Showing papers on "Spillover effect published in 2014"
TL;DR: This article provided a unifying theoretical framework and used the framework to review the existing research on pro-environmental behavior spillover, identifying different decision modes as competing mechanisms that drive adoption of initial environmental behaviors with different consequences for subsequent environmental behaviors, leading to positive, negative or no spillover.
Abstract: A recent surge of research has investigated the potential of pro-environmental behavior interventions to affect other pro-environmental behaviors not initially targeted by the intervention. The evidence evaluating these spillover effects has been mixed, with some studies finding evidence for positive spillover (i.e., one pro-environmental behavior increases the likelihood of performing additional pro-environmental behaviors) and others finding negative spillover (i.e., one pro-environmental behavior decreases the likelihood of additional pro-environmental behaviors). Different academic disciplines have investigated this question, employing different methodologies and arriving at divergent findings. This paper provides a unifying theoretical framework and uses the framework to review the existing research on pro-environmental behavior spillover. Our framework identifies different decision modes as competing mechanisms that drive adoption of initial pro-environmental behaviors, with different consequences for subsequent pro-environmental behaviors, leading to positive, negative, or no spillover. Attribution of the initial pro-environmental behavior to either an external motivator (e.g., a price signal) or internal motivator (e.g., self-identity) also matters. In addition, the characteristics of and similarity between initial and subsequent pro-environmental behaviors can be expected to moderate predicted spillover effects. We explore the implications of our model for policymakers and practitioners, and suggest key areas where future research on the topic would be most beneficial.
478 citations
TL;DR: This article examined the relationship between foreign direct investment, trade openness and economic growth in host countries by applying the bounds testing (ARDL) approach to cointegration for the period from 1970 to 2008.
312 citations
TL;DR: In this paper, the dynamic relationship between changes in oil prices and the economic policy uncertainty index for a sample of both net oil-exporting and net oil importing countries over the period 1997:01-2013:06 was examined.
295 citations
TL;DR: In this paper, the authors proposed a measurement model to analyze customers' consideration of online channels, visits through these channels over time, and subsequent purchases at the website to estimate the carryover and spillover effects of prior touches at both the visit and purchase stages.
Abstract: Technology enables a firm to produce a granular record of every touchpoint consumers make in their online purchase journey before they convert at the firm's website. However, firms still depend on aggregate measures to guide their marketing investments in multiple online channels (e.g., display, paid search, referral, e-mail). This article introduces a methodology to attribute the incremental value of each marketing channel in an online environment using individual-level data of customers' touches. The authors propose a measurement model to analyze customers' (1) consideration of online channels, (2) visits through these channels over time, and (3) subsequent purchases at the website to estimate the carryover and spillover effects of prior touches at both the visit and purchase stages. The authors use the estimated carryover and spillover effects to attribute the conversion credit to different channels and find that these channels' relative contributions are significantly different from those found by oth...
239 citations
TL;DR: In this article, the authors modify and extend the framework of Diebold and Yilmaz (2011) to quantify spillovers between sovereign credit markets and banks in the euro area.
Abstract: In this paper we modify and extend the framework of Diebold and Yilmaz (2011) to quantify spillovers between sovereign credit markets and banks in the euro area. Spillovers are estimated recursively from a vector autoregressive model of daily changes in credit default swap (CDS) spreads with exogenous common factors. We account for interdependencies between sovereign and bank CDS spreads and derive generalized impulse response functions. Specifically, we assess the systemic effect of an unexpected shock to the creditworthiness of a sovereign or country-specific bank index on other sovereigns and bank CDSs between October 2009 and July 2012. Channels of shock transmission from or to sovereigns and banks are summarized in a Contagion Index and its four components: (i) among sovereigns, (ii) among banks, (iii) from sovereigns to banks, and (iv) from banks to sovereigns. We also highlight the impact of policy-related events on the Contagion Index.
214 citations
TL;DR: In this paper, monetary inducements and verbal praise were compared to verbal encouragement and praise for green consumer behavior in a study with 194 students from a large university in Denmark, who were randomly allocated to a control group or to one of two experimental conditions.
195 citations
TL;DR: In this article, the authors investigated the role of the flight to liquidity premium between a German state guaranteed agency bond and the Bund in the development of the euro area sovereign yield spreads.
135 citations
TL;DR: In this article, the authors measure the strength and direction of linkages between 16 EU sovereign bond markets using a factor-augmented version of the VAR model in Diebold and Yilmaz (2009).
