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on Investment |
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Issue of 2024‒08‒12
24 papers chosen by |
| By: | Kim, Dongsoo (Korea Institute for Industrial Economics and Trade); Kim, Soo-Dong (Kora); Lim, Soyoung (Korea Institute for Industrial Economics and Trade); Kim, Kye Hwan (Korea Institute for Industrial Economics and Trade); Min, Hyeok Ki (Korea Institute for Industrial Economics and Trade); Shin, Yoon Sung (Korea Institute for Industrial Economics and Trade); Cho, Eun Kyo (Korea Institute for Industrial Economics and Trade); Park, Byungyul (Korea Institute for Industrial Economics and Trade); Choi, Jeonghwan (Korea Institute for Industrial Economics and Trade); Bing, Hyun Ji (Korea Institute for Industrial Economics and Trade); Kang, Ji Hyun (Korea Institute for Industrial Economics and Trade) |
| Abstract: | Despite a projected global growth of 3% in 2024, uncertainties cloud the economic outlook due to ongoing conflicts, upcoming elections, and rising interest rates. Korea aims to navigate these challenges by boosting exports, attracting foreign investment, and building a more independent trade network through agreements with the US, EU, Africa, and Central America. The country seeks a proactive approach to counter trade issues and establish a mutually beneficial cooperation network. |
| Keywords: | global trade; Russia-Ukraine war; Israel-Hamas conflict; India elections; US elections; Biden; Trump; EU elections; far right; protectionism; economic security; nationalism; Korea; exports; inflation |
| JEL: | F00 F01 F02 F10 F13 F21 F42 |
| Date: | 2024–03–20 |
| URL: | https://d.repec.org/n?u=RePEc:ris:kietia:2024_003&r= |
| By: | Shafik Hebous; Andualem Mengistu |
| Abstract: | The international agreement on a corporate minimum tax is a milestone in global corporate tax arrangements. The minimum tax disturbs the equivalence between otherwise equivalent forms of efficient economic rent taxation: cash-flow tax and allowance for corporate equity. The marginal effective tax rate initially declines as the statutory tax rate rises, reaching zero where the minimum tax is inapplicable, and increases thereafter. This kink occurs at a lower statutory rate under cash-flow taxation. We relax the assumption of full loss offset; provide a routine for computing effective rates under different designs; and discuss policy implications of the minimum tax. |
| Keywords: | investment, minimum taxation, corporate tax reform, international taxation, rent tax |
| JEL: | H21 H25 F23 |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:ces:ceswps:_11147&r= |
| By: | Anand Chopra; Ronit Mukherji |
| Abstract: | This paper illustrates the role of low-skilled immigrants' location choice as a channel through which local labour markets adjust to automation. We employ a shift-share instrumental variable approach to demonstrate that low-skilled immigrants are more mobile than low-skilled native born in response to robot exposure. Low-skilled immigrants are less likely to enter and more likely to exit from highly robot-exposed regions. Immigrants' location decisions attenuate wage losses due to robot exposure for low-skilled natives. Low-skilled native workers experience a 0.07 percentage point smaller decline in wages comparing commuting zones at the 50th and 25th percentiles of low-skilled immigrant shares. |
| Keywords: | Automation, Geographic labour mobility, Immigrants, Technology |
| JEL: | J15 J23 J31 J61 O33 R23 |
| Date: | 2024–06–25 |
| URL: | https://d.repec.org/n?u=RePEc:liv:livedp:202409&r= |
| By: | Jerry Anunrojwong; Santiago R. Balseiro; Omar Besbes; Bolun Xu |
