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A mixed-frequency VAR application to studying joint dynamics of foreign investor trading and stock market returns 应用混合频率 VAR 研究外国投资者交易和股市回报的共同动态性
IF 3.2 4区 经济学
Empirical Economics Pub Date : 2024-02-20 DOI: 10.1007/s00181-023-02541-4
Burak Alparslan Eroğlu, Deniz İkizlerli, Numan Ülkü
{"title":"A mixed-frequency VAR application to studying joint dynamics of foreign investor trading and stock market returns","authors":"Burak Alparslan Eroğlu, Deniz İkizlerli, Numan Ülkü","doi":"10.1007/s00181-023-02541-4","DOIUrl":"https://doi.org/10.1007/s00181-023-02541-4","url":null,"abstract":"<p>We present the first application of the mixed-frequency VAR (MF-VAR) method in the market microstructure literature, studying the interaction between stock market returns and foreign investors’ trading. MF-VAR allows us to use daily investor trading data together with higher-frequency return series and uncover novel intraday patterns in the feedback trading behavior and the information content of trading. Using data from Korea, we find that foreign investors chase opening-hour returns, and their trading has the ability to forecast subsequent days' late-hour returns. This pattern suggests that foreign investors selectively respond to the information incorporated during opening hours. Over the years, foreign investors' response to intraday returns has become more prompt, and the predictive ability of their trading has disappeared. A specific test made feasible by the MF-VAR method does not support the global private information hypothesis.</p>","PeriodicalId":11642,"journal":{"name":"Empirical Economics","volume":"17 1","pages":""},"PeriodicalIF":3.2,"publicationDate":"2024-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139926934","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Electoral cycles in tax reforms 税制改革的选举周期
IF 3.2 4区 经济学
Empirical Economics Pub Date : 2024-02-20 DOI: 10.1007/s00181-024-02558-3
{"title":"Electoral cycles in tax reforms","authors":"","doi":"10.1007/s00181-024-02558-3","DOIUrl":"https://doi.org/10.1007/s00181-024-02558-3","url":null,"abstract":"<h3>Abstract</h3> <p>We examine electoral cycles in tax reforms using monthly data over the period 1990–2018 for 22 advanced economies and emerging markets. We show that governments tend to avoid announcing tax reforms during the months running up to elections. In addition, they become more likely to announce those reforms in the first few months following elections, suggesting that “political capital&quot; and/or “political opportunity&quot; channels play a role in the timing of reforms. These patterns are broad-based regarding changes in the tax base and rates, and for various types of taxes. We also find that the pre-election decrease in the likelihood of tax reform announcements appears to be stronger in emerging markets, and weaker in countries with relatively better institutional quality. Finally, our results indicate that neither fiscal rules nor IMF programs seem to have differential effects on electoral cycles in tax reforms.</p>","PeriodicalId":11642,"journal":{"name":"Empirical Economics","volume":"240 1","pages":""},"PeriodicalIF":3.2,"publicationDate":"2024-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139926936","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Telecommunication capital and productivity growth: further insights using network characteristics and nonlinearities 电信资本与生产率增长：利用网络特征和非线性因素的进一步见解
IF 3.2 4区 经济学
Empirical Economics Pub Date : 2024-02-20 DOI: 10.1007/s00181-024-02554-7
{"title":"Telecommunication capital and productivity growth: further insights using network characteristics and nonlinearities","authors":"","doi":"10.1007/s00181-024-02554-7","DOIUrl":"https://doi.org/10.1007/s00181-024-02554-7","url":null,"abstract":"<h3>Abstract</h3> <p>Recent literature gives emphasis on the services provided by telecommunication capital which might be subject to internal and external-networking effects, as well as costly irreversible investment pointing out to a more important and complicated effect from these services on productivity and growth. The objective of this paper is to model these effects using a production function framework, along with a newly constructed dataset. A TFP growth approach is employed taking into consideration all the above characteristics, and a smooth coefficient semiparametric model is used. From the analysis, we observe that the services of telecommunication capital depend on the level of telecommunication capital stock. There is a significant positive, but heterogeneous, relationship between telecommunication capital and country productivity. Even though the effect is positive, it diminishes with its level but increases with networking, captured by number of users. Also, telecommunication capital growth and its own effect appear to be raising income in all countries used in our sample, even those who experienced output reduction. These characteristics should be taken into consideration when new telecommunication investment policy is considered within a country.</p>","PeriodicalId":11642,"journal":{"name":"Empirical Economics","volume":"15 1","pages":""},"PeriodicalIF":3.2,"publicationDate":"2024-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139926932","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Family-oriented versus career seekers: mixture regression separation 家庭导向型与职业寻求型：混合回归分离
IF 3.2 4区 经济学
Empirical Economics Pub Date : 2024-02-13 DOI: 10.1007/s00181-023-02548-x
Lara Delsalle, Oleksii Birulin
