nep-cwa New Economics Papers
on Central and Western Asia
Issue of 2022‒04‒25
thirty-one papers chosen by
Avinash Vats

  1. Cournot meets Bayes-Nash : A Discontinuity in Behavior Infinitely Repeated Duopoly Games By Argenton, Cedric; Ivanova-Stenzel, Radosveta; Müller, Wieland
  2. The Coming Rise in Residential Inflation By Marijn A. Bolhuis; Judd N. L. Cramer; Lawrence H. Summers
  3. Heterogeneous criticality in high frequency finance: a phase transition in flash crashes By Turiel, Jeremy D.; Aste, Tomaso
  4. Adding household surveys to the behavioral economics toolbox: Insights from the SOEP Innovation Sample By Fischbacher, Urs; Neyse, Levent; Richter, David; Schröder, Carsten
  5. The paper assesses the effects of dominant currency shocks (strong US dollar) on emerging markets by studying exchange market pressure (EMP) or foreign exchange (FX) liquidity, GDP growth, external debt, and inflation. The literature emphasizes inflation passthrough, trade volume and GDP growth contraction in the periphery following a strong dollar. Comparing the dollar shock with euro and commodity price shocks and employing pooled mean group estimates and panel VAR across regimes of trade invoicing, this paper shows that bilateral depreciation can decrease FX liquidity and GDP growth in the periphery, failing to achieve the conventional macroeconomic adjustments of a competitive depreciation. A strong dollar reduces external debt, but strong euro has the opposite effect, implying circumvention of the ‘original sin.’ An EMP, FX liquidity, shock from the periphery appreciates the US dollar, affirming dollar’s safehaven status. These findings have implications for balance of payments and exchange rate policy management. By Aleksandr V. Gevorkyan; ATarron Khemraj
  6. What Drives Stock Market Development in Arab Countries? By Chiad, Faycal; Hadj Sahraoui, Hamoudi
  7. Tracking the German Business Cycle By Tino Berger; Christian Ochsner
  8. Flexible inflation targeting: Concepts and application in India By Ashima Goyal
  9. War in Ukraine and Risks of Stagflation By Otaviano Canuto
  10. Unemployment insurance and labour productivity over the business cycle By Rujiwattanapong, W. Similan
  11. "Financial Barriers to Structural Change in Developing Economies: A Theoretical Framework" By Francesco Zezza; Gennaro Zezza
  12. Endogenous Option Pricing By Andrea Gamba; Alessio Saretto
  13. When does portfolio compression reduce systemic risk? By Veraart, Luitgard A. M.
  14. Nonlinear Pricing in Oligopoly: How Brand Preferences Shape Market Outcomes By Gomes, Renato; Lozachmeur, Jean-Marie; Maestri, Lucas
