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Fiscal Activism and Price Volatility: Evidence from Advanced and Emerging Economies 财政激进主义与价格波动:来自发达经济体和新兴经济体的证据
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2017-04-01 DOI: 10.2139/ssrn.2831153
António Afonso, J. Jalles
{"title":"Fiscal Activism and Price Volatility: Evidence from Advanced and Emerging Economies","authors":"António Afonso, J. Jalles","doi":"10.2139/ssrn.2831153","DOIUrl":"https://doi.org/10.2139/ssrn.2831153","url":null,"abstract":"Using a panel of 54 countries between 1980 and 2013, we find empirical support for the view that changes in the fiscal policy stance (year-on-year change in the cyclically adjusted primary balance) have a significant positive correlation with inflation volatility. An increase in the volatility of discretionary fiscal policies by one standard deviation raises inflation volatility between 5 and 6 percent. Moreover, results using alternatively different inflation volatility proxies confirm that an expansionary fiscal stance increases price volatility. Another relevant outcome is that in a context of economic expansions (recessions) the harmful impact of fiscal activism on price volatility is soften (heightened), while the negative impact of fiscal activism on price stability is higher when fiscal policy is expansionary. Finally, fiscal activism fuels inflation volatility much more pronouncedly in emerging market economies vis-a-vis advanced economies. Key Words : volatility, fiscal policy, inflation, GARCH, Consensus Forecasts","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"39 6","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113975915","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}
引用次数: 3
Least Squares Estimation of Large Dimensional Threshold Factor Models 大维度阈值因子模型的最小二乘估计
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2016-11-13 DOI: 10.2139/ssrn.2636801
D. Massacci
{"title":"Least Squares Estimation of Large Dimensional Threshold Factor Models","authors":"D. Massacci","doi":"10.2139/ssrn.2636801","DOIUrl":"https://doi.org/10.2139/ssrn.2636801","url":null,"abstract":"This paper studies large dimensional factor models with threshold-type regime shifts in the loadings. We estimate the threshold by concentrated least squares, and factors and loadings by principal components. The estimator for the threshold is superconsistent, with convergence rate that depends on the time and cross-sectional dimensions of the panel, and it does not affect the estimator for factors and loadings: this has the same convergence rate as in linear factor models. We propose model selection criteria and a linearity test. Empirical application of the model shows that connectedness in financial variables increases during periods of high economic policy uncertainty.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127318965","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}
引用次数: 28
Do Gambling Firms Target Crime-Prone Areas? 赌博公司会瞄准犯罪多发地区吗?
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2016-09-23 DOI: 10.2139/ssrn.2801017
Pradeep Kumar, Hisayuki Yoshimoto
{"title":"Do Gambling Firms Target Crime-Prone Areas?","authors":"Pradeep Kumar, Hisayuki Yoshimoto","doi":"10.2139/ssrn.2801017","DOIUrl":"https://doi.org/10.2139/ssrn.2801017","url":null,"abstract":"We investigate the causal effect of local crime on the entry of betting shops. To isolate the effect, we develop an empirical model to study the firm-side incentives driving the opening of a betting shop. We estimate a panel model employing an instrumental variable approach using data from London boroughs. Our result shows that a 1% increase in the local crime rate causes a 1.2% increase in the number of betting shops per capita. Put another way, a new betting shop opens in a borough for every 1.4% increase in the local crime rate. This finding demonstrates a disconnect between one of the objectives of the Gambling Act (2005) in the U.K., which aims to keep crime separate from gambling, and the firm-side conduct in the market.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"93 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116193675","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}
引用次数: 1
Finance and Income Inequality: A Review and New Evidence 金融与收入不平等:回顾与新证据
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2016-09-20 DOI: 10.2139/ssrn.2866399
J. de Haan, J. Sturm
{"title":"Finance and Income Inequality: A Review and New Evidence","authors":"J. de Haan, J. Sturm","doi":"10.2139/ssrn.2866399","DOIUrl":"https://doi.org/10.2139/ssrn.2866399","url":null,"abstract":"Using a panel fixed effects model for a sample of 121 countries covering 1975-2005, we examine how financial development, financial liberalization and banking crises are related to income inequality. In contrast with most previous work, our results suggest that all finance variables increase income inequality. The level of financial development conditions the impact of financial liberalization on inequality. Also the quality of political institutions conditions the impact of financial liberalization on income inequality, in contrast to the quality of economic institutions. Our main findings are robust for using random effects, cross-country regressions and legal origin as instrument for financial development.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132475914","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}
