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Common and idiosyncratic components of Latin American business cycles connectedness 拉丁美洲商业周期连通性的常见和特殊组成部分
IF 1.8 4区 经济学
Journal of Applied Economics Pub Date : 2022-05-09 DOI: 10.1080/15140326.2022.2044979
Luciano Campos, Jesús Ruiz Andújar
{"title":"Common and idiosyncratic components of Latin American business cycles connectedness","authors":"Luciano Campos, Jesús Ruiz Andújar","doi":"10.1080/15140326.2022.2044979","DOIUrl":"https://doi.org/10.1080/15140326.2022.2044979","url":null,"abstract":"ABSTRACT This paper investigates the evolution of business cycles synchronization in Latin America since the 1990ʹs. To do so, a Vector Autoregressive model is fed, alternatively, with the countries’ Industrial Production Indexes and with these series filtered by the US financial conditions index, which is considered a common component affecting business cycles in the region. Additionally, a Markov switching model is estimated to identify regional recessions. Our findings indicate that business cycles connectedness rise significantly during regional recessions and that the common factor plays an important role. The evidence supports the usefulness of policy coordination among Latin American economies to cushion the spillover effects of exogenous shocks, and helps to identify subgroups of countries for which such coordination is recommendable.","PeriodicalId":51747,"journal":{"name":"Journal of Applied Economics","volume":"25 1","pages":"691 - 722"},"PeriodicalIF":1.8,"publicationDate":"2022-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45144202","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
CEO confidence bias and strategic choice: a general framework CEO信心偏差与战略选择:一个一般框架
IF 1.8 4区 经济学
Journal of Applied Economics Pub Date : 2022-05-07 DOI: 10.1080/15140326.2022.2053829
Elizabeth Schroeder, C. Tremblay, Victor J. Tremblay
{"title":"CEO confidence bias and strategic choice: a general framework","authors":"Elizabeth Schroeder, C. Tremblay, Victor J. Tremblay","doi":"10.1080/15140326.2022.2053829","DOIUrl":"https://doi.org/10.1080/15140326.2022.2053829","url":null,"abstract":"ABSTRACT An owner of a firm may choose to hire an unbiased CEO or one with confidence bias. We develop a model that demonstrates that the owner’s optimal choice depends on whether the firm and rival choice variables are strategic substitutes or strategic complements. When choice variables are strategic substitutes or strategic complements for both firms, owners optimize by hiring overconfident CEOs. When choice variables are substitutes for one firm and complements for the rival firm, each firm optimizes by hiring an underconfident CEO. We show that the model applies to price and output competition, advertising, research and development spending, and product design.","PeriodicalId":51747,"journal":{"name":"Journal of Applied Economics","volume":"25 1","pages":"731 - 740"},"PeriodicalIF":1.8,"publicationDate":"2022-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"59974189","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: 2
Modelling time and frequency connectedness among energy, agricultural raw materials and food markets 能源、农业原材料和食品市场之间的时间和频率联系建模
IF 1.8 4区 经济学
Journal of Applied Economics Pub Date : 2022-04-27 DOI: 10.1080/15140326.2022.2056300
M. A. Adeleke, O. Awodumi
{"title":"Modelling time and frequency connectedness among energy, agricultural raw materials and food markets","authors":"M. A. Adeleke, O. Awodumi","doi":"10.1080/15140326.2022.2056300","DOIUrl":"https://doi.org/10.1080/15140326.2022.2056300","url":null,"abstract":"ABSTRACT The study analyzes volatility connectedness of energy, agricultural raw materials and food markets for both time and frequency domains (January 1960 to August 2020). The DY and BK approaches are adopted at both commodity-group and sub-group levels. Time domain estimates indicate that the energy market produced more risk spillover in the food market than raw material market. Rubber contributes the largest to spillover in the crude oil and sugar markets. Estimates from frequency domain reveal that raw material and food markets are net transmitter and net recipient