  15. Financial bubbles and income inequality By Brett, Craig; Sarkar, Saikat
  16. The art of trade war: spurring investments in Indonesia amidst the US–China trade war By Jong, Hilda Yanuar
  17. Portfolio Rebalancing with Realization Utility By Min Dai; Cong Qin; Neng Wang
  18. Two Types of Asset Bubbles in a Small Open Economy By Takashi Kamihigashi; Ryonghun Im
  19. Socioeconomic diversity of economics PhDs By Robert Schultz; Anna Stansbury
  20. Hours and Wages: A Bargaining Approach By Del Rey, Elena; Naval, Joaquín; Silva, José I.
  21. Foreign Direct Investment, Growth, and Publication Bias in Latin America and the Caribbean By Iorngurum, Tersoo
  22. High Dimensional Factor Models with an Application to Mutual Fund Characteristics By Lettau, Martin
  23. A Modern Gauss-Markov Theorem? Really? By Pötscher, Benedikt M.; Preinerstorfer, David
  24. Fixed Costs in Exporting and Investing By Youngmin BAEK; HAYAKAWA Kazunobu
  25. On Testing for Bubbles During Hyperinflations By Rubens Morita; Zacharias Psaradakis; Martín Sola; Patricio Yunis
  26. Bivariate mixed Poisson regression models with varying dispersion By Tzougas, George; di Cerchiara, Alice Pignatelli
  27. Nowcasting GDP - A Scalable Approach Using DFM, Machine Learning and Novel Data, Applied to European Economies By Mr. Jean-Francois Dauphin; Marzie Taheri Sanjani; Mrs. Nujin Suphaphiphat; Mr. Kamil Dybczak; Hanqi Zhang; Morgan Maneely; Yifei Wang
  28. Bayesian Estimation of Multivariate Panel Probits with Higher-Order Network Interdependence and an Application to Firms' Global Market Participation in Guangdong By Badi H. Baltagi; Peter H. Egger; Michaela Kesina
  29. The new crypto niche: NFTs, play-to-earn, and metaverse tokens By Vidal-Tomás, David
  30. Fields of Gold: Web Scraping and APIs for Impactful Marketing Insights By Boegershausen, Johannes; Datta, Hannes; Borah, Abhishek; Stephen, Andrew
  31. How Do Changes in Economic Conditions Affect Cognitive Function? By Yumi Ishikawa

  1. By: Argenton, Cedric (Tilburg University, School of Economics and Management); Ivanova-Stenzel, Radosveta; Müller, Wieland (Tilburg University, School of Economics and Management)
    Date: 2022
  2. By: Marijn A. Bolhuis; Judd N. L. Cramer; Lawrence H. Summers
    Abstract: We study how the recent run-up in housing and rental prices affects the outlook for inflation in the United States. Housing held down overall inflation in 2021. Despite record growth in private market-based measures of home prices and rents, government measured residential services inflation was only four percent for the twelve months ending in January 2022. After explaining the mechanical cause for this divergence, we estimate that, if past relationships hold, the residential inflation components of the CPI and PCE are likely to move close to seven percent during 2022. These findings imply that housing will make a significant contribution to overall inflation in 2022, ranging from one percentage point for headline PCE to 2.6 percentage points for core CPI. We expect residential inflation to remain elevated in 2023.
    JEL: E01 E31 E37 R21 R31
    Date: 2022–02
  3. By: Turiel, Jeremy D.; Aste, Tomaso
    Abstract: Flash crashes in financial markets have become increasingly important, attracting attention from financial regulators, market makers as well as from the media and the broader audience. Systemic risk and the propagation of shocks in financial markets is also a topic of great relevance that has attracted increasing attention in recent years. In the present work, we bridge the gap between these two topics with an in-depth investigation of the systemic risk structure of co-crashes in high frequency trading. We find that large co-crashes are systemic in their nature and differ from small ones. We demonstrate that there is a phase transition between co-crashes of small and large sizes, where the former involves mostly illiquid stocks, while large and liquid stocks are the most represented and central in the latter. This suggests that systemic effects and shock propagation might be triggered by simultaneous withdrawals or movement of liquidity by HFTs, arbitrageurs and market makers with cross-asset exposures.
    Keywords: criticality; financial networks; flash crash; high frequency trading; market microstructure; phase transition; systemic risk; EP/L015129/1; (EP/P031730/1) and EC (H2020-ICT-2018-2 825215).; ES/K002309/1
    JEL: F3 G3
    Date: 2022–02–10
  4. By: Fischbacher, Urs; Neyse, Levent; Richter, David; Schröder, Carsten
    Abstract: Integrating economic experiments into household surveys provides unique possibilities. We introduce the German Socio-Economic Panel's Innovation Sample (SOEPIS), which offers researchers detailed panel data and the possibility to collect personalized experimental and survey data for free. We present the options that this provides and give examples illustrating these options.
    Keywords: Experiments,Household Survey,Panel Study,Economic Methods,Economic Preferences,Behavioral Economics,SOEP
    JEL: C83 C9 D1 D9
    Date: 2022
  5. By: Aleksandr V. Gevorkyan; ATarron Khemraj (Schwartz Center for Economic Policy Analysis (SCEPA))
    Keywords: dominant currency pricing, exchange market pressure, international monetary system, nominal spillovers
    JEL: E24 I14 J62 J38 E21 J83 J32
    Date: 2022–04
  6. By: Chiad, Faycal; Hadj Sahraoui, Hamoudi
    Abstract: Arab stock exchanges have witnessed tremendous growth in recent decades, and the number of listed companies and the size of stock market capitalization have increased. In the light of this remarkable growth, this study aims to find out what are the most important determinants and economic factors affecting this development during the period 2006– 2017. By employing panel data models, we find that trade openness; market liquidity, money supply and economic growth have positive impacts on stock market development, whereas the global financial crisis has negative impact. Based on these results, measures should be taken to improve market liquidity, control of money supply, and maintain a balanced economic growth rate to promote the development of Arab stock exchanges. Policy recommendations are provided based on these findings.