| Abstract: | Electric power systems are undergoing a major transformation as they integrate intermittent renewable energy sources, and batteries to smooth out variations in renewable energy production. As privately-owned batteries grow from their role as marginal "price-takers" to significant players in the market, a natural question arises: How do batteries operate in electricity markets, and how does the strategic behavior of decentralized batteries distort decisions compared to centralized batteries? We propose an analytically tractable model that captures salient features of the highly complex electricity market. We derive in closed form the resulting battery behavior and generation cost in three operating regimes: (i) no battery, (ii) centralized battery, and (ii) decentralized profit-maximizing battery. We establish that a decentralized battery distorts its discharge decisions in three ways. First, there is quantity withholding, i.e., discharging less than centrally optimal. Second, there is a shift in participation from day-ahead to real-time, i.e., postponing some of its discharge from day-ahead to real-time. Third, there is reduction in real-time responsiveness, or discharging less in response to smoothing real-time demand than centrally optimal. We quantify each of the three forms of distortions in terms of market fundamentals. To illustrate our results, we calibrate our model to Los Angeles and Houston and show that the loss from incentive misalignment could be consequential. |
| Date: | 2024–06 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2406.18685&r= |
| By: | Santeramo, Fabio G.; Jelliffe, Jeremy |
| Abstract: | After long consultations with stakeholders and parties that may be affected? , simulations of potential impacts and discussion to twist the design of the Carbon Border Adjustment Mechanism (CBAM) to be feasible, justifiable, and effective, the measure has been approved by the European Union in 2023 and has been officially started in October, for five sectors, included fertilizers as major input in agriculture. We use descriptive statistics and graphical analyses to highlight specific and relevant characteristics of target CBAM sectors for fertilizer. |
| Keywords: | Climate Change, Crop Production/Industries, International Relations/Trade, Sustainability |
| Date: | 2024–06–01 |
| URL: | https://d.repec.org/n?u=RePEc:ags:iatrcp:344137&r= |
| By: | Enrique Pinzon (StataCorp) |
| Abstract: | Two-way fixed effects is not a broken methodology. As Wooldridge (2021) shows, the estimator can be used to obtain heterogeneous treatment effects. I illustrate how to obtain these treatment effects using GMM. Additionally, I show how some other proposed estimators for heterogeneous treatment effects can be |
| Date: | 2022–10–12 |
| URL: | https://d.repec.org/n?u=RePEc:boc:neur22:08&r= |
| By: | Birgit Meyer; Andreas Reinstaller |
| Abstract: | Eine verantwortungsvolle Unternehmensführung (RBC) verfolgt das Ziel einen Beitrag zum wirtschaftlichen, ökologischen und sozialen Fortschritt zu leisten und nachteilige Effekte, die im Zusammenhang mit der Tätigkeit, den Produkten oder Dienstleistungen eines Unternehmens stehen, zu vermeiden und zu beheben. Zahlreiche internationale Initiativen betonen die Sorgfaltspflicht von Unternehmen bei der Einhaltung dieser Grundsätze und weiten die-se auf die gesamte Lieferkette der Unternehmen aus. Unternehmerische Verantwortung findet mittlerweile auch vermehrt Eingang in nationale und internationale rechtlich bindende Vorschriften. Diese empirische Untersuchung zur Nutzung und Auswirkung von Konzepten der verantwortungsvollen Unternehmensführung auf die Wettbewerbsfähigkeit österreichischer Unternehmen zeigt, dass zwar die Mehrheit der österreichischen Unternehmen bereits Konzepte der verantwortungsvollen Unternehmensführung umgesetzt hat, jedoch eine systematische Integration und Überwachung von RBC im Umfang und dem Niveau, wie es eine Berichtslegung und eine Dokumentation der Sorgfaltspflicht in Lieferketten erfordert, bislang nur im geringen Maße erfolgt ist. Die Studie schlägt eine Reihe von Maßnahmen zur Stärkung der Umsetzung vor allem bei kleinen und mittleren Unternehmen (KMU) vor. |
| Date: | 2022–08 |
| URL: | https://d.repec.org/n?u=RePEc:wsr:ecbook:y:2022:m:08:i:viii-004&r= |
| By: | Laurent Faivre; Pierre Sarrut |
