Showing papers in "Research Papers in Economics in 2014"

Introductory Econometrics for Finance

Abstract: This bestselling and thoroughly classroom-tested textbook is a complete resource for finance students. A comprehensive and illustrated discussion of the most common empirical approaches in finance prepares students for using econometrics in practice, while detailed case studies help them understand how the techniques are used in relevant financial contexts. Worked examples from the latest version of the popular statistical software EViews guide students to implement their own models and interpret results. Learning outcomes, key concepts and end-of-chapter review questions (with full solutions online) highlight the main chapter takeaways and allow students to self-assess their understanding. Building on the successful data- and problem-driven approach of previous editions, this third edition has been updated with new data, extensive examples and additional introductory material on mathematics, making the book more accessible to students encountering econometrics for the first time. A companion website, with numerous student and instructor resources, completes the learning package.

The Customs Union Issue

Abstract: Jacob Viner's The Customs Union Issue was originally published in 1950 by the Carnegie Endowment for International Peace. It set the framework for the contemporary debate over the benefits or otherwise of preferential trading agreements such as the European Union, NAFTA, and APEC. Viner developed the concepts of trade creation and diversion in this work as he pioneered the analysis of the global politics of trade agreements. This revival of Viner's classic work includes an introduction that places this book in the context of his life's work and the post-WWI economic and political situation. The introduction also traces the reception of Viner's work and discusses its continuing relevance for international economists, political scientists, and historians. Available in OSO:

Electricity price forecasting: A review of the state-of-the-art with a look into the future

Abstract: A variety of methods and ideas have been tried for electricity price forecasting (EPF) over the last 15 years, with varying degrees of success. This review article aims at explaining the complexity of available solutions, their strengths and weaknesses, and the opportunities and treats that the forecasting tools offer or that may be encountered. The paper also looks ahead and speculates on the directions EPF will or should take in the next decade or so. In particular, it postulates the need for objective comparative EPF studies involving (i) the same datasets, (ii) the same robust error evaluation procedures and (iii) statistical testing of the significance of the outperformance of one model by another.

The Atlas of Economic Complexity : Mapping Paths to Prosperity

Abstract: Maps capture data expressing the economic complexity of countries from Albania to Zimbabwe, offering current economic measures and as well as a guide to achieving prosperity Why do some countries grow and others do not? The authors of The Atlas of Economic Complexity offer readers an explanation based on "Economic Complexity," a measure of a society's productive knowledge. Prosperous societies are those that have the knowledge to make a larger variety of more complex products. The Atlas of Economic Complexity attempts to measure the amount of productive knowledge countries hold and how they can move to accumulate more of it by making more complex products. Through the graphical representation of the "Product Space," the authors are able to identify each country's "adjacent possible," or potential new products, making it easier to find paths to economic diversification and growth. In addition, they argue that a country's economic complexity and its position in the product space are better predictors of economic growth than many other well-known development indicators, including measures of competitiveness, governance, finance, and schooling. Using innovative visualizations, the book locates each country in the product space, provides complexity and growth potential rankings for 128 countries, and offers individual country pages with detailed information about a country's current capabilities and its diversification options. The maps and visualizations included in the Atlas can be used to find more viable paths to greater productive knowledge and prosperity.

Democracy Does Cause Growth

Abstract: We provide evidence that democracy has a significant and robust positive effect on GDP per capita. Our empirical strategy controls for country fixed effects and the rich dynamics of GDP, which otherwise confound the effect of democracy on economic growth. To reduce measurement error, we introduce a new dichotomous measure of democracy that consolidates the information from several sources. Our baseline results use a dynamic panel model for GDP, and show that democratizations increase GDP per capita by about 20% in the long run. We find similar effects of democratizations on annual GDP when we control for the estimated propensity of a country to democratize based on past GDP dynamics. We obtain comparable estimates when we instrument democracy using regional waves of democratizations and reversals. Our results suggest that democracy increases GDP by encouraging investment, increasing schooling, inducing economic reforms, improving the provision of public goods, and reducing social unrest. We find little support for the view that democracy is a constraint on economic growth for less developed economies.

