Showing papers on "Spillover effect published in 2011"
TL;DR: In this paper, a generalized VAR-GARCH approach was used to examine the extent of volatility transmission between oil and stock markets in Europe and the United States at the sector level.
571 citations
TL;DR: In the last decade, more than 100 researchers have examined productivity spillovers from foreign affiliates to local firms in upstream or downstream sectors, and the results vary broadly across methods and countries.
467 citations
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TL;DR: This article examined the spillover effects of sovereign rating news on European financial markets during the period 2007-2010 and found that sovereign rating downgrades have statistically and economically significant spillover effect both across countries and financial markets.
Abstract: This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The sign and magnitude of the spillover effects depend both on the type of announcements, the source country experiencing the downgrade and the rating agency from which the announcements originates. However, we also find evidence that downgrades to near speculative grade ratings for relatively large economies such as Greece have a systematic spillover effects across Euro zone countries. Rating-based triggers used in banking regulation, CDS contracts, and investment mandates may help explain these results.
271 citations
TL;DR: In this paper, the impact of terrorism on the behavior of stock, bond, and commodity previous termmarkets was analyzed using different methods: an event-previous term study-next term approach, a nonparametric methodology, and a filtered GARCH-EVT approach.
Abstract: The main focus of this paper is to previous termstudynext term empirically the previous termimpact of terrorismnext term on the behavior of stock, bond and commodity previous termmarkets.next term We consider terrorist events that took place in 25 countries over an 11-year time period and implement our analysis using different methods: an event-previous termstudynext term approach, a non-parametric methodology, and a filtered GARCH–EVT approach. In addition, we compare the effect of terrorist attacks on previous termfinancial markets with the impactnext term of other extreme events such as previous termfinancialnext term crashes and natural catastrophes. The results of our analysis show that a non-parametric approach is the most appropriate method among the three for analyzing the previous termimpact of terrorism on financial markets.next term We demonstrate the robustness of this method when interest rates, equity previous termmarketnext term integration, spillover and contemporaneous effects are controlled. We show how the results of this approach can be used for investors’ portfolio diversification strategies against previous termterrorismnext term risk.
216 citations
TL;DR: In this article, the authors investigated the impact of returnee entrepreneurs and their knowledge spillovers on innovation in high-tech firms in China and found that the spillover effect is positively moderated by the non-returnee firms' absorptive capacity approximated by the skill level of employees.
214 citations
TL;DR: In this paper, the effects of ISO 14001 certification on the promotion of more advanced practices, namely green supply chain management (GSCM), were estimated using Japanese facility-level data.
203 citations
TL;DR: The authors examined the effect of manufacturing and service FDI on their own sector growth, the spillover to the other sectors and the overall economy in host countries and identified significant sectoral and inter-industry spillover effects with various data classifications and types of FDI flows.
201 citations
TL;DR: In this paper, the impact of foreign bank penetration on the competitive structure of domestic banking sectors in host emerging economies was examined using bank-level panel data to identify foreign banks and to estimate measures of banking competition.
Abstract: In this paper we examine the impact of foreign bank penetration on the competitive structure of domestic banking sectors in host emerging economies. We focus our analysis on Asia and Latin America during the period 1997–2008. Using bank-level panel data to identify foreign banks and to estimate measures of banking competition, we are able to provide robust empirical evidence that an increase in foreign bank penetration enhances competition in these host countries’ banking sectors. We find that this positive foreign bank penetration and banking competition link is associated with a spillover effect from foreign banks to their domestic counterparts. This spillover effect becomes stronger when more efficient and less risky foreign banks enter into less concentrated host country markets. We also find that the spillover effect is greater when foreign banks enter in the form of ‘de novo penetration’ than through mergers or acquisitions of domestic banks (‘M&A penetration’).
189 citations
TL;DR: The effect of a large-scale policy change in the Austrian disability insurance program, which tightened eligibility criteria for men above a certain age, had important spillover effects into the unemployment and sickness insurance program.
142 citations
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TL;DR: In this paper, the authors examined whether and to what extent emerging-market multinational enterprises can use outward FDI in a developed market to capture knowledge spillovers so as to improve their technological capabilities at home.