    Keywords: Macroeconomic variables; stock markets development; Arab countries; panel data analysis
    JEL: E0 E00 G10
    Date: 2021
  7. By: Tino Berger (University of Goettingen); Christian Ochsner (University of Goettingen)
    Abstract: The German economy is an important economic driver in the Euro-area in terms of gross domestic product, labour force and international integration. We provide a state of the art estimate of the German output gap between 1995 and 2021 and present a nowcasting scheme that accurately predicts the Germany output gap up to three months prior to a gross domestic product data release. To this end, we elicit a mixed-frequency vector-autoregressive model in the spirit of Berger, Morley, and Wong (forthcoming) who propose to use monthly information to form an expectation about the current-quarter output gap. The mean absolute error of our nowcast is very small (0.25 percentage points) after only one month of observed data. Moreover, we show that international trade and labour market aggregates consistently explain large shares of variation in the German output gap.
    Keywords: output gap, Germany, nowcast, mixed frequency, vector-autoregression
    JEL: E32 E37 C53
    Date: 2022
  8. By: Ashima Goyal (Indira Gandhi Institute of Development Research)
    Abstract: The paper examines considerations that arise in adapting IT to emerging markets (EMs). These include the necessity of flexibility, the working of the expectations channel, the dominance of supply shocks, fiscal-monetary coordination, forecasting issues and guidance of thin markets. Implementation of inflation targeting in India has matured from a strict form that imposed a large output sacrifice, towards flexibility with better forecasting that kept inflation in the tolerance band, contributed to good growth recoveries as well as improved financial parameters in the first two years of the pandemic.
    Keywords: Flexible inflation targeting, concepts, India, market imperfections, anchoring
    JEL: E52 E63 E65
    Date: 2022–03
  9. By: Otaviano Canuto
    Abstract: The war in Ukraine is bringing substantial financial, commodity price, and supply chain shocks to the global economy. Sanctions on Russia are already having a significant impact on its financial system and its economy. Price shocks will have a global impact. Energy and commodity prices—including wheat and other grains—have risen, intensifying inflationary pressures from supply chain disruptions and the recovery from the pandemic. The push toward relative deglobalization received from the pandemic will get stronger. One may expect an increasing weight of geopolitics in international payments and in the access to special commodities.
    Date: 2022–03
  10. By: Rujiwattanapong, W. Similan
    Abstract: This paper quantifies the effects of the increasing maximum unemployment insurance (UI) duration during recessions on the drop in the correlation between output and labour productivity in the U.S. since the early 1980s – the so-called productivity puzzle. Using a general equilibrium search and matching model with stochastic UI duration, heterogeneous match quality, variable search intensity and on-the-job search, I demonstrate that the model can explain over 40 percent of the drop in this correlation (28 percent when the Great Moderation is taken into account). More generous UI extensions during recent recessions cause workers to be more selective with job offers and lower job search effort. The former channel raises the overall productivity in bad times. The latter prolongs UI extensions since in the U.S. they are triggered by high unemployment.
    Keywords: business cycles; labour productivity; match quality; search and matching; unemployment insurance
    JEL: E24 E32 J24 J64 J65
    Date: 2021–09–15
  11. By: Francesco Zezza; Gennaro Zezza
    Abstract: Starting from the seminal works of Wynne Godley (1999; Godley and Lavoie 2005, 2007a, 2007b), the literature adopting stock-flow consistent (SFC) models for two or more countries has been flourishing, showing that consistently taking into account real and financial markets of two open economies will generate different results with respect to more traditional open economy models. However, few contributions, if any, have modeled two regions in the same country, and our paper aims at filling this gap. When considering a regional context, most of the adjustment mechanisms at work in open economy models--such as exchange rate movements, or changes in interest on public debt--are simply not present, as they are in control of "external" authorities. So, what are the adjustment mechanisms at work? To answer this question, we adapt the framework suggested in Godley and Lavoie (2007a) to consider two regions that share the same monetary, fiscal, and exchange rate policies. We loosely calibrate our model to Italian data, where the South (Mezzogiorno) has both a lower level of real income per capita and a lower growth rate than the North. We also introduce a fragmented labor market, as discouraged workers in the South will move North in hopes of finding commuting jobs. Our model replicates some key features of the Italian economy and sheds light on the interactions between financial and real markets in regional economies with "current account" imbalances.
