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Sri Lankan Households a Decade after the Indian Ocean Tsunami 印度洋海啸十年后的斯里兰卡家庭
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2016-10-20 DOI: 10.1111/rode.12586
D. De Alwis, Ilan Noy
{"title":"Sri Lankan Households a Decade after the Indian Ocean Tsunami","authors":"D. De Alwis, Ilan Noy","doi":"10.1111/rode.12586","DOIUrl":"https://doi.org/10.1111/rode.12586","url":null,"abstract":"We estimate the causal effect of the Indian Ocean tsunami in Sri Lanka on household income and consumption eight years after the event, using a quasi-experimental method. A strong association between area-wide tsunami disaster shock and increases in household income and consumption in the long-term emerged from our empirical investigation. Deviating from the common observation on short-term impacts, these results are suggestive of an optimistic potential for some long-lasting potentially successful recovery scenarios. Still, Sri Lanka received a very large amount of external transfers post-tsunami, much larger than is typical for disaster events and one which may not be replicable in other cases. Our findings suggest a more nuanced picture with respect to household consumption impacts. We observe a reduction of food consumption and only find an increase in non-food consumption. The increase in non-food consumption is much smaller than the observed increase in income. We also find that households in high-income regions experienced much better recovery from the disaster.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116777997","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: 14
Measuring Macroeconomic Uncertainty: An Application for Iran 衡量宏观经济不确定性:对伊朗的应用
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2016-08-30 DOI: 10.2139/ssrn.2821211
Reza Heybati
{"title":"Measuring Macroeconomic Uncertainty: An Application for Iran","authors":"Reza Heybati","doi":"10.2139/ssrn.2821211","DOIUrl":"https://doi.org/10.2139/ssrn.2821211","url":null,"abstract":"Given that Iran's economy is affected by different fluctuations and innovations, estimating a measure of macroeconomic uncertainty which represents aggregate level of uncertainty in economics has striking importance. This study provides a comprehensive time series measure of macroeconomic uncertainty for Iran, estimated separately for different forecast horizons. We attempt to provide superior econometric estimate of time-varying macro uncertainty and consider it's movements over the period 1991-2015. The estimated measures of macro uncertainty, base-case and its alternatives, show that the important uncertainty episodes of Iran's economy are associated with deep recessions. Specifically, the major spikes in the baseline estimate occurred over the 1992:1-1994:1, around the 1994:3-1995:2, and the 2011:3-2013:3 recessions. Finally, the results of impulse responses show that the macro uncertainty innovations are followed by a significant and persistent decrease in both investment and production, supporting the findings of long-lived negative effects of uncertainty.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117194897","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
A New Proof of the Augmented Solow Model without Strict Concavity 无严格凹性增广索洛模型的一个新证明
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2016-08-28 DOI: 10.2139/ssrn.2831128
Jian Li
{"title":"A New Proof of the Augmented Solow Model without Strict Concavity","authors":"Jian Li","doi":"10.2139/ssrn.2831128","DOIUrl":"https://doi.org/10.2139/ssrn.2831128","url":null,"abstract":"Generalizing essentiality of inputs from traditional Solow model to the augmented one, this paper relaxes assumption of strict concavity of production function per effective labor in the proof of existence and uniqueness of steady state in the augmented Solow model.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127677337","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
Occasionally Binding Liquidity Constraints and Macroeconomic Dynamics 偶尔约束流动性约束和宏观经济动态
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2016-08-24 DOI: 10.2139/ssrn.2828686
M. Werner
{"title":"Occasionally Binding Liquidity Constraints and Macroeconomic Dynamics","authors":"M. Werner","doi":"10.2139/ssrn.2828686","DOIUrl":"https://doi.org/10.2139/ssrn.2828686","url":null,"abstract":"In this paper, I conduct a quantitative comparison upon different methodological treatments of a financial constraint. I compute two solutions to a version of the Kiyotaki and Moore (2012) RBC-model. In this framework, aggregate investment as well as the overall trading volume in the equity market must jointly satisfy a liquidity constraint. The tightness of this constraint depends on the aggregate state that particularly includes separate shocks to the resaleability of equity. One of the solutions is computed under the simplifying assumption that the constraint binds permanently, while the other one allows for an occasionally binding constraint. An inappropriate treatment of the constraint is leads to an artificial drop in the equity price. I report that this drop translates into long-run capital accumulation and implies substantial distortions in risky steady states, impulse responses and higher-order moments. Moreover, I find that the long-run comovement between liquidity and the equity price may turn from positive to negative, depending on the technical treatment of the constraint.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126045828","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
Stabilising Chaos and Optimising Impact: Policy Evaluation in a Structural Macroeconomic Model 稳定混乱与优化影响:结构性宏观经济模型中的政策评估
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2016-06-06 DOI: 10.2139/ssrn.2790836
S. Baek
{"title":"Stabilising Chaos and Optimising Impact: Policy Evaluation in a Structural Macroeconomic Model","authors":"S. Baek","doi":"10.2139/ssrn.2790836","DOIUrl":"https://doi.org/10.2139/ssrn.2790836","url":null,"abstract":"The purpose of this paper is to construct a structural macroeconomic model to design monetary and fiscal policies aimed at attaining macroeconomic objectives. The study further attempts to simulate a baseline and policy scenario to evaluate the impact of such monetary and fiscal policy interventions on economy. To achieve the above objectives, the study benefits from both the concept of financial programming approach and vector error correction econometric techniques to build up an interconnected network among the four main areas of economy: real sector, external sector, government sector and monetary sector. Such efforts are expected not just to maximise the synergies across the two different approaches but also to minimise the challenges and limitations associated with them. This paper then discusses the empirically driven results from the application of Costa Rican economy and finally ends with a number of macro-policy implications and suggests topics for future research.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"172 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114816742","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
