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Cyclicality of commodity markets with respect to the U.S. economic policy uncertainty based on granger causality in quantiles 基于分位数格兰杰因果关系的商品市场周期性与美国经济政策的不确定性
IF 1.5
Economic Notes Pub Date : 2020-10-21 DOI: 10.1111/ecno.12179
Nicholas Apergis, Tasawar Hayat, Tareq Saeed
{"title":"Cyclicality of commodity markets with respect to the U.S. economic policy uncertainty based on granger causality in quantiles","authors":"Nicholas Apergis,&nbsp;Tasawar Hayat,&nbsp;Tareq Saeed","doi":"10.1111/ecno.12179","DOIUrl":"10.1111/ecno.12179","url":null,"abstract":"<p>Given the importance of the U.S. in global commodity markets, the goal is to explore whether U.S. economic policy uncertainty impacts the price performance of certain commodities. The analysis uses the Granger causality in quantiles method that allows us to test whether there are different effects under different market conditions. The results document that economic uncertainty impacts the returns on the commodities considered, with the effects clustering around the tail of their conditional distribution. Robust evidence was obtained under alternative definitions of uncertainty.</p>","PeriodicalId":44298,"journal":{"name":"Economic Notes","volume":"50 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2020-10-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ecno.12179","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76253904","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: 4
Issue Information (ECNO) 问题信息（ECNO）
IF 1.5
Economic Notes Pub Date : 2020-10-07 DOI: 10.1111/ecno.12152
{"title":"Issue Information (ECNO)","authors":"","doi":"10.1111/ecno.12152","DOIUrl":"https://doi.org/10.1111/ecno.12152","url":null,"abstract":"","PeriodicalId":44298,"journal":{"name":"Economic Notes","volume":"49 3","pages":""},"PeriodicalIF":1.5,"publicationDate":"2020-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ecno.12152","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72143226","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The geography of banking: Evidence from branch closings 银行业的地理:来自分行关闭的证据
IF 1.5
Economic Notes Pub Date : 2020-10-06 DOI: 10.1111/ecno.12177
Maddalena Galardo, Iconio Garrì, Paolo Emilio Mistrulli, Davide Revelli
{"title":"The geography of banking: Evidence from branch closings","authors":"Maddalena Galardo,&nbsp;Iconio Garrì,&nbsp;Paolo Emilio Mistrulli,&nbsp;Davide Revelli","doi":"10.1111/ecno.12177","DOIUrl":"10.1111/ecno.12177","url":null,"abstract":"<p>In the aftermath of the Great Recession, the number of bank branches declined in most developed countries. In this paper, we investigate how banks have downsized their branch networks in Italy, by comparing the pre- and post-crisis spatial distribution of branches. By using a detailed data set that includes a wide set of controls for the characteristics of each bank branch, we estimate the probability of a branch being closed as a function of its distance from both proprietary and competitors' branches. We find that banks are more prone to close branches in those areas where other proprietary branches are closer and where competitors' branches are closer. This indicates that, since the start of the crisis, banks have closed branches especially in those areas where their proprietary network was relatively more populated and the competition was fiercer.</p>","PeriodicalId":44298,"journal":{"name":"Economic Notes","volume":"50 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2020-10-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ecno.12177","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83100771","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: 7
Technological leadership and sectorial employment growth: A spatial econometric analysis for U.S. counties 技术领先与部门就业增长:美国县域的空间计量经济分析
IF 1.5
Economic Notes Pub Date : 2020-09-24 DOI: 10.1111/ecno.12178
Valerien O. Pede, Raymond J. G. M. Florax, Henri L. F. de Groot, Gustavo Barboza
{"title":"Technological leadership and sectorial employment growth: A spatial econometric analysis for U.S. counties","authors":"Valerien O. Pede,&nbsp;Raymond J. G. M. Florax,&nbsp;Henri L. F. de Groot,&nbsp;Gustavo Barboza","doi":"10.1111/ecno.12178","DOIUrl":"10.1111/ecno.12178","url":null,"abstract":"<p>This paper studies the determinants of technological catch-up considering spatial and sectoral aggregation of industries. We investigate how geographical and technological proximity to the technology leader impact regional employment growth. We model technological progress by means of a hierarchical process of catch-up to the technology leader. We also incorporate measures for knowledge spillover effects to test the roles of competition, specialisation, and diversity at the industry level. Empirical results using data at the county level for different economic sectors (2-dig NAICS) for the United States indicate that human capital plays a crucial role in promoting sectoral employment growth. The association between technological/geographical distance to the technology leader and employment growth varies across sectors.</p>","PeriodicalId":44298,"journal":{"name":"Economic Notes","volume":"50 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2020-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ecno.12178","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82165570","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
