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Linear and Nonlinear Growth Determinants: The Case of Mongolia and its Connection to China 线性与非线性增长决定因素:蒙古的案例及其与中国的关系
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2020-03-20 DOI: 10.2139/ssrn.3557860
Amanda M. Y. Chu, Zhihui Lv, N. Wagner, W. Wong
{"title":"Linear and Nonlinear Growth Determinants: The Case of Mongolia and its Connection to China","authors":"Amanda M. Y. Chu, Zhihui Lv, N. Wagner, W. Wong","doi":"10.2139/ssrn.3557860","DOIUrl":"https://doi.org/10.2139/ssrn.3557860","url":null,"abstract":"We investigate growth determinants for Mongolia as a small emerging economy considering China as its large neighbor. Our causality analysis during January 1992 to August 2017 reveals significant linear and nonlinear relationships in growth explanation. China’s GDP and coal prices, together with some of their linear and nonlinear lagged components, predict Mongolia’s GDP, where a one percent increase in China’s GDP relates to an increase in Mongolia of 1.5 percent. Current exchange rates and the nonlinear components of lagged levels of consumer prices also explain growth. Our results underline the role of macroeconomic drivers of growth in emerging economies.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129363206","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
Agricultural Productivity, the Real Effective Exchange Rate, and Structural Change: Some Evidence from Africa 农业生产力、实际有效汇率和结构变化:来自非洲的一些证据
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2020-02-01 DOI: 10.1111/rode.12640
R. Grabowski, S. Self
{"title":"Agricultural Productivity, the Real Effective Exchange Rate, and Structural Change: Some Evidence from Africa","authors":"R. Grabowski, S. Self","doi":"10.1111/rode.12640","DOIUrl":"https://doi.org/10.1111/rode.12640","url":null,"abstract":"Agriculture is thought to play a number of roles in the early development process. All of these roles involve fostering non‐agricultural development, in particular manufacturing. It is argued in this paper that agriculture plays a role that has hitherto been ignored. Specifically, if agricultural labor productivity increases faster than manufacturing labor productivity, the real effective exchange rate will depreciate. This depreciation of real effective exchange rate occurs because in very poor countries agriculture makes up the dominant share of both GDP and employment. The depreciation also makes it easier for a country to expand the production of tradables relative to nontradables, with manufacturing being the main tradable. This proposition, which as agricultural labor productivity increases relative to manufacturing labor productivity the real effective exchange rate depreciates, is tested using data drawn from 10 sub‐Saharan African countries.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128282218","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
Retrospective Analysis of the Initial Results of Economic Reforms in Azerbaijan: Qualitative and Quantitative Assessments 对阿塞拜疆经济改革初步成果的回顾性分析:定性和定量评估
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2020-01-06 DOI: 10.2139/ssrn.3514310
G. Ibadoghlu
{"title":"Retrospective Analysis of the Initial Results of Economic Reforms in Azerbaijan: Qualitative and Quantitative Assessments","authors":"G. Ibadoghlu","doi":"10.2139/ssrn.3514310","DOIUrl":"https://doi.org/10.2139/ssrn.3514310","url":null,"abstract":"Different perspectives on economic reform in Azerbaijan have played an important role in the emergence of this article. There are two contradiction approaches in this regard. Officials say the reforms in the country are moving fast and yielding significant results. Some independent and opposition experts is claimed that the reform is like imitation. Our goal is to measure the initial results of structural and personnel changes in the name of reform by assessing strategic aims identified in the documents that are the conceptual framework for economic reform through interim indicators.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116494491","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
Macroeconomic Content of Characteristics-Based Asset Pricing Models: A Machine Learning Analysis 基于特征的资产定价模型的宏观经济内容:机器学习分析
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2019-12-30 DOI: 10.2139/ssrn.3512123
O. Rytchkov, Xun Zhong
{"title":"Macroeconomic Content of Characteristics-Based Asset Pricing Models: A Machine Learning Analysis","authors":"O. Rytchkov, Xun Zhong","doi":"10.2139/ssrn.3512123","DOIUrl":"https://doi.org/10.2139/ssrn.3512123","url":null,"abstract":"We consider five characteristics-based asset pricing models and study whether the non-market components of their stochastic discount factors (SDFs) are associated with macroeconomic shocks. Our analysis involves a comprehensive set of 127 macroeconomic variables and uses machine learning techniques to mitigate the overfitting problem caused by a large number of explanatory variables. We find that macroeconomic shocks are totally unrelated to the non-market components of the SDFs. This conclusion extends to several theory-motivated macroeconomic factors. Thus, our results suggest that the empirical success of characteristics-based asset pricing models is produced by their ability to identify behavioral factors in stock returns.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"74 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127346060","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
