Showing papers on "Spillover effect published in 2013"

Identifying Technology Spillovers and Product Market Rivalry

Abstract: Government policies to support R&D are predicated on empirical evidence of R&D "spillovers" between firms. But there are two countervailing R&D spillovers: positive effects from technology spillovers and negative effects from business stealing by product market rivals. We develop a general framework showing that technology and product market spillovers have testable implications for a range of performance indicators, and exploit these using distinct measures of a firm’s position in technology space and product market space. We show using panel data on U.S. firms between 1981 and 2001 that both technology and product market spillovers operate, but that net social returns are several times larger than private returns. The spillover effects are also revealed when we analyze three high-tech sectors in detail - pharmaceuticals, computer hardware and telecommunication equipment. Using the model we evaluate three R&D subsidy policies and show that the typical focus of support for small and medium firms may be misplaced.

How Likely Is Contagion in Financial Networks

Abstract: Interconnections among financial institutions create potential channels for contagion and amplification of shocks to the financial system. We estimate the extent to which interconnections increase expected losses, with minimal information about network topology, under a wide range of shock distributions. Expected losses from network effects are small without substantial heterogeneity in bank sizes and a high degree of reliance on interbank funding. They are also small unless shocks are magnified by some mechanism beyond simple spillover effects; these include bankruptcy costs, fire sales, and mark-to-market revaluations of assets. We illustrate the results with data on the European banking system.

Financial Network Systemic Risk Contributions

Abstract: We propose the realized systemic risk beta as a measure for financial companies’ contribution to systemic risk given network interdependence between firms’ tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we define the realized systemic risk beta as the total time-varying marginal effect of a firm’s Value-at-Risk (VaR) on the system’s VaR. Suitable statistical inference reveals a multitude of relevant risk spillover channels and determines companies’ systemic importance in the U.S. financial system. Our approach can be used to monitor companies’ systemic importance allowing for a transparent macroprudential regulation.

Output Spillovers from Fiscal Policy

Abstract: In this paper, we estimate the cross-country spillover effects of government purchases on output for a large number of OECD countries. Following the methodology in Auerbach and Gorodnichenko (2012a, b), we allow these multipliers to vary smoothly according to the state of the economy and use real-time forecast data to purge policy innovations of their predictable components. We also consider the responses of other key macroeconomic variables. Our findings suggest that cross-country spillovers have an important impact, and also confirm those of our earlier papers that fiscal shocks have a larger impact when the affected country is in recession.

Self-interest and pro-environmental behaviour

Abstract: Inspired by the principles used to market physical products, campaigns to promote pro-environmental behaviour have increasingly emphasized self-interested (for example, economic) reasons for engaging with a self-transcendent cause (that is, protecting the environment)1, 2. Yet, psychological evidence about values and behaviour suggests that giving self-interested reasons, rather than self-transcending reasons, to carry out a self-transcending action should be ineffective at increasing self-transcending behaviour more generally3, 4. In other words, such a campaign may fail to cause spillover, or an increase in other, different environmental behaviours5. Here we show that recycling rates are dependent on the information participants receive about a separate environmental behaviour, car-sharing (carpooling in the USA). In two experiments, we found that recycling was significantly higher than control when participants received environmental information about car-sharing, but was no different from control when they received financial information or (in experiment 2) received both financial and environmental information. Our results suggest that, congruent with value theory, positive spillover from one environmental message to another behaviour (car-sharing to recycling) may occur primarily when self-transcending reasons alone are made salient.

The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil

Abstract: In this paper we develop empirical measures for the strength of spillover effects. Modifying and extending the framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area. Spillovers are estimated recursively from a vector autoregressive model of daily CDS spread changes with exogenous common factors. We account for interdependencies between sovereign and bank CDS spreads and we derive generalised impulse response functions. Specifically, we assess the systemic effect of an unexpected shock to the creditworthiness of a particular sovereign or country-specific bank index to other sovereign or bank CDSs focusing on the period between October 2009 and July 2012. Channels of transmission from or to sovereigns and banks are aggregated to produce a Contagion index (CI). This index is disentangled into four components, the average potential spillover: i) amongst sovereigns, ii) amongst banks, iii) from sovereigns to banks, and iv) vice-versa. We highlight the impact of policy related events along the different components of contagion index. The systemic contribution of each sovereign or banking group is quantified as the net spillover weight in the total net-spillover measure. Finally, the captured time-varying interdependence between banks and sovereigns emphasises the evolution of their strong nexus.

