedule when taxpayers earn multiple in- comes and differ along many unobserved dimensions. We derive the necessary conditions for the government’s optimum using both a tax perturbation and a mechanism design approach, and show that both methods produce the same results. Our main contribution is to propose a numerical method to find the optimal tax schedule. Applied to the optimal taxation of couples, we find that optimal isotax curves are very close to linear and parallel. The slope of isotax curves is strongly affected by the relative tax-elasticity of male and female income. We make several additional contributions, including a test for Pareto efficiency and a condition on primitives that ensures the government’s necessary conditions are sufficient and the solution to the problem is unique. |
| Keywords: | Nonlinear Optimal Taxation, Multidimensional Screening, Household Income Taxation |
| JEL: | H21 H23 H24 D82 |
| URL: | http://d.repec.org/n?u=RePEc:tin:wpaper:20220060&r= |
| By: | Spielman, David J.; Lecoutere, Els; Makhija, Simrin; Van Campenhout, Bjorn |
| Abstract: | Our study focuses on a narrow class of ICT products and services: technologies related to mobile phones, services, and networks; portable devices; web-based portals, tools, and applications; and the data and information shared through these products and services via technologies as varied as interactive voice response (IVR) systems and satellite imagery. We do not consider more traditional ICTs such as radio and television programming. In addition, we focus on a core function of extension services—the promotion of productivity-enhancing agricultural technologies and practices—from which we examine the impacts of ICT-enabled extension on equity outcomes, such as changes in women’s empowerment and decision-making within households; on behavioral outcomes, such as aspiration, risk, and ambiguity preferences; and on learning outcomes, such as awareness, knowledge, and learning externalities. |
| Keywords: | Information and Communication Technologies, developing countries, agricultural extension, social networks, gender, incentives, farmers, public worker incentives |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:fpr:othbrf:1290142954&r= |