Welfare Effects of Energy Subsidy Reform in Developing Countries 发展中国家能源补贴改革的福利效应
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2019-09-16 DOI: 10.1111/rode.12619
L. Groot, Thijs Oostveen
{"title":"Welfare Effects of Energy Subsidy Reform in Developing Countries","authors":"L. Groot, Thijs Oostveen","doi":"10.1111/rode.12619","DOIUrl":"https://doi.org/10.1111/rode.12619","url":null,"abstract":"We analyze the potential welfare effect of energy subsidy reforms. The income distributions of eleven developing countries from different geographical regions are simulated using the assumption that income is lognormally distributed. We use the concept of the compensating variation to measure how much compensation is required to compensate consumers for a price increase in formerly subsidized goods. The behavior of consumers is modeled by a standard Cobb–Douglas and a quasilinear utility function. In the Cobb–Douglas case, a fixed fraction of income is spent on the subsidized good, which does not change after a price increase. With quasilinear preferences, the optimal amount of the subsidized good does not vary with income, but does change as prices change. We show theoretically and empirically that the required compensating variation can be set below the saved expenditures on subsidies, so a budget neutral reform can have a positive effect on social welfare.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116221133","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
Counting the Uncounted: The Consequences of Children's Domestic Chores for Health and Education in Ethiopia 计算未计算的人数:埃塞俄比亚儿童家务劳动对健康和教育的影响
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2019-08-01 DOI: 10.1111/rode.12587
Yonatan Dinku, D. Fielding, Murat Genç
{"title":"Counting the Uncounted: The Consequences of Children's Domestic Chores for Health and Education in Ethiopia","authors":"Yonatan Dinku, D. Fielding, Murat Genç","doi":"10.1111/rode.12587","DOIUrl":"https://doi.org/10.1111/rode.12587","url":null,"abstract":"Much of the existing literature on the economics of child labor assumes that child labor is synonymous with employment in income‐generating activities. However, children also perform domestic chores, and excessive involvement in chores may be detrimental to their wellbeing. This paper investigates the effect on child health and education outcomes of participation in domestic chores as well as participation in income‐generating activities. Our data come from the 2014 Young Lives survey of Ethiopia. We use the guidelines of the 18th International Conference of Labor Statisticians and the United Nations Children's Fund to make a distinction between light work and harmful work, and apply this distinction to both domestic chores and income‐generating work. Using an instrumental variables approach, we find that involvement in harmful domestic chores is strongly associated with poor health and education outcomes. Our findings suggest that excessive involvement in domestic chores constitutes a form of child labor. Ignoring domestic chores will lead to an underestimate of the prevalence of child labor, especially among girls, whose exposure to chores is much higher, on average, than that of boys.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"118 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125253154","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
The Anatomy of Fragile States in Sub‐Saharan Africa: Understanding the Interrelationship between Fragility and Indicators of Wellbeing 撒哈拉以南非洲脆弱国家的剖析:了解脆弱性与福祉指标之间的相互关系
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2019-08-01 DOI: 10.1111/rode.12578
A. McKay, E. Thorbecke
{"title":"The Anatomy of Fragile States in Sub‐Saharan Africa: Understanding the Interrelationship between Fragility and Indicators of Wellbeing","authors":"A. McKay, E. Thorbecke","doi":"10.1111/rode.12578","DOIUrl":"https://doi.org/10.1111/rode.12578","url":null,"abstract":"According to most classifications, Sub‐Saharan Africa is the region of the world with the highest presence of fragile states. In this paper we examine the relationship between fragility and poverty, suggesting that countries may become trapped in a vicious circle of fragility and low levels of wellbeing. We consider fragility as a continuum and begin by reviewing available measures. These show the high presence of fragility in Sub‐Saharan Africa and allow the more fragile countries to be identified. There is seen to be a strong association between fragility, poor growth performance, and lower wellbeing in Sub‐Saharan Africa. Building on the strong evidence for the two‐way relationship between economic growth and poverty, we present an analysis of how the vicious circle linking poorer welfare outcomes and fragility may be able to be broken. We argue that building successful institutions is key here, and this can be enabled by specific policy interventions that are both poverty reducing and productive.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"31 14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124996629","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
