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Trends in the World Economic Development and the Prospects for Post-Crisis Recovery 世界经济发展趋势和危机后复苏前景
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2020-11-27 DOI: 10.2139/ssrn.3738541
A. Evseev, F. Iskhakova, P. Trunin
{"title":"Trends in the World Economic Development and the Prospects for Post-Crisis Recovery","authors":"A. Evseev, F. Iskhakova, P. Trunin","doi":"10.2139/ssrn.3738541","DOIUrl":"https://doi.org/10.2139/ssrn.3738541","url":null,"abstract":"In Q3 2020, the pace of economic recovery in many countries turned out to be higher than expected. However, this growth only in part offset the deep recession that had been observed in Q2. In the majority of countries, output is well below its pre-crisis levels. The “second wave” of the epidemic has increased uncertainty about the prospects for further economic recovery. According to the latest estimates, the drop in global GDP expected for this year has been downwardly revised, from 5.0% to 4.5%, with an increase of 5% in 2021. The new containment measures introduced this autumn are fraught with the risks of a second significant decline in business activity and a surge in unemployment, and as a result, the forecasts for 2021 may get worse.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114570202","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
Friedman’s Plucking Model: New International Evidence From Maddison Project Data 弗里德曼的采摘模型:来自麦迪逊项目数据的新国际证据
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2020-11-19 DOI: 10.2139/ssrn.3733304
Jonathan S. Hartley
{"title":"Friedman’s Plucking Model: New International Evidence From Maddison Project Data","authors":"Jonathan S. Hartley","doi":"10.2139/ssrn.3733304","DOIUrl":"https://doi.org/10.2139/ssrn.3733304","url":null,"abstract":"Abstract Milton Friedman’s plucking model of business cycles hypothesizes that deeper recessions forecast larger booms while stronger booms do not necessarily forecast deeper recessions. While most previous past empirical work is limited to post-war data in the US, this paper tests the plucking model using Maddison Project growth data for 169 countries across several centuries. We find that the plucking property is broadly evident across time and countries. Plucking is particularly strong in advanced economies in East Asia (Japan), Europe (Western Europe) and North America (US and Canada) while to a lesser extent elsewhere in emerging economies. The overall strength of the plucking property globally also appears to have increased during the 20th century with the rise of widespread industrialized economies.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"67 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126312695","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
R&D and Firm Resilience During Bad Times 经济不景气时期的研发与企业弹性
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2020-10-01 DOI: 10.2139/ssrn.3703103
Apoorv Gupta
{"title":"R&D and Firm Resilience During Bad Times","authors":"Apoorv Gupta","doi":"10.2139/ssrn.3703103","DOIUrl":"https://doi.org/10.2139/ssrn.3703103","url":null,"abstract":"Can being innovative help firms to shield themselves from the disruptive effects of a crisis? Using firm-level data for the Spanish manufacturing sector, this paper finds that innovative firms suffered considerably less compared to non-innovative firms during the Great Recession. This effect is explained by innovative firms differentiating their products to adapt to an unexpected rapid decline in economic activity. The data does not support alternative mechanisms such as reduction in marginal cost of production with process innovation, better access to capital, difference in labour moving costs, or higher technological diversification for innovative firms. The results provide evidence of the role of R&D in making firms dynamically capable and resilient to large negative shocks, adding another element to its well established role of facilitating growth through innovation and learning.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130799492","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: 15
Estimating Nonlinear Business Cycle Mechanisms With Linear VARs: A Monte Carlo Study 用线性变量估计非线性经济周期机制:一个蒙特卡罗研究
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2020-08-27 DOI: 10.2139/ssrn.3556503
Karsten Kohler, Robert Calvert Jump
{"title":"Estimating Nonlinear Business Cycle Mechanisms With Linear VARs: A Monte Carlo Study","authors":"Karsten Kohler, Robert Calvert Jump","doi":"10.2139/ssrn.3556503","DOIUrl":"https://doi.org/10.2139/ssrn.3556503","url":null,"abstract":"Recent macroeconomic research has revived the idea of nonlinear endogenous business and financial cycles. This paper investigates how well linear vector-autoregressions (VARs) identify endogenous cycle mechanisms and cycle frequencies when the underlying process is a nonlinear limit cycle. We conduct Monte Carlo simulations on five different nonlinear models in which cycles are driven by the interaction of two state variables. We find that while linear VARs quantitatively underestimate the strength of the interaction mechanism, they successfully identify the qualitative presence of a cycle mechanism in the majority of cases. Cycle detection rates range between 55% and almost 100%. The detection rate is higher (i) when the nonlinearity does not directly affect the interaction mechanism and (ii) the larger the strength of the interaction mechanism. Our results further suggest that linear VARs are relatively robust to false positives and are surprisingly successfully at estimating cycle frequencies of nonlinear processes. Overall, our findings suggest that linear VARs can be a useful tool to explore cyclical interactions even when the underlying process is nonlinear.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124554843","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
Is There a Macro-Announcement Premium? 宏观公告有溢价吗?
