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From Currency Volatilities to Global Equity Correlations 从货币波动到全球股票相关性
Econometric Modeling: International Economics eJournal Pub Date : 2019-03-19 DOI: 10.2139/ssrn.3355787
Brice Dupoyet, A. Parhizgari, Antonio Figueiredo
{"title":"From Currency Volatilities to Global Equity Correlations","authors":"Brice Dupoyet, A. Parhizgari, Antonio Figueiredo","doi":"10.2139/ssrn.3355787","DOIUrl":"https://doi.org/10.2139/ssrn.3355787","url":null,"abstract":"We derive and empirically test a theoretical link between exchange rate volatility and global equity correlations. Starting with option-implied currency volatilities, we use variants of existing currency models, global capital flows, international parity, the Taylor rule, and some simplifying assumptions to theoretically link foreign exchange options-implied volatilities and future global equity correlations. Using data from January 1999 to June 2015, we test our hypothesis and find that exchange rate implied volatilities — coupled with one-period ex-post correlations — more accurately predict subsequent equity market correlations than other models. Our findings have implications for portfolio diversification, forecast of overall equity portfolio volatility, and portfolio optimization.","PeriodicalId":391101,"journal":{"name":"Econometric Modeling: International Economics eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128912888","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
The Effects of Export Diversification on Macroeconomic Stabilization: Evidence from Korea 出口多元化对宏观经济稳定的影响:来自韩国的证据
Econometric Modeling: International Economics eJournal Pub Date : 2019-02-28 DOI: 10.23895/kdijep.2019.41.1.1
Jinsoo Lee, Bok-Keun Yu
{"title":"The Effects of Export Diversification on Macroeconomic Stabilization: Evidence from Korea","authors":"Jinsoo Lee, Bok-Keun Yu","doi":"10.23895/kdijep.2019.41.1.1","DOIUrl":"https://doi.org/10.23895/kdijep.2019.41.1.1","url":null,"abstract":"This paper studies whether export diversification mitigated the negative effect of the global financial crisis on exports using the Korean case. Specifically, we use annual data on the exports of 24 Korean manufacturing industries from 2000 to 2016 and examine whether the negative effect of the crisis on exports was less prevalent in industries that were more diversified in terms of country and product. We also examine whether export competitiveness, measured by the revealed comparative advantage index by industry, had a mitigating effect on trade during the crisis. In order to study these issues, we use a panel regression with a fixed-effect model for 24 Korean manufacturing industries. From our empirical analysis, we find that country diversification weakened the negative impact of the global financial crisis on Koreai¯s exports, but neither product diversification nor export competitiveness did so.","PeriodicalId":391101,"journal":{"name":"Econometric Modeling: International Economics eJournal","volume":"75 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123085362","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
Does Host Market Regulation Induce Cross‐Border Environmental Innovation? 东道国市场监管是否会引发跨境环境创新?
Econometric Modeling: International Economics eJournal Pub Date : 2019-02-21 DOI: 10.1111/twec.12784
Giovanni Marin, Antonello Zanfei
{"title":"Does Host Market Regulation Induce Cross‐Border Environmental Innovation?","authors":"Giovanni Marin, Antonello Zanfei","doi":"10.1111/twec.12784","DOIUrl":"https://doi.org/10.1111/twec.12784","url":null,"abstract":"This paper evaluates the effect of host-country environmental policy stringency on the offshoring of environmental patents for 2000 top world R&D performers. It is shown that a more stringent environmental regulation triggers both the extensive and intensive margin of patent offshoring in the field of environmental technologies. Results are robust to various different specifications, alternative definitions of regulation restrictions and to the consideration of possible endogeneity of regulation. It is suggested inter alia that R&D subsidies and non-market based instrument are more important than market-based instruments as drivers of cross-border environmental innovation.","PeriodicalId":391101,"journal":{"name":"Econometric Modeling: International Economics eJournal","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114916345","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: 22
