|
on Transition Economics |
| By: | Balázs Égert; Evžen Kocenda |
| Abstract: | We study comovements between three developed (France, Germany, the United Kingdom) and three emerging (the Czech Republic, Hungary and Poland) European stock markets. The novelty of our paper is that we apply the Dynamic Conditional Correlation GARCH models proposed by Engle (2002) to five-minute tick intraday stock price data for the period from June 2003 to January 2006. We find a strong correlation between the German and French markets and also between these two markets and the UK stock market. By contrast, very little systematic positive correlation can be detected between the Western European stock markets and the three stock markets of Central and Eastern Europe, as well as within the latter group. |
| Keywords: | stock markets, intraday data, comovements, bi-variate GARCH, European integration |
| JEL: | F37 G15 |
| Date: | 2007–03–01 |
| URL: | http://d.repec.org/n?u=RePEc:wdi:papers:2007-861&r=tra |
| By: | Dietrich Earnhart; Lubomir Lizal |
| Abstract: | This study analyzes the effect of corporate environmental performance on financial performance in a transition economy. In particular, it assesses whether good environmental performance affects revenues, costs, or both, and if so, in which directions. As environmental performance improves, do revenues rise and costs fall so that profits unambiguously increase? Or vice versa? If both revenues and costs rise (or fall), does better environmental performance improve or undermine profitability? To answer these questions, our study analyzes the links from environmental performance to revenues, costs, and profits using an unbalanced panel of Czech firms from the years 1996 to 1998. The analytical results indicate strongly that better environmental performance improves profitability by driving down costs more than it drives down revenues, consistent with the substantial regulatory scrutiny exerted by environmental agencies and the primary pollution control approach implemented by firms during the sample period. |
| Keywords: | Czech Republic, environmental protection, pollution, financial performance |
| JEL: | D21 G39 Q53 |
| Date: | 2007–02–01 |
| URL: | http://d.repec.org/n?u=RePEc:wdi:papers:2007-856&r=tra |
| By: | Paavo Suni |
| Abstract: | Russia has greatly benefited both from exporting more energy commodities in volume terms and from the improvement of it’s terms of trade due to the rise in oil and other commodity prices in the 2000’s. To study the impacts, the counterfactual simulation for the years 2001-2006 and the “usual” oil price rise simulations for the future were made. According to the counterfactual simulations, the role of oil has been a key driver in the recent Russian economic development in the 2000’s. The average GDP growth in 2001-6 would have been around 4 per cent, around 2.5 percentage points lower than in the actual case. The effect was strongest in the last years of the period bringing the growth even below one per cent in 2006 instead of more than 6 per cent. The strong effect is due to large and rising price difference between the actual and counterfactual oil prices especially in the years 2003-6, which would have meant pronouncedly smaller oil income into the economy than actually took place. In the other simulations, the effects of the permanent 20 USD price rise to the baseline was compared. The economy reacted initially strongly to the shocks with e.g. raising GDP growth and current account strongly. The effect was, however, quickly vanishing after the rise. The temporary end of the current commodity boom would cause serious difficulties in the Russian eco-nomic development as the fuel for the engine would dry. The more robust growth would necessitate drastic changes in the economic structure from resource based economy towards more normal economic structure. Given the short and rather undeveloped Russia time series and from this reason also rather undeveloped models, the results contain large uncertainty. However, simulations provide one useful benchmark on the size of the effects of the energy price rise on the Russian economy. |
| Keywords: | Russian economy, simulation, oil price |
| JEL: | Q32 Q43 F47 |
| Date: | 2007–04–18 |
| URL: | http://d.repec.org/n?u=RePEc:rif:dpaper:1088&r=tra |
| By: | Belton Fleisher (Ohio State University and IZA); Haizheng Li (Georgia Institute of Technology); Min Qiang Zhao (Ohio State University) |
