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Predictive model averaging with parameter instability and heteroskedasticity 具有参数不稳定性和异方差性的预测模型平均法
IF 0.8 4区 经济学
Bulletin of Economic Research Pub Date : 2023-12-29 DOI: 10.1111/boer.12429
Anwen Yin
{"title":"Predictive model averaging with parameter instability and heteroskedasticity","authors":"Anwen Yin","doi":"10.1111/boer.12429","DOIUrl":"10.1111/boer.12429","url":null,"abstract":"<p>This paper proposes a frequentist model averaging approach in the presence of parameter instability and heteroskedasticity. We derive optimal weights combining the stable and break specifications of a predictive model, with the weights from minimizing the leave-one-out cross-validation information criterion (CV). We characterize the asymptotic distribution of the CV and provide the analytical expressions of the feasible optimal CV weights. Our simulations and applications forecasting the US and Taiwanese GDP growth demonstrate the superior performance of the CV model averaging relative to other methods such as the Mallows averaging, the approximate Bayesian averaging, and equal weighting.</p>","PeriodicalId":46233,"journal":{"name":"Bulletin of Economic Research","volume":"76 2","pages":"418-442"},"PeriodicalIF":0.8,"publicationDate":"2023-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139146590","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Does geographic or market proximity matter? Evidence from institutional investor monitoring on earnings attributes in US cross-listed stocks 地理位置重要还是市场距离重要？机构投资者对美国交叉上市股票盈利属性的监控证据
IF 0.8 4区 经济学
Bulletin of Economic Research Pub Date : 2023-12-29 DOI: 10.1111/boer.12433
Sanggyu Kang, Chune Young Chung, Amirhossein Fard
{"title":"Does geographic or market proximity matter? Evidence from institutional investor monitoring on earnings attributes in US cross-listed stocks","authors":"Sanggyu Kang,&nbsp;Chune Young Chung,&nbsp;Amirhossein Fard","doi":"10.1111/boer.12433","DOIUrl":"10.1111/boer.12433","url":null,"abstract":"<p>This study investigates institutional distance as a factor of investors’ monitoring of corporate earnings attributes. We analyze the US cross-listing market to determine whether institutional monitoring depends on geographic or market proximity. We find that shareholdings of non-US institutions headquartered in the same country as the investee firm are significantly and positively related to earnings quality. However, we do not find such a monitoring role in the United States, or in institutions not incorporated in the investee firm's home country. Our findings support a geographic proximity advantage over market proximity, which is more pronounced when firms’ information opacity is more severe; the results are not altered by the choice of earnings attribute variables.</p>","PeriodicalId":46233,"journal":{"name":"Bulletin of Economic Research","volume":"76 2","pages":"443-469"},"PeriodicalIF":0.8,"publicationDate":"2023-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139064993","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Welfare analysis of bank mergers with financial instability 金融不稳定情况下银行兼并的福利分析
IF 0.8 4区 经济学
Bulletin of Economic Research Pub Date : 2023-12-27 DOI: 10.1111/boer.12434
Akio Ino, Yusuke Matsuki
{"title":"Welfare analysis of bank mergers with financial instability","authors":"Akio Ino,&nbsp;Yusuke Matsuki","doi":"10.1111/boer.12434","DOIUrl":"10.1111/boer.12434","url":null,"abstract":"<p>In this study, we analyze the effect of a merger between banks by extending a structural model of the banking industry with the possibility of bank runs developed by Egan et al. (2017; <i>American Economic Review</i>, 107, 169–216). We use our framework to analyze whether the 2008 merger between Wells Fargo and Wachovia was beneficial for social welfare. The results suggest that the stability of the financial system is critical for evaluating mergers in the banking industry.</p>","PeriodicalId":46233,"journal":{"name":"Bulletin of Economic Research","volume":"76 2","pages":"409-417"},"PeriodicalIF":0.8,"publicationDate":"2023-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139072098","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Vertical cross-ownership, double marginalization, and social welfare 垂直交叉所有权、双重边缘化和社会福利
IF 0.8 4区 经济学
Bulletin of Economic Research Pub Date : 2023-12-27 DOI: 10.1111/boer.12431
Leonard F. S. Wang, Qiang Gong, Ji Sun
{"title":"Vertical cross-ownership, double marginalization, and social welfare","authors":"Leonard F. S. Wang,&nbsp;Qiang Gong,&nbsp;Ji Sun","doi":"10.1111/boer.12431","DOIUrl":"10.1111/boer.12431","url":null,"abstract":"<p>In this paper, we study the impacts of cross-ownership structure on double marginalization problem (DMP) and social welfare under downstream the Bertrand and Cournot competition. We find that in the Bertrand competition, DMP is more serious under backward cross-ownership than under forward cross-ownership. Under forward cross-ownership, because the upstream firm internalizes part of a retailer's profit, it alleviates the DMP. However, for the whole society, forward cross-ownership is beneficial with respect to backward cross-ownership. The mark-up ratio under forward cross-ownership is the largest, followed by that under vertical separation. The lowest one is under backward cross-ownership. The results hold under Cournot competition as well.</p>","PeriodicalId":46233,"journal":{"name":"Bulletin of Economic Research","volume":"76 2","pages":"394-408"},"PeriodicalIF":0.8,"publicationDate":"2023-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139072143","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The nexus between national and regional reporting of economic news: Evidence from the United Kingdom and Scotland 国家和地区经济新闻报道之间的关系：来自英国和苏格兰的证据