Financialization and De-Financialization of Commodity Futures: A Quantile Regression Approach 商品期货的金融化与去金融化:分位数回归方法
Econometric Modeling: International Economics eJournal Pub Date : 2019-02-20 DOI: 10.2139/ssrn.3267879
R. Bianchi, John Hua Fan, N. Todorova
{"title":"Financialization and De-Financialization of Commodity Futures: A Quantile Regression Approach","authors":"R. Bianchi, John Hua Fan, N. Todorova","doi":"10.2139/ssrn.3267879","DOIUrl":"https://doi.org/10.2139/ssrn.3267879","url":null,"abstract":"Abstract This study employs a quantile regression approach to examine the financialization of commodity futures. We confirm a strong degree of dependence in energy commodities from 2004 to 2013, with moderate effects in metals and lesser magnitudes in agriculture. Our findings show a strengthening in the financialization of energy commodities during the 2008–2009 global financial crisis, while there were weaker effects in agriculture and a decoupling or de-financialization in metal markets. The findings reveal the de-financialization of metals and agricultural markets from 2014 to 2017, after the 2013 closure of commodity trading units on Wall Street. Overall, our findings cast doubt on the diversification benefits of energy-dominated commodity indices after 2013. We argue the impact of financialization on commodity futures markets is more permanent than previously thought.","PeriodicalId":391101,"journal":{"name":"Econometric Modeling: International Economics eJournal","volume":"81 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128408308","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: 36
The Gains from Catch-up for China and the US: An Empirical Framework 中美追赶的收益:一个实证框架
Econometric Modeling: International Economics eJournal Pub Date : 2019-01-23 DOI: 10.2139/ssrn.3321470
Mardi Dungey, D. Osborn
{"title":"The Gains from Catch-up for China and the US: An Empirical Framework","authors":"Mardi Dungey, D. Osborn","doi":"10.2139/ssrn.3321470","DOIUrl":"https://doi.org/10.2139/ssrn.3321470","url":null,"abstract":"As China becomes more closely entwined with the US, positive shocks in the US translate into positive outcomes for China, but the extent of gain for the US during the convergence process is less clear. We develop an empirical framework of two interacting open economies in which Chinese GDP per capita moves towards convergence and cointegration with the US, resulting in a time-varying structural VAR model. As a result, the impulse responses of the two countries to shocks are sensitive to the timing of the shock. The changing effects of US shocks are evident in the analysis, which shows that over the convergence process both the US and China unambiguously benefit from the catch-up process.","PeriodicalId":391101,"journal":{"name":"Econometric Modeling: International Economics eJournal","volume":"112 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131612442","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
A Country Portfolio Approach to Solving Currency Invoicing 解决货币计价的国家组合方法
Econometric Modeling: International Economics eJournal Pub Date : 2019-01-11 DOI: 10.2139/ssrn.3314005
T. Xia
{"title":"A Country Portfolio Approach to Solving Currency Invoicing","authors":"T. Xia","doi":"10.2139/ssrn.3314005","DOIUrl":"https://doi.org/10.2139/ssrn.3314005","url":null,"abstract":"This paper develops a simple framework for computing equilibrium shares of trade currency invoicing in open economy dynamic stochastic general equilibrium models. The solution method follows closely to Devereux and Sutherland [2011]'s method in solving portfolio choice by applying information from second-order approximations of equilibrium conditions to solving zero-order portfolio shares. The framework is flexible enough to be extended to a Rotemberg sticky price model. To illustrate the approach, I use a simple symmetric two-country model and show that the results are consistent with existing theoretical findings on how monetary policy affects exchange rate pass-through.","PeriodicalId":391101,"journal":{"name":"Econometric Modeling: International Economics eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128427428","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
Global Value Chains: What are the Benefits and Why Do Countries Participate? 全球价值链:好处是什么?各国为什么要参与?