Where is the Land of Opportunity? The Geography of Intergenerational Mobility in the United States

Abstract: We use administrative records on the incomes of more than 40 million children and their parents to describe three features of intergenerational mobility in the United States First, we characterize the joint distribution of parent and child income at the national level The conditional expectation of child income given parent income is linear in percentile ranks On average, a 10 percentile increase in parent income is associated with a 34 percentile increase in a child's income Second, intergenerational mobility varies substantially across areas within the US For example, the probability that a child reaches the top quintile of the national income distribution starting from a family in the bottom quintile is 44% in Charlotte but 129% in San Jose Third, we explore the factors correlated with upward mobility High mobility areas have (1) less residential segregation, (2) less income inequality, (3) better primary schools, (4) greater social capital, and (5) greater family stability While our descriptive analysis does not identify the causal mechanisms that determine upward mobility, the publicly available statistics on intergenerational mobility developed here can facilitate future research on such mechanisms

Towards an evolutionary perspective on regional resilience

Abstract: This paper proposes an evolutionary perspective on regional resilience. We conceptualize resilience not just as the ability of a region to accommodate shocks, but we extend it to the long-term ability of regions to develop new growth paths. We propose a comprehensive view on regional resilience, in which history is key to understand how regions develop new growth paths, and in which industrial, network and institutional dimensions of resilience come together. Resilient regions are capable of overcoming a trade-off between adaptation and adaptability, as embodied in their industrial (related and unrelated variety), network (open, loosely coupled) and institutional (loosely coherent) structures.

Modeling Count Data

Abstract: This entry-level text offers clear and concise guidelines on how to select, construct, interpret, and evaluate count data. Written for researchers with little or no background in advanced statistics, the book presents treatments of all major models using numerous tables, insets, and detailed modeling suggestions. It begins by demonstrating the fundamentals of modeling count data, including a thorough presentation of the Poisson model. It then works up to an analysis of the problem of overdispersion and of the negative binomial model, and finally to the many variations that can be made to the base count models. Examples in Stata, R, and SAS code enable readers to adapt models for their own purposes, making the text an ideal resource for researchers working in health, ecology, econometrics, transportation, and other fields.

Smart and Digital City: A Systematic Literature Review

Abstract: The concept of Smart City embraces several definitions depending on the meanings of the word “smart”: intelligent city , knowledge city , ubiquitous city , sustainable city , digital city , etc. Many definitions of Smart City exist, but no one has been universally acknowledged yet. From literature analysis it emerges that Smart City and Digital City are the most used terminologies in literature to indicate the smartness of a city. This Chapter explores the literature about Smart City and Digital City from 1993 to the end of 2012 in order to investigate how these two concepts were born, how they have developed, which are the shared features and differences between them. To accomplish with these goals, three steps were followed: (1) to set up a search strategy for systematic literature review to collect a representative subset of papers about Smart City and Digital City using Google Scholar; (2) to store the selected subset in an ad-doc database to synthesize the literature review; (3) to organize the literature review subset to extract quantitative and qualitative data and information about Smart City and Digital City evolution. The author proposes a literature review taxonomy through five specific analysis: (1) time analysis, to explore the causes of the trend of Smart City and Digital City literature in the latest twenty years; (2) terminology analysis, to examine how and where these two ideas were born and what have been the main events influenced their development; (3) definitions analysis, to select and compare the most cited and validated definitions of Smart City and Digital City trying to identify similarities, differences or overlaps between these two concepts; (4) typology analysis, to investigate if Smart City and Digital City are included into a specific urban strategy pursued by government or if they face specific urban problems without a comprehensive framework; (5) geographic analysis, to understand where are the largest concentrations of Smart Cities and Digital Cities in the world and which are their main characteristics and best practices.

The Roots of Gender Inequality in Developing Countries

Abstract: Is the high degree of gender inequality in developing countries in education, personal autonomy, and more explained by underdevelopment itself? Or do the societies that are poor today hold certain cultural views that lead to gender inequality? This article discusses several mechanisms through which, as countries grow, gender gaps narrow.

Matching Methods in Practice: Three Examples

Abstract: There is a large theoretical literature on methods for estimating causal effects under unconfoundedness, exogeneity, or selection-on-observables type assumptions using matching or propensity score methods. Much of this literature is highly technical and has not made inroads into empirical practice where many researchers continue to use simple methods such as ordinary least squares regression even in settings where those methods do not have attractive properties. In this paper I discuss some of the lessons for practice from the theoretical literature, and provide detailed recommendations on what to do. I illustrate the recommendations with three detailed applications.