Abstract: This study examines whether and to what extent emerging-market multinational enterprises (EM MNEs) can use outward FDI in a developed market to capture knowledge spillovers so as to improve their technological capabilities at home. We refer to this as a “reverse spillover” effect on parent firms, and develop it based on the knowledge-seeking motive for FDI by EM MNEs. Extending previous studies that have identified the knowledge-seeking motive and have also provided some evidence for its validity, our study focuses on the effects of such FDI on technological capabilities of EM MNEs at home. Using a panel dataset of 493 EM MNEs over the period 2000-2008, and controlling for possible endogeneity, we find evidence supporting the reverse spillover effect: EM MNEs that have subsidiaries in host developed markets richer in technological resources (measured by R&D investments and R&D employment) exhibit stronger technological capabilities at home. We discuss the implications of our study for research and practice related to the internationalization of EM MNEs.
129 citations
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TL;DR: The authors examined the spillover effects of sovereign rating news on European financial markets during the period 2007-2010 and found that sovereign rating downgrades have statistically and economically significant spillover effect both across countries and financial markets.
Abstract: This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The sign and magnitude of the spillover effects depend both on the type of announcements, the source country experiencing the downgrade and the rating agency from which the announcements originates. However, we also find evidence that downgrades to near speculative grade ratings for relatively large economies such as Greece have a systematic spillover effects. Rating-based triggers may help explain these results.
TL;DR: This paper used newly constructed state-specific data to explore the implications of common modeling choices for measures of research returns and found that state-to-state spillover effects are important, that the research and development lag is longer than many studies have allowed, and that misspecification can give rise to significant biases.
Abstract: We use newly constructed state-specific data to explore the implications of common modeling choices for measures of research returns. Our results indicate that state-to-state spillover effects are important, that the research and development lag is longer than many studies have allowed, and that misspecification can give rise to significant biases. Across states, the average of the own-state benefit-cost ratios is 21:1, or 32:1 when the spillover benefits to other states are included. These ratios correspond to real internal rates of return of 9% or 10% per annum, much smaller than those typically reported in the literature, partly because we have corrected for a methodological flaw in computing rates of return. Copyright 2011, Oxford University Press.
TL;DR: In this article, a new cross-hedging strategy for managing corn price risk using oil futures is examined and its performance is studied, and it is shown that this strategy provides only slightly better hedging performance compared with traditional hedging in corn futures markets alone.
Abstract: Using a volatility spillover model, we find evidence of significant spillovers from crude oil prices to corn cash and futures prices, and that these spillover effects are time-varying. Results reveal that corn markets have become much more connected to crude oil markets after the introduction of the Energy Policy Act of 2005. Furthermore, when the ethanol–gasoline consumption ratio exceeds a critical level, crude oil prices transmit positive volatility spillovers into corn prices and movements in corn prices are more energy-driven. Based on this strong volatility link between crude oil and corn prices, a new cross-hedging strategy for managing corn price risk using oil futures is examined and its performance is studied. Results show that this cross-hedging strategy provides only slightly better hedging performance compared with traditional hedging in corn futures markets alone. The implication is that hedging corn price risk in corn futures markets alone can still provide relatively satisfactory performance in the biofuel era. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark
TL;DR: Examination of the spillover model using observational measures of parent and child behavior in parent-child dyadic interactions as well as coparenting in triadic interactions indicated that spillover occurs to multiple family systems, but the effects varied according to whose behavior was explored.
Abstract: Research has evidenced support for the spillover model, which asserts that parents' marital functioning influences their parenting and coparenting behavior in dyadic (mother-child and father-child) and triadic (mother-father-child) family contexts. However, few studies have simultaneously investigated the spillover model in both parenting and coparenting systems, preventing examination of whether spillover impacts both systems equally or differentially. Further, little research has examined whether quality of the marital system influences children's behavior toward their parents, as well as their parents' behavior, in dyadic interactions. We examined the spillover model using observational measures of parent and child behavior in parent-child dyadic interactions as well as coparenting in triadic interactions. We also explored parent and child gender differences in spillover effects. Participants were families with children aged 3 to 6 years (n = 149). Findings indicated that spillover occurs to multiple family systems, but the effects varied according to whose behavior (mother, father, child) was explored. In families of boys and girls, the marital system influenced warmth in triadic interactions, as well as fathers' responsiveness and children's responsiveness to mothers in dyadic interactions. Spillover effects were largely equivalent for girls and boys, but spillover to coparenting hostility in triadic interactions was limited to families raising girls. Parent gender also moderated associations between marital functioning and parent-child interactions: Spillover was significantly stronger for fathers' responsiveness (vs. mothers' responsiveness) and child responsiveness to mothers (vs. child responsiveness to fathers).
