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The Stock Market Reaction to the 2005 Non-Tradable Share Reform in China 中国股市对2005年股权分置改革的反应
ECB: Working Paper Series (Topic) Pub Date : 2011-05-01 DOI: 10.2139/ssrn.1837318
A. Beltratti, Bernardo Bortolotti, M. Caccavaio
{"title":"The Stock Market Reaction to the 2005 Non-Tradable Share Reform in China","authors":"A. Beltratti, Bernardo Bortolotti, M. Caccavaio","doi":"10.2139/ssrn.1837318","DOIUrl":"https://doi.org/10.2139/ssrn.1837318","url":null,"abstract":"During 2005-2006, the Chinese government implemented a reform aimed at eliminating the so-called non-tradable shares (NTS), shares typically held by the State or by politically connected institutional investors that were issued at the early stage of financial market development. Our analysis, based on the time series of risk factors and on the cross section of abnormal returns, confirms that the NTS reform affected stock prices, particularly benefiting small stocks, stocks characterized by historically poor returns, stocks issued by companies with less transparent accounts and poorer governance, and less liquid stocks Historically neglected stocks also witnessed an increase in the volume of trading and market prices. JEL Classification: G14, G28, G32","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"48 S1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131588963","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: 16
Is China Climbing Up the Quality Ladder? Estimating Cross Country Differences in Product Quality Using Eurostat's COMEXT Trade Database 中国正在攀登质量阶梯吗?使用欧盟统计局的COMEXT贸易数据库估计产品质量的跨国差异
ECB: Working Paper Series (Topic) Pub Date : 2011-03-01 DOI: 10.2139/ssrn.1773214
Gabor Pula, Daniel Santabárbara
{"title":"Is China Climbing Up the Quality Ladder? Estimating Cross Country Differences in Product Quality Using Eurostat's COMEXT Trade Database","authors":"Gabor Pula, Daniel Santabárbara","doi":"10.2139/ssrn.1773214","DOIUrl":"https://doi.org/10.2139/ssrn.1773214","url":null,"abstract":"There is an ongoing debate in the literature about the quality content of Chinese exports and to what extent China imposes a threat to the market positions of advanced economies. While China JEL Classification: F1, F12, F14, F15, F23","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"93 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127527298","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: 40
Bank Heterogeneity and Monetary Policy Transmission 银行异质性与货币政策传导
ECB: Working Paper Series (Topic) Pub Date : 2010-08-10 DOI: 10.2139/ssrn.1656277
Sophocles N. Brissimis, M. Delis
{"title":"Bank Heterogeneity and Monetary Policy Transmission","authors":"Sophocles N. Brissimis, M. Delis","doi":"10.2139/ssrn.1656277","DOIUrl":"https://doi.org/10.2139/ssrn.1656277","url":null,"abstract":"The heterogeneity in the response of banks to a change in monetary policy is an important element in the transmission of this policy through banks. This paper examines the role of bank liquidity, capitalization and market power as internal factors influencing banks’ reaction in terms of lending and risk-taking to monetary policy impulses. The ultimate impact of a monetary policy change on bank performance is also considered. The empirical analysis, using large panel datasets for the United States and the euro area, elucidates the sources of differences in the response of banks to changes in policy interest rates by disaggregating down to the individual bank level. This is achieved by the use of a Local GMM technique that also enables us to quantify the degree of heterogeneity in the transmission mechanism. It is argued that the extensive heterogeneity in banks’ response identifies overlooked consequences of bank behavior and highlights potential monetary sources of the current financial distress.","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"12 12","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120948153","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: 78
Main Drivers of the ECB Financial Accounts and ECB Financial Strength Over the First 11 Years 欧洲央行金融账户的主要驱动因素和欧洲央行前11年的金融实力
ECB: Working Paper Series (Topic) Pub Date : 2010-05-14 DOI: 10.2139/ssrn.1593490
Olivier Vergote, W. Studener, Ioannis Efthymiadis, Niall Merriman