    Keywords: Stock-Flow Consistent; Regional Labor Mobility; Regional Economic Activity and Development
    JEL: E12 J61 R12
    Date: 2022–04
  12. By: Andrea Gamba; Alessio Saretto
    Abstract: We show that a structural model of firm decisions can produce very flexible implied volatility surfaces: upward and downward sloping, u-shaped. A calibrated version of the model is able to match many unconditional financial characteristics of the average option-able stock, and can help explain how, contrary to simple economic intuition, more valuable growth and contraction options are associated with a more negatively sloped implied volatility curve (i.e., a more negatively skewed implied distribution).
    Keywords: option pricing; risk-neutral skewness; growth options; leverage; investments
    JEL: G12 G32
    Date: 2022–03–24
  13. By: Veraart, Luitgard A. M.
    Abstract: We analyze the consequences of portfolio compression for systemic risk. Portfolio compression is a post-trade netting mechanism that reduces gross positions while keeping net positions unchanged and it is part of the financial legislation in the United States (Dodd–Frank Act) and in Europe (European Market Infrastructure Regulation). We derive necessary structural conditions for portfolio compression to be harmful and discuss policy implications. We show that any potential harmfulness of portfolio compression arises from contagion effects. We show how portfolio compression affects systemic risk depends on the resilience of nodes taking part in compression, on the proportion of debt that they can repay, and on the recovery rates in case of default. In particular, the potential danger of portfolio compression comes from defaults of firms that conduct portfolio compression. If no defaults occur among the firms that engage in compression, then portfolio compression always reduces systemic risk.
    Keywords: systemic risk; portfolio compression; financial networks; cycles; netting
    JEL: D85 G28 G33
    Date: 2022–03–01
  14. By: Gomes, Renato; Lozachmeur, Jean-Marie; Maestri, Lucas
    Abstract: We study oligopolistic competition by firms practicing second-degree price discrimination. In line with the literature on demand estimation, our theory allows for comovements between consumers’ taste for quality and propensity to switch brands. If low-type consumers are sufficiently less (more) brand loyal than high types, (i) quality provision is inefficiently low at the bottom (high at the top) of the product line, and (ii) informational rents are negative (positive) for high types, while positive (negative) for low types. We produce testable comparative statics on pricing and quality provision, and show that more competition (in that consumers become less brand-loyal) is welfare-decreasing whenever it tightens incentive constraints (so much so that monopoly may be welfare-superior to oligopoly). Interestingly, pure-strategy equilibria fail to exist whenever brand loyalty is sufficiently different across consumers types. Accordingly, price/quality dispersion ensues from the interplay between self-selection constraints and heterogeneity in brand loyalty.
    Keywords: competition; price discrimination; asymmetric information; preference correlation; price dispersion
    JEL: D82
    Date: 2022–03–29
  15. By: Brett, Craig; Sarkar, Saikat
    Abstract: Using a sample of OECD countries, we explore the relationships between stock market bubbles and income inequality. Specifically, we test whether explosive growth in stock prices leads to increased concentration of income at the top of the distribution. Moreover, we investigate the possibility that increased income concentration at the top increases the incidence or severity of asset bubbles. Using instrumental variables techniques, we uncover a positive effect of asset bubbles on the share of income earned by those in the top 1% and top 0.1% of the income distribution. However, this effect is not present when capital gains are excluded from income, supporting the idea that the mechanical effect of bubbles on asset income is a dominant driver of their effect on top income inequality. On the other hand, we also find that concentration of income at the top is associated with an increase in bubbles, whether measured by incidence, duration, or intensity. Moreover, this finding remains when capital gains are excluded from income. Our results suggest that top income inequality, whatever its source, increases the demand for assets, setting the stage for abnormal growth in stock prices.
