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Modelling common bubbles in cryptocurrency prices 为加密货币价格中常见的泡沫建模
IF 4.7 2区 经济学
Economic Modelling Pub Date : 2024-05-31 DOI: 10.1016/j.econmod.2024.106782
Mauri K. Hall , Joann Jasiak
{"title":"Modelling common bubbles in cryptocurrency prices","authors":"Mauri K. Hall ,&nbsp;Joann Jasiak","doi":"10.1016/j.econmod.2024.106782","DOIUrl":"https://doi.org/10.1016/j.econmod.2024.106782","url":null,"abstract":"<div><p>Bubbles and spikes in cryptocurrency prices increase considerably the risk on investments in these assets. In the traditional time series literature bubbles are viewed as nonstationary and non-estimable components of a process. In this paper, we adopt a different approach and consider the bubbles as inherent features of a strictly stationary causal-noncausal (mixed) Vector Autoregressive (VAR) process. This approach allows us to model and estimate the common bubbles and spikes in cryptocurrency prices. It also provides us linear combinations of cryptocurrencies that eliminate common bubbles analogously to the cointegrating vectors eliminating common trends in unit root processes. They are used to build cryptocurrency portfolios immune to the risk of common bubbles that ensure stable investment strategies. The mixed VAR model is estimated from the US Dollar prices of Bitcoin, Ethereum, Ripple, and Stellar over the period 2017–2019. We document the common bubbles and illustrate the behaviour of bubble-free portfolios.</p></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":null,"pages":null},"PeriodicalIF":4.7,"publicationDate":"2024-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S026499932400138X/pdfft?md5=cb3d51d2119ee4fdfe8cd7a1ef4a90e3&pid=1-s2.0-S026499932400138X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141290821","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Understanding and predicting monetary policy framework choice in developing countries 理解和预测发展中国家的货币政策框架选择
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2024-05-30 DOI: 10.1016/j.econmod.2024.106783
Megan Sullivan
{"title":"Understanding and predicting monetary policy framework choice in developing countries","authors":"Megan Sullivan","doi":"10.1016/j.econmod.2024.106783","DOIUrl":"https://doi.org/10.1016/j.econmod.2024.106783","url":null,"abstract":"<div><p>We examine the choice of monetary policy framework (MPF) of 87 countries over three decades (1985–2017). We confirm the importance of a range of factors including financial development, trade networks, strength of democracy, and size of the economy. We improve upon previous work on MPF choice by testing the model’s prediction accuracy on out-of-sample data, and addressing endogeneity. We also split the factors that determine MPF choice into three thematic groups: optimum currency area (OCA), financial strength, and political/institutional strength. This is the first paper to provide insight into which factors determine MPF choice for developing countries, utilising a relatively new MPF classification. We achieve an average prediction accuracy of approximately 67%, using two different cross-validation methods. This outperforms a naïve model, which assumes all countries belong to the most common category (discretion), and is good at predicting the less common categories as well.</p></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":null,"pages":null},"PeriodicalIF":4.2,"publicationDate":"2024-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0264999324001391/pdfft?md5=e8456e4086a4e9226f8fd34305066c8e&pid=1-s2.0-S0264999324001391-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141484390","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Impact of investor trust on public firms’ stock price efficiency and cost of capital: Insights from a firm-level measure for investor trust 投资者信任对上市公司股价效率和资本成本的影响：从公司层面衡量投资者信任度的启示
IF 4.7 2区 经济学
Economic Modelling Pub Date : 2024-05-30 DOI: 10.1016/j.econmod.2024.106786
Lin Lin , Ngou Teng Pun , Ping-Wen Sun