of volatility spillover, respectively, at the lowest and highest frequency domains. Crude oil is the largest source of spillover in the tobacco, meat and natural gas markets in the high-frequency band. Finally, the meat and crude oil markets are the largest receiver of shock spillover from all other markets over the low- and high-frequency bands, respectively. Policy implications are derived from the findings.","PeriodicalId":51747,"journal":{"name":"Journal of Applied Economics","volume":"25 1","pages":"644 - 662"},"PeriodicalIF":1.8,"publicationDate":"2022-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45606685","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: 4
Corporate value and trade-credit policies: evidence from China 企业价值与贸易信贷政策：来自中国的证据
IF 1.8 4区 经济学
Journal of Applied Economics Pub Date : 2022-04-17 DOI: 10.1080/15140326.2022.2045467
Umeair Shahzad, Lingge Zhao, Jing Liu, Fukai Luo
{"title":"Corporate value and trade-credit policies: evidence from China","authors":"Umeair Shahzad, Lingge Zhao, Jing Liu, Fukai Luo","doi":"10.1080/15140326.2022.2045467","DOIUrl":"https://doi.org/10.1080/15140326.2022.2045467","url":null,"abstract":"ABSTRACT This study evaluates the nexus of enterprise value and trade-credit strategies. Fixed-effects modeling is used for the baseline outcomes, and a difference-in-difference approach is applied as a quasi-natural experiment. The estimates are robust to alternative measures and distant covariates. The findings validate that enterprise value has a positive (negative) impact on trade-credit (supplies), (demand). The said effect is more pronounced in SOEs, revealing a critical role in capital mobilization. The additional analyses show that financially constrained and equity reliant firms are more likely to exploit firm value in trade-credit management. The micro aspect of this study suggests that enterprise value can allow managers to shape non-price competitive strategies and it also offers incentives to maintain financial slack. On a macro level, the study suggests that enterprise value has a critical role in capital mobilization and enhancing the purchasing power in the overall economy.","PeriodicalId":51747,"journal":{"name":"Journal of Applied Economics","volume":"25 1","pages":"412 - 432"},"PeriodicalIF":1.8,"publicationDate":"2022-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46415147","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: 3
Value-at-risk in the presence of asset price bubbles 存在资产价格泡沫时的风险价值
IF 1.8 4区 经济学
Journal of Applied Economics Pub Date : 2022-04-12 DOI: 10.1080/15140326.2021.1927441
R. Kwong, H. Wong
{"title":"Value-at-risk in the presence of asset price bubbles","authors":"R. Kwong, H. Wong","doi":"10.1080/15140326.2021.1927441","DOIUrl":"https://doi.org/10.1080/15140326.2021.1927441","url":null,"abstract":"ABSTRACT In this study, we respond to the criticism that the value-at-risk (VaR) measure fails during financial crises and is only applicable during periods without asset price bubbles. We propose a new dating mechanism that is based on the work of Phillips (2015) to date-stamp the origination and termination of the asset price bubbles. Our method relaxed the minimum bubble duration constraint in the original model, and the empirical application statistically identified the bubbles periods in nine stock markets (Australia, Canada, China, Germany, Spain, Hong Kong, Japan, the United Kingdom, and the United States). We choose the two most widely adopted VaR models (RiskMetrics and RiskMetrics 2006) to test the performance. Our results show that the RiskMetrics model fails in most periods, whereas the RiskMetrics 2006 performs efficiently in the periods with asset price bubbles. These results prove the criticism that all the VaR models fail during crises as invalid.","PeriodicalId":51747,"journal":{"name":"Journal of Applied Economics","volume":"25 1","pages":"361 - 384"},"PeriodicalIF":1.8,"publicationDate":"2022-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43879764","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
Money demand under a fixed exchange rate regime: the case of Saudi Arabia 固定汇率制度下的货币需求:以沙特阿拉伯为例
IF 1.8 4区 经济学
