|
on Transition Economics |
| By: | Dąbrowski, Marek A.; Janus, Jakub |
| Abstract: | This paper examines the uncovered interest parity (or forward premium) puzzle in four Central and Eastern European countries -- Czechia, Hungary, Poland, and Romania -- as well as their aggregates from 1999 to 2019. Because the interest parity is a foundation of open-macroeconomy analyses, with important implications for policymaking, especially central banking, more systematic evidence on interest parities in the CEE economies is needed. In this study, we not only address this need but also add to a broader discussion on the UIP puzzle after the global financial crisis. The UIP is verified vis-à-vis three major currencies: the euro, the U.S. dollar, and the Swiss franc. We start by providing a full set of baseline forward premium regressions for which we examine possible structural breaks and perform a decomposition of deviations from the UIP. Next, we explore augmented UIP models and introduce various factors which potentially account for the UIP puzzle, such as the realized volatility of the exchange rate, a volatility model of the excess returns, and international risk and business cycle measures. The study shows that the choice of the reference currency matters for the outcome of the interest parity tests in the CEE economies. The puzzle prevails for the EUR and the CHF but not for the USD, a regularity that has not been documented in previous studies. Second, we find that structural breaks in the time series used to test the UIP are not an essential reason for the general failure of the parity in the region. Third, we demonstrate that even though the risk-based measures largely improve the baseline testing regression, both from statistical and economic points of view, they do not alter the overall outcomes of our empirical models. Additionally, we show that the exchange rate peg of the Czech koruna to the euro from 2013 to 2017 had a significant impact on the UIP. A detailed case study on Poland, using granular survey data, indicates that the directly measured exchange rate expectations do not seem to be informed by the UIP relationship. Employing data on option-implied risk reversals, we reveal that the limited resilience of CEE economies to rare disasters may plausibly explain deviations from the UIP. |
| Keywords: | interest parity puzzle; forward premium puzzle; risk premium; Fama regression; Central and Eastern Europe |
| JEL: | F31 F41 G15 |
| Date: | 2021–05–04 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:107558&r= |
| By: | Dang, Hai-Anh (World Bank); Glewwe, Paul (University of Minnesota); Vu, Khoa (University of Minnesota); Lee, Jongwook (Seoul National University) |
| Abstract: | Despite being the poorest or second poorest participant, Vietnam performed much better than all other developing countries, and even ahead of wealthier countries such as the U.S. and the U.K., on the 2012 and 2015 PISA assessments. We provide a rigorous investigation of Vietnam's strong performance. After making various parametric and non-parametric corrections for potentially non-representative PISA samples, including bias due to Vietnam's large out-of-school population, Vietnam still remains a large positive outlier conditional on its income. Possible higher motivation of, and coaching given to, Vietnamese students only partly explains Vietnam's performance, and this is also the case for various observed household- and school-level variables. Finally, Blinder-Oaxaca decompositions indicate that the gap in average test scores between Vietnam and the other participating countries is due not to differences in students' and schools' observed characteristics, but instead to Vietnam's greater "productivity" of those characteristics. |
| Keywords: | education, student learning, test scores, enrollment, PISA, Vietnam |
| JEL: | H0 I2 O1 P3 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp14315&r= |
| By: | Fujii, Tomoki (School of Economics, Singapore Management University); Nakajima, Maki (National University of Singapore); Xu, Sijia (East China University of Science and Technology) |
| Abstract: | While past two decades have witnessed a remarkable educational progress in Vietnam, ethnic minority children consistently lagged behind ethnic majority children in academic performance. The government of Vietnam has stepped up efforts to assist ethnic minority students in their learning by lowering the linguistic and cultural barriers they face. Among such efforts is the textbook supply program, and we examine its impact on the learning of children proxied by vocabulary test. We apply difference-in-differences estimation to four rounds of the Young Lives data between 2006 and 2015 in order to investigate how the textbook supply program narrowed the gap between the ethnic minority and majority over time. We show that the textbook supply program