{"title":"Impact of investor trust on public firms’ stock price efficiency and cost of capital: Insights from a firm-level measure for investor trust","authors":"Lin Lin ,&nbsp;Ngou Teng Pun ,&nbsp;Ping-Wen Sun","doi":"10.1016/j.econmod.2024.106786","DOIUrl":"https://doi.org/10.1016/j.econmod.2024.106786","url":null,"abstract":"<div><p>Although studies have suggested that investor trust positively influences stock price efficiency and subsequently reduces the cost of capital for public firms, few studies have employed a direct firm-level measure of investor trust to offer empirical support for this proposition. Because stock prices are more efficient surrounding earnings announcements, we construct this measure by examining how prices change when unexpected earnings reports are provided. Using US market data from 1990 to 2019 to determine how strongly investor trust affects public firms’ stock price efficiency and cost of capital, we find that stock prices of firms with higher investor trust reflect market news more efficiently and predict earnings more accurately. Furthermore, our results suggest that companies trusted more by investors can raise money more cheaply. Collectively, our findings underscore the importance of fostering investor trust as a means of enhancing stock price efficiency and reducing the cost of capital.</p></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":null,"pages":null},"PeriodicalIF":4.7,"publicationDate":"2024-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141240709","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Are cooperative and commercial banks equally effective in reducing the shadow economy? International evidence 合作银行和商业银行在减少影子经济方面是否同样有效？国际证据
IF 4.7 2区 经济学
Economic Modelling Pub Date : 2024-05-30 DOI: 10.1016/j.econmod.2024.106785
Cristian Barra , Anna Papaccio , Nazzareno Ruggiero
{"title":"Are cooperative and commercial banks equally effective in reducing the shadow economy? International evidence","authors":"Cristian Barra ,&nbsp;Anna Papaccio ,&nbsp;Nazzareno Ruggiero","doi":"10.1016/j.econmod.2024.106785","DOIUrl":"https://doi.org/10.1016/j.econmod.2024.106785","url":null,"abstract":"<div><p>Are cooperative and commercial banks equally effective in reducing the shadow economy? Although theory and evidence indicate that the expansion of the financial system reduces the size of the shadow economy, little is known on the role played by cooperative and commercial banks in shaping the size of the shadow economy. We address this issue using data from 42 developed and developing countries over the 2006–2017 period. For our empirical purposes, Generalized Least Squares (GLS) and Instrumental Variable (IV) estimators have been employed. Evidence indicates that cooperative banks significantly reduce the size of the shadow economy. On the contrary, commercial banks are shown to increase the shadow economy. Consistent with previous literature, while for cooperative banks increased financial outreach encourages small firms to enter the formal sector, thereby reducing the size of the shadow economy, the expansion of commercial banks exacerbates the latter by tightening credit constraints for small firms.</p></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":null,"pages":null},"PeriodicalIF":4.7,"publicationDate":"2024-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S026499932400141X/pdfft?md5=4ad672e75d625dcf25089012af4d93de&pid=1-s2.0-S026499932400141X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141244951","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Exchange rates, uncertainty, and price-setting: Evidence from CPI microdata 汇率、不确定性和价格制定：来自消费物价指数微观数据的证据
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2024-05-28 DOI: 10.1016/j.econmod.2024.106762
Mario Canales , Bernabe Lopez-Martin
{"title":"Exchange rates, uncertainty, and price-setting: Evidence from CPI microdata","authors":"Mario Canales ,&nbsp;Bernabe Lopez-Martin","doi":"10.1016/j.econmod.2024.106762","DOIUrl":"https://doi.org/10.1016/j.econmod.2024.106762","url":null,"abstract":"<div><p>We analyze the role of exchange rates and uncertainty for inflation and price-setting behavior. To this end, we exploit micro-level data underlying the Consumer Price Index of Chile for the period 2010–2018, and employ a standard dynamic distributed lags specification. We find that uncertainty and exchange rates are positively associated with product-level inflation. Then, we analyze the effect on different dimensions of price-setting. The relation with the frequency of positive (negative) price changes at the variety-establishment level is positive (negative). The results for frequencies are quantitatively important, highlighting this adjustment margin against movements in exchange rates and uncertainty. In contrast, we find little association with the magnitudes of price adjustments.</p></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":null,"pages":null},"PeriodicalIF":4.2,"publicationDate":"2024-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141439083","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Impact of windfall tax on market dynamics: A Cournot oligopoly model with exogenous shocks 暴利税对市场动态的影响：具有外生冲击的库诺寡头垄断模型