IF 0.8 4区 经济学
Bulletin of Economic Research Pub Date : 2023-11-05 DOI: 10.1111/boer.12428
Dooruj Rambaccussing, Andrzej Kwiatkowski
{"title":"The nexus between national and regional reporting of economic news: Evidence from the United Kingdom and Scotland","authors":"Dooruj Rambaccussing,&nbsp;Andrzej Kwiatkowski","doi":"10.1111/boer.12428","DOIUrl":"10.1111/boer.12428","url":null,"abstract":"<p>Broadsheet newspapers are an important source of economic news. Using a unique dataset of more than 489,000 articles over the last 20 years, this article asks the question whether newspapers published in Scotland communicate similar economic sentiments as UK-wide newspapers. The findings show that although Scottish and UK newspapers share a positive correlation, this relationship varies over time. There is evidence of causality running mostly from the United Kingdom to Scotland. The Scottish Referendum 2014 has had an impact on newspaper reporting when there was more uncertainty in the communication. Individual newspapers respond differently during the referendum periods where some newspapers, The Daily Telegraph and Daily Record for instance reacted to the uncertainty rather strongly, whereas local newspapers represented news in a rather surprising positive note.</p>","PeriodicalId":46233,"journal":{"name":"Bulletin of Economic Research","volume":"76 2","pages":"371-393"},"PeriodicalIF":0.8,"publicationDate":"2023-11-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/boer.12428","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135725799","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Quantitative easing effectiveness: Evidence from Euro private assets 量化宽松政策的有效性：欧元私人资产的证据
IF 0.8 4区 经济学
Bulletin of Economic Research Pub Date : 2023-10-19 DOI: 10.1111/boer.12427
Dimitris G. Kirikos
{"title":"Quantitative easing effectiveness: Evidence from Euro private assets","authors":"Dimitris G. Kirikos","doi":"10.1111/boer.12427","DOIUrl":"10.1111/boer.12427","url":null,"abstract":"<p>Proponents of quantitative easing (QE) unconventional policy have rather overstated some evidence that structural time series models do not predict long-term asset prices and yields as well as naive random walk forecasts, implying that predictions of price reversals cannot be profitable and, therefore, that QE effects are not transitory. Indeed, in this work we present evidence that naive models do not outperform structural vector autoregressive and Markov switching models in out-of-sample forecasting of corporate bond yields purchased by the European Central Bank, when the information set includes base money growth. It turns out that structural time series models provide additional information regarding the likelihood of price reversals, thus motivating investors to offset the effects of QE interventions if they perceive unconventional monetary policy regimes as temporary.</p>","PeriodicalId":46233,"journal":{"name":"Bulletin of Economic Research","volume":"76 2","pages":"354-370"},"PeriodicalIF":0.8,"publicationDate":"2023-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/boer.12427","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135730184","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Corporate fraud, political connections, and media bias: Evidence from China 企业欺诈、政治关系和媒体偏见：来自中国的证据
IF 0.8 4区 经济学
Bulletin of Economic Research Pub Date : 2023-10-17 DOI: 10.1111/boer.12423
Jiamin Wang, Qian Li, Chenmeng Lai, Victor Song
{"title":"Corporate fraud, political connections, and media bias: Evidence from China","authors":"Jiamin Wang,&nbsp;Qian Li,&nbsp;Chenmeng Lai,&nbsp;Victor Song","doi":"10.1111/boer.12423","DOIUrl":"10.1111/boer.12423","url":null,"abstract":"<p>This article empirically examines how political connections (<i>PCs</i>) affect a firm's media reaction after corporate fraud. Using data for Chinese listed companies from 2008 to 2021, we find that the media reports more positively for firms with <i>PC</i>s than for others that do not possess such advantages after the enforcement against fraud. The results are robust to a series of robustness checks and endogeneity corrections. When decomposing media reports, we find that <i>PC</i>s only facilitate positive media coverage but do not impede negative media coverage, which is more pronounced in state-controlled media. This suggests that <i>PC</i>s protect firms’ branding by facilitating positive media reports rather than withholding bad news. Moreover, we find this protective effect is more pronounced in firms with stronger <i>PC</i>s, weaker anti-corruption regulation, lighter punishment for fraud, private ownership, and more donations. Further, the consequences analysis shows that this kind of protective effect significantly increases the probability of future fraud and stock price crashes. Our findings present a new perspective on the role of <i>PC</i>s and provide evidence for political bias in media coverage.</p>","PeriodicalId":46233,"journal":{"name":"Bulletin of Economic Research","volume":"76 2","pages":"319-353"},"PeriodicalIF":0.8,"publicationDate":"2023-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135994392","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Effect of class size on student achievement in the COVID-19 “new normal” COVID-19 "新常态 "下班级规模对学生成绩的影响