    Keywords: bubbles and crashes; top income shares
    JEL: D31 G19
    Date: 2022–02–10
  16. By: Jong, Hilda Yanuar
    Abstract: The US–China trade war creates significant opportunities for developing countries, as global manufacturers need to relocate their production facilities out of China to avoid future tariff hikes. However, Indonesia as the biggest economy in the ASEAN is not experiencing any substantial advantage relative to its neighbors, especially compared to Vietnam. While there is no clarity on how long the trade war will last, it is important for Indonesia to strategize quickly to capitalize the opportunities. This article addresses the question of how Indonesia should strategize through country comparison and analysis of two types of policy competition, namely, incentives-based (IBC) and rules-based competition (RBC). In the short-term, Indonesia should be more accommodating for investors of all sizes and maximize the trade-related investment assistance. In the longer term, Indonesia should prudently open up to trade, improve cooperation between investment and trade functions, and build a positive public mindset for free trade.
    Keywords: FDI; free trade; Southeast Asia; strategy; trade war
    JEL: L81
    Date: 2021–08–26
  17. By: Min Dai; Cong Qin; Neng Wang
    Abstract: We develop a model where a realization-utility investor (Barberis and Xiong, 2009, 2012; Ingersoll and Jin, 2013) optimally targets her liquid-illiquid wealth ratio at a constant w∗. By saving in the risk-free asset (w∗ > 0), she makes smaller bets in the illiquid asset and realizes gains/losses more frequently. By leveraging (w∗
    JEL: D03 G11 G12
    Date: 2022–03
  18. By: Takashi Kamihigashi (Research Institute for Economics and Business Administration and Center for Computational Social Science, Kobe University, JAPAN); Ryonghun Im (Faculty of Economics, Kwansei Gakuin University, JAPAN)
    Keywords: Stock market bubbles; Pure bubbles; Small open economy
    JEL: E21 E44
    Date: 2022–03
  19. By: Robert Schultz (University of Michigan); Anna Stansbury (Peterson Institute for International Economics)
    Abstract: It is well documented that women and racial and ethnic minorities are underrepresented in the economics profession, relative to both the general population and many other academic disciplines. Less is known about the socioeconomic diversity of the profession. In this paper, we use data from the National Science Foundation’s Survey of Earned Doctorates to examine the socioeconomic background of US economics PhD recipients as compared with US PhD recipients in other disciplines, proxying for socioeconomic background using PhD recipients’ parents’ educational attainment. We find that economics PhD recipients are substantially more likely to have highly educated parents, and less likely to have parents without a college degree, than PhD recipients in other disciplines. This is true both for US-born and non-US-born PhD recipients, but the gap between economics and other disciplines is starker for those born in the United States. The gap in socioeconomic diversity between economics and other PhD disciplines has increased over the last two decades.
    Keywords: Economics, Economists, Economics Education, Diversity and Inclusion, Socioeconomic Background, Socioeconomic Inequality
    JEL: A11 A20 J44 J71
    Date: 2022–03
  20. By: Del Rey, Elena; Naval, Joaquín; Silva, José I.
    Abstract: In a recent paper, Bick et al. (2022) show the presence of a hump-shaped relationship between hours and hourly wages with a maximum around 50 hours worked. We show that a model with fixed labor costs where workers and firms bargain in wages and hours can help explain this non-linear relationship. Also, a quantitative version of the model is able to match the empirical hourly-wage to hours worked relationship estimated by those authors for the US.
    Keywords: Fixed labor costs, wage-hours relationship, bargaining
    JEL: J22 J3
    Date: 2022–03–11
  21. By: Iorngurum, Tersoo
    Abstract: Economic literature contains conflicting empirical results and explanations concerning the growth effect of foreign direct investment (FDI). In this study, several numerical estimates of FDI’s growth effect in Latin America and the Caribbean were drawn from 33 empirical studies and analysed with meta-analytic techniques. The results show that the true growth effect of FDI is near zero and statistically insignificant at all conventional levels. Tests of publication bias performed on the estimates reveal evidence of publication bias in peer-reviewed journal publications authored by PhD holders, but reveal no evidence of publication bias in the empirical literature as a whole. Furthermore, multivariate meta-regression analysis and Bayesian model averaging both show that publication bias is dependent on type of publication outlet and sample size. More precisely, publishing in peer-reviewed journals leads to publication bias, while sample size enlargement reduces publication bias.