IF 4.7 2区 经济学
Economic Modelling Pub Date : 2024-05-24 DOI: 10.1016/j.econmod.2024.106779
Veronika Nálepová , Marek Lampart
{"title":"Impact of windfall tax on market dynamics: A Cournot oligopoly model with exogenous shocks","authors":"Veronika Nálepová ,&nbsp;Marek Lampart","doi":"10.1016/j.econmod.2024.106779","DOIUrl":"10.1016/j.econmod.2024.106779","url":null,"abstract":"<div><p>This study explores the nuanced impact of windfall taxes on market equilibrium, introducing an innovative approach within the Cournot oligopoly framework. The paper uses the 0–1 test for chaos to dissect how profit taxation can stabilize market behaviors under bounded rationality. It suggests that higher taxes may prevent collusion, thereby promoting a more competitive environment. The paper demonstrates that while windfall taxes leave regular markets almost unaffected, they can protect firms in chaotic states from adverse outcomes. This research underscores the necessity for policymakers to tailor windfall tax strategies to specific market conditions, potentially driving enhanced market efficiency. Our insights advocate for the judicious application of windfall taxes, which could significantly shape future economic policies.</p></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":null,"pages":null},"PeriodicalIF":4.7,"publicationDate":"2024-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141141076","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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 effect of monetary policy on inflation expectations: Evidence from a financial traders survey 货币政策对通胀预期的影响：来自金融交易商调查的证据
IF 4.7 2区 经济学
Economic Modelling Pub Date : 2024-05-24 DOI: 10.1016/j.econmod.2024.106778
Michael Pedersen
{"title":"The effect of monetary policy on inflation expectations: Evidence from a financial traders survey","authors":"Michael Pedersen","doi":"10.1016/j.econmod.2024.106778","DOIUrl":"10.1016/j.econmod.2024.106778","url":null,"abstract":"<div><p>While financial market participants' actions are crucial for the effectiveness of the monetary policy, the literature lacks evidence on how traders form economic expectations. Studies have argued that economic agents' inflation expectations increase as a reaction to contractive monetary policy shocks, the so-called central bank (or Fed) information effect, but have not addressed the extent to which these responses are state-dependent. This study employs individual observations of more than 100 Chilean financial traders from 2010 to 2022 to analyze how they update inflation expectations in response to monetary policy surprises, when controlling for other relevant factors. The evidence indicates that traders' reactions to policy shocks depend on the actual inflation rate, suggesting a mechanism where observed inflation reflects the central bank’s credibility and, thus, affects responses to policy actions. Results show that the size of the update depends on the disagreement amongst traders and news concerning contemporaneous inflation.</p></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":null,"pages":null},"PeriodicalIF":4.7,"publicationDate":"2024-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141141920","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Fintech, information heterogeneity, and the regional distribution effects of corporate financing constraints 金融科技、信息异质性和企业融资约束的地区分布效应
IF 4.7 2区 经济学
Economic Modelling Pub Date : 2024-05-24 DOI: 10.1016/j.econmod.2024.106777
Yao Lu , Lu Li , Huanqi Zhan , Minghua Zhan
{"title":"Fintech, information heterogeneity, and the regional distribution effects of corporate financing constraints","authors":"Yao Lu ,&nbsp;Lu Li ,&nbsp;Huanqi Zhan ,&nbsp;Minghua Zhan","doi":"10.1016/j.econmod.2024.106777","DOIUrl":"10.1016/j.econmod.2024.106777","url":null,"abstract":"<div><p>Considering the transformative impact of Fintech on financial structures, this paper examines Fintech's role in promoting equitable development in developing countries from the lens of credit constraints. While existing research acknowledges that Fintech reduces information asymmetry and thereby alleviates financing constraints, it overlooks the varied impacts on different types of information. This study categorizes information into two types: standardized information that can be codified and non-standardized information that requires “tacit understanding.” Using bank-enterprise relationship data in China from 2010 to 2021, we find that Fintech acts as a “double-edged sword.” It enhances banks' abilities to access standardized information, mitigating financing constraints in less developed areas, but also weakens their capability to process non-standardized information, potentially undermining these benefits. Additionally, the impact of Fintech varies depending on company size and ownership. Our study also shows that refinancing policies are more effective than fiscal subsidies in overcoming the limitations of Fintech.