Abstract: The global financial crisis rapidly spread across borders and financial markets, and also distressed EU bond markets. The crisis did not hit all markets in the same way. We measure the strength and direction of linkages between 16 EU sovereign bond markets using a factor-augmented version of the VAR model in Diebold and Yilmaz (2009). We then provide a novel test for contagion by applying the multivariate structural break test of Qu and Perron (2007) on this FAVAR detecting significant sudden changes in shock transmission. Results indicate substantial spillover, especially between EMU countries, with Belgium, Italy and Spain being key markets during the financial crisis. Contagion has been a rather rare phenomenon limited to a few well defined moments of uncertainty on financial assistance packages for Greece, Ireland and Portugal. Most of the frequent surges in market co-movement are driven by larger shocks rather than by contagion.
119 citations
TL;DR: In this article, the authors estimate the local spillovers from research university activity in a sample of urban counties using the interaction between university endowment values and stock market shocks over time to identify statistically significant local spillover effects from university activity.
Abstract: We estimate the local spillovers from research university activity in a sample of urban counties. Our approach uses the interaction between university endowment values and stock market shocks over time for identification. We find statistically significant local spillover effects from university activity. The effects are significantly larger when local universities are more research intensive or local firms are technologically close to universities. Our results suggest that the longer-term effects that universities have on their local economies may grow over time as the composition of local industries adjusts to take advantage of the heterogeneous knowledge spillovers we identify.
117 citations
TL;DR: In this article, the authors explore the influence of property taxes on home prices, taking advantage of a policy experiment of property taxation in Shanghai and in Chongqing starting from January 2011.
116 citations
TL;DR: This article examined the level of interdependence and volatility transmission in global agricultural futures markets and found that agricultural markets are highly interrelated and there are both own and cross-varying volatility spillovers and dependence among most of the exchanges.
Abstract: This paper examines the level of interdependence and volatility transmission in global agricultural futures markets. We follow a multivariate GARCH approach to explore the dynamics and cross-dynamics of volatility across major exchanges of corn, wheat, and soybeans between the United States, Europe, and Asia. We account for the potential bias that may arise when considering exchanges with different closing times. The results indicate that agricultural markets are highly interrelated and there are both own- and cross- volatility spillovers and dependence among most of the exchanges. The results also show the major role Chicago plays in terms of spillover effects over the other markets, particularly for corn and wheat. Additionally, the level of interdependence between exchanges has only increased in recent years for some of the commodities.
TL;DR: This paper analyzed the time-varying volatility and spillover effects in crude oil, heating oil, and natural gas futures markets by incorporating changes in important macroeconomic variables and major political and weather-related events into the conditional variance equations.
TL;DR: In this paper, the authors investigated the relationship between organizational culture and work-to-home spillover, and found that a supportive culture explained most of the variance in positive work-home interference and strain-based negative work−home interference.
Abstract: For today's managers, striking a sound work−home balance is an important matter. In this paper we investigate the relationship between organizational culture and work-to-home spillover. Two types of organizational culture, supportive and innovative, were compared with regard to work-to-home spillover. We measured work-to-home spillover with the help of positive and negative work−home interference measures: negative work−home interference was divided into strain-based negative work−home interference and time-based negative work−home interference. A total of 418 alumni of two Dutch business schools completed a questionnaire. The data were analysed by means of confirmatory factor analysis and structural equation modelling. Findings showed that a supportive culture explained most of the variance in positive work−home interference and strain-based negative work−home interference. The relationships between a supportive culture and positive and strain-based negative work−home interference were fully mediated by flexible work−home arrangements. Flexible work−home arrangements explained the variance in time-based negative work−home interference, while no relationship was found between supportive culture and time-based negative work−home interference. Innovative culture was positively related to positive work−home interference and time-based negative work−home interference. The outcomes suggest that a supportive culture, expressed in flexible work−home arrangements, can enhance positive spillover from the work domain to the home domain and diminish negative spillover. We suggest that improving the work−home interface may attract and retain valued managers.
TL;DR: In this article, the authors examined the effect of technology spillovers on firms' cash holdings and found that firms facing greater technology spillover hold higher cash balances, and that the spillover impact remains strong when product market competition and own-firm innovations are accounted for.
Abstract: This study examines the effect of technology spillovers on firms’ cash holdings. It finds that firms facing greater technology spillovers hold higher cash balances. This effect is more pronounced among financially constrained firms and for firms that are likely to benefit more from diffused technology, e.g., those have newer patents, are more profitable, and face better growth opportunities. The spillover impact remains strong when product market competition and own-firm innovations are accounted for. Overall, our study identifies technology spillovers as an important factor in determining corporate cash policy.
TL;DR: In this article, the authors proposed time-varying Granger causality tests based on the tests developed by Hong (2001) and two dynamic correlation estimators (i.e., rolling correlation and dynamic conditional correlation multivariate GARCH), here called the rolling Hong and DCC-MGARCH Hong tests, respectively.
