Econometric Modeling: Macroeconomics eJournal最新文献

{"title":"The Effect of Crude Oil Price Shocks on Macroeconomic Stability in Ghana","authors":"John Bosco Dramani, P. B. Frimpong","doi":"10.1111/opec.12182","DOIUrl":"https://doi.org/10.1111/opec.12182","url":null,"abstract":"The paper studies the effects of underlying shocks of crude oil price movements on the stability of macroeconomic aggregates in Ghana. We develop a structural vector autoregressive to disentangle the sources that have driven shocks in crude oil market and estimate the effects of the identified shocks on macroeconomic aggregates and on three bilateral exchange rates in Ghana. In addition, we investigate the extent of transmission of the identified shocks on food and non‐food price levels. The findings show that shocks by oil supply and demand‐specific have a significant effect on real GDP. Further, the identified shocks have a weighty effect on the Ghana/Euro bilateral exchange rate. The findings also suggest that all the identified structural shocks have significant effects on food and non‐food inflation. This implies that oil market shocks are detrimental to food and non‐food inflation in Ghana.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124052842","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"MSME Sector: A Multifaceted Model to Achieve Prosperity","authors":"Devendra Jarwal","doi":"10.34293/economics.v8i4.3331","DOIUrl":"https://doi.org/10.34293/economics.v8i4.3331","url":null,"abstract":"The current enthusiasm for the entrepreneurship culture results in mushrooming of self-employment activities. Self-employment also supports the growth of micro, small, and medium-sized enterprises (MSMEs). Of course, MSMEs have various economic benefits, and India is riding upon the performance of MSMEs to become self-reliant. But still, MSMEs should not be perceived in isolation for the economic benefits only. Rather, other socio-economic perspectives of MSMEs should also get equal consideration. Thus, this paper descriptive in nature attempts to record other socio-economic benefits. For this paper, various government reports and other related literature have been consulted. MSMEs have an impressive track record in contribution to GDP, employment generation, reducing social inequalities, women empowerment, and balanced geographical growth. The study concludes that the role of MSMEs in the development of India is crucial, yet there are many roadblocks that need state intervention through an appropriate policy framework. Some of the roadblocks in the progress of the MSME sector are difficulty in availing credit facility, lack of marketing avenues, inefficient productivity gave operation of scale, frequent obsolescence of technology, inadequate infrastructure, and institutional framework. The paper also highlights the role of professionals in facilitating the smooth functioning and growth of the MSME sector.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"2 3","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114090209","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Co Emissions, Urban Population, Energy Consumption and Economic Growth in Selected African Countries: A Panel Smooth Transition Regression (PSTR)","authors":"T. Mosikari, J. Eita","doi":"10.1111/opec.12184","DOIUrl":"https://doi.org/10.1111/opec.12184","url":null,"abstract":"This study investigates the non‐linear impact of urban population, energy consumption and economic growth on carbon emissions in selected African economies, for the period 2005–2019. The investigation is conducted through the application of non‐linear panel smooth transition regression (PSTR) estimation technique. The results reveal a rejection of the null hypothesis of linearity, in favour of non‐linearity. The results provide evidence of the presence of environmental Kuznets curve (EKC). Energy consumption has a positive impact on carbon emissions in both regimes. An increase in urban population causes a reduction in carbon emissions. The study recommends that in an effort to accelerate economic growth, policymakers should implement policies aimed at achieving low carbon mechanisms, such as green infrastructure and renewable energy systems, which reduce energy consumption and greenhouse gas emissions. It is therefore important for the selected African economies to come up with programmes that increase awareness about the risk of carbon emissions.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128500128","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Decoding the Pricing of Uncertainty Shocks","authors":"Zhanhui Chen, Michael Gallmeyer, Baek-Chun Kim","doi":"10.2139/ssrn.3678380","DOIUrl":"https://doi.org/10.2139/ssrn.3678380","url":null,"abstract":"Uncertainty affects business cycles and asset prices. We estimate firm-level productivity and decompose total uncertainty risk measured as cross-sectional productivity dispersion into macro uncertainty (an aggregate component) and micro uncertainty (an idiosyncratic component). We find that macro uncertainty is strongly counter-cyclical and priced among stocks, but micro uncertainty is acyclical and not priced. Moreover, we show that the expected investment growth factor proposed in Hou et al. (2020) captures macro uncertainty risk, which helps us understand the success of the q5-model.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"96 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127267781","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Marriage market counterfactuals using matching models","authors":"Arnaud Dupuy, Simon Weber","doi":"10.2139/ssrn.3156484","DOIUrl":"https://doi.org/10.2139/ssrn.3156484","url":null,"abstract":"We use a simple structural matching model with unobserved heterogeneity to produce counterfactual marriage patterns of two kinds: counterfactuals that hold the match surplus constant across markets and counterfactuals that hold the joint utility constant. These counterfactuals allow us to decompose matching patterns into an intensive margin (who marries whom) and an extensive margin (how many and who remain single). We apply this approach to US data from 1962 to 2017 and show that marital patterns can explain about 1/3 of the rise in income inequality, the intensive margin contributing for 5%, the extensive margin for the remaining 95%. The extensive margin is itself driven for 2/3 by a change in the total number of singles and 1/3 by a change in the distribution of types among singles.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115020011","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Nowcasting the Output Gap","authors":"Tino Berger, J. Morley, Benjamin Wong","doi":"10.2139/ssrn.3586374","DOIUrl":"https://doi.org/10.2139/ssrn.3586374","url":null,"abstract":"Abstract We propose a way to directly nowcast the output gap using the Beveridge–Nelson decomposition based on a mixed-frequency Bayesian VAR. The mixed-frequency approach produces similar but more timely estimates of the U.S. output gap compared to those based on a quarterly model, the CBO measure of potential, or the HP filter. We find that within-quarter nowcasts for the output gap are more reliable than for output growth, with monthly indicators for a credit risk spread, consumer sentiment, and the unemployment rate providing particularly useful new information about the final estimate of the output gap. An out-of-sample analysis of the COVID-19 crisis anticipates the exceptionally large negative output gap of − 8 . 