An absorptive capacity theory of knowledge spillover entrepreneurship

Abstract: The knowledge spillover theory of entrepreneurship identifies new knowledge as a source of entrepreneurial opportunities, and suggests that entrepreneurs play an important role in commercializing new knowledge developed in large incumbent firms or research institutions. This paper argues that, knowledge spillover entrepreneurship depends not only on new knowledge but more importantly on entrepreneurial absorptive capacity that allows entrepreneurs to understand new knowledge, recognize its value, and commercialize it by creating a firm. This absorptive capacity theory of knowledge spillover entrepreneurship is tested using data based on U.S. metropolitan areas.

The missing pillar: the creativity theory of knowledge spillover entrepreneurship

Abstract: Knowledge spillover theory of entrepreneurship and the prevailing theory of economic growth treat opportunities as endogenous and generally focus on opportunity recognition by entrepreneurs. New knowledge created endogenously results in knowledge spillovers enabling inventors and entrepreneurs to commercialize it. This article discusses that knowledge spillover entrepreneurship depends not only on ordinary human capital, but more importantly also on creativity embodied in creative individuals and diverse urban environments that attract creative classes. This might result in self-selection of creative individuals into entrepreneurship or enable entrepreneurs to recognize creativity and commercialize it. This creativity theory of knowledge spillover entrepreneurship is tested utilizing data on European cities.

Long-Term and Spillover Effects of Health Shocks on Employment and Income

Abstract: ____ We use matching combined with difference- in- differences to identify the causal effects of sudden illness, represented by acute hospitalizations, on employment and income up to six years after the health shock using linked Dutch hospital and tax register data. An acute hospital admission lowers the employment probability by seven percentage points and results in a 5 percent loss of personal income two years after the shock. There is no subsequent recovery in either employment or income. There are large spillover effects: Household income falls by 50 percent more than the income of the disabled person.

Externalities of Mandatory IFRS Adoption: Evidence from Cross-Border Spillover Effects of Financial Information on Investment Efficiency

Abstract: This study examines the externalities of mandatory IFRS adoption on firms' investment efficiency in 17 European countries. We use the ROA difference between the firm and its peers to proxy for the information on the peers' investment performance. We find that the spillover effect of a firm's ROA difference versus its foreign peers, but not domestic peers, on the firm's investment efficiency increases after IFRS adoption. We also find that increased disclosure by both foreign and domestic peers after IFRS adoption has a spillover effect on a firm's investment efficiency. Further, a firm's investment changes induced by its ROA difference versus foreign peers are more value-relevant after IFRS adoption, and those induced by increased disclosure by foreign peers under IFRS are value-relevant. Additional analyses reveal that our results are affected by legal enforcement strength, peer composition, and industry competition. Overall, we document positive externalities of mandatory IFRS adoption. Data A...

The spillover–crossover model

Abstract: This chapter introduces a model that integrates two lines of research: the spill-over–crossover model (SCM). Spillover researchers have generally neglected the possibility to examine the impact of employees' experiences at work on the well-being of the partner at home. Similarly, crossover researchers have generally ignored the work-related causes of the experiences that crossover from the employee to the partner at home. The SCM combines the spillover and crossover literatures, and proposes that work-related experiences first spillover to home domain, and then crossover to the partner through social interaction. The SCM suggests that impact on partner's well-being occur either through direct crossover of negative and positive experiences or through indirect crossover. A series of studies has provided evidence for the SCM, although it should be noted that most studies focused exclusively on negative spillover and crossover. Although the focus in most work–family studies has primarily been on negative spillover, research has clearly indicated that positive spillover is also possible.