TL;DR: In this article, a large body of literature dealing with the effects of Foreign Direct Investment (FDI) on economies during their transformation from a command economic system toward a market system is reviewed.
TL;DR: In this paper, the authors investigate the wage premium and the wage spillover effect of foreign-invested enterprises in the Chinese manufacturing sector, and find that the presence of foreign and Hong Kong, Macao and Taiwan investment results in a significantly negative spillover in terms of wage level in domestic firms, and discourages wage growth in such firms.
TL;DR: In this paper, the authors identify inward investment as an important impetus to outward investment and develop an integrated framework of the inward-outward investment relationship for different investment modes and different home-country and host-country pairs.
Abstract: We identify inward investment as an important impetus to outward investment, supplemental to the impetuses depicted in conventional internationalization frameworks. By incorporating both the spillover and competition effects of foreign entrants, we develop an integrated framework of the inward–outward investment relationship for different investment modes and different home-country and host-country pairs. Our analysis of venture capital (VC) investments worldwide from 1985 to 2007 shows a positive spillover effect on outward investment for inward co-investments and a negative competition effect on outward investment for inward standalone investments. We find the strongest effects when the host country is a laggard in the VC industry and the home country is a leader.
TL;DR: In this article, a theoretical growth model that extends the Mankiw-Romer-Weil (MRW) model by accounting for technological interdependence among regional economies is presented.
Abstract: This paper presents a theoretical growth model that extends the Mankiw–Romer–Weil (MRW) model by accounting for technological interdependence among regional economies. Interdependence is assumed to work through spatial externalities caused by disembodied knowledge diffusion. The transition from theory to econometrics leads to a reduced-form empirical spatial Durbin model specification that explains the variation in regional levels of per worker output at steady state. A system of 198 regions across 22 European countries over the period from 1995 to 2004 is used to empirically test the model. Testing is performed by assessing the importance of cross-region technological interdependence and measuring direct and indirect (spillover) effects of the MRW determinants on regional output.
TL;DR: In this paper, the authors developed a stochastic volatility model with jumps in returns and volatility to analyze the risk spillover from the U.S. market and the regional market to a number of European countries' equity markets.
TL;DR: The authors found that banks with larger investments in opaque assets benefitted more from intra-industry revaluations associated with announcements of mergers in the period 2000 through 2006, and that non-merger banks that gained most from merger activities also experienced the largest price declines during the subsequent 2007-2008 financial crisis.
Abstract: Opacity fosters price contagion that exacerbates the speculative cycles of bubbles and crashes that create financial instability. We find that banks with larger investments in opaque assets benefitted more from intra-industry revaluations associated with announcements of mergers in the period 2000 through 2006. The findings are robust to controls for competitive effects, spillover effects from higher likelihood of takeover, changes in real estate prices, and interest rates. Non-merger banks that gained most from merger activities also experienced the largest price declines during the subsequent 2007-2008 financial crisis.
TL;DR: In this article, a series of Pt-doped IRMOF-8 samples with different Pt catalyst sizes have been prepared via organometallic chemical-vapor deposition (CVD).
Abstract: A series of Pt-doped IRMOF-8 samples with different Pt catalyst sizes have been prepared via organometallic chemical-vapor deposition (CVD). The Pt catalyst size effects on the spillover storage on IRMOF-8 (or any MOF) were studied for the first time. Our studies showed that the Pt catalyst size is a crucial factor determining whether a significant enhancement in storage can be achieved in the hydrogen spillover system at ambient temperature. Compared to undoped IRMOF-8, the spillover storage capacities on Pt-doped IRMOF-8 samples were enhanced by factors ranging from 1.1 to 1.9 because of different Pt catalyst sizes. The doped Pt size was controlled by varying the CVD conditions to yield mean sizes of 2.2, 3.9, and 9.1 nm, and the results showed that smaller sizes were needed for spillover. Temperature-programmed desorption of dosed H2/D2 further shed light on the mechanism of spillover and reverse spillover, confirming undercoordinated sites on the particle-enhanced spillover.