| Abstract: | Dans le contexte de poursuite de la remontée des taux d’intérêt, le marché de l’immobilier français a poursuivi son repli en 2023 : • entre le quatrième trimestre 2022 (T4 2022) et le T4 2023, l’indice INSEE des prix dans l’ancien a reculé de 3, 9 % en métropole (contre une hausse de 4, 5 % en 2022), avec des divergences d’amplitude entre la Province (-2, 9 %) et l’Île-de-France (-6, 9 % ; Graphique 1) tandis que le nombre de transactions annuelles s’est établi à 869 000, un chiffre en baisse de 22 % par rapport à 2022 (Graphique 2) ; • la majeure partie de la hausse des taux de marché s’est répercutée sur les taux des crédits à l’habitat, qui ont atteint 4, 04 % en décembre 2023 (+1, 92 pt par rapport à décembre 2022), leur plus haut niveau depuis mars 2012 (Graphique 4). Ils demeurent néanmoins plus bas en France que dans les autres principaux marchés de la zone euro (Graphique 3) ; • la production annuelle de crédits à l’habitat s’est élevée à 152, 9 milliards d’euros en 2023, soit une baisse de 41, 1 % par rapport à 2022 (Graphique 6), retrouvant ainsi les niveaux observés en 2014 / 2015 avant la période de taux exceptionnellement bas ; • hors rachats et renégociations, la production de nouveaux crédits a atteint 128, 6 milliards en 2023, un chiffre en baisse de 40, 9 % par rapport à 2022. Rapportée au Produit Intérieur Brut, la production de crédits à l’habitat en France en 2023 demeure néanmoins supérieure à celle de la moyenne de la zone euro (5% vs. 3, 5% ; Graphique 8) ; • la part des rachats et renégociations dans la production est restée quasiment stable (15, 9 %, -0, 2 pt par rapport à 2022 ; Graphique 9) ; • la hausse de la part des prêts relais (+0, 7 pt à 7, 3 %) s’est poursuivie (Graphique 14), avec notamment une hausse des prêts prorogés (Graphique 15) ; • les encours de prêts à l’habitat en France ont enregistré une croissance de 0, 9 % sur l’année, contre 5, 5 % un an plus tôt (Graphique 10), tandis que l’ensemble des crédits aux particuliers résidant en France progressaient de 1, 2 % ; • enfin, les prêts ayant pour objet l’acquisition d’une résidence principale restent largement prédominants : ils ont représenté 78, 9 % des nouveaux crédits (hors prêts relais) en 2023, en hausse de 2, 4 pts par rapport à 2022, du fait de l’augmentation de la part des prêts aux primo-accédants (+3, 5 pts à 42, 6 % ; Graphique 12). Le début de l’année 2024 est marqué par des évolutions plus favorables. Les taux d’intérêt des nouveaux crédits à l’habitat s’inscrivent en nette baisse (3, 83% en mai 2024, en repli de 0, 34 pt par rapport au point haut atteint en janvier 2024) tandis que l’ajustement des prix de l’ancien en France métropolitaine se poursuit (-5, 2 % entre le T1 2023 et le T1 2024). Un redémarrage progressif de la production de nouveaux crédits à l’habitat s’observe ainsi à partir du mois d’avril.. |
| Keywords: | crédits à l’habitat des particuliers, prêt moyen, durée moyenne, loan to value, taux d’effort, encours douteux et provisions, coût du risque. |
| JEL: | G21 R21 R31 |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:bfr:analys:160&r= |
| By: | María del Carmen Dircio Palacios Macedo (Department of Economics, Universitat Jaume I, Castellón, Spain); Paula Cruz-García (Department of Economic Analysis, Universitat de Valencia, Spain); Fausto Hernández-Trillo (Center for Research and Teaching in Economics (CIDE), Mexico); Emili Tortosa-Ausina (IVIE, Valencia and IIDL and Department of Economics, Universitat Jaume I, Castellón, Spain) |
| Abstract: | Access to financial services is unequal around the world. In many countries, les than half of the population has an account at a financial institution, and this lack of access to finance is often a critical reason behind income inequality and uneven growth. This is the case of Mexico, where financial exclusion affects large shares of the population mainly in rural and poorer localities. This is an ongoing concern for policymakers, since it undermines socioeconomic opportunities for families and businesses alike, hampering economic growth and development. However, assessing the relevance of this issue requires a careful measurement of financial inclusion which, to date, has only been achieved to a limited extent. We contribute to the literature in this context by proposing a multivariate index of financial inclusion for Mexico, at the municipal level, for the period 2013–2021. This index covers several dimensions, including access, and usage. The results corroborate that a large proportion of the population is still unbanked, although it is unevenly distributed across the country. |
| Keywords: | composite indicator, financial inclusion, Mexican municipalities, Mexico |
| JEL: | G21 G23 G30 O16 R51 |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:jau:wpaper:2024/06&r= |