The VIX, the variance premium and stock market volatility

Abstract: We decompose the squared VIX index, derived from US SP options prices, into the conditional variance of stock returns and the equity variance premium We evaluate a plethora of state-of-the-art volatility forecasting models to produce an accurate measure of the conditional variance We then examine the predictive power of the VIX and its two components for stock market returns, economic activity and financial instability The variance premium predicts stock returns while the conditional stock market variance predicts economic activity and has a relatively higher predictive power for financial instability than does the variance premium JEL Classification: C22, C52, G12, E32

Sectoral systems of innovation

Abstract: Innovation and technological change show different rates, types and trajectories depending on the sector in which they take place. Agents and institutions of a sector all exert a major influence on innovation. With contributions from nineteen experts in their field, this book proposes the framework of the 'sectoral systems of innovation' to analyse the innovation process, the factors affecting innovation, the relationship between innovation and industry dynamics, the changing boundaries and transformation of sectors, and the determinants of the international performance of firms and countries in different sectors. Innovation in a sector is considered to be affected by three groups of variables: knowledge and technologies; actors and networks; and institutions. In addition to the general framework, this book examines innovation in six major sectors in Europe including pharmaceuticals and biotechnology, telecommunications equipment and services, chemicals, software, machine tools and services.

A Review of Empirical Evidence on Gender Differences in Nonland Agricultural Inputs, Technology, and Services in Developing Countries

Abstract: Empirical research on gender dimensions in agricultural inputs has focused on land. This chapter reviews existing microeconomic empirical literature from the past 10 years on gender differences in use, access, and adoption of nonland agricultural inputs in developing countries. The review focuses on three key areas: (1) technological resources, (2) natural resources, and (3) human resources. In general, there has been more empirical research on inorganic fertilizer, seed varieties, and extension services than on tools and mechanization and life-cycle effects, and most of the studies are from Sub-Saharan Africa. A consistent finding is that, across different types of inputs, men generally have higher input measures than women, and that this input gap is responsible for observed productivity differences between men and women; however, this finding is often sensitive to the use of models that control for other background factors, as well as the type of gender indicator implemented in the analysis. The final section presents future directions, opportunities, and recommendations for microeconomic gender analysis of nonland agricultural inputs.

A Survey of Variants and Extensions of the Location-Routing Problem

Abstract: This is a review of the literature on variants and extensions of the standard location-routing problem published since the last survey, by Nagy and Salhi, appeared in 2006. We propose a classification of problem variants, provide concise paper excerpts that convey the central ideas of each work, discuss recent developments in the field, and list promising topics for further research.

Time Series Models for Business and Economic Forecasting

Abstract: With a new author team contributing decades of practical experience, this fully updated and thoroughly classroom-tested second edition textbook prepares students and practitioners to create effective forecasting models and master the techniques of time series analysis. Taking a practical and example-driven approach, this textbook summarises the most critical decisions, techniques and steps involved in creating forecasting models for business and economics. Students are led through the process with an entirely new set of carefully developed theoretical and practical exercises. Chapters examine the key features of economic time series, univariate time series analysis, trends, seasonality, aberrant observations, conditional heteroskedasticity and ARCH models, non-linearity and multivariate time series, making this a complete practical guide. Downloadable datasets are available online.

Estimating the Impact of Microcredit on Those Who Take It Up: Evidence from a Randomized Experiment in Morocco

Abstract: This paper reports the results from a randomized evaluation of a microcredit program introduced in rural areas of Morocco starting in 2006 by Al Amana, the country’s largest microfinance institution Al Amana was the only MFI operating in the study areas during the evaluation period Thirteen percent of the households in treatment villages took a loan, and none in control villages Among households identified as more likely to borrow based on ex-ante characteristics, microcredit access led to a significant rise in investment in assets used for self-employment activities (mainly animal husbandry and agriculture), and an increase in profit But this increase in profit was offset by a reduction in income from casual labor, so overall there was no gain in measured income or consumption We find suggestive evidence that these results are mainly driven by effects on borrowers, rather than by externalities on households that do not borrow This implies that among those who chose to borrow, microcredit had large, albeit very heterogeneous, impacts on assets and profits from self-employment activities, but small impact on consumption: we can reject an increase in consumption of more than 10% among borrowers, two years after initial rollout

The Dark Side of Competition for Status

Abstract: Unethical behavior within organizations is not rare. We investigate experimentally the role of status-seeking behavior in sabotage and cheating activities aiming at improving one’s performance ranking in a flat-wage environment. We find that average effort is higher when individuals are informed about their relative performance. However, ranking feedback also favors disreputable behavior. Some individuals do not hesitate to incur a cost to improve their rank by sabotaging others’ work or by increasing artificially their own performance. Introducing sabotage opportunities has a strong detrimental effect on performance. Therefore, ranking incentives should be used with care. Inducing group identity discourages sabotage among peers but increases in-group rivalry.