    Keywords: Foreign Direct Investment, Economic Growth, Publication Bias, Meta-Analysis, Latin America and the Caribbean.
    JEL: C83 F21 O47
    Date: 2022–02–23
  22. By: Lettau, Martin
    Abstract: This paper considers extensions of 2-dimensional factor models to higher-dimension data that can be represented as tensors. I describe decompositions of tensors that generalize the standard matrix singular value decomposition and principal component analysis to higher dimensions. I estimate the model using a 3-dimensional data set consisting of 25 characteristics of 1,342 mutual funds observed over 34 quarters. The tensor factor model reduces the data dimensionality by 97% while capturing 93% of the variation of the data. I relate higher-dimensional tensor models to standard 2-dimensional models and show that the components of the model have clear economic interpretations.
    Keywords: Tucker decomposition, CP decomposition, tensors, PCA, SVD, factor models, mutual funds, characteristics
    JEL: C38 G12
    Date: 2021–03–02
  23. By: Pötscher, Benedikt M.; Preinerstorfer, David
    Abstract: We show that the theorems in Hansen (2021b) (Econometrica, forthcoming) are not new as they coincide with classical theorems like the good old Gauss-Markov or Aitken Theorem, respectively.
    Keywords: Gauss-Markov Theorem, Aitken Theorem, unbiased estimation
    JEL: C13 C20
    Date: 2022–02
  24. By: Youngmin BAEK; HAYAKAWA Kazunobu
    Abstract: This study quantifies the fixed costs of export and outward foreign direct investment (FDI). Specifically, we compute the ratio of fixed costs for FDI to those for exports, which is called the "fixed cost ratio" (FCR). To do so, we solve an equation derived from the theoretical model of the choice between exporting and FDI. We apply this method to exports and FDI from Japan to 68 countries during the period 2002-2018. Our findings can be summarized as follows: In terms of median values, the FCR is estimated to be approximately 10, indicating that the fixed costs for FDI are approximately 10 times higher than those for exports. Furthermore, our regression analyses on the determinants of the FCR show a significantly negative effect of regional trade agreements (RTAs) on the FCR, which indicates that RTAs contribute to reducing fixed costs of FDI more greatly than those of exporting. This result has important implications for the RTAs' trade creation effect. Finally, we conduct simulation analyses of the effect of RTAs on the ratio of exports to FDI sales.
    Date: 2022–03
  25. By: Rubens Morita; Zacharias Psaradakis; Martín Sola; Patricio Yunis
    Abstract: We consider testing for the presence of rational bubbles during hyperinflations via an analysis of the non-stationarity properties of relevant observable time series. The testing procedure is based on a Markov-regime switching model with independent stochastic changes in its intercept, error variance, and autoregressive coefficients. This model formulation allow us to disentangle fundamentals-driven changes in the drift, bubble-driven explosiveness, and volatility changes that may be fundamentals-driven and/or bubble-driven. The testing strategy is illustrated by applying it to data from hyperinflations in Argentina, Brazil, Germany, and Poland.
    Keywords: Bubbles; Explosiveness; Markov-switching autoregressive model; Unit-root test.
    JEL: C72 D44 D82
  26. By: Tzougas, George; di Cerchiara, Alice Pignatelli
    Abstract: The main purpose of this article is to present a new class of bivariate mixed Poisson regression models with varying dispersion that offers sufficient flexibility for accommodating overdispersion and accounting for the positive correlation between the number of claims from third-party liability bodily injury and property damage. Maximum likelihood estimation for this family of models is achieved through an expectation-maximization algorithm that is shown to have a satisfactory performance when three members of this family, namely, the bivariate negative binomial, bivariate Poisson–inverse Gaussian, and bivariate Poisson–Lognormal distributions with regression specifications on every parameter are fitted on two-dimensional motor insurance data from a European motor insurer. The a posteriori, or bonus-malus, premium rates that are determined by these models are calculated via the expected value and variance principles and are compared to those based only on the a posteriori criteria. Finally, we present an extension of the proposed approach with varying dispersion by developing a bivariate Normal copula-based mixed Poisson regression model with varying dispersion and dependence parameters. This approach allows us to consider the influence of individual and coverage-specific risk factors on the mean, dispersion, and copula parameters when modeling different types of claims from different types of coverage. For expository purposes, the Normal copula paired with negative binomial distributions for marginals and regressors on the mean, dispersion, and copula parameters is fitted on a simulated dataset via maximum likelihood.