| By: | Francesco Parisi (University of Minnesota); Ram Singh (Department of Economics, Delhi School of Economics) |
| Abstract: | While the right to a trial by an impartial jury remains a cornerstone of the Anglo-American legal tradition, the modus operandi of a “trial by jury” in the United States has been in constant flux. During the last 125 years, twenty-eight states in the U.S. reduced the size of their juries, while three others allowed non-unanimous verdicts in felony and/or misdemeanor cases. Blackstonian ratios and burdens of proof exhibited similar variations across jurisdiction. In 2020, the U.S. Supreme Court cast a critical eye on non-unanimous juries and reintroduced the requirement of unanimity for all felony convictions. In 2023, jury size also received scrutiny from the U.S. Supreme Court, underscoring the enduring volatility of criminal jury practices in the United States. Currently, states retain autonomy to determine the composition of their juries and to determine the Blackstonian ratios that their respective jurisdictions are to follow. In this paper, we expose the critical interdependence between these elements to assess how these variations in jury structure affect the accuracy and decisiveness of the jury process. We further show how the tradeoff between different combinations of jury size and burdens of proof is affected by the prosecutorial selectivity and the frequency with which hung-jury mistrials are brought up for a retrial. JEL Code: K0, K4 |
| Keywords: | jury size, standard of proof, Blackstonian ratios, mistrial, prosecutorial selectivity |
| Date: | 2024–07 |
| URL: | https://d.repec.org/n?u=RePEc:cde:cdewps:350&r= |
| By: | Matthew J. Schneider; Rufus Rankin; Prabir Burman; Alexander Aue |
| Abstract: | The M6 Competition assessed the performance of competitors using a ranked probability score and an information ratio (IR). While these metrics do well at picking the winners in the competition, crucial questions remain for investors with longer-term incentives. To address these questions, we compare the competitors' performance to a number of conventional (long-only) and alternative indices using standard industry metrics. We apply factor models to the competitors' returns and show the difficulty for any competitor to demonstrate a statistically significant value-add above industry-standard benchmarks within the short timeframe of the competition. We also uncover that most competitors generated lower risk-adjusted returns and lower maximum drawdowns than randomly selected portfolios, and that most competitors could not generate significant out-performance in raw returns. We further introduce two new strategies by picking the competitors with the best (Superstars) and worst (Superlosers) recent performance and show that it is challenging to identify skill amongst investment managers. Overall, our findings highlight the difference in incentives for competitors over professional investors, where the upside of winning the competition dwarfs the potential downside of not winning to maximize fees over an extended period of time. |
| Date: | 2024–06 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2406.19105&r= |
| By: | Amer, Abdelrahman (University of Toronto); Craig, Ashley C (University of Michigan); Van Effenterre, Clémentine (University of Toronto) |
| Abstract: | Subjective performance evaluation is an important part of hiring and promotion decisions. We combine experiments with administrative data to understand what drives gender bias in such evaluations in the technology industry. Our results highlight the role of personal interaction. Leveraging 60, 000 mock video interviews on a platform for software engineers, we find that average ratings for code quality and problem solving are 12 percent of a standard deviation lower for women than men. Half of these gaps remain unexplained when we control for automated measures of coding performance. To test for statistical and taste-based bias, we analyze two field experiments. Our first experiment shows that providing evaluators with automated performance measures does not reduce the gender gap. Our second experiment removed video interaction, and compared blind to non-blind evaluations. No gender gap is present in either case. These results rule out traditional economic models of discrimination. Instead, we show that gender gaps widen with extended personal interaction, and are larger for evaluators educated in regions where implicit association test scores are higher. |