Annual research review: harms experienced by child users of online and mobile technologies: the nature, prevalence and management of sexual and aggressive risks in the digital age

Abstract: Aims and scope: The usage of mobile phones and the internet by young people has increased rapidly in the past decade, approaching saturation by middle childhood in developed countries. Besides many benefits, online content, contact or conduct can be associated with risk of harm; most research has examined whether aggressive or sexual harms result from this. We examine the nature and prevalence of such risks, and evaluate the evidence regarding the factors that increase or protect against harm resulting from such risks, so as to inform the academic and practitioner knowledge base. We also identify the conceptual and methodological challenges encountered in this relatively new body of research, and highlight the pressing research gaps. Methods: Given the pace of change in the market for communication technologies, we review research published since 2008. Following a thorough bibliographic search of literature from the key disciplines (psychology, sociology, education, media studies and computing sciences), the review concentrates on recent, high quality empirical studies, contextualizing these within an overview of the field. Findings: Risks of cyberbullying, contact with strangers, sexual messaging (‘sexting’) and pornography generally affect fewer than one in five adolescents. Prevalence estimates vary according to definition and measurement, but do not appear to be rising substantially with increasing access to mobile and online technologies, possibly because these technologies pose no additional risk to offline behaviour, or because any risks are offset by a commensurate growth in safety awareness and initiatives. While not all online risks result in self-reported harm, a range of adverse emotional and psychosocial consequences is revealed by longitudinal studies. Useful for identifying which children are more vulnerable than others, evidence reveals several risk factors: personality factors (sensation-seeking, low self-esteem, psychological difficulties), social factors (lack of parental support, peer norms) and digital factors (online practices, digital skills, specific online sites). Conclusions: Mobile and online risks are increasingly intertwined with pre-existing (offline) risks in children's lives. Research gaps, as well as implications for practitioners, are identified. The challenge is now to examine the relations among different risks, and to build on the risk and protective factors identified to design effective interventions.

Economic growth, electricity consumption, urbanization and environmental degradation relationship in United Arab Emirates

Abstract: The present study explores the relationship between economic growth, electricity consumption, urbanization and environmental degradation in case of United Arab Emirates (UAE). The study covers the quarter frequency data over the period of 1975–2011. We have applied the ARDL bounds testing approach to examine the long run relationship between the variables in the presence of structural breaks. The VECM Granger causality is applied to investigate the direction of causal relationship between the variables. Our empirical exercise reported the existence of cointegration among the series. Further, we found an inverted U-shaped relationship between economic growth and CO 2 emissions i.e. economic growth raises energy emissions initially and declines it after a threshold point of income per capita (EKC exists). Electricity consumption declines CO 2 emissions. The relationship between urbanization and CO 2 emissions is positive. Exports seem to improve the environmental quality by lowering CO 2 emissions. The causality analysis validates the feedback effect between CO 2 emissions and electricity consumption. Economic growth and urbanization Granger cause CO 2 emissions.

Causal interactions between CO2 emissions, FDI, and economic growth: Evidence from dynamic simultaneousequation models

Abstract: In this article, we investigate the causality links between CO2 emissions, foreign direct investment, and economic growth using dynamic simultaneous-equation panel data models for a global panel of 54 countries over the period 1990–2011. We also implement these empirical models for 3 regional sub-panels: Europe and Central Asia, Latin America and the Caribbean, and the Middle East, North Africa, and sub-Saharan Africa. Our results provide evidence of bidirectional causality between FDI inflows and economic growth for all the panels and between FDI and CO2 for all the panels, except Europe and North Asia. They also indicate the existence of unidirectional causality running from CO2 emissions to economic growth, with the exception of the Middle East, North Africa, and sub-Sahara panel, for which bidirectional causality between these variables cannot be rejected. These empirical insights are of particular interest to policymakers as they help build sound economic policies to sustain economic development.

Do Credit Market Shocks affect the Real Economy? Quasi-Experimental Evidence from the Great Recession and "Normal" Economic Times

Abstract: We estimate the effect of the reduction in credit supply that followed the 2008 financial crisis on the real economy. We predict county lending shocks using variation in pre-crisis bank market shares and estimated bank supply-shifts. Counties with negative predicted shocks experienced declines in small business loan originations, indicating that it is costly for these businesses to find new lenders. Using confidential microdata from the Longitudinal Business Database, we find that the 2007-2009 lending shocks accounted for statistically significant, but economically small, declines in both small firm and overall employment. Predicted lending shocks affected lending but not employment from 1997-2007.