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TL;DR: The authors examined whether a party to a strategic alliance or joint venture suffers from spillover effects when the other partner files for bankruptcy and found that non-bankrupt strategic alliance partners on average experience a negative stock price reaction around their partner firm's bankruptcy filing announcement.
Abstract: This paper examines whether a party to a strategic alliance or joint venture suffers from spillover effects when the other partner files for bankruptcy. We find that the non-bankrupt strategic alliance partners on average experience a negative stock price reaction around their partner firm’s bankruptcy filing announcement. This negative effect is strongest for longer partnerships and those with higher returns at the announcement of the initial alliance formation. Furthermore, horizontal alliance firms in declining industries have lower returns, indicating that industry conditions can exacerbate expected problems for the non-bankrupt firm. Non-bankrupt partners also experience drops in profit margins and investment levels in the subsequent two years with the worst performance concentrated among the longer-term agreements. There is very little impact on the returns or performance for joint venture partners, which suggests that these agreements are more insulating for the partner firm.
TL;DR: In this article, the authors present a methodology based on accessibility indicators and GIS to assess the accessibility impacts of a road pricing policy, which is tested for the Spain's road network considering two road pricing scenarios.
Abstract: Road pricing policies are gaining prominence in EU countries. These policies have positive impacts leading to mobility patterns which are socially and environmentally more desirable, but they also have negative impacts. One negative impact is to be found in regional accessibility, due to the increase in generalized transport costs. This study presents a methodology based on accessibility indicators and GIS to assess the accessibility impacts of a road pricing policy. The methodology was tested for the Spain’s road network considering two road pricing scenarios. It enables not only the more penalized regions to be identified but also negative road pricing spillover effects between regions. These effects are measured in terms of accessibility changes occurring in one region produced by charges implemented in another region. Finally, the study of accessibility disparities (by calculating inequality indexes for each of the scenarios considered), provides policymakers with useful information regarding the impact of road pricing policies from the point of view of territorial cohesion.
TL;DR: In this paper, the authors investigated the nature of volatility spillovers between precious metal returns over fifteen years (1995-2010 period) with the attention being focused on these markets' behavior during the Asian and the global financial crises.
TL;DR: In this article, the authors examined the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China, Indonesia, and Korea using a six-variable asymmetric generalized autoregressive conditional heteroscedasticity model during February 2, 2007, to February 29, 2010.
Abstract: The study examines the return and volatility spillover among Asian stock markets in India, Hong Kong, Japan, China, Jakarta, and Korea using a six-variable asymmetric generalized autoregressive conditional heteroscedasticity–Baba, Engle, Kraft, and Kroner (GARCH-BEKK) model during February 2, 2007, to February 29, 2010. The author finds evidence of bidirectional return, shock, and volatility spillover among most of the stock markets. The magnitude of volatility linkages is low indicating weak integration of Asian stock markets. The study finds that own volatility spillover is higher than cross-market spillover. The overall persistence of stock market volatility is highest for Japan (0.931) and lowest for China (0.824). The implication of weak integration is that investors will benefit from reduction of diversifiable risk.
TL;DR: In this article, the impact of China's growth on the rest of the world in both the short term and the long term has been investigated, based on vector autoregression and error correction models.
Abstract: China's economic development since 1978 is one of the most significant events in recent history. Many aspects of this development have been extensively analyzed in the published literature. However, the implications of China's growth for other countries have been relatively neglected. The present paper attempts to fill this gap in the literature. The paper first presents some facts on China's role in the world economy, and then measures the impact of China's growth on growth in the rest of the world in both the short term and the long term. Short-run estimates based on vector autoregression and error correction models suggest that spillover effects of China's growth have increased in recent decades. Long-term spillover effects, estimated through growth regressions based on panel data, are also significant and have extended in recent decades beyond Asia. The estimates are robust to the effects of global and regional shocks, changes in model specification, and sample period.
TL;DR: It is found that industries receive significant IT spillover benefits in terms of total factor productivity growth through economic transactions with their respective supplier industries, and two characteristics of downstream industries, namely, IT intensity and competitiveness play an important role in IT spillovers.