| Keywords: | discrimination, gender, coding, experiment, information |
| JEL: | C93 D83 J16 J71 M51 |
| Date: | 2024–06 |
| URL: | https://d.repec.org/n?u=RePEc:iza:izadps:dp17077&r= |
| By: | David Hummels; Kan Yue |
| Abstract: | Recent work documents declining business dynamism in the United States, with concerning implications for markups, innovation and productivity. Using import data for 146 countries over three decades we document a set of new stylized facts describing market dynamism world-wide. Market entry rates and the reallocation of market shares fall significantly over time. Young exporters experience rising prices, falling market shares, and increased exit probabilities relative to longer-tenured incumbents. While the variance of price shocks hitting markets is rising, long-tenured incumbents exhibit lower volatility in prices and the response of prices and quantities to tariff shocks are falling over time. These patterns hold for over 90 percent of countries and products suggesting the inadequacy of explanations that point to the macroeconomic or regulatory environment of particular countries or the unique industrial organization of particular products. |
| JEL: | D22 F14 L23 O40 |
| Date: | 2024–06 |
| URL: | https://d.repec.org/n?u=RePEc:nbr:nberwo:32637&r= |
| By: | Emma Aguila; Raquel Fonseca |
| Abstract: | This study explores how basic income for elderly (non-contributory pension program) affects the health of self-employed and salaried workers differently, which is particularly interesting given the greater social protection and lower income volatility of the latter. The study uses a cluster-randomized controlled trial that provides supplemental incomes to adults aged 70 or older in two towns in Yucatan, Mexico, and compares the effects of supplemental income over two waves for Valladolid (where eligible individuals received a monthly income supplement throughout the analysis period) and Motul (a demographically matched control town). The results indicate that self-employed workers experience a decrease in anemia, an improvement in peak expiratory flow, and better health care use and well-being. In contrast, salaried workers' health outcomes show no significant effect from the program. The program improves food availability for both self-employed and salaried workers, but its impact on food availability is stronger for self-employed workers. Cette étude examine comment le revenu de base pour les personnes âgées (programme de pension non contributif) affecte différemment la santé des travailleurs indépendants et des travailleurs salariés, ce qui est particulièrement intéressant compte tenu de la plus grande protection sociale et de la plus faible volatilité des revenus de ces derniers. L'étude utilise un essai contrôlé randomisé en grappes qui fournit des revenus supplémentaires aux adultes âgés de 70 ans ou plus dans deux villes du Yucatan, au Mexique, et compare les effets du revenu supplémentaire sur deux vagues pour Valladolid (où les personnes éligibles ont reçu un supplément de revenu mensuel tout au long de la période d'analyse) et Motul (une ville de contrôle appariée sur le plan démographique). Les résultats indiquent que les travailleurs indépendants connaissent une diminution de l'anémie, une amélioration du débit expiratoire maximal, ainsi qu'une meilleure utilisation des soins de santé et un meilleur bien-être. En revanche, le programme n'a pas eu d'effet significatif sur la santé des travailleurs salariés. Le programme améliore la disponibilité alimentaire tant pour les travailleurs indépendants que pour les salariés, mais son impact sur la disponibilité alimentaire est plus important pour les travailleurs indépendants. |
| Keywords: | Supplemental income, elderly, Mexico, health, lifetime occupation, Revenu complémentaire, personnes âgées, Mexique, santé, occupation à vie |
| JEL: | I32 I14 J14 |
| Date: | 2024–07–15 |
| URL: | https://d.repec.org/n?u=RePEc:cir:cirwor:2024s-04&r= |
| By: | Jinniao Qiu; Antony Ware; Yang Yang |