TL;DR: In this article, the authors examined return and volatility spillovers between China and world oil markets and found that spillovers are bi-directional and asymmetric, and the volatility spillover index has increased significantly since the peak of the last financial crisis in September 2008.
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TL;DR: The authors study how managers respond to the occurrence of a hurricane event when their firms are located in the neighborhood of the disaster area and find that the sudden shock to the perceived liquidity risk leads managers to increase the amount of corporate cash holdings, even though the real liquidity risk remains unchanged.
Abstract: Consistent with salience theories of choice, we find that managers overreact to salient risks. We study how managers respond to the occurrence of a hurricane event when their firms are located in the neighborhood of the disaster area. We find that the sudden shock to the perceived liquidity risk leads managers to increase the amount of corporate cash holdings, even though the real liquidity risk remains unchanged. Such an increase in cash holdings is only temporary. Over time, the perceived risk decreases, and the bias disappears. This bias is costly for shareholders because it leads to higher retained earnings and negatively impacts firm value by reducing the value of cash. We examine alternative explanations for our findings. In particular, we find only weak evidence that the possibility of risk learning or regional spillover effects may influence our results.
TL;DR: This paper examined the effect of the demand and supply shocks driving the global crude oil market on aggregate U.S. bond index real returns and found that a positive change in aggregate demand has a negative effect on real bond return that is statistically significant and becomes more adverse over 24 months.
Abstract: This paper examines the effect of the demand and supply shocks driving the global crude oil market on aggregate U.S. bond index real returns. A positive oil market-specific demand shock is associated with significant decreases in aggregate bond index real returns for 8 months following the shock. A positive innovation in aggregate demand has a negative effect on real bond return that is statistically significant and becomes more adverse over 24 months. Structural shocks driving the global oil market jointly account for 27.1% of the variation in real bond returns at 24 month horizon. A spillover index from rolling SVAR models is used to identify the interdependence between the oil market and bond returns. The mean for this spillover index is 0.381 over 2001:01-2011:12 and 0.476 over September through December 2008 during the height of the global financial crisis.
TL;DR: The authors examined the relative importance of global and regional markets for financial markets in developing countries, particularly during the US financial crisis and the European sovereign debt crisis, and found that African markets are most severely affected by spillovers from global markets and only modestly from commodity and currency markets.
TL;DR: This paper examined the effect of the demand and supply shocks driving the global crude oil market on aggregate U.S. bond index real returns and found that a positive change in aggregate demand has a negative effect on real bond return that is statistically significant and becomes more adverse over 24 months.
TL;DR: This paper measured the strength and direction of linkages between 16 EU sovereign bond markets using a factor-augmented version of the VAR model in Diebold and Yilmaz (2009) and provided a novel test for contagion by applying the multivariate structural break test of Qu and Perron (2007) on this FAVAR detecting significant sudden changes in shock transmission.
Abstract: The global financial crisis rapidly spread across borders and financial markets, and also distressed EU bond markets. The crisis did not hit all markets in the same way. We measure the strength and direction of linkages between 16 EU sovereign bond markets using a factor-augmented version of the VAR model in Diebold and Yilmaz (2009). We then provide a novel test for contagion by applying the multivariate structural break test of Qu and Perron (2007) on this FAVAR detecting significant sudden changes in shock transmission. Results indicate substantial spillover, especially between EMU countries. Differences in bilateral linkages are due to a combination of fiscal trouble and a large banking sector, as Belgium, Italy and Spain are central to shock transmission during the financial crisis. Contagion has been a rather rare phenomenon limited to a few well defined moments of uncertainty on financial assistance packages for Greece, Ireland and Portugal. Most of the frequent surges in market co-movement are driven by larger shocks rather than by contagion.
TL;DR: In this article, the authors estimate how experimentally-manipulated experiences with a novel financial product, rainfall index insurance, affect subsequent insurance demand using a seven-year panel.
Abstract: This paper estimates how experimentally-manipulated experiences with a novel financial product, rainfall index insurance, affect subsequent insurance demand. Using a seven-year panel, we develop three main findings. First, recent experience matters for demand, consistent with overinference from small samples. Second, spillovers also matter, in the sense that the recent payout experience of village co-residents affects insurance demand about as much as one's own recent payout experience. Third, the spillover effect decays as time passes while the effect of one's own experience does not. We discuss implications of this analysis for commercial sustainability of this complicated but promising risk management technology.
TL;DR: This paper investigated the spillover effect in five leading stock markets (i.e., the United States, the United Kingdom, Germany, Japan, and France) and found that information transmission between these stock markets increases considerably after 1998.
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TL;DR: In this article, the authors introduce firm and worker heterogeneity into a model of innovation-driven endogenous growth, and study the co-determination of growth and income inequality in both the closed and open economy, as well as the spillover effects of policy and conditions in one country to outcomes in others.