3 % in 2020Q2 before the release of real GDP data for the quarter, with both conditional and scenario nowcasts tracking a dramatic decline in the output gap given the April data.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"104 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131909520","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Distributional Effects of Distinct Aid Types on Local Economic Development in Malawi: New Evidence","authors":"Nixon S. Chekenya, Canicio Dzingirai","doi":"10.2139/ssrn.3673846","DOIUrl":"https://doi.org/10.2139/ssrn.3673846","url":null,"abstract":"PurposeThe anecdote of this paper is to bring the aid effectiveness debate to the sub-national level using the change in night lights as an alternative measure of economic activity. We observe non-robustness of results regarding the effects of aid types on development in antecedent literature to arise due to the effects of aid being treated as a unitary component. provoked by such insightful observation and literature deficiency we employed geocoded data to examine Causal links between the varying types of aid and local economic development in Malawi.Design/methodology/approachThe main objective of the empirical examination is to examine the distributional effects of distinct aid types in local towns in Malawi. For that purpose, the authors thus have a panel dataset for each aid type indicator. Allowing for fixed time and town effects, the baseline light density growth regression model to estimate the effectiveness of disentangled aid on night light intensity was accomplished by employing a spatial dynamic panel data (SDPD) approach with instrumentation. Thus, panel regressions were performed to investigate both conceptual and policy implications.FindingsCross-city evidence shows that category aid type brings both negative and positive results depending on location within a country. There are cities and locations where certain aid type(s) does not matter whereas it matters most in some. This speaks to different levels of growth between different regions and cities in Malawi. As a result, we observe the size of the effect of distinct aid type(s) on economic activities to vary (increase/decrease) with the size of the location.Research limitations/implicationsIt may be interesting to generalize results from this study to a panel case over long periods of time using dynamic modelling with both threshold analysis and interaction effects Institutional factors need also to be includes in similar analyses. The authors leave this for a follow-up study. Second, the most immediate opportunity is application of the methodology to the other countries with geo-coded AidData. The authors expect to expand the analysis by taking into account other determinants of aid effectiveness at the local level, including the characteristics of donors and varieties of targeted development programmes.Practical implicationsResults in some geographical locations and towns indicate that the authors do not have sufficient evidence to reject the null hypothesis of the research study at 5% level. However, other geographical locations like Zomba indicate that aid category has a significant bearing on local economic growth. Therefore, as opposed to unitary aid approaches, we recommend distribution of relevant disentangled growth-enhancing aid type to specific administrative regions but with a bias toward smaller socially and economically deprived regions and towns.Social implicationsThe unique insight from this study is that foreign aid-growth benefits are symmetric and skewed toward","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130937791","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Asset Pricing and FOMC Press Conferences","authors":"Simon Bodilsen, Jonas N. Eriksen, Niels Groenborg","doi":"10.2139/ssrn.3299330","DOIUrl":"https://doi.org/10.2139/ssrn.3299330","url":null,"abstract":"A press conference (PC) organized by the Federal Open Market Committee (FOMC) followed half of the scheduled announcements from 2011 to 2018. We document a striking pattern in which stocks earn high excess returns on PC days that are strongly and positively related to their market betas and provide new evidence that the cross-sectional dispersion in market betas declines substantially on PC days. This compression of betas exists both daily and intraday. Moreover, stock-bond correlations are positive (negative) on PC (non-PC) days and their variations are related to uncertainty and yield curve information. We discuss implications and possible explanations for our findings.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"75 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123233329","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Unemployment Rate Benchmarks","authors":"Richard K. Crump, Christopher J. Nekarda, Nicolas Petrosky-Nadeau","doi":"10.17016/FEDS.2020.072","DOIUrl":"https://doi.org/10.17016/FEDS.2020.072","url":null,"abstract":"This paper discusses various concepts of unemployment rate benchmarks that are frequently used by policymakers for assessing the current state of the economy as it relates to the pursuit of both price stability and maximum employment. In particular, we propose two broad categories of unemployment rate benchmarks: (1) a longer-run unemployment rate expected to prevail after adjusting to business cycle shocks and (2) a stable-price unemployment rate tied to inflationary pressures. We describes how various existing measures used as benchmark rates fit within this taxonomy with the goal of facilitating the use of a common set of terms for assessments of the current state of the economy and deliberations among policymakers.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129275943","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Extreme Overdispersion and Persistence in Time-Series of Counts","authors":"Leopoldo Catania, E. Rossi, Paolo Santucci de Magistris","doi":"10.2139/ssrn.3661266","DOIUrl":"https://doi.org/10.2139/ssrn.3661266","url":null,"abstract":"Time series of counts are often characterized by high overdispersion and persistence. These extreme features challenge the existing models. We approach this problem by combining the framework of INAR with a latent Markov structure. We call it HMM-INAR since it belongs to the class of hidden Markov models. We study the probabilistic properties of HMM-INAR model and illustrate conditions for the existence of an ergodic and stationary solution. We show that the HMM-INAR model is identifiable and can be estimated by maximum likelihood via an efficient expectation-maximization (EM) algorithm with steps available in closed form. The HMM-INAR well predicts the distributional and dynamic features of the time series of counts under investigation, i.e. the number of monthly bankruptcies in South Korea, and the number of trades and volume of several NYSE stocks observed at high frequency. Finally, the model proves empirically superior to other INAR specifications.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114781125","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}