Wealth Inequality in the United States since 1913: Evidence from Capitalized Income Tax Data

Abstract: This paper combines income tax returns with Flow of Funds data to estimate the distribution of household wealth in the United States since 1913 We estimate wealth by capitalizing the incomes reported by individual taxpayers, accounting for assets that do not generate taxable income We successfully test our capitalization method in three micro datasets where we can observe both income and wealth: the Survey of Consumer Finance, linked estate and income tax returns, and foundations' tax records Wealth concentration has followed a U-shaped evolution over the last 100 years: It was high in the beginning of the twentieth century, fell from 1929 to 1978, and has continuously increased since then The rise of wealth inequality is almost entirely due to the rise of the top 01% wealth share, from 7% in 1979 to 22% in 2012---a level almost as high as in 1929 The bottom 90% wealth share first increased up to the mid-1980s and then steadily declined The increase in wealth concentration is due to the surge of top incomes combined with an increase in saving rate inequality Top wealth-holders are younger today than in the 1960s and earn a higher fraction of total labor income in the economy We explain how our findings can be reconciled with Survey of Consumer Finances and estate tax data

The Price of Political Uncertainty: Theory and Evidence from the Option Market

Abstract: We empirically analyze the pricing of political uncertainty, guided by a theo- retical model of government policy choice. After deriving the model’s predictions for option prices, we test those predictions in an international sample of national elections and global summits. We find that political uncertainty is priced in the option market in ways predicted by the theory. Options whose lives span political events tend to be more expensive. Such options provide valuable protection against the risk associated with political events, including not only price risk but also variance and tail risks. This protection is more valuable in a weaker economy as well as amid higher political uncertainty.Â

International Human Resource Management

Abstract: International Human Resource Management offers a contemporary and multilayered introduction to international and comparative human resource management for university study. It critically analyses the core issues and emerging trends in the field, with a consistent emphasis on real-world scenarios and concerns. At the macro level, the book examines how IHRM fits within and adapts to the ever-changing environment of international relations and global development. At the firm level, it elucidates the strategic goals served by IHRM, and the processes used to achieve them. At the individual level, the analysis extends beyond the traditional focus on expatriates to encompass the various IHRM actors and their motivations. With contributors drawn from universities across four continents, this book presents a genuinely international perspective on IHRM. Each chapter features a case study, tutorial activities and discussion questions. The book concludes with three extended case studies, each based on a specific region, to help students consolidate their understanding. Comprehensive online resources, including an instructor’s manual and review material for students, are available at www.cambridge.edu.au/academic/IHRM.

Long-Term Damage from the Great Recession in OECD Countries

Abstract: This paper estimates the long-term effects of the global recession of 2008-2009 on output in 23 countries I measure these effects by comparing current estimates of potential output from the OECD and IMF to the path that potential was following in 2007, according to estimates at the time The losses in potential output range from almost nothing in Australia and Switzerland to more than 30% in Greece, Hungary, and Ireland; the average loss, weighted by economy size, is 84% Most countries have experienced strong hysteresis effects: shortfalls of actual output from pre-recession trends have reduced potential output almost one-for-one In the hardest-hit economies, the current growth rate of potential is depressed, implying that the level of lost potential is growing over time

High-Frequency Financial Econometrics

Abstract: High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data This comprehensive book introduces readers to these emerging methods and tools of analysis Yacine Ait-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on Ait-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes Ait-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike

Financial Turmoil and the Choice of Exchange Rate Regime

Abstract: Financial turmoil is becoming a fact of life in Latin America. The 1990s have been characterized by enormous volatility in the magnitude and cost of capital flows. The correlation of capital swings across disparate countries suggests that the quality of emerging market policies in addition to global factors have been the main actors in this drama. Therefore, the blame for financial turmoil has moved away from inappropriate domestic policies. Instead, the paradigm has shifted to one of determining which policies - domestic or international - are most effective in taming the destabilizing effects of inherently volatile capital flows.

Coherence of the knowledge base and the firm’s innovative performance: evidence from the U.S. pharmaceutical industry

Abstract: Les auteurs analysent les relations entre la coherence de la base de connaissances et les capacites d'innovation des entreprises pharmaceutiques aux Etats-Unis. Ils developpent des mesures de coherence et d'etendue de la base de connaissances des entreprises. Une analyse des donnees du modele de regression montre un lien fort entre ces deux parametres et la capacite d'innovation des entreprises. Les entreprises connaissent une baisse de leur capacite en recherche, mais les plus grandes entreprises connaissent une augmentation de leur capacite d'innovation. Les flux de connaissance sont necessaires pour la production de connaissances mais pas suffisants pour en assurer sa qualite.