</p></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":null,"pages":null},"PeriodicalIF":4.7,"publicationDate":"2024-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141132982","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Signature size and individual preferences 签名尺寸和个人喜好
IF 4.7 2区 经济学
Economic Modelling Pub Date : 2024-05-24 DOI: 10.1016/j.econmod.2024.106773
Xun Li , Yingjie Cui , Lu Zhang , Yuan Chen , Qikexin Yu
{"title":"Signature size and individual preferences","authors":"Xun Li ,&nbsp;Yingjie Cui ,&nbsp;Lu Zhang ,&nbsp;Yuan Chen ,&nbsp;Qikexin Yu","doi":"10.1016/j.econmod.2024.106773","DOIUrl":"10.1016/j.econmod.2024.106773","url":null,"abstract":"<div><p>In this digital economy, customers' handwriting, such as signatures and related characteristics, can be easily collected and quantitatively analyzed. From the perspective of decision-making, obtaining information from signature characteristics is an important data-driven business leverage. In this regard, can we infer individual preferences from signatures? Through a large-scale laboratory experiment, this study measured the participants’ risk and time preferences and collected their signature information in order to determine the influence of behavioral preferences on their signatures. Based on the empirical results, the higher the risk and ambiguity aversion of the participants, the smaller were their signature sizes. Moreover, the greater their level of patience, the more likely their signatures showed a trend of increasing size. Overall, this study fills a research gap in signature-related behavior by highlighting the application of text mining in digital handwriting, especially in broad business settings such as the insurance industry.</p></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":null,"pages":null},"PeriodicalIF":4.7,"publicationDate":"2024-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141138361","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Accounting for technology heterogeneity in the measurement of persistent and transient inefficiency 在衡量持续和瞬时低效时考虑技术异质性
IF 4.7 2区 经济学
Economic Modelling Pub Date : 2024-05-23 DOI: 10.1016/j.econmod.2024.106776
Ioannis Skevas
{"title":"Accounting for technology heterogeneity in the measurement of persistent and transient inefficiency","authors":"Ioannis Skevas","doi":"10.1016/j.econmod.2024.106776","DOIUrl":"10.1016/j.econmod.2024.106776","url":null,"abstract":"<div><p>This article tackles the problem of ignoring firm technology heterogeneity when measuring persistent and transient inefficiencies, which can lead to distorted estimates. Given that firms’ technologies exert a greater influence on long-run rather than short-run management, accounting for technology heterogeneity should prevent distortions in persistent inefficiencies and, to a lesser extent, in transient inefficiencies, which has been overlooked in the literature. Employing data from Dutch dairy farms spanning the years 2009 to 2016, I estimate random and fixed coefficients generalized true random effects models in a Bayesian framework, subsequently comparing the derived inefficiency scores. The findings indicate that average persistent inefficiency and its dispersion are inflated when technology heterogeneity is ignored, whilst transient inefficiency remains virtually unaffected. This finding is crucial to prevent firms and policy-makers from receiving misleading information about long-run performance metrics, whilst highlighting the need for future studies to account for technology heterogeneity when analyzing firms’ decisions.</p></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":null,"pages":null},"PeriodicalIF":4.7,"publicationDate":"2024-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141145141","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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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