became more effective in narrowing the ethnic gap as the education policy in Vietnam became reoriented towards ethnic minority children. We also conduct a causal mediation analysis to explore the relevance of behavioural response through the change in time use. The result of this analysis suggests that increased study time is possibly a moderate mediator through which the textbook supply program helps narrow the ethnic gap in the test score only for the young cohort over and above the direct impact from the textbook program. This paper therefore alludes to the importance of delivering carefully designed materials for the target group to bring about meaningful behavioral changes. It also corroborates the findings from the recent literature on teaching at the right level. |
| Keywords: | Ethnic minority; mediation; difference in differences; PPVT; Vietnam |
| JEL: | I24 I25 J15 O12 |
| Date: | 2021–04–13 |
| URL: | http://d.repec.org/n?u=RePEc:ris:smuesw:2021_002&r= |
| By: | Castaneda Dower, Paul; Gerber, Theodore; Weber, Shlomo |
| Abstract: | This paper addresses whether kinship networks promote or impede entrepreneurship in the Kyrgyz Republic. We conducted a survey of firm managers/entrepreneurs about their business networks, resources they receive from and provide to their contacts, their firm's performance, and the business environment they face. Our data indicate that receiving help from kin connections increases profitability, while providing help to kin decreases it. While kin-reliant firms grow slower than firms with a lower degree of kin assistance, the former grow faster than firms that do not have access to business networks. In addition, kin connections and firm performance are unrelated for firms that have adopted best business practices. Our results demonstrate that directly measuring both receipt and provision of help from/to kin helps resolve the ambiguity of findings in the broader literature regarding the net effects of kin networks on firm performance: the two forms of network use are positively correlated, yet have opposite effects. |
| Keywords: | firm performance; Kinship networks; Kyrgyz Republic |
| JEL: | O12 O14 O17 P23 Z13 |
| Date: | 2021–02 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:15813&r= |
| By: | Marcin Dec (Group for Research in Applied Economics (GRAPE)) |
| Abstract: | Less liquid markets for government bonds (LLMs) are characterized by many well recognized challenges which reduce the reliability of the classic Nelson-Siegel-Svensson (NSS) parsimonious approach. We document key stylized facts about government bond markets concerning liquidity, diversity of maturities available, bid-ask spread in price quotes, as well as price distortion in the very short end of the curve due to switch auctions. Based on these facts, we augment the NSS approach with model- and data-driven endogenous system of weights which permits reliable estimation of yield curves in LLMs. We apply our approach to the data for one of the largest European emerging markets: Poland. Through a battery of sensitivity analyses we show that there exists a class of weights that systematically gives better results than the classic NSS approach. The best fit weights have at least the same weight for the short end of the curve as a sum for all other tenors of bonds. It proves that inferring from the liquidity in particular maturities raises the information content and quality of yield curve estimation, which links our results to the expectation hypotheses. Unlike findings for most mature markets (e.g. US), for Poland there is a limited domain where pure expectations hypothesis (PEH) cannot be ruled out. Moreover, expectations hypothesis (EH) holds in Poland for almost all horizons. The existence of term premia structure explains the differences between compounded rates of returns from shorter investments and longer term zero-coupon yields of corresponding maturity. |
| Keywords: | yield curve estimation, parsimonious form, (pure) expectations hypothesis |
| JEL: | G12 G15 G17 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:fme:wpaper:52&r= |
| By: | Joshua Aizenman; Yothin Jinjarak; Hien Thi Kim Nguyen; Donghyun Park |
| Abstract: | This paper examines the association between episodes of large fiscal impulses (expansions and adjustments) and sustainable development indicators (prosperity, resilience, and inclusivity). We provide country studies of Chile, Poland, South Africa, and Thailand, examining the components of government expenses and tax revenues, and reporting four stylized patterns from the analysis. (i) Fiscal expansions led to higher growth rates and reduced negative trade-offs, e.g., pollution and poor-health mortalities associated with economic growth. (ii) Fiscal adjustments led to a more inclusive economy, lowered poverty headcounts, improved sanitation, and cleaner technology access. (iii) Fiscal expansions followed an increase in direct taxes (especially corporate taxes) and a decline in social contributions, and preceded a decline in other direct taxes and an increase in wage bills. (iv) Fiscal adjustments followed a decline in other direct taxes and social contributions, an increase in wage bills, and preceded a decline in government consumption expenditure and transfers. In light of these findings, the domestic resource mobilization should consider the time paths of the taxes and expenditure components to understand their empirical linkages with the sustainable development outcomes in the respective countries. |
