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on Transition Economics |
| By: | Tomas Adam; Ales Michl; Michal Skoda |
| Abstract: | This paper discusses the implications of possible changes in the composition of the Czech National Bank's foreign exchange reserves, which are large by international standards and account for about 98% of the CNB's assets and are thus crucial for its earnings. Starting from the allocation as of October 31, 2022, we test how the risk-return characteristics change under the following three hypotheses: (i) increasing the share of equities from about 18% to, for example, 20%, (ii) increasing the amount of gold to, for example, 100 tons (from about 0.5% to 4.5% of the reserves), (iii) reducing the share of euro-denominated assets from 46% to, for example, 40%. The results suggest that if asset prices followed the pattern of the last 20 years, increasing the share of equities to 20% would increase the expected return on the portfolio, while the volatility would increase only slightly. Next, increasing the amount of gold to 100 tons could increase the expected return on the portfolio, while its volatility, measured in Czech koruna, would decrease. Reducing the share of euro-denominated assets, on the other hand, could slightly increase the expected return on the portfolio but could also significantly increase the volatility of the returns measured in Czech koruna, and is therefore not appropriate. |
| Keywords: | Central bank finances, foreign exchange reserves, foreign exchange reserve management, portfolio choice |
| JEL: | E44 E58 F31 G11 |
| Date: | 2022–09 |
| URL: | http://d.repec.org/n?u=RePEc:cnb:rpnrpn:2023/01&r=tra |
| By: | Manh Hung Do; Trung Thanh Nguyen |
| Abstract: | Water is critical for agriculture in developing countries and climate change has created extreme weather events that push farmers into poverty. In this study, we first examine the role of year-round irrigation at village level in ensuring irrigation at household level and helping farmers to cope with weather shocks. We then investigate the effects of irrigation on crop farming efficiency, income, and poverty of rural households. We use a panel dataset of 1, 681 households in Thailand and 1, 699 households in Vietnam collected in 2010, 2013, and 2016 with a total number of 10, 140 observations. Our results show that the availability of year-round irrigation at village level positively and significantly increases the share of irrigated land areas at household level. Besides, weather shocks significantly decrease crop farming efficiency and an improvement in irrigation has a positive effect on farming efficiency. Further, an increase in irrigated land share at household level increases crop income and total household income, and decreases poverty. Our results suggest that making irrigation water available throughout the year is needed for farmers to cope with extreme weather events and to escape from poverty. This should be done by developing infrastructure for ensuring year-round irrigation. |
| Keywords: | Thailand, Vietnam, Irrigation, Multidimensional poverty, Instrumental variable |
| JEL: | Q57 Q12 R20 |
| Date: | 2023–07 |
| URL: | http://d.repec.org/n?u=RePEc:tvs:wpaper:wp-034&r=tra |
| By: | Gustafsson, Björn Anders (Göteborg University); Zhang, Peng (Zhejiang University); Jia, Hanrui (Shanghai Administration Institute) |
| Abstract: | In urban China, gender gaps in employment and earnings have steadily increased since the 1990s. Such gender gaps are important because pension rights and amounts are based on labor force participation and wages. However, as this study demonstrates, despite the rise in gender differences in the urban labor market, the average gender pension gap decreased between 1988 and 2018. In the paper, we describe the evolution of the fragmented pension system in urban China using a quantitative approach that distinguishes between pension coverage rates and average benefit amounts. Additionally, we conducted a birth cohort analysis to gain further insights into the reasons for changes in the gender pension gap. We utilized data from the China Household Income Project, focusing on individuals aged 60 years and older. Therefore, this study demonstrates how changes in China's pension system have benefited women more than men during the aforementioned period. |
| Keywords: | gender pension gap, pension reforms, time effect, cohort effect, urban, China |
| JEL: | H55 J14 J26 P36 |
| Date: | 2023–10 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp16558&r=tra |
| By: | Jinkai Li; Erga Luo; Bart Cockx (-) |
| Abstract: | In 2015, 15% of all children in China were left behind in the countryside because at least one of their parents migrated to a city. We implement an event study analysis between 2010 and 2018 on five waves of the China Family Panel Studies (CFPS) to investigate the dynamic effects of parental migration on the health of left behind young children (LBC). While we find a gradual increase in medical expenditures, we do not detect any significant impact on the incidence of sickness. Furthermore, the analysis shows that the incidence of overweight declines gradually since their parents’ first migration and reports suggestive evidence for mental health improvement. We argue that these long-term positive effects on health and health consumption can be explained by the transitory nature of migration, the high-quality substitution of the caregiver role by grandparents, and by a reorientation in family expenditures, partly induced by government policy. |