Abstract: We introduce firm and worker heterogeneity into a model of innovation-driven endogenous growth. Individuals who differ in ability sort into either a research sector or a manufacturing sector that produces differentiated goods. Each research project generates a new variety of the differentiated product and a random technology for producing it. Technologies differ in complexity and productivity, and technological sophistication is complementary to worker ability. We study the co-determination of growth and income inequality in both the closed and open economy, as well as the spillover effects of policy and conditions in one country to outcomes in others.
TL;DR: In this article, the authors developed a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables them to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the state of financial markets.
Abstract: In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the state of financial markets (tranquil, normal, and volatile). Within a system of quantile regressions for four sets of major financial institutions (commercial banks, investment banks, hedge funds, and insurance companies) we show that while small during normal times, equivalent shocks lead to considerable spillover effects in volatile market periods. Commercial banks and, especially, hedge funds appear to play a major role in the transmission of shocks to other financial institutions. Using daily data, we can trace out the spillover effects over time in a set of impulse response functions and find that they reach their peak after 10 to 15 days.
TL;DR: In this article, the effect of endogenous technical change and international technology spillovers on carbon leakage was studied and it was shown that carbon leakage can become negative at moderate levels of technology spillover.
TL;DR: In this article, the authors describe how the immigration enforcement-first regime has consequences that extend beyond the supposed target population of undocumented immigrants and spill over to other groups, including legal permanent residents, U.S.-born Latinos/as, and other US.-born residents.
Abstract: In our introduction to this special issue, we describe how the immigration enforcement-first regime has consequences that extend beyond the supposed target population of undocumented immigrants and spill over to other groups, including legal permanent residents, U.S.-born Latinos/as, and other U.S.-born residents. The papers in this special issue address whether and how spillover effects exist and the form that they take. Often they include social, psychological, and in some cases, physical harm, and together they illustrate that directly or indirectly, U.S. policy’s emphasis on interior and external border enforcement affects all of us.
TL;DR: Ke et al. as discussed by the authors constructed a simultaneous equation model of co-agglomeration of producer services and manufacturing that highlights the synergy effects of the two sectors located in the same cities or neighbouring cities.
Abstract: Ke S., He M. and Yuan C. Synergy and co-agglomeration of producer services and manufacturing: a panel data analysis of Chinese cities, Regional Studies. This paper constructs a simultaneous equation model of co-agglomeration of producer services and manufacturing that highlights the synergy effects of the two sectors located in the same cities or neighbouring cities. It applies the fixed effects instrumental variable (FE IV) estimator to a panel dataset of 286 Chinese cities for the years 2003–2008. The FE IV spatial econometric estimates indicate that manufacturing industry tends to locate in the cities where producer services are located, and vice versa; a city's manufacturing (producer services) might relocate if producer services (manufacturing) agglomerated in the neighbouring cities; and agglomeration of each industry has spillover effects within its own industry across neighbouring cities.
Journal Article•
TL;DR: Wang et al. as discussed by the authors studied the interaction between the haze pollution of the province and its neighborhoods' pollution in China's 31 provinces, as well as the impacts from energy structure and economy changes.
Abstract: In this article,according to spatial econometrics,we especially focus on studying the interaction between the haze pollution of the province and its neighborhoods' pollution in China's 31 provinces,as well as the impacts from energy structure and economy changes.First,there exists positive global spatial autocorrelation in China's provinces.There also exists a "high-high" "polarization" phenomenon,which emerged in The Beijing Tianjin Hebei region,The Yangtze River Delta region and the middle region which connects the two areas.We account it for industry transfer,which further intensify the economy-pollution spatial linkage among China's provinces.And on this account,the pollution spillover effect is more obvious.Second,the spatial environmental Kuznets Curve econometric model is set up to quantitatively analyze the pollution's spillover effects and its influencing factors,which finds that the change of pollution's level highly associates with energy structure and industrial structure.In addition,the inverse "U" relationship between haze pollution and economic development may not exist at all or not emerge.The level of pollution is rising continuously with the growth of GDP per capital.According to the empirical analysis,we can conclude that it is just short-term for improving haze pollution by transferring industry to neighborhoods to improve environmental quality.Because of the existence of pollution spillover,the strict environmental regulation's region,for instance Beijing,Tianjin,cannot get all the benefits from their regulation.The most effective method is that neighborhoods coordinate their efforts to deal with haze pollution.In the long run,optimizing the energy consumption structure and the industrial structure will play a key role in controlling haze.And reducing the use of inferior coal can solve the problem in a short-term.
TL;DR: In this paper, the authors developed an indicator of financial stress transmission, called Financial Stress Spillover Index (FSSI), to monitor the condition of financial system and to identify periods of excessive spillover that may lead to financial instability.