{"title":"Family-oriented versus career seekers: mixture regression separation","authors":"Lara Delsalle, Oleksii Birulin","doi":"10.1007/s00181-023-02548-x","DOIUrl":"https://doi.org/10.1007/s00181-023-02548-x","url":null,"abstract":"<p>Using a finite mixture regression approach, we identify two groups of individuals, family- and career-oriented. Depending on whether the employment status is treated as a binomial or trinomial (with part-time work) variable, 55–70% of women and 4–10% of men belong to the family-oriented group. Children variables are the main source of differences between the two identified groups and between the family-oriented group and the average woman. Treating all women as one group leads to averaged-out estimates of children effects and underestimates the importance of part-time work for family-oriented women. Our results are important for studying women’s labour supply and for designing policies aimed at encouraging women’s labour market involvement.</p>","PeriodicalId":11642,"journal":{"name":"Empirical Economics","volume":"118 1","pages":""},"PeriodicalIF":3.2,"publicationDate":"2024-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139758326","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Co-payment exemption and healthcare consumption: quasi-experimental evidence from Italy 共付额豁免与医疗消费：来自意大利的准实验证据
IF 3.2 4区 经济学
Empirical Economics Pub Date : 2024-02-13 DOI: 10.1007/s00181-023-02552-1
Vanessa Cirulli, Giuliano Resce, Marco Ventura
{"title":"Co-payment exemption and healthcare consumption: quasi-experimental evidence from Italy","authors":"Vanessa Cirulli, Giuliano Resce, Marco Ventura","doi":"10.1007/s00181-023-02552-1","DOIUrl":"https://doi.org/10.1007/s00181-023-02552-1","url":null,"abstract":"<p>This paper investigates the causal effect of co-payment exemption on the number of specialist visits in the Italian National Health System. Exploiting a discontinuity in the multiple eligibility criteria, we apply multiple regression discontinuity in a quasi-experimental setting, considering both age and income requirements. Differently from the standard regression discontinuity, this twofold discontinuity allows to identify the effect of co-payment on a particularly needy sub-population of less wealthy people and how it changes according to the eligibility criteria. We find positive effects of co-payment exemption and the effects are stronger for less wealthy and older individuals. The result may be useful to the policy maker to tailor ad-hoc policies aimed at disadvantaged sub-populations.</p>","PeriodicalId":11642,"journal":{"name":"Empirical Economics","volume":"91 1","pages":""},"PeriodicalIF":3.2,"publicationDate":"2024-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139758042","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Nelson and Plosser revisited: macroeconomic and financial stability of Turkey 重访纳尔逊和普洛瑟：土耳其的宏观经济和金融稳定
IF 3.2 4区 经济学
Empirical Economics Pub Date : 2024-02-12 DOI: 10.1007/s00181-023-02536-1
Saban Nazlioglu, Dogukan Tarakci, Emre Kilic
{"title":"Nelson and Plosser revisited: macroeconomic and financial stability of Turkey","authors":"Saban Nazlioglu, Dogukan Tarakci, Emre Kilic","doi":"10.1007/s00181-023-02536-1","DOIUrl":"https://doi.org/10.1007/s00181-023-02536-1","url":null,"abstract":"<p>Since the seminal paper of Nelson and Plosser (J Monet Econ 10(2):139–162, 1982), analyzing the nature of shocks to macroeconomic and financial data has attracted great attention and it continues to be up-to-date, especially, in conjunction with the advances in unit root literature. This paper examines the persistence in macroeconomic and financial variables for Turkey by means of the recent developments in the quantile autoregression models to account for non-normal distributions, structural changes, and asymmetric dynamics. The results show that while the conventional unit root approaches fail to reject the null hypothesis of unit root for most the of 30 macroeconomic and financial time series, the nonlinear quantile unit root test with smooth structural changes supports evidence on a stable long-run equilibrium for 23 variables. It further reveals asymmetric persistence in most of the Turkey’s macroeconomic and financial data, implying that the effect of an economic shock in inflationary state is different than that in recessionary state.</p>","PeriodicalId":11642,"journal":{"name":"Empirical Economics","volume":"91 1","pages":""},"PeriodicalIF":3.2,"publicationDate":"2024-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139757952","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Business cycles in the USA: the role of monetary policy and oil shocks 美国的商业周期：货币政策和石油冲击的作用
IF 3.2 4区 经济学
Empirical Economics Pub Date : 2024-02-12 DOI: 10.1007/s00181-024-02556-5