The Spillover Effect of Fraudulent Financial Reporting on Peer Firms’ Investments

Abstract: We investigate how high-profile accounting frauds affect peer firms’ investment. We document that peers react to the fraudulent reports by increasing investment during fraud periods. We show that this finding is not driven by frauds that have a higher ex ante likelihood of detection or by an association between fraud and investment booms. In addition, we find that peers’ investments increase in fraudulent earnings overstatements, and in industries with higher investor sentiment, lower cost of capital and higher private benefits of control. We also find evidence consistent with equity analysts potentially facilitating the spillover effect.

Job Hopping, Information Technology Spillovers, and Productivity Growth

Abstract: The movement of information technology (IT) workers among firms is believed to be an important mechanism by which know-how complementary to IT-related innovations diffuses throughout the economy. We use a newly developed source of employee micro-data - online resume databases - to model IT workers’ mobility patterns. We find that firms derive significant productivity benefits from the IT investments of other firms from which they hire IT labor. Our estimates indicate that over the last two decades, productivity spillovers from the IT investments of other firms transmitted through this channel have contributed 20-30% as much to a firm’s productivity growth as the firm’s own IT investments. Evidence for regional IT spillovers disappears when IT labor flows are directly used to measure the spillover pool. These effects are attributable specifically to the flow of IT workers among firms, not other occupations, ruling out some alternative explanations related to the similarity of firms that participate in the same labor flow network.

Controlling a spillover pathway with the molecular cork effect

Abstract: Spillover of reactants from one active site to another is important in heterogeneous catalysis but is notoriously hard to detect or control, especially for hydrogen. The hydrogen spillover pathway on a Pd–Cu alloy can now be controlled by reversible adsorption of a spectator molecule. This effect observed during a surface catalysed reaction should prove useful for controlling uptake and release of hydrogen in a model storage system.

Returns and volatility spillover between stock prices and exchange rates

Abstract: Purpose – The purpose of this paper is to analyze the nature of returns and volatility spillovers between exchange rates and stock price in the IBSA nations (India, Brazil, South Africa).Design/methodology/approach – The study uses VAR framework and the recently proposed Spillover measure of Diebold and Yilmaz to examine the returns and volatility spillover between exchange rates and stock prices of IBSA nations. In addition, multivariate GARCH with time varying variance‐covariance BEKK model is used as a benchmark against the spillover methodology proposed by Diebold and Yilmaz.Findings – The results of multivariate GARCH model suggests the integration between stock and foreign exchange markets and indicates the existence of bi‐directional volatility spillover between stock and foreign exchange markets in the IBSA countries. Spillover results using the Diebold Yilmaz model suggest the bi‐directional contribution between stock and foreign exchange market, in terms of both returns and volatility spillovers...

The global financial crisis: An analysis of the spillover effects on African stock markets

Abstract: This paper examines the relative importance of the global and regional markets for financial markets in developing countries, particularly during the US financial crisis and the European sovereign debt crisis. We examine the way in which the degree of regional (seven African markets combined), global (China, France, Germany, Japan, the UK and the US), commodity (gold and petroleum), and nominal effective exchange rate (Euro and US dollar) spillovers to individual African countries evolve during the two crises through the econometric method introduced by Diebold and Yilmaz (2012). We find that African markets are most severely affected by spillovers from global markets and modestly from commodity and currency markets. Conversely, the regional spillovers within Africa are smaller than the global ones and are insulated from the global crises. We also find that the aggregated spillover effects of European countries to the African markets exceeded that of the US even at the wake of the US financial crisis.

Mitigating Principal-Agent Problems in Base-of-the-Pyramid Markets: An Identity Spillover Perspective

Abstract: The potential for profitably distributing products to previously underserved "base-of-the- pyramid" (BOP) markets as a means of poverty alleviation has received growing interest within the management field. However, such business models often struggle with the agency costs that arise between the firm and local sales agents as the institutions and infrastructure in BOP markets make traditional contractual and monitoring mechanisms difficult and expensive to employ. We present the results of two complementary studies which were both conducted with salespeople in rural Guatemala. The first study employed a quasi-experimental field-study combined with in-depth interviews, while the second study was a laboratory experiment. The results of the studies suggest that identity-based mechanisms can potentially mitigate agency costs through a positive identity spillover effect in multiproduct settings. [ABSTRACT FROM AUTHOR]