| Abstract: | We study the dispersion in rates of provincial economic- and TFP growth in China. Our results show that regional growth patterns can be understood as a function of several interrelated factors, which include investment in physical capital, human capital, and infrastructure capital; the infusion of new technology and its regional spread; and market reforms, with a major step forward occurring following Deng Xiaoping’s "South Trip" in 1992. We find that FDI had much larger effect on TFP growth before 1994 than after, and we attribute this to emergence of other channels of technology transfer when marketization accelerated. We find that human capital positively affects output per worker and productivity growth. In particular, in terms of its direct contribution to production, educated labor has a much higher marginal product. Moreover, we estimate a positive, direct effect of human capital on TFP growth. This direct effect is hypothesized to come from domestic innovation activities. The estimated spillover effect of human capital on TFP growth is positive and statistically significant, which is very robust to model specifications and estimation methods. The spillover effect appears to be much stronger before 1994. We conduct cost-benefit analysis and a policy "experiment," in which we project the impact increases in human capital and infrastructure capital on regional inequality. We conclude that investing in human capital will be an effective policy to reduce regional gaps in China as well as an efficient means to promote economic growth. |
| Keywords: | regional inequality, TFP growth, FDI, human capital, technology spillovers |
| JEL: | O15 O18 O47 O53 |
| Date: | 2007–03 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp2703&r=tra |
| By: | Ariane Lambert-Mogiliansky (PSE (CNRS, EHESS, ENPC, ENS) Paris); Konstantin Sonin (New Economic School/CEFIR and CEPR); Ekaterina Zhuravskaya (New Economic School/CEFIR and CEPR) |
| Abstract: | We study the nature of judicial bias in bankruptcy proceedings following the enactment of the 1998 bankruptcy law in Russia. The two main findings are as follows. First, regional political characteristics affected judicial decisions about the number and types of bankruptcy proceedings initiated after the law took effect. Controlling for indicators of firms’ insolvency and the quality of the regional judiciary, re-organization procedures were significantly more frequent in regions with politically popular governors and governors who had hostile relations with the federal center. Poor judicial quality was also associated with higher incidence of re-organizations. Second, the quality of the regional judiciary ffected performance of firms under the re-organization procedure: in regions with low quality judges, firms that were re-organized according to the 1998 law had significantly lower growth in sales, labor productivity, and product variety compared to firms not subject to bankruptcy proceedings. In contrast, in regions with high quality judges, firms in re-organization outperformed firms not in bankruptcy proceedings. This effect of judicial quality on the performance of re-organized firms was stronger when governors were politically popular. These findings are consistent with the view that politically strong governors subverted enforcement of the 1998 bankruptcy law. |
| JEL: | D23 G33 H11 H77 |
| Date: | 2007–03 |
| URL: | http://d.repec.org/n?u=RePEc:cfr:cefirw:w0099&r=tra |
| By: | Jan Filácek; Roman Horváth; Michal Skorepa |
| Abstract: | This article analyzes the main issues for monetary policy in new EU member states before their euro adoption. These are typically rooted in the challenge of fulfilling concurrently of the Maastricht inflation and exchange rate criterion, as these countries are experiencing equilibrium real exchange rate appreciation. In this article we first distinguish between the wording, written interpretation and “revealed” interpretation of the inflation and exchange rate criteria. Then we discuss the options for monetary policy in the period of fulfilment of these criteria in terms of its transparency, its continuity with the previous monetary policy regime, the choice of central parity for the ERM II, the setting of the fluctuation bandwidth, the probability of fulfilment of both criteria and the impact on economic stability. |
| Keywords: | monetary policy, euro adoption, ERM II, EU |
| JEL: | E58 E52 F42 F33 |
| Date: | 2006–11–01 |
| URL: | http://d.repec.org/n?u=RePEc:wdi:papers:2006-853&r=tra |
| By: | Nikolay Nenovsky; Gergana Mihaylova |
| Abstract: | The question of who benefits and who loses from the transition, the channels and mechanisms of redistribution of wealth in the post-communist period, and the relation between redistribution and monetary regime are, in our opinion, fundamental in understanding theoretically the deep systemic changes in Eastern Europe. This article has two basic tasks – one empirical and one theoretical. Our empirical task is to analyse the dynamics of the financial wealth of the institutional sectors in Bulgaria in the period 1998-2005 and to identify the major net creditors and net debtors. The empirical data used for the purpose are based on adapted methodology for the financial account of the Bulgarian economy according to the requirements of the System of National Accounts (SNA). Econometric simulations have been carried out of the major factors conditioning the change in the sectoral financial wealth. The empirical investigations are given in Part 3. Our theoretical task is to prove the hypothesis (which is to a large extent supported by the empirical results) about the functional relationship between the dynamics of redistribution and the change in monetary regime. This is presented in Part 2 and is discussed in Part 4. |