Small firms amidst COVID‐19: Financial constraints and role of government support COVID - 19中的小企业:财政约束和政府支持的作用
IF 1.5
Economic Notes Pub Date : 2020-09-12 DOI: 10.1111/ecno.12206
Radeef Chundakkadan, R. Natarajan, Subash Sasidharan
{"title":"Small firms amidst COVID‐19: Financial constraints and role of government support","authors":"Radeef Chundakkadan, R. Natarajan, Subash Sasidharan","doi":"10.1111/ecno.12206","DOIUrl":"https://doi.org/10.1111/ecno.12206","url":null,"abstract":"Abstract The coronavirus disease 2019 has severely affected the financially constrained small and medium enterprises (SMEs). In response, various countries employed several policies to support SMEs. Using rich firm‐level data from 34 countries, we study the impact of the pandemic‐led crisis on cash‐strapped SMEs and the role of governments in offsetting losses. Our results suggest that (i) government support programmes target mostly financially constrained firms; (ii) firms adjustments to the pandemic are associated with the likelihood of government support; (iii) financially constrained firms are more likely to lay off workers; and (iv) financially constrained firms layoff more male employees than female employees.","PeriodicalId":44298,"journal":{"name":"Economic Notes","volume":"75 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2020-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80694273","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 relation between municipal and government bond yields in an era of unconventional monetary policy 非常规货币政策时代市政债券与政府债券收益率的关系
IF 1.5
Economic Notes Pub Date : 2020-08-31 DOI: 10.1111/ecno.12176
David Knezevic, Martin Nordström, Pär Österholm
{"title":"The relation between municipal and government bond yields in an era of unconventional monetary policy","authors":"David Knezevic,&nbsp;Martin Nordström,&nbsp;Pär Österholm","doi":"10.1111/ecno.12176","DOIUrl":"10.1111/ecno.12176","url":null,"abstract":"<p>In this paper, we investigate how the 5-year Swedish municipal bond yield has been related to the corresponding yield on government bonds during the period that the Riksbank has conducted unconventional monetary policy in terms of bond purchases. Using daily Swedish data on bond yields from February 2015 to January 2018, we first conduct an event study to assess the short-run effects of the Riksbank's bond-purchase announcements. We then estimate bivariate vector autoregressive models to study the dynamic relationship between the yields. Results from the event study suggest that the accumulated short-run effect of the Riksbank's announcements was to lower the government bond yield by approximately 40 to 50 basis points and municipal bond yields by 30 to 35 basis points. Our vector autoregressive analysis indicates—in line with the event study—that an unexpected decrease in the government bond yield initially increases the municipal bond-yield spread. However, after approximately 4 weeks, the effect has been reversed and the municipal bond-yield spread is lower than it was initially. By conducting this analysis, we contribute to the understanding of the transmission of unconventional monetary policy.</p>","PeriodicalId":44298,"journal":{"name":"Economic Notes","volume":"50 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2020-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ecno.12176","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76537870","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
The rise of market power and Ramsey-optimal policy implications 市场力量的崛起和拉姆齐最优政策的影响
IF 1.5
Economic Notes Pub Date : 2020-08-07 DOI: 10.1111/ecno.12175
Mehrab Kiarsi
{"title":"The rise of market power and Ramsey-optimal policy implications","authors":"Mehrab Kiarsi","doi":"10.1111/ecno.12175","DOIUrl":"10.1111/ecno.12175","url":null,"abstract":"<p>De Loecker, Eeckhout, and Unger document that since 1980 aggregate markups in the U.S. economy have significantly increased from 21% above cost to 61% now. In light of this evidence, this paper revisits optimal fiscal and monetary policy recommendations of standard New Keynesian models and shows that under empirically relevant calibrations of market power they radically change: the optimal inflation rate becomes significantly positive and its optimal volatility sharply rises. Moreover, inflation behaves like a random walk in response to unexpected fiscal shocks. Thus, price stability ceases to be the optimal policy outcome.</p>","PeriodicalId":44298,"journal":{"name":"Economic Notes","volume":"50 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2020-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ecno.12175","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77518820","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
Life with habit and expectation: A new explanation of equity premium puzzle 习惯与期望的生活:股权溢价之谜的新解释