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2020-08-18 DOI: 10.2139/ssrn.3676120
Mohammad Ghaderi, S. Seo
{"title":"Is There a Macro-Announcement Premium?","authors":"Mohammad Ghaderi, S. Seo","doi":"10.2139/ssrn.3676120","DOIUrl":"https://doi.org/10.2139/ssrn.3676120","url":null,"abstract":"The VIX barely drops at macro-announcements. This is at odds with virtually all models that attempt to explain the \"macro-announcement premium.\" We point out that the macro-announcement sample is too small, considering the high volatility and fat tail of daily returns. Our small-sample argument jointly explains the return and VIX patterns of macro-announcement days. The estimation based on a statistical model shows that high macro-announcement returns are not a manifestation of high conditional equity premiums, but return innovations that are not averaged out in-sample. Non-announcement days with similar drops in the VIX obtain similar excess returns through asymmetric volatility. Our analysis suggests that the large average macro-announcement return might not be a compensation for perceived uncertainty.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"200 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124496680","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
Financial Inclusion and Business Cycles 普惠金融与商业周期
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2020-08-03 DOI: 10.2139/ssrn.3585919
Peterson K. Ozili
{"title":"Financial Inclusion and Business Cycles","authors":"Peterson K. Ozili","doi":"10.2139/ssrn.3585919","DOIUrl":"https://doi.org/10.2139/ssrn.3585919","url":null,"abstract":"\u0000Purpose\u0000This study aims to investigate the relationship between financial inclusion and the business cycle.\u0000\u0000\u0000Design/methodology/approach\u0000Regression methodology is used to analyze the association between financial inclusion and the business cycle.\u0000\u0000\u0000Findings\u0000Using regression estimation, the findings reveal that the level of savings and the number of active formal account ownership are pro-cyclical with fluctuations in the business cycle. Also, savings by adults particularly for women and poor people declines during recessionary periods while the number of active formal account ownership declines for the adult population especially for women during recessionary periods. The findings also reveal that not all indicators of financial inclusion are pro-cyclical with fluctuating business cycles.\u0000\u0000\u0000Practical implications\u0000The implication of this observed pro-cyclical effect is that individuals and households will exit the formal financial sector during a recession, as banks become unwilling to lend money to individuals and households during bad times and this will lead to financial exclusion and vice versa. Policymakers seeking to increase the level of financial inclusion in their countries should focus on the timing of financial inclusion policies along the business cycle as the findings suggest that it might be more difficult to achieve financial inclusion objectives during recessions or periods of economic downturns.\u0000\u0000\u0000Originality/value\u0000The current debate on financial inclusion pays little attention to whether financial inclusion is pro-cyclical with the fluctuating business cycle. This study explores the association between financial inclusion and the business cycle.\u0000","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"218 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122134537","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: 8
Recovering Heterogeneous Beliefs and Preferences from Asset Prices 从资产价格中恢复异质信念和偏好
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2020-07-12 DOI: 10.2139/ssrn.3650199
Anish Ghosh, Arthur Korteweg, Qing Xu