Credit Risk Modeling With Jointly Spanned and Unspanned Interest Rate and Unspanned Bei Rate: A Macro-Finance Approach 联合跨、无跨利率和无跨利率的信用风险建模:一种宏观金融方法
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2019-07-16 DOI: 10.2139/ssrn.3420677
Marco Ticciati
{"title":"Credit Risk Modeling With Jointly Spanned and Unspanned Interest Rate and Unspanned Bei Rate: A Macro-Finance Approach","authors":"Marco Ticciati","doi":"10.2139/ssrn.3420677","DOIUrl":"https://doi.org/10.2139/ssrn.3420677","url":null,"abstract":"The paper quantifies the influence of interest rates and inflation rates on default rates of banks. By expanding the work of Duffee (1998), with the unspanned risks as in Joslin et al (2014), we estimate a multifactor model with unspanned interest rates and inflation rates to test the performance of unspanned variables in the default rate term structure of banks. The model is trained in samples of positive interest rates and evaluated in samples of negative interest rates. We check the robustness of the model by comparing the results with the performance of alternative model specifications. The model reveals that unspanned variables have a worse performance than alternative models specifications.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"106 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116108596","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
U.S. Macroeconomic Policy Evaluation in an Open Economy Context Using Wavelet Decomposed Optimal Control Methods 基于小波分解最优控制方法的开放经济背景下美国宏观经济政策评价
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2019-07-10 DOI: 10.2139/ssrn.3418158
Patrick M. Crowley, David Hudgins
{"title":"U.S. Macroeconomic Policy Evaluation in an Open Economy Context Using Wavelet Decomposed Optimal Control Methods","authors":"Patrick M. Crowley, David Hudgins","doi":"10.2139/ssrn.3418158","DOIUrl":"https://doi.org/10.2139/ssrn.3418158","url":null,"abstract":"It is widely recognized that the policy objectives of fiscal and monetary policymakers usually have different time horizons, and this feature may not be captured by traditional econometric techniques. In this paper, we first decompose U.S macroeconomic data using a time-frequency domain technique, namely discrete wavelet analysis. We then model the behavior of the U.S. economy over each wavelet frequency range and use our estimated parameters to construct a tracking model. To illustrate the usefulness of this approach, we simulate jointly optimal fiscal and monetary policy with different short-term targets: an inflation target, a money growth target, an interest rate target, and a real exchange rate target. The results determine the reaction in fiscal and monetary policy that is required to achieve an inflation target in a low inflation environment, and when both fiscal and monetary policy are concerned with meeting certain economic growth objectives. The combination of wavelet decomposition in an optimal control framework can also provide a new approach to macroeconomic forecasting.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129122487","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
FDI Asymmetries in Emerging Economies: The Case of Colombia 新兴经济体的FDI不对称:以哥伦比亚为例
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2019-06-25 DOI: 10.5539/IJEF.V11N8P35
Jose Mora Mora, Celso J. Costa Junior
{"title":"FDI Asymmetries in Emerging Economies: The Case of Colombia","authors":"Jose Mora Mora, Celso J. Costa Junior","doi":"10.5539/IJEF.V11N8P35","DOIUrl":"https://doi.org/10.5539/IJEF.V11N8P35","url":null,"abstract":"We build a DSGE model to study the asymmetries of FDI shocks in an economy like Colombia. Besides nominal wage and price rigidities, we use the fact that Colombia has two productive and differentiated regions, Bogota that produces more than 25% of Colombia GDP (DANE, 2016) and the rest of the country, Ricardian and non-Ricardian agents, habit formation, capital adjustment costs, and modeled an entire foreign sector. Empirical results show that even when in the long run results are not very different in terms of real output, the short run effects are asymmetric implying that a shock to FDI in the rest of the country might cause important microeconomic adjustments that could improve the distribution of income throughout the country.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121560651","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
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