IF 0.8 4区 经济学
Bulletin of Economic Research Pub Date : 2023-10-14 DOI: 10.1111/boer.12426
Jesús M. Carro, Pedro Gallardo
{"title":"Effect of class size on student achievement in the COVID-19 “new normal”","authors":"Jesús M. Carro,&nbsp;Pedro Gallardo","doi":"10.1111/boer.12426","DOIUrl":"10.1111/boer.12426","url":null,"abstract":"<p>The COVID-19 pandemic implied measures, such as school closures at the outbreak of the pandemic, negatively affected children's human capital. However, in some places, the situation later resulted in a reduction in class sizes in order to avoid the spread of SARS-Cov-2 in schools. We take advantage of this unexpected event to evaluate the effect on school performance of a significant class size reduction implemented in Spain, when schools were reopened. We find a positive and significant effect of the class size reduction of 0.11 standard deviations on overall students' performance. Given the situation and nature of our data, we interpret our estimates as a lower bound for the true effect of the reduction in class size. We conclude that the reduction in class size served, on average, to at least compensate for the other negative effects on learning. Our findings also point out the importance of evaluating the quality of the new and inexperienced additional teachers that need to be hired when implementing a general reduction of class size.</p>","PeriodicalId":46233,"journal":{"name":"Bulletin of Economic Research","volume":"76 2","pages":"303-318"},"PeriodicalIF":0.8,"publicationDate":"2023-10-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/boer.12426","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135765930","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Effects of partial passive ownership in a successive endogenous timing game with R&D spillovers 具有研发溢出效应的连续内生时间博弈中部分被动所有权的影响
IF 0.8 4区 经济学
Bulletin of Economic Research Pub Date : 2023-10-09 DOI: 10.1111/boer.12425
Lili Xu, Yidan Zhang, Sang-Ho Lee
{"title":"Effects of partial passive ownership in a successive endogenous timing game with R&D spillovers","authors":"Lili Xu,&nbsp;Yidan Zhang,&nbsp;Sang-Ho Lee","doi":"10.1111/boer.12425","DOIUrl":"10.1111/boer.12425","url":null,"abstract":"<p>This study explores the effect of partial passive ownership (PPO) in a successive two-round endogenous timing game wherein firms choose research and development (R&amp;D) investments in the first round and then subsequently choose quantities in the second round. We show that each firm prefers to be a quantity leader independent of the timing of R&amp;D decisions, but the welfare-inferior Cournot competition is an equilibrium of an endogenous production timing game. Moreover, we discover that the equilibrium of an endogenous R&amp;D timing game crucially depends on the PPO level and R&amp;D spillovers rate, while the R&amp;D timing coordination may not be socially desirable unless both are low or high. Our findings suggest that the R&amp;D leadership position of a PPO holder can play an anticompetitive role in the coordination of R&amp;D competition with higher R&amp;D spillovers rates and PPO levels.</p>","PeriodicalId":46233,"journal":{"name":"Bulletin of Economic Research","volume":"76 1","pages":"283-297"},"PeriodicalIF":0.8,"publicationDate":"2023-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135092774","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
How does economic policy uncertainty respond to permanent and transitory shocks? 经济政策的不确定性如何应对永久性和暂时性冲击？
IF 0.8 4区 经济学
Bulletin of Economic Research Pub Date : 2023-10-09 DOI: 10.1111/boer.12424
Yoshito Funashima
{"title":"How does economic policy uncertainty respond to permanent and transitory shocks?","authors":"Yoshito Funashima","doi":"10.1111/boer.12424","DOIUrl":"10.1111/boer.12424","url":null,"abstract":"<p>The widely used economic policy uncertainty index relies on newspaper reports' word count and may be influenced by media coverage biases. This empirical study explores the response of the economic policy uncertainty index to permanent and transitory shocks, which are identified using a structural vector autoregressive model. We find an overreaction in the economic policy uncertainty index to a permanent shock, suggesting media reporting's temporary overeagerness. Specifically, we demonstrate that the index responds negatively and transiently to a permanent shock, followed by reversed, prolonged responses. However, the negative and transient effects of a transitory shock on the index are milder.</p>","PeriodicalId":46233,"journal":{"name":"Bulletin of Economic Research","volume":"76 1","pages":"267-282"},"PeriodicalIF":0.8,"publicationDate":"2023-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135093271","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","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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