{"title":"Recovering Heterogeneous Beliefs and Preferences from Asset Prices","authors":"Anish Ghosh, Arthur Korteweg, Qing Xu","doi":"10.2139/ssrn.3650199","DOIUrl":"https://doi.org/10.2139/ssrn.3650199","url":null,"abstract":"We propose a novel information-theoretic approach to separately identify the risk preferences and beliefs of different types of financial market investors. Investors who allocate most of their wealth in large market capitalization stocks are risk averse and believe that the aggregate stock market return is strongly countercyclical. In contrast, investors in small-growth stocks are substantially less risk averse and believe in procyclical expected stock market returns. Our findings can reconcile the procyclical expected market returns found in investor survey data with the countercyclical expected returns implied by rational expectations models.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128519922","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: 9
Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession 实时实体经济活动:走出大衰退，进入大范围衰退
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2020-06-26 DOI: 10.3386/w27482
F. Diebold
{"title":"Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession","authors":"F. Diebold","doi":"10.3386/w27482","DOIUrl":"https://doi.org/10.3386/w27482","url":null,"abstract":"We study the real-time signals provided by the Aruoba-Diebold-Scotti Index of Business conditions (ADS) for tracking economic activity at high frequency. We start with exit from the Great Recession, comparing the evolution of real-time vintage beliefs to a \"final\" late-vintage chronology. We then consider entry into the Pandemic Recession, again tracking the evolution of real-time vintage beliefs. ADS swings widely as its underlying economic indicators swing widely, but the emerging ADS path as of this writing (late June) indicates a return to growth in May. The trajectory of the nascent recovery, however, is highly uncertain -- particularly as COVID-19 spreads in the South and West -- and could be revised or eliminated as new data arrive.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115529297","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: 18
Default Recovery Rates and Aggregate Fluctuations 默认回收率和总波动
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2020-05-25 DOI: 10.2139/ssrn.3456896
Giacomo Candian, M. Dmitriev
{"title":"Default Recovery Rates and Aggregate Fluctuations","authors":"Giacomo Candian, M. Dmitriev","doi":"10.2139/ssrn.3456896","DOIUrl":"https://doi.org/10.2139/ssrn.3456896","url":null,"abstract":"Default recovery rates in the US are highly volatile and pro-cyclical. We show that state-of-the-art models with a Bernanke-Gertler-Gilchrist financial accelerator mechanism imply that recovery rates are flat over the cycle. We propose a model where financially constrained entrepreneurs face an idiosyncratic cost of redeploying liquidated capital. The resulting endogenous liquidation costs magnify the effect of the financial accelerator. We fit the model to US data and find that it explains a substantial amount of variation in recovery rates. Our mechanism alters the transmission of structural disturbances and leads to novel policy implications about the effectiveness of subsidies for liquidated assets.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130460955","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
Getting Ready for Recession: How SMEs Prepared for Covid-19 Pandemic and Economic Recession 为经济衰退做好准备:中小企业如何应对Covid-19大流行和经济衰退
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2020-05-07 DOI: 10.2139/ssrn.3596611
A. Prohorovs
{"title":"Getting Ready for Recession: How SMEs Prepared for Covid-19 Pandemic and Economic Recession","authors":"A. Prohorovs","doi":"10.2139/ssrn.3596611","DOIUrl":"https://doi.org/10.2139/ssrn.3596611","url":null,"abstract":"At the initial stage of the economic slowdown, companies should have clear understanding of the specifics of the emerging crisis in order to ensure that they quicker adapt to an absolutely new situation and suffer smaller losses, securing themselves an opportunity to restore their performance indicators in the shortest possible time. Therefore, in this paper I will consider the differences between the current economic recession caused by COVID-19 pandemic and the previous crises. I will also share my experience in mitigating the risks posed by COVID-19 and the incipient economic recession at Proks Ltd in my capacity of the general manager and principal co-owner of the company.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121179922","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: 10
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