| JEL: | E62 F15 F41 O11 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:28740&r= |
| By: | Vodopivec, Matija (University of Primorska); Laporsek, Suzana (University of Primorska); Stare, Janez (University of Ljubljana); Vodopivec, Milan (University of Primorska) |
| Abstract: | Linking health to the employment history of the whole Slovenia's workforce, this paper employs three innovative features. First, it utilizes a novel "double proof" approach of addressing the reverse causality that tracks only healthy individuals, making sure that any unemployment spell that individual may undergo precedes the occurrence of a disease, and relies on mass-layoffs to provide an additional layer of exogeneity to unemployment. Second, it is one of the first papers using data on drug prescriptions to infer information about the health status of individuals and link it labor market outcomes. And third, it treats the health effects of unemployment as part of a dose-response relationship, with the share of time spent in unemployment (as opposed to other labor market states) reflecting the "unemployment dose". The paper finds that, in comparison to employed persons with permanent contracts, persons experiencing unemployment face increased hazard of all three studied groups of diseases - cardiovascular diseases, diabetes, and mental disorders - as well as of hospitalizations caused by these diseases, with the effects stretching over a 15-year horizon. Moreover, the results also show that unemployment significantly increases the probability of death due to cardiovascular diseases and mental disorders, as well as death of any cause. |
| Keywords: | unemployment, health, hospitalization, mortality, cardiovascular diseases, diabetes, mental disorders, prescriptions, duration analysis |
| JEL: | J64 I12 C23 |
| Date: | 2021–04 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp14318&r= |
| By: | Péter Elek (Health and Population Lendület Research Group, Centre for Economic and Regional Studies, 1097 Budapest, Tóth Kálmán u. 4., Hungary and Institute of Economics, Corvinus University of Budapest); Anikó Bíró (Health and Population Lendület Research Group, Centre for Economic and Regional Studies); Petra Fadgyas-Freyler (National Health Insurance Fund Administration) |
| Abstract: | We analyse the timing, magnitude and income dependence of pharmaceutical panic buying around the outbreak of the COVID-19 pandemic in Hungary. We use district-level monthly and daily administrative data on detailed categories of pharmaceutical purchases, merge them to income statistics and estimate multilevel panel models. Our main results are as follows. First, the days of therapy (DOT) of pharmaceutical purchases increased by more than 30% in March 2020, when major lockdown measures were announced. This pattern holds for almost all categories of pharmaceuticals. Second, shortly after the panic reactions, the aggregate amount of pharmaceutical purchases returned to their pre-shock levels, however, the frequency of pharmacy visits decreased. Third, the panic buying reaction was significantly stronger in richer geographical areas, where – according to the daily data – people also reacted earlier to the pandemic-related news. Overall, the results suggest that panic buying of pharmaceuticals can have dtrimental effects on vulnerable populations.We combine macro-level data on high-stakes testing with survey data on more than 300,000 students aged 10-16 years in 31 European countries, from three waves (2002, 2006 and 2010) of the Health Behaviour in School-aged Children (HBSC) study. With variation in high-stakes testing across countries, years and grade levels, we use a quasi-experimental difference-in-differences (DD) design for identification of causal effects. We find that high-stakes testing increases self-reported school-related stress by almost 10 % of a standard deviation. This is primarily driven by a strong effect for girls, meaning that high-stakes testing increases the gender gap in school-related stress. The results are robust to a range of sensitivity analyses. |
| Keywords: | COVID-19, inequality, panic buying, pharmaceutical demand |
| JEL: | I12 I14 |
| Date: | 2021–03 |
| URL: | http://d.repec.org/n?u=RePEc:has:discpr:2113&r= |