引用次数: 327
The Factor Structure in Equity Options 股票期权中的因素结构
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2016-09-13 DOI: 10.2139/ssrn.2224270
Peter F. Christoffersen, Mathieu Fournier, Kris Jacobs
{"title":"The Factor Structure in Equity Options","authors":"Peter F. Christoffersen, Mathieu Fournier, Kris Jacobs","doi":"10.2139/ssrn.2224270","DOIUrl":"https://doi.org/10.2139/ssrn.2224270","url":null,"abstract":"Principal component analysis of equity options on Dow-Jones firms reveals a strong factor structure. The first principal component explains 77% of the variation in the equity volatility level, 77% of the variation in the equity option skew, and 60% of the implied volatility term structure across equities. Furthermore, the first principal component has a 92% correlation with S&P500 index option volatility, a 64% correlation with the index option skew, and a 80% correlation with the index option term structure. We develop an equity option valuation model that captures this factor structure. The model allows for stochastic volatility in the market return and also in the idiosyncratic part of firm returns. The model predicts that firms with higher betas have higher implied volatilities, and steeper moneyness and term structure slopes. We provide a tractable approach for estimating the model on a large set of index and equity option data on which the model provides a good fit. The equity option data support the cross-sectional implications of the estimated model.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"354 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115897381","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}
引用次数: 94
The Impact of Oil Prices on the Banking System in the GCC 石油价格对海湾合作委员会银行体系的影响
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2016-08-01 DOI: 10.5089/9781475523393.001.A001
Padamja Khandelwal, Ken Miyajima, A. Santos
{"title":"The Impact of Oil Prices on the Banking System in the GCC","authors":"Padamja Khandelwal, Ken Miyajima, A. Santos","doi":"10.5089/9781475523393.001.A001","DOIUrl":"https://doi.org/10.5089/9781475523393.001.A001","url":null,"abstract":"This paper examines the links between global oil price movements and macroeconomic and financial developments in the GCC. Using a range of multivariate panel approaches, including a panel vector autoregression approach, it finds strong empirical evidence of feedback loops between oil price movements, bank balance sheets, and asset prices. Empirical evidence also suggests that bank capital and provisioning have behaved countercyclically through the cycle.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128404889","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}
引用次数: 47
Murphy-Topel Adjustment of the Variance-Covariance Matrix of a Two-Step Panel Data Model: Evidence from Competition-Fragility Nexus in Banking 两步面板数据模型方差-协方差矩阵的墨菲-托佩尔调整:来自银行业竞争-脆弱性关系的证据
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2016-06-15 DOI: 10.2139/ssrn.2800073
Ion Lapteacru
{"title":"Murphy-Topel Adjustment of the Variance-Covariance Matrix of a Two-Step Panel Data Model: Evidence from Competition-Fragility Nexus in Banking","authors":"Ion Lapteacru","doi":"10.2139/ssrn.2800073","DOIUrl":"https://doi.org/10.2139/ssrn.2800073","url":null,"abstract":"We develop the Murphy-Topel adjustment of the variance-covariance matrix for two-step panel data models. We apply it on the competition-fragility nexus in banking with different samples for two equations. Indeed, this issue is often observed in this field of research. A competition measure of banks is constructed for each country (first equation), whereas a risk measure is regressed on the entire sample of countries (second equation). Any statistical adjustment will only provide approximate results for the second equation, because of possible correlations between the results of both models. The Murphy-Topel method eventually seems to be more appropriate.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121073020","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}
引用次数: 2
The Effect of Input-Trade Liberalization on Nonfarm and Farm Labour Participation in Rural Vietnam 投入贸易自由化对越南农村非农和农业劳动力参与的影响
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2016-03-01 DOI: 10.2139/ssrn.3167275
Trung X. Hoang, L. Tiberti