Journal of Applied Economics Pub Date : 2022-04-11 DOI: 10.1080/15140326.2022.2039889
F. Hasanov, Moayad H. Al Rasasi, S. S. Alsayaary, Ziyad Alfawzan
{"title":"Money demand under a fixed exchange rate regime: the case of Saudi Arabia","authors":"F. Hasanov, Moayad H. Al Rasasi, S. S. Alsayaary, Ziyad Alfawzan","doi":"10.1080/15140326.2022.2039889","DOIUrl":"https://doi.org/10.1080/15140326.2022.2039889","url":null,"abstract":"ABSTRACT This paper reviews earlier studies and shows that the money demand (MD) relationship under a fixed exchange rate (ER) regime differs from that under a floating ER regime, mainly due to the limited role of monetary policy in the former regime. It then empirically demonstrates that an open-economy model augmented with country-specific factors is a better framework for characterizing the MD function under a fixed ER regime by applying cointegration and equilibrium correction modeling to the Saudi data as a case study. The main message for monetary authorities is that there are other factors, besides those theoretically predicted, shaping MD under a fixed ER regime. This information is important for providing adequate money supply to support economic growth and maintain the stability of the fixed ER, as well as for checking the stability of the MD to make appropriate policy decisions.","PeriodicalId":51747,"journal":{"name":"Journal of Applied Economics","volume":"25 1","pages":"385 - 411"},"PeriodicalIF":1.8,"publicationDate":"2022-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44333977","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: 4
Role of bank competition in determining liquidity creation: evidence from GCC countries 银行竞争在决定流动性创造中的作用：来自海湾合作委员会国家的证据
IF 1.8 4区 经济学
Journal of Applied Economics Pub Date : 2022-04-11 DOI: 10.1080/15140326.2022.2043114
Shoaib Ali, I. Yousaf, Sumayya Chughtai, Syed Zulfiqar Ali Shah
{"title":"Role of bank competition in determining liquidity creation: evidence from GCC countries","authors":"Shoaib Ali, I. Yousaf, Sumayya Chughtai, Syed Zulfiqar Ali Shah","doi":"10.1080/15140326.2022.2043114","DOIUrl":"https://doi.org/10.1080/15140326.2022.2043114","url":null,"abstract":"ABSTRACT This study aims to investigate the impact of banking-sector concentration on the banks’ liquidity creation in GCC countries over the period from 2012 to 2018 by using a dynamic GMM panel procedure. The results suggest that increased bank competition reduces banks’ liquidity creation across the GCC countries. The study’s findings are in line with the ‘financial fragility hypothesis” according to which banks to reduce their lending activities when competition is high in the market. The evidence suggests that the banking industry is different from others, and pro-competitive policies in the banking industry can reduce liquidity provision by banks. In the context of policy implications, a concentrated banking system discourages capital provision to firms; hence, regulators have to take appropriate measures to resolve the problem of a reduced supply of capital. Government must regulate the banking sector by keeping in view their long-run goal as competition is a double-edged sword in banking.","PeriodicalId":51747,"journal":{"name":"Journal of Applied Economics","volume":"25 1","pages":"242 - 259"},"PeriodicalIF":1.8,"publicationDate":"2022-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46653093","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: 12
What drives risk in China’s soybean futures market? Evidence from a flexible GARCH-MIDAS model 是什么驱动了中国大豆期货市场的风险?来自灵活的GARCH-MIDAS模型的证据
IF 1.8 4区 经济学
Journal of Applied Economics Pub Date : 2022-04-05 DOI: 10.1080/15140326.2022.2046989
Xinyu Wang, Lele Zhang, Qiuying Cheng, Song Shi, Huawei Niu