| Keywords: | young left-behind children; parental migration; Hukou system; long-term impact on health; event study analysis; mechanisms analysis |
| JEL: | C83 C91 J22 J88 |
| Date: | 2023–11 |
| URL: | http://d.repec.org/n?u=RePEc:rug:rugwps:23/1077&r=tra |
| By: | Thanh Tam Nguyen-Huu (Métis Lab EM Normandie - EM Normandie - École de Management de Normandie) |
| Abstract: | This research investigates the effects of FDI spillovers on the productivity of domestic firms by relying on unconditional quantile regression. Using panel data of Vietnamese enterprises over the period 2000–2012, we find evidence of positive spillovers for firms at the lower tails and negative spillovers for those at the upper tails of the productivity distribution. Time and the firm's legal status are other factors determining the effect of FDI spillovers. Notably, only low productivity state-own enterprises benefit from positive horizontal spillovers, but in the long run rather than in the short run. |
| Keywords: | FDI spillovers, Total factor productivity, Unconditional quantile regression |
| Date: | 2023–07–11 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-04244612&r=tra |
| By: | Yervand Martirosyan |
| Abstract: | Existing studies demonstrate the short-run connection between environmental conditions and academic performance. However, the long-term effects of exposure to adverse living conditions on academic achievement remain underexplored. This study investigates the long-term impact of energy poverty, and policy interventions aimed at alleviating it, on the academic performance of Chinese schoolchildren starting from infancy. It specifically utilizes the Huai River Policy, which provides free winter heating exclusively to northern regions in China but not to adjacent southern regions. My findings suggest a significant positive influence of winter heating on schoolchildren’s academic performance, with a more pronounced effect for children born during winter months. The insights gained from this research could inform policy debates to enhance educational outcomes and human well-being. |
| Keywords: | energy poverty, academic performance, climate |
| JEL: | I24 I25 Q51 Q54 Q58 |
| Date: | 2023–08 |
| URL: | http://d.repec.org/n?u=RePEc:cer:papers:wp761&r=tra |
| By: | Mantas Dirma; Jaunius Karmelavičius |
| Abstract: | Despite having introduced borrower-based measures (BBM), Lithuania's housing and mortgage markets were booming during the low-interest-rate period, casting doubt on the macroprudential toolkit's ability to contain excessive mortgage growth. This paper assesses the adequacy of BBMs’ parametrization in Lithuania. We do so by building a novel lifetime expected credit loss framework that is founded on actual loan-level default and household income data. We show that the BBM package effectively contains mortgage credit risk and that housing loans are more resilient to stress than in the preregulatory era. Our BBM limit calibration exercise reveals that (1) in the low-rate environment, income-based measures could have been tighter; and (2) borrowers taking out secondary mortgages rightly are and should be required to pledge a higher down payment. |
| Keywords: | macroprudential policy; borrower-based measures; LTV; mortgage credit risk; lifetime expected loss; probability of default. |
| Date: | 2023–10–27 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2023/227&r=tra |
| By: | Tihana Škrinjarić (Bank of England, United Kingdom Author-Name2: Maja Sabol Author-Name2-First: Maja Author-Name2-Last: Sabol Author-Email2: maja.sabol@europarl.europa.eu Author-Workplace-Name2: European Parliament) |
| Abstract: | House price dynamics are particularly interesting for macroprudential policymakers due to their effects on financial stability and future macroeconomic performance. As the main goal of macroprudential policy is to mitigate systemic risks, it is essential to monitor the central tendency of future house price growth dynamics and focus on downside risks and their possible materialization. This research, the first of its kind applied to the Croatian housing market, tries to identify and capture the main drivers of house price-at-risk (HaR) for the period between 2002Q1 and 2022Q3. It also predicts downside risks to future real house price growth. Based on the quantile regression results, we conclude that downside risks on housing market have increased in recent years. The approach is found to be insightful to monitor the uncertainty of the forecasts and decomposing the drivers to house price forecasting. Our results have implications for a range of policies that influence housing markets. |
| Keywords: | financial stability, macroprudential policy, quantile regression, growth at risk, house price dynamics, downside risks |
| JEL: | E32 E44 E58 G01 G28 C22 |
| Date: | 2023–11–08 |
| URL: | http://d.repec.org/n?u=RePEc:hnb:wpaper:73&r=tra |