Econometric Modeling: International Economics eJournal Pub Date : 2019-01-01 DOI: 10.5089/9781484392928.001
Faezeh Raei, A. Ignatenko, Borislava Mircheva
{"title":"Global Value Chains: What are the Benefits and Why Do Countries Participate?","authors":"Faezeh Raei, A. Ignatenko, Borislava Mircheva","doi":"10.5089/9781484392928.001","DOIUrl":"https://doi.org/10.5089/9781484392928.001","url":null,"abstract":"Over the last two decades, world trade and production have become increasingly organized around global value chains (GVC). Recent theoretical work has shown that countries can benefit from participation in GVCs through multiple channels. However, little is known empirically about the economic importance of supply chains. We use the Eora MRIO database to compute different measures of GVC participation for 189 countries and illustrate global patterns of supply chains as well as their evolution over time in order to contribute to this topic. We find that GVC-related trade, rather than conventional trade, has a positive impact on income per capita and productivity, however there is large heterogeneity and the gains appear more signifcant for upper-middle and high-income countries. We document that “moving up” to more high-tech sectors while participating in major supply chains does take place but is not universal, suggesting other factors matter. We confirm the findings of the standard gravity literature for GVC trade; highlighting the key role of institutional features such as contract enforcement and the quality of infrastructure as determinants of GVC participation.","PeriodicalId":391101,"journal":{"name":"Econometric Modeling: International Economics eJournal","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131111965","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: 81
The Global Macroeconomics of a Trade War: the Eagle Model on the Us-China Trade Conflict 贸易战的全球宏观经济:中美贸易冲突的鹰模型
Econometric Modeling: International Economics eJournal Pub Date : 2019-01-01 DOI: 10.2139/ssrn.3328570
W. Bolt, K. Mavromatis, Sweder J. G. van Wijnbergen
{"title":"The Global Macroeconomics of a Trade War: the Eagle Model on the Us-China Trade Conflict","authors":"W. Bolt, K. Mavromatis, Sweder J. G. van Wijnbergen","doi":"10.2139/ssrn.3328570","DOIUrl":"https://doi.org/10.2139/ssrn.3328570","url":null,"abstract":"We study the global macroeconomic effects of tariffs using a multiregional, general equilibrium model, EAGLE, that we extend by introducing US tariffs against Chinese imports into the US, and subsequently Chinese tariffs against US imports into China, consistent with recent trade policies by the US and the Chinese governments. We abstract from tariffs on goods exported from the euro area, focusing on a US-China trade war. A unilateral tariff from the US against China dampens US exports in line with the Lerner Symmetry theorem but global output contracts. Global output contracts even further after China retaliates. The euro area benefits from this trade war. These European trade diversion benefits are caused by cheaper imports from China and improved competitiveness in the US. As price stickiness in the export sector in each region increases, the negative effects of tariffs in the US and China are mitigated, but the positive effects in the euro area are then also dampened.","PeriodicalId":391101,"journal":{"name":"Econometric Modeling: International Economics eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128434534","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: 33
Effective Trade Costs and the Current Account: An Empirical Analysis 有效贸易成本与经常账户:一个实证分析
Econometric Modeling: International Economics eJournal Pub Date : 2019-01-01 DOI: 10.5089/9781484392171.001
E. Boz, Nan Li, Hongrui Zhang
{"title":"Effective Trade Costs and the Current Account: An Empirical Analysis","authors":"E. Boz, Nan Li, Hongrui Zhang","doi":"10.5089/9781484392171.001","DOIUrl":"https://doi.org/10.5089/9781484392171.001","url":null,"abstract":"A view receiving increased support is that the height of trade costs in prime export sectors has a strong effect on current account balances: countries specializing in sectors that face relatively high trade costs, such as services, tend to run current account deficits, and similarly, countries specializing in low trade cost sectors, such as manufacturing, tend to run current account surpluses. To test this view, we first infer comparative advantages and trade costs, by sector, within a large sample of countries for the period 1970–2014. Then we construct effective trade costs—trade costs weighted by sectoral comparative advantage—to gauge the height of a country’s overall trade costs. Results reveal that, although higher effective exporting costs are associated with lower current account balances, their impact is quantitatively limited; furthermore, the effective costs of importing often have no statistically significant effect.","PeriodicalId":391101,"journal":{"name":"Econometric Modeling: International Economics eJournal","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116403599","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
The Impact of Oil Prices on Trade 石油价格对贸易的影响
Econometric Modeling: International Economics eJournal Pub Date : 2018-12-27 DOI: 10.1111/roie.12383
Simeon Nanovsky
{"title":"The Impact of Oil Prices on Trade","authors":"Simeon Nanovsky","doi":"10.1111/roie.12383","DOIUrl":"https://doi.org/10.1111/roie.12383","url":null,"abstract":"This paper introduces an oil price–distance interaction variable in a gravity equation to explain how global trade behaves as a result of oil price changes. The findings are that as oil prices increase, international trade becomes more localized in that countries begin trading relatively more with their neighbors. In contrast, when they decrease, trade becomes more dispersed in that the distance between countries becomes less relevant. These results are highly significant across specifications, and the magnitude is not to be ignored. According to the full specification an oil price halving will make trade more dispersed by relatively increasing trade by 40% for a distance of 10,000 miles and by 25% for a distance of 1,000 miles.","PeriodicalId":391101,"journal":{"name":"Econometric Modeling: International Economics eJournal","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133997168","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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