{"title":"What drives risk in China’s soybean futures market? Evidence from a flexible GARCH-MIDAS model","authors":"Xinyu Wang, Lele Zhang, Qiuying Cheng, Song Shi, Huawei Niu","doi":"10.1080/15140326.2022.2046989","DOIUrl":"https://doi.org/10.1080/15140326.2022.2046989","url":null,"abstract":"ABSTRACT Modeling futures market risk simultaneously influenced by macro low-frequency information and daily risk factors is a valuable challenge. We propose a new general framework for it based on the flexible GARCH-MIDAS model. It uses a skewed t distribution to describe the asymmetry of long and short trading positions, allows for a different number of trading days per month, and can identify the optimal combination of risky factors. We also derive its impact response function on how low-frequency factors directly influence the high-frequency futures market risk. Through an exhaustive empirical analysis of the Chinese soybean futures market, we not only find its excellent out-of-sample market risk forecasting performance but also offer systematic recommendations for improving risk management.","PeriodicalId":51747,"journal":{"name":"Journal of Applied Economics","volume":"25 1","pages":"454 - 475"},"PeriodicalIF":1.8,"publicationDate":"2022-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43609342","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: 2
Exploring herding behavior in an innovative-oriented stock market: evidence from ChiNext 探索创新导向股票市场中的羊群行为:来自创业板的证据
IF 1.8 4区 经济学
Journal of Applied Economics Pub Date : 2022-04-04 DOI: 10.1080/15140326.2022.2050992
S. Ng, Zhehan Zhuang, Moau Yong Toh, T. Ong, B. Teh
{"title":"Exploring herding behavior in an innovative-oriented stock market: evidence from ChiNext","authors":"S. Ng, Zhehan Zhuang, Moau Yong Toh, T. Ong, B. Teh","doi":"10.1080/15140326.2022.2050992","DOIUrl":"https://doi.org/10.1080/15140326.2022.2050992","url":null,"abstract":"ABSTRACT We adopt the cross-sectional absolute deviation model (CSAD) to test the herding behavior of ChiNext, a decade-old NASDAQ-style stock market in China, based on its stocks from 2015-2019. Our findings show that the herding behavior is prevalent, implying that such behavior is widespread in a relatively new stock market themed with growth-oriented innovative enterprises and dominated by individual investors instead of institutional investors. Moreover, we find that herding tends to be more severe during the periods of falling market than rising market. We explain that several distinct attributes of the individual investors cause them to sell during the falling market, an act contrary to the standard account of the “disposition effect of holding the losers” in behavioral finance. We contribute to the herding behavior literature for a relatively new innovative-oriented stock market as well as our understanding of the investors’ circumstances, which may disprove the often-quoted disposition effect.","PeriodicalId":51747,"journal":{"name":"Journal of Applied Economics","volume":"25 1","pages":"523 - 542"},"PeriodicalIF":1.8,"publicationDate":"2022-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42009810","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: 3
Should I stay or should I go? migration intentions of teenagers with parents working abroad 我该留下还是走?父母在国外工作的青少年的移民意向
IF 1.8 4区 经济学
Journal of Applied Economics Pub Date : 2022-04-04 DOI: 10.1080/15140326.2022.2052001
Joanna Clifton-Sprigg
{"title":"Should I stay or should I go? migration intentions of teenagers with parents working abroad","authors":"Joanna Clifton-Sprigg","doi":"10.1080/15140326.2022.2052001","DOIUrl":"https://doi.org/10.1080/15140326.2022.2052001","url":null,"abstract":"ABSTRACT This paper investigates how having a parent working abroad affects subsequent intentions of teenagers to emigrate, using unique data for Poland. Results show that parental employment abroad is positively associated with children’s intentions to emigrate, more so for males than females. The findings highlight the intergenerational nature of migratory trends within families. This is particularly important for a country like Poland, which alongside other Central and Eastern European economies, has been experiencing significant population outflows for almost two decades and is gradually turning towards a foreign-born workforce.","PeriodicalId":51747,"journal":{"name":"Journal of Applied Economics","volume":"25 1","pages":"563 - 582"},"PeriodicalIF":1.8,"publicationDate":"2022-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45552254","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: 1
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