{"title":"Main Drivers of the ECB Financial Accounts and ECB Financial Strength Over the First 11 Years","authors":"Olivier Vergote, W. Studener, Ioannis Efthymiadis, Niall Merriman","doi":"10.2139/ssrn.1593490","DOIUrl":"https://doi.org/10.2139/ssrn.1593490","url":null,"abstract":"This paper analyses the main drivers of the ECB’s balance sheet and profit and loss account over the first 11 years of the ECB’s existence. Furthermore, the paper assesses the financial strength of the ECB. As monetary policy operations are normally conducted by national central banks under the impulse and instructions from the ECB, the Eurosystem balance sheet is the primary reference for the analysis of Eurosystem monetary policy operations. Three main drivers of the balance sheet and profit and loss account are identified. Firstly, financial market developments and portfolio management decisions imply changes in the value of the foreign reserve and own funds portfolios, which represent a substantial part of the balance sheet (with the share of own funds becoming increasingly larger over the period under review). At the same time, the profit and loss account depends to an important degree on interest income and expenses, realised gains and losses, and write-downs on these portfolios. Secondly, strong banknote demand has gradually increased the size of the balance sheet since the euro changeover in 2002. Banknotes in circulation also provide a strong base for seigniorage income, which is an important item of the profit and loss account. Thirdly, the liquidity-providing operations in foreign currency, which the Eurosystem has undertaken since 2007 in response to the fi nancial crisis, increased significantly the size of the ECB’s (and the Eurosystem’s) balance sheet. In terms of income and expenses, these operations were rather immaterial at the level of the ECB, although the income generated was substantial at the Eurosystem level. The ECB has remained financially strong over the 11-year period. Factors that support the financial position are strong legislative provisions on e.g. independence and income, the use of financial buffers, seigniorage as a reliable income source and an effective loss-coverage mechanism. JEL Classification: D21, D92, E22, E52","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114812676","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: 26
Wage and Price Setting Behaviour of Lithuanian Firms 立陶宛企业的工资和价格设定行为
ECB: Working Paper Series (Topic) Pub Date : 2010-05-10 DOI: 10.2139/ssrn.1603900
Ernestas Virbickas
{"title":"Wage and Price Setting Behaviour of Lithuanian Firms","authors":"Ernestas Virbickas","doi":"10.2139/ssrn.1603900","DOIUrl":"https://doi.org/10.2139/ssrn.1603900","url":null,"abstract":"This paper investigates the wage and price setting behaviour of Lithuanian firms on the basis of an ad hoc survey “On Price and Wage Setting” undertaken by the Bank of Lithuania. The paper provides survey evidence on the frequency of wage and price changes. The frequency of wage changes turns out to be higher in firms that apply collective pay agreements, while the frequency of price changes appears to be positively affected by the market competition. Labour cost share is not found to be significant in making the impact on the frequency of price changes. This paper also investigates the role of certain technological, institutional and other factors in shaping firms’ responses to a negative demand shock, an intermediate input cost shock and a wage shock. A higher labour cost share is found to increase the likelihood of a price increase following a wage shock. Flexible wage components mitigate firms’ responses to a slowdown in demand and an intermediate input cost increase. The behaviour of firms following the investigated shocks is also affected by the level of competition. The role of collective pay agreements appears to be rather limited in shaping responses of firms to the shocks.","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128124473","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: 13
Structural Breaks, Cointegration and the Fisher Effect 结构断裂、协整与费雪效应
ECB: Working Paper Series (Topic) Pub Date : 2009-02-27 DOI: 10.2139/ssrn.1333613
A. Beyer, A. Haug, W. DeWald
{"title":"Structural Breaks, Cointegration and the Fisher Effect","authors":"A. Beyer, A. Haug, W. DeWald","doi":"10.2139/ssrn.1333613","DOIUrl":"https://doi.org/10.2139/ssrn.1333613","url":null,"abstract":"There is scant empirical support in the literature for the Fisher effect in the long run, though it is often assumed in theoretical models. We argue that a break in the cointegrating relation introduces a spurious unit root that leads to a rejection of cointegration. We applied new break tests and tested for nonlinearity in the cointegrating relation with post-war data for 15 countries. Our empirical results support cointegration, after accounting for breaks, and a linear Fisher relation in the long run. This is in contrast to several recent studies that found no support for linear cointegration. JEL Classification: E43, C32","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114240675","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: 74
Large Bayesian VARs 大的贝叶斯var
ECB: Working Paper Series (Topic) Pub Date : 2008-11-14 DOI: 10.2139/ssrn.1292332
Marta Bańbura, D. Giannone, L. Reichlin