    JEL: C1
    Date: 2021–10–30
  27. By: Mr. Jean-Francois Dauphin; Marzie Taheri Sanjani; Mrs. Nujin Suphaphiphat; Mr. Kamil Dybczak; Hanqi Zhang; Morgan Maneely; Yifei Wang
    Abstract: This paper describes recent work to strengthen nowcasting capacity at the IMF’s European department. It motivates and compiles datasets of standard and nontraditional variables, such as Google search and air quality. It applies standard dynamic factor models (DFMs) and several machine learning (ML) algorithms to nowcast GDP growth across a heterogenous group of European economies during normal and crisis times. Most of our methods significantly outperform the AR(1) benchmark model. Our DFMs tend to perform better during normal times while many of the ML methods we used performed strongly at identifying turning points. Our approach is easily applicable to other countries, subject to data availability.
    Keywords: Nowcasting, Factor Model, Machine Learning, Large Data Sets
    Date: 2022–03–11
  28. By: Badi H. Baltagi; Peter H. Egger; Michaela Kesina
    Abstract: This paper proposes a Bayesian estimation framework for panel-data sets with binary dependent variables where a large number of cross-sectional units is observed over a short period of time, and cross-sectional units are interdependent in more than a single network domain. The latter provides for a substantial degree of flexibility towards modelling the decay function in network neighbourliness (e.g., by disentangling the importance of rings of neighbors) or towards allowing for several channels of interdependence whose relative importance is unknown ex ante. Besides the flexible parameterization of cross-sectional dependence, the approach allows for simultaneity of the equations. These features should make the approach interesting for applications in a host of contexts involving structural and reduced-form models of multivariate choice problems at micro-, meso-, and macroeconomic levels. The paper outlines the estimation approach, illustrates its suitability by simulation examples, and provides an application to study exporting and foreign ownership among potentially interdependent firms in the specialized and transport machinery sector in the province of Guangdong.
    Keywords: network models, spatial models, higher-order network interdependence, multivariate panel probit, Bayesian estimation, firm-level data, Chinese firms
    JEL: C11 C31 C35 F14 F23 L22 R10
    Date: 2022
  29. By: Vidal-Tomás, David
    Abstract: The combination of blockchain technologies and the gaming industry has given rise to metaverses and play-to-earn games, which incorporate their own economy, commerce, and currencies, namely, metaverse and play-to-earn tokens. In this paper, we analysed the performance and dynamics of 174 tokens, the results of which show that this new crypto niche is characterised by a positive performance in the long run and the absence of dependences on the cryptocurrency market, which could attract more gamers, traders, and companies. However, all these groups should be cautious due to the possible onset of a new crypto bubble.
    Keywords: Metaverse , Play-to-earn , NFT , Cryptocurrency , Gaming industry , Diversification
    JEL: G10
    Date: 2022–01–02
  30. By: Boegershausen, Johannes; Datta, Hannes (Tilburg University, School of Economics and Management); Borah, Abhishek; Stephen, Andrew
    Date: 2022
  31. By: Yumi Ishikawa (Research Institute for Economics and Business Administration, Kobe University, JAPAN)
    Abstract: This study examines the effects of changes in economic conditions on cognitive function using individual panel data from the National Survey of the Japanese Elderly. This study captures the objective, subjective, absolute, and relative terms of economic conditions, and examines which aspects of economic conditions in particular affect cognitive function. The results reveal that deterioration in economic conditions damages cognitive function. Particularly, objective economic conditions affect the cognitive function of Japanese men. Furthermore, economic conditions in relative terms are more important than those in absolute terms. The results further suggest that these deteriorating effects could be attributed to less social engagement and low healthcare utilisation owing to a decline in economic conditions.
    Keywords: Ageing; Cognitive function; Economic conditions; the National Survey of the Japanese Elderly; Relative income
    JEL: C23 I14 J14
    Date: 2022–04

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