{"title":"The Effect of Input-Trade Liberalization on Nonfarm and Farm Labour Participation in Rural Vietnam","authors":"Trung X. Hoang, L. Tiberti","doi":"10.2139/ssrn.3167275","DOIUrl":"https://doi.org/10.2139/ssrn.3167275","url":null,"abstract":"This paper examines the impact of the trade liberalization of chemical fertilisers on the allocation of labour between nonfarm and farm sectors in rural Vietnam during the period 1993-1998. To do that, we use a panel dataset controlling for fixed effects and instrumenting the volume of chemical fertilisers and the exogenous change in fertilisers’ prices is exploited. The study shows that a higher volume of chemical fertilisers reduces the employment of rural households in the nonfarm sector and increases labour participation in farm activities. A larger use of chemical fertilisers would also generate other complementary effects such as a higher demand for organic fertilisers, increased on-farm hired labour, a bigger cultivated area with chemical fertilisers and a larger number of crops grown with chemical fertilisers. Also, we find that a larger use of chemical fertilisers creates larger incentives for on-farm family labour for small landholders compared to those with larger agricultural land, and that the magnitude of the effects is relatively larger for new farmers.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133862006","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}
引用次数: 1
Firm, Industry and Economic Determinants of Working Capital at Risk 企业、行业和风险营运资金的经济决定因素
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2016-02-27 DOI: 10.2139/ssrn.2993556
T. Eldomiaty, Mohamed Bahaa El Din, Mohamed Rashwan, Waleed Tayel
{"title":"Firm, Industry and Economic Determinants of Working Capital at Risk","authors":"T. Eldomiaty, Mohamed Bahaa El Din, Mohamed Rashwan, Waleed Tayel","doi":"10.2139/ssrn.2993556","DOIUrl":"https://doi.org/10.2139/ssrn.2993556","url":null,"abstract":"Purpose: The objective of this study is to examine the relative contribution of firm-level, industry-level and country level variables to working capital at risk. Working capital at risk is treated as the value at risk for a portfolio of firm’s current assets. As far as short-term liquidity is concerned, working capital at risk, being the maximum amount that a firm may lose at a certain confidence interval, must be the most important part that a firm’s management must focus on.Design/methodology/approach: This study empirically examines the possible associations between wide range of variables and working capital at risk. The sample firms include 143 non-financial firms listed in Egypt stock exchange. The data cover the years 2000–2014. The statistical tests include the fixed and random effects, testing for linearity versus nonlinearity. The least squares dummy variables and discriminant analysis are utilized. The working capital at risk is classified into three levels: low, medium and high.Findings: The general findings of the study show that cash conversion cycle and the leverage are the most significant determinants of working capital at risk. Both determinants have significant influence on the level of volatility of working capital throughout the three categories of working capital at risk.Originality/value: This study offers a new approach that deals with working capital as a portfolio, rather than single ratios, that firm’s management must decrease its volatility (value at risk), therefore, short-term liquidity can be improved significantly. This approach can be considered a financial engineering in terms of monitoring and managing short-term liquidity exposure.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"200 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122592356","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}
引用次数: 6
Moment Inequalities for Multinomial Choice with Fixed Effects 具有固定效应的多项选择的矩不等式
ERN: Panel Data Models (Multiple) (Topic) Pub Date : 2016-01-01 DOI: 10.3386/W21893
A. Pakes, J. Porter
{"title":"Moment Inequalities for Multinomial Choice with Fixed Effects","authors":"A. Pakes, J. Porter","doi":"10.3386/W21893","DOIUrl":"https://doi.org/10.3386/W21893","url":null,"abstract":"We propose a new approach to the semiparametric analysis of multinomial choice models with xed eects and a group (or panel) structure. A traditional random utility framework is employed, and the key assumption is a group homogeneity condition on the disturbances. This assumption places no restrictions on either the joint distribution of the disturbances across choices or their within group (or across time) correlations. This work follows a substantial nonlinear panel literature (Manski 1987, Honore 1992, Abrevaya 1999, 2000) with the distinction that multiple covariate index functions now determine the outcome. A novel within-group comparison leads to a set of conditional moment inequalities that provide partial identifying information about the parameters of the observed covariate index functions, while avoiding the incidental parameter problem. We extend our framework to allow for: certain types of endogenous regressors (including lagged dependent variables and conditional heteroskedasticity), set-valued covariates, and parametric distributional information on disturbances.","PeriodicalId":213955,"journal":{"name":"ERN: Panel Data Models (Multiple) (Topic)","volume":"127 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123377079","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}
引用次数: 39
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