| Keywords: | redistribution, financial wealth, financial account, Bulgaria |
| JEL: | D31 E42 P30 |
| Date: | 2007–03–01 |
| URL: | http://d.repec.org/n?u=RePEc:wdi:papers:2007-864&r=tra |
| By: | Balázs Égert; Carol S. Leonard |
| Abstract: | In this paper we explore the evidence that would establish that Dutch disease is at work in, or poses a threat to, the Kazakh economy. Assessing the mechanism by which fluctuations in the price of oil can damage non-oil manufacturing—and thus long-term growth prospects in an economy that relies heavily on oil production—we find that non-oil manufacturing has so far been spared the perverse effects of oil price increases from 1996 to 2005. The real exchange rate in the open sector has appreciated over the last couple of years, largely due to the appreciation of the nominal exchange rate. We analyze to what extent this appreciation is linked to movements in oil prices and oil revenues. Econometric evidence from the monetary model of the exchange rate and a variety of real exchange rate models show that the rise in the price of oil and in oil revenues might be linked to an appreciation of the U.S. dollar exchange rate of the oil and non-oil sectors. But appreciation is mainly limited to the real effective exchange rate for oil sector and is statistically insignificant for non-oil manufacturing. |
| Keywords: | Dutch Disease, Kazakhstan, real exchange rate |
| JEL: | F31 F36 O11 |
| Date: | 2007–03–01 |
| URL: | http://d.repec.org/n?u=RePEc:wdi:papers:2007-866&r=tra |
| By: | Cuong H. Nguyen |
| Abstract: | This paper analyses the Vietnam's rural credit market to understand the determinants of credit choices and to measure impacts of borrowing activities on borrower's consumption in the 1992-1998 period. There are three main results. First, there exists uniform access to formal credit among rural households in Vietnam. Households' financial activity is found to be determined by household size and agricultural work rather than education or distance from the commune to the nearest bank branch. Education level seems to have an inverse U-shape effect on credit taking possibility; the least and the most educated households borrow least. Second, there is evidence of money lenders being crowded out by formal institutions via competition. Finally, we apply fix-effected regression and propensity score matching estimation on cross-sectional and panel data to assess impact of credit taking on household consumption. Our study demonstrates that formal credit positively affects borrowers' consumption while informal finance has mixed results. |
| Keywords: | rural credit, credit participation, Vietnam |
| JEL: | O12 O16 O17 |
| Date: | 2007 |
| URL: | http://d.repec.org/n?u=RePEc:hwe:certdp:0703&r=tra |
| By: | Martina Mysíková (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic) |
| Abstract: | This study is concerned with decomposing the gender pay gap in the Czech Republic. It aims not only to compare male and female wage-equations but also to uncover the gender pay gap structure. The decision of many women not to participate in the labor market can be influenced by potentially low wages. Their entry into the labor market could increase the gender pay gap in large measure. The advantage of this study is that it uses a selection method to estimate the male and female wage equations and this enables us to include the impact of nonparticipating individuals. The Oaxaca-Blinder decomposition divides the gender pay gap into several effects, which stem not only from discrimination but also from different male and female characteristics. The combination with the Heckman selection model enables one to separate the sample selection effect, which refers to the potential gender pay gap when nonparticipating individuals enter the labor market. The results of the decomposition confirm the hypothesis that the observed pay gap would increase if non-participating individuals enter the labor market. The study uses data from the new household survey Living Conditions 2005 (EU-SILC), which provides us with a large number of individual characteristics of working as well as non-working individuals, and therefore it enriches the existing empirical literature with new data. |
| Keywords: | gender pay gap, labor market participation, Heckman model, Oaxaca-Blinder decomposition, endowment effect, remuneration effect, sample selection effect |
| JEL: | J16 J31 |
| Date: | 2007–04 |
| URL: | http://d.repec.org/n?u=RePEc:fau:wpaper:wp2007_13&r=tra |