IF 1.5
Economic Notes Pub Date : 2020-07-30 DOI: 10.1111/ecno.12174
James P. Cover, Boyi Zhuang
{"title":"Life with habit and expectation: A new explanation of equity premium puzzle","authors":"James P. Cover,&nbsp;Boyi Zhuang","doi":"10.1111/ecno.12174","DOIUrl":"10.1111/ecno.12174","url":null,"abstract":"<p>Previous writers have attempted to resolve the equity premium puzzle by employing a utility function that depends on current consumption minus (or relative to) past habit consumption. This paper points out that an individual's current utility may also depend upon how well off in the recent past he or she had expected to be today. Hence we add the concept “expectation formation” to the utility modification term in a model with a habit-formation utility function. We apply the model to the equity premium puzzle and find that it is able to fit the data with a relatively low coefficient of relative risk aversion. Furthermore, we introduce an updated data sample and apply different values of discounting factors, and find that in all circumstances, the model is able to generate coefficients of risk aversion that are consistent with theory. Hence we conclude that the model is able to resolve the equity premium puzzle.</p>","PeriodicalId":44298,"journal":{"name":"Economic Notes","volume":"50 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2020-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/ecno.12174","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82244487","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
Banking business models and risk: Findings from the ECB's comprehensive assessment 银行业商业模式与风险:欧洲央行综合评估的结果
IF 1.5
Economic Notes Pub Date : 2020-07-01 DOI: 10.1111/ecno.12158
G. Paladino, Zeno Rotondi
{"title":"Banking business models and risk: Findings from the ECB's comprehensive assessment","authors":"G. Paladino, Zeno Rotondi","doi":"10.1111/ecno.12158","DOIUrl":"https://doi.org/10.1111/ecno.12158","url":null,"abstract":"We use the results of the ECB's comprehensive assessment to evaluate the importance of the bank business model on risk assessment and the persuasive effectiveness of different supervisory styles on banks’ recapitalization. Our analysis reveals inconsistencies in the information content provided by the various regulatory measures used for assessing bank stability. Moreover, opposite to CET1 ratio, the leverage ratio provides assessments on business models more consistent with a market‐based measure of bank risk exposure and Z‐SCORE. Accounting for several control variables both at the bank and country level, we also find evidence that the effectiveness of the supervisory action depends on the specific type of supervisory model. In particular, countries adopting the hybrid model seem more effective in persuading banks to recapitalize preventively. Differently, countries adopting the integrated and the sectorial model seem less effective in their requests.","PeriodicalId":44298,"journal":{"name":"Economic Notes","volume":"25 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2020-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82889617","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
How diverse are national banking systems? An analysis on banking business models, profitability, and riskiness 各国银行体系的多样性有多大?银行业务模式、盈利能力和风险分析
IF 1.5
Economic Notes Pub Date : 2020-07-01 DOI: 10.1111/ecno.12156
Giacomo Caterini, E. Gaffeo, Lucio Gobbi
{"title":"How diverse are national banking systems? An analysis on banking business models, profitability, and riskiness","authors":"Giacomo Caterini, E. Gaffeo, Lucio Gobbi","doi":"10.1111/ecno.12156","DOIUrl":"https://doi.org/10.1111/ecno.12156","url":null,"abstract":"In this paper, we apply an algorithm developed by Martin Weitzman to quantify the extent of diversity among the business models of financial intermediaries at an international level. In particular, we investigate the relationship between the diversity of the business models of EU national banking systems and their profitability and riskiness. We show how Weitzman's approach can be generally applied to the issue at hand; as a by‐product, the analysis allows us to assess whether the diversity among banking systems was affected by the imported systemic financial crises of 2007/8 as well as its domestic sequel centered on the sovereign debt crisis that occurred in 2010–12. The motivation for this paper is twofold. First, we provide an operational measure of the diversity of business models among banking sectors. Second, we enrich the economic literature relating to banking business models by providing a macro‐founded analysis. To this end, we highlight the range of diversity of national banking business models correlated with high performances in terms of profitability and riskiness.","PeriodicalId":44298,"journal":{"name":"Economic Notes","volume":"135 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2020-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89751905","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
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