Abstract: We study interindustry information technology (IT) spillover wherein IT investments made by supplier industries increase the productivity of downstream industries. Using data from U.S. manufacturing industries, we find that industries receive significant IT spillover benefits in terms of total factor productivity growth through economic transactions with their respective supplier industries. More importantly, we find that two characteristics of downstream industries, namely, IT intensity and competitiveness, which have been shown to moderate the effect of internal IT investments, play an important role in IT spillovers as well. Our results suggest that IT intensity as well as competitiveness of the downstream industry moderate the effect of IT spillovers-industries that are more IT intensive and more competitive benefit more from IT spillovers. Finally, our results suggest that the long-term effects of spillovers are greater than short-term effects, suggesting that learning periods are required to reap the benefits from the IT spillovers.
TL;DR: In this article, the authors investigated the volatility spillover between oil, food consumption item, and agricultural raw material price indexes for the period January 1980 to April 2008, and showed that variation in oil prices does not cause the variance in food and raw material prices.
Abstract: The upward movement in oil and food prices in the 2000s has attracted interest in the information transmission mechanism between the two markets. This paper investigates the volatility spillover between oil, food consumption item, and agricultural raw material price indexes for the period January 1980 to April 2008. The results of the Cheung-Ng procedure show that variation in oil prices does not Granger cause the variance in food and agricultural raw material prices. Since there is no volatility spillover from oil markets to food and agricultural raw material markets, investors can benefit from risk diversification. However, there is bi-directional spillover between agricultural raw material and food markets.
TL;DR: In this paper, the authors examine changes in equity mutual funds' investment advisory contracts and find substantial advisory compensation rate changes in both directions, with typical per? centage fee shifts exceeding one-fourth.
Abstract: We examine changes in equity mutual funds' investment advisory contracts. We find substantial advisory compensation rate changes in both directions, with typical per? centage fee shifts exceeding one-fourth. Rate increases are associated with superior past market-adjusted performance, whereas rate decreases reflect economies of scale associated with growth, and are not associated with extreme poor performance. There are within-family spillover effects. Superior (e.g., star) performance for individual funds is associated with rate increases for a family's other funds. Rate reductions post-2004 by family funds involved in market timing scandals do not have large industry spillover effects. This paper examines changes in equity mutual funds' investment advisory con? tracts. Advisory contracts generally pay the advisor a fee that is a percentage of the fund's total net assets (TNA). These fees are substantial. For example, the median annual fee is roughly 80 basis points in our sample, representing about half of total expenses. The paper is the first to document changes in the advisory rate specified in the contract, and to test hypotheses about changes in marginal compensation rates. Our analysis yields insights into price setting in the mutual fund industry, as well as into the contract evaluation and renewal process used by fund boards. This evaluation process has come under scrutiny by the Securities and Exchange Commission (SEC), which in 2004 proposed new rules for the annual contract renewal process. Our study fills an important gap. A large literature examines the contracts
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TL;DR: In this paper, the authors examine how industrial policy -specifically tariff liberalization and tax subsidies - affects the magnitude and direction of FDI spillovers across the diverse ownership structure of China's manufacturing sector and conclude that liberalization measures during the critical 1998-2007 period on balance served to enhance productivity growth in Chinese industry.
Abstract: This paper examines how industrial policy - specifically tariff liberalization and tax subsidies - affects the magnitude and direction of FDI spillovers. We examine these spillover effects across the diverse ownership structure of China's manufacturing sector. Using this approach, we control for policies that are likely to be correlated with both firm-level productivity and industry FDI, thereby limiting the problem of omitted variables and bias associated with estimating the impacts of FDI spillovers. During 1998-2007, the span of our Chinese firm-level data set, both tariffs and FDI tax holidays changed dramatically. Our results highlight the efficacy of vertical FDI spillovers. We find that tariff reforms, particularly tariff reductions associated with China's WTO ascension, increased the productivity impacts of FDI's backward spillovers. Tax policy - both corporate income and VAT subsidies - has seemingly drawn FDI into strategic industries that spawn significant vertical spillovers. We conclude that liberalization measures during the critical 1998-2007 period on balance served to enhance productivity growth in Chinese industry.