{"title":"Large Bayesian VARs","authors":"Marta Bańbura, D. Giannone, L. Reichlin","doi":"10.2139/ssrn.1292332","DOIUrl":"https://doi.org/10.2139/ssrn.1292332","url":null,"abstract":"This paper shows that Vector Autoregression with Bayesian shrinkage is an appropriate tool for large dynamic models. We build on the results by De Mol, Giannone, and Reichlin (2008) and show that, when the degree of shrinkage is set in relation to the cross-sectional dimension, the forecasting performance of small monetary VARs can be improved by adding additional macroeconomic variables and sectoral information. In addition, we show that large VARs with shrinkage produce credible impulse responses and are suitable for structural analysis.","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"47 11","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120818242","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: 268
Wage and Price Dynamics in Portugal 葡萄牙的工资和价格动态
ECB: Working Paper Series (Topic) Pub Date : 2008-10-13 DOI: 10.2139/ssrn.1271888
Carlos Robalo Marques
{"title":"Wage and Price Dynamics in Portugal","authors":"Carlos Robalo Marques","doi":"10.2139/ssrn.1271888","DOIUrl":"https://doi.org/10.2139/ssrn.1271888","url":null,"abstract":"This paper investigates the persistence of aggregate wages and prices in Portugal assuming a model of a unionized economy with imperfect competition. An impulse response analysis is conducted where the structural shocks are identified by taking into account the long-run properties of the model, as well as the cointegrating and weak-exogeneity properties of the system. Real wages and wage inflation emerge as especially persistent following an import price shock, while price inflation is more persistent following an unemployment shock. At the business cycle horizon variation in the forecast errors of wages is attributable mainly to unemployment shocks (about 80 percent), whereas variation in the forecast errors of prices is attributable mainly to import price shocks (about 60 percent) and to unemployment shocks (around 20 percent). Productivity shocks explain somewhat less than 10 percent of the variation in forecast errors of wages and prices.","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"142 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129396077","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: 0
Real Convergence in Central and Eastern European EU Member States: Which Role for Exchange Rate Volatility? 中欧和东欧欧盟成员国的真正趋同:汇率波动的作用是什么?
ECB: Working Paper Series (Topic) Pub Date : 2008-09-18 DOI: 10.2139/ssrn.1219522
Olga Arratibel, D. Furceri, Reiner Martin
{"title":"Real Convergence in Central and Eastern European EU Member States: Which Role for Exchange Rate Volatility?","authors":"Olga Arratibel, D. Furceri, Reiner Martin","doi":"10.2139/ssrn.1219522","DOIUrl":"https://doi.org/10.2139/ssrn.1219522","url":null,"abstract":"This paper analyzes the relation between exchange rate volatility and several macroeconomic variables, namely real per capita output growth, the credit cycle, the stock of inward foreign direct investment (FDI) and the current account balance, in the Central and Eastern European EU Member States. Using panel estimations for the period between 1995 and 2006, we find that lower exchange rate volatility is associated with higher growth (for relatively less financially developed economies), higher stocks of FDI (for relatively more open economies), higher current account deficits, and a more volatile development of the credit to GDP ratio. JEL Classification: F3, F4, F5","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132499385","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: 57
Government Spending Volatility and the Size of Nations 政府支出波动与国家规模
ECB: Working Paper Series (Topic) Pub Date : 2008-08-14 DOI: 10.2139/ssrn.1188506
D. Furceri, M. Ribeiro
{"title":"Government Spending Volatility and the Size of Nations","authors":"D. Furceri, M. Ribeiro","doi":"10.2139/ssrn.1188506","DOIUrl":"https://doi.org/10.2139/ssrn.1188506","url":null,"abstract":"This paper provides empirical evidence showing that smaller countries tend to have more volatile government spending for a sample of 160 countries from 1960 to 2000. We argue that the larger size of a country decreases the volatility of government spending because it acts as an insurance against idiosyncratic shocks, and it leads to increasing returns to scale due to the higher ability of the government to spread its cost of financing over a larger pool of taxpayers. The results are robust to different time and country samples, different econometric techniques and to several sets of control variables. The analysis also evinces that country size is negatively related to the discretionary part of government spending and to the volatilities of most of the government spending items. JEL Classification: E62, H10","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124765914","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: 53
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