| Abstract: | This paper is devoted to the price-storage dynamics in natural gas markets. A novel stochastic path-dependent volatility model is introduced with path-dependence in both price volatility and storage increments. Model calibrations are conducted for both the price and storage dynamics. Further, we discuss the pricing problem of discrete-time swing options using the dynamic programming principle, and a deep learning-based method is proposed for numerical approximations. A numerical algorithm is provided, followed by a convergence analysis result for the deep-learning approach. |
| Date: | 2024–06 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2406.16400&r= |
| By: | Wang, Tong; Jin, Hailong |
| Keywords: | Research And Development/ Tech Change/Emerging Technologies, Agricultural And Food Policy, Farm Management |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:ags:aaea22:343974&r= |
| By: | Lionel Fontagné; Yoto V. Yotov; Lionel Gérard Fontagné |
| Abstract: | European integration, which culminated in the completion of the Single Market, the single currency and successive enlargements, is now faced with the question of strategic autonomy. Against this backdrop, the present paper has three objectives. First, it assesses the benefits of EU membership based on new, disaggregated trade and production data and using established and cutting-edge empirical methods. Second, it evaluates the costs of strategic autonomy – implying not trading with “riskier” partners. Third, it asks whether further deepening of the Single Market can alleviate these costs. The paper shows that the gains from European integration are substantial, albeit heterogeneous across Member States and sectors, and that the cost of strategic autonomy can be offset by deeper, but comparatively more modest, integration efforts within the European Single Market. |
| Keywords: | European integration, trade costs, trade policy, risky suppliers |
| JEL: | F10 F14 F16 |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:ces:ceswps:_11151&r= |
| By: | Michael Sekatchev; Zhengxiang Zhou |
| Abstract: | In this project, we propose to explore the Kalman filter's performance for estimating asset prices. We begin by introducing a stochastic mean-reverting processes, the Ornstein-Uhlenbeck (OU) model. After this we discuss the Kalman filter in detail, and its application with this model. After a demonstration of the Kalman filter on a simulated OU process and a discussion of maximum likelihood estimation (MLE) for estimating model parameters, we apply the Kalman filter with the OU process and trailing parameter estimation to real stock market data. We finish by proposing a simple day-trading algorithm using the Kalman filter with the OU process and backtest its performance using Apple's stock price. We then move to the Heston model, a combination of Geometric Brownian Motion and the OU process. Maximum likelihood estimation is commonly used for Heston model parameter estimation, which results in very complex forms. Here we propose an alternative but easier way of parameter estimation, called the method of moments (MOM). After the derivation of these estimators, we again apply this method to real stock data to assess its performance. |
| Date: | 2024–07 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2407.06745&r= |
| By: | Bjarte Aagnes (Cancer Registry of Norway) |
| Abstract: | At Cancer Registry of Norway, we have developed a secure environment for using Stata. A short description of this work is given describing data access, logging of data extraction (Java plugins+JDBC), and logging of Stata commands. |
| Date: | 2022–10–12 |
| URL: | https://d.repec.org/n?u=RePEc:boc:neur22:13&r= |
| By: | Villavicencio, Xavier A.; Zapata, Samuel D.; Xicay Xico, Anderson E. |
| Keywords: | Demand And Price Analysis, Research Methods/Statistical Methods, Agribusiness |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:ags:aaea22:344030&r= |
| By: | Matilde Cappelletti; Leonardo M. Giuffrida; Leonardo Maria Giuffrida |