{"title":"Business cycles in the USA: the role of monetary policy and oil shocks","authors":"","doi":"10.1007/s00181-024-02556-5","DOIUrl":"https://doi.org/10.1007/s00181-024-02556-5","url":null,"abstract":"<h3>Abstract</h3> <p>This paper examines the relative significance of oil supply, oil demand, and monetary policy shocks in explaining US macroeconomic variations. We analyze impulse response functions and variance decomposition to assess the relative importance of these shocks. Using a Bayesian structural VAR framework and the penalty function approach, we identify the shocks of interest. We find that oil supply shocks explain less than 3% of the variation in output, but have a relatively larger impact on inflation, accounting for around 13% of the inflation variation. Oil demand shocks explain 3% of output variation, but contribute significantly to inflation variation (around 16%). In contrast, monetary policy shocks have a greater influence on output, explaining approximately 13% of the observed variation. Monetary policy shocks are also the most influential source of inflation variation, contributing over 24% to the overall variation. Based on historical variance decomposition, we find that the recent inflation surge is attributable to both monetary expansion and oil supply factors. Overall, the study highlights the dominance of monetary policy shocks in explaining US macroeconomic fluctuations, with oil supply and demand shocks playing secondary roles.</p>","PeriodicalId":11642,"journal":{"name":"Empirical Economics","volume":"1 1","pages":""},"PeriodicalIF":3.2,"publicationDate":"2024-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139757953","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The return to classroom instruction time in private and public schools 私立和公立学校课堂教学时间的回归
IF 3.2 4区 经济学
Empirical Economics Pub Date : 2024-02-10 DOI: 10.1007/s00181-024-02560-9
{"title":"The return to classroom instruction time in private and public schools","authors":"","doi":"10.1007/s00181-024-02560-9","DOIUrl":"https://doi.org/10.1007/s00181-024-02560-9","url":null,"abstract":"<h3>Abstract</h3> <p>Private school students outperform their public school peers on standardized tests. Extensive effort has been devoted to testing whether the private–public gap is attributable to the schools themselves or simply due to peer effects or positive selection into private schools. Receiving far less attention is the extent to which the return to specific schooling inputs differs between private and public schools. We find evidence of an overall positive effect of class time on academic achievement and little evidence of a premium to time in private schools. Indeed, the benefit of added time appears similar in both settings. The lack of a private school premium to class time is consistent with the notion of positive selection into private schools.</p>","PeriodicalId":11642,"journal":{"name":"Empirical Economics","volume":"254 1","pages":""},"PeriodicalIF":3.2,"publicationDate":"2024-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139757951","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Old-age unemployment and labour supply: an application to Belgium 老年失业和劳动力供应：比利时的应用情况
IF 3.2 4区 经济学
Empirical Economics Pub Date : 2024-01-28 DOI: 10.1007/s00181-023-02544-1
Octave De Brouwer, Ilan Tojerow
{"title":"Old-age unemployment and labour supply: an application to Belgium","authors":"Octave De Brouwer, Ilan Tojerow","doi":"10.1007/s00181-023-02544-1","DOIUrl":"https://doi.org/10.1007/s00181-023-02544-1","url":null,"abstract":"<p>Over the last two decades, social security reforms in several European countries have turned early retirement routes for older workers increasingly difficult. The size of the effects of these reforms on labour supply and social security transfers, and how these effects interact with workers’ characteristics have yet to be measured. This article sheds light on this issue by exploring the consequences of postponing access to an old-age unemployment programme—from age 58 to 60—in Belgium. The programme provides laid-off workers with a combination of unemployment benefits and a monthly supplement paid by the employer until the full retirement age. Exploiting register data on the universe of workers and using a difference-in-difference identification strategy, the authors find that UCS eligibility negatively affects employment participation but also mitigates older workers’ participation in other social security programmes.</p>","PeriodicalId":11642,"journal":{"name":"Empirical Economics","volume":"66 1","pages":""},"PeriodicalIF":3.2,"publicationDate":"2024-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139590390","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Regression discontinuity design with principal stratification in the mixed proportional hazard model: an application to the long-run impact of education on longevity 混合比例危险模型中的主分层回归不连续设计：应用于教育对长寿的长期影响
IF 3.2 4区 经济学
Empirical Economics Pub Date : 2024-01-27 DOI: 10.1007/s00181-023-02553-0
Govert E. Bijwaard, Andrew M. Jones
{"title":"Regression discontinuity design with principal stratification in the mixed proportional hazard model: an application to the long-run impact of education on longevity","authors":"Govert E. Bijwaard, Andrew M. Jones","doi":"10.1007/s00181-023-02553-0","DOIUrl":"https://doi.org/10.1007/s00181-023-02553-0","url":null,"abstract":"<p>We investigate the long-run impact of education on longevity using data for England and Wales from the Health and Lifestyle Survey. Longevity is modelled by survival analysis using a mixed proportional hazard model. For identification we propose a Regression Discontinuity Design implied by an increase in the minimum school leaving age in 1947 (from 14 to 15) combined with a principal stratification method for estimation of the mortality hazard rate. This method allows us to derive the causal effect of extended education on longevity. In line with earlier studies we do not find credible evidence of a causal impact of the additional years of schooling that were induced by the reform on longevity.</p>","PeriodicalId":11642,"journal":{"name":"Empirical Economics","volume":"3 1","pages":""},"PeriodicalIF":3.2,"publicationDate":"2024-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139580999","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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