Macro-Modelling, Default and Money 宏观建模、违约和货币
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2016-06-01 DOI: 10.2139/ssrn.2788772
C. Goodhart, Nikolaos Romanidis, D. Tsomocos, M. Shubik
{"title":"Macro-Modelling, Default and Money","authors":"C. Goodhart, Nikolaos Romanidis, D. Tsomocos, M. Shubik","doi":"10.2139/ssrn.2788772","DOIUrl":"https://doi.org/10.2139/ssrn.2788772","url":null,"abstract":"Mainstream macro-models have assumed away financial frictions, in particular default. The minimum addition in order to introduce financial intermediaries, money and liquidity into such models is the possibility of default. This, in turn, requires that institutions and price formation mechanisms become a modelled part of the process, a ‘playable game’. Financial systems are not static, nor necessarily reverting to an equilibrium, but evolving processes, subject to institutional control mechanisms themselves subject to socio/political development. Process-oriented models of strategic market games can be translated into consistent stochastic models incorporating default and boundary constraints.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"113 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124706287","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: 21
What Economic and Social Factors Affect GDP Per Capita? A Study on 40 Countries 哪些经济和社会因素影响人均GDP ?对40个国家的研究
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2016-02-09 DOI: 10.2139/ssrn.2914765
Cenap Ilter
{"title":"What Economic and Social Factors Affect GDP Per Capita? A Study on 40 Countries","authors":"Cenap Ilter","doi":"10.2139/ssrn.2914765","DOIUrl":"https://doi.org/10.2139/ssrn.2914765","url":null,"abstract":"This paper explores the social and economic factors that affect GDP per capita as a gauge of economic development for a sample of forty countries. The whole sample is subjected to regression analysis as GDP per capita being the dependent variable and the rest of the factors being the independent variables. Regression analysis showed that of the eleven independent variables, population, GDP, transparency score and compulsory education are the four factors that affect GDP per capita the most.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129955169","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
Executive Compensation and Legal Investor Protection: Evidence from China's Listed Firms 高管薪酬与合法投资者保护:来自中国上市公司的证据
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2016-02-01 DOI: 10.1111/rode.12209
Zhigang Zheng, Li-an Zhou, Yanmei Sun, Chao Chen
{"title":"Executive Compensation and Legal Investor Protection: Evidence from China's Listed Firms","authors":"Zhigang Zheng, Li-an Zhou, Yanmei Sun, Chao Chen","doi":"10.1111/rode.12209","DOIUrl":"https://doi.org/10.1111/rode.12209","url":null,"abstract":"This paper seeks to relate the increases in executive compensation observed in China to improvement of the legal environment. We build a simple model and demonstrate that improvement in legal investor protection reduces the manager's private benefits of control; in order to make the managerial incentives compatible, some of the forgone private benefits have to be compensated in the form of increased executive pay. Using a large dataset on Chinese listed corporations, we find strong evidence that improvement of the legal environment is significantly associated with both the rise in executive compensation and the reduction in agency costs, which is consistent with our model predictions.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130776688","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
The Impact of Announcemement Days on the VIX 公告日对波动率指数的影响
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2016-01-27 DOI: 10.2139/ssrn.2731632
F. Grieb, Jana Krichel, Ville Väisänen
{"title":"The Impact of Announcemement Days on the VIX","authors":"F. Grieb, Jana Krichel, Ville Väisänen","doi":"10.2139/ssrn.2731632","DOIUrl":"https://doi.org/10.2139/ssrn.2731632","url":null,"abstract":"This paper examines the impact of different macroeconomic announcements on the implied volatility index of the S&P 500 (VIX). We focus on FOMC, employment, PPI, and CPI announcements over the sample period of January 2004 to December 2015. As expansion to other papers, the analysis will consider whether the observed changes in the VIX are due to the announcements or if they can be explained by other factors, such as seasonal patterns. Similar to previous studies, we find that on days where FOMC and employment announcements are published, the change in the VIX is on average negative. In contrast to previous research, we show that the average decreasing effect in the VIX for PPI and CPI announcements can be explained by seasonal patterns. Furthermore, the results indicate that the impact of FOMC and employment is independent of “good” and “bad” announcements, while PPI reports have a reducing effect for “extreme” announcements and during times of high uncertainty. All in all, our findings are in line with the definition of the VIX as a measure of uncertainty.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"63 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126503725","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
Fiscal Uncertainty and Currency Crises 财政不确定性和货币危机
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2015-11-01 DOI: 10.1111/rode.12136
I. Gumus
{"title":"Fiscal Uncertainty and Currency Crises","authors":"I. Gumus","doi":"10.1111/rode.12136","DOIUrl":"https://doi.org/10.1111/rode.12136","url":null,"abstract":"Fiscal deficits have been put forward as the main factor in the occurrence of currency crises by the first-generation currency crisis models. While most papers within this framework consider a fiscal deficit that occurs with certainty, in reality an increase in the government's fiscal burden may be an uncertain outcome. This paper introduces a model where there is uncertainty about the occurrence of a fiscal deficit for a finite number of periods, and studies the effects of such uncertainty on the evolution of currency crises. If the fiscal deficit materializes, the government has to abandon the fixed exchange rate regime, as in the standard case. However, the paper shows that the peg becomes unsustainable even if the fiscal deficit never materializes. Therefore, a speculative attack occurs and the fixed exchange rate regime collapses with the mere possibility of a deficit, independently of whether this outcome actually occurs or not.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130215737","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
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