| Abstract: | A set-aside promotes a more equitable procurement process by restricting participation in government tenders to small or disadvantaged businesses. Yet its micro-effects on tender outcomes (competition and contract efficiency) and targeted firm performance entail trade-offs, which we evaluate empirically using a decade of US federal procurement data. At the tender level, we employ a two-stage approach. First, we use random forest techniques to compute the propensity score for a tender being set aside based on rules implementation. Second, we employ the scores in an inverse probability weighting framework. We find that set-asides prompt more competition—implying that the rise in participation of targeted firms more than offsets the exclusion of untargeted ones—and inefficiency, measured by cost overruns and delays. We argue that adverse selection and moral hazard are mechanisms behind contract inefficiency. We then study the targeted firm behavior to uncover whether long-run benefits mitigate short-run drawbacks. We compare businesses differentially exposed to a set-aside spending shock through an event study framework. We find mixed evidence on firm growth. |
| Keywords: | set-aside program, public procurement, firm dynamics, random forest, propensity score, event study |
| JEL: | H32 H57 L25 |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:ces:ceswps:_11142&r= |
| By: | Paavola, Aleksi; Voutilainen, Ville |
| Abstract: | We study the effect of collateral eligibility of corporate loans on the pricing of these loans by banks in Finland. Speciftcally, we investigate whether loans that are pledgeable as collateral for central bank borrowing have lower liquidity premia and thus lower interest rates. For identiftcation, we utilize two unanticipated changes in the collateral framework of the Bank of Finland after the COVID-19 pandemic in 2020 and loanlevel corporate credit data from the Finnish implementation of Anacredit. Our main result is that we do not ftnd evidence that collateral pool expansions by the central bank signiftcantly affected interest rates paid by borrowers. The result contrasts with recent ftndings that imply signiftcant effects of similar collateral pool expansions on credit supply. We hypothesize that differences in the institutional setting and economic environment between countries may explain the contradictory results. Our ftndings show that collateral policies may not have similar effects on credit pricing in all circumstances. |
| Keywords: | monetary policy, collateral framework, credit pricing, interest rates, eligibility |
| JEL: | E43 E52 G21 G28 |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:zbw:bofrdp:300517&r= |
| By: | Yao, Shiyue; Baker, Justin S.; Brown, Zachary S. |
| Keywords: | Land Economics/Use, Environmental Economics And Policy, Crop Production/Industries |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:ags:aaea22:343938&r= |
| By: | Luke Hartigan (The University of Sydney); Tom Rosewall (Reserve Bank of Australia) |
| Abstract: | What is happening now? The onset of the COVID-19 crisis highlighted the importance of having timely data on the economy to help policymakers make more informed decisions. However, the most comprehensive measure of activity, GDP, is published with a long lag, thereby limiting its value to policymakers as a measure of the current state of the economy. To overcome this information deficiency, we develop a monthly activity indicator (MAI) for Australia. The MAI aims to provide policymakers with a more immediate snapshot of prevailing economic conditions. We achieve this by using a dynamic factor model to summarise the information content from a curated list of 30 monthly predictors selected for their ability to explain movements in quarterly real GDP growth. We undertake a pseudo out-of-sample nowcasting exercise using the MAI in an unrestricted MIDAS model and find that nowcasts based on the MAI significantly outperform standard benchmarks. Crucially, outperformance is largest during the COVID-19 crisis, emphasising the benefit from considering monthly data. Our results demonstrate that the MAI is a useful tool for policymakers to gain a better understanding of current economic conditions in Australia. |
| Keywords: | COVID-19; dynamic factor model; forecast evaluation; GDP growth; MIDAS regression; nowcasting; real-time data |
| JEL: | C32 C53 C55 E32 E37 |
| Date: | 2024–07 |
| URL: | https://d.repec.org/n?u=RePEc:rba:rbardp:rdp2024-04&r= |