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Showing papers on "Spillover effect published in 2015"


Journal ArticleDOI
Melissa Dell1
TL;DR: In this article, the authors examined the direct and spillover effects of Mexican policy toward the drug trade and found that drug-related violence increases substantially after close elections of PAN mayors.
Abstract: Drug trade-related violence has escalated dramatically in Mexico since 2007, and recent years have also witnessed large-scale efforts to combat trafficking, spearheaded by Mexico's conservative PAN party. This study examines the direct and spillover effects of Mexican policy toward the drug trade. Regression discontinuity estimates show that drug-related violence increases substantially after close elections of PAN mayors. Empirical evidence suggests that the violence reflects rival traffickers' attempts to usurp territories after crackdowns have weakened incumbent criminals. Moreover, the study uses a network model of trafficking routes to show that PAN victories divert drug traffic, increasing violence along alternative drug routes. (JEL D72, D85, K42, O17, Z13)

399 citations


Journal ArticleDOI
TL;DR: In this article, the extent to which interconnections increase expected losses and defaults under a wide range of shock distributions is estimated, and the authors highlight the importance of mechanisms that go beyond simple spillover effects to magnify shocks.
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 and defaults under a wide range of shock distributions. In contrast to most work on financial networks, we assume only minimal information about network structure and rely instead on information about the individual institutions that are the nodes of the network. The key node-level quantities are asset size, leverage, and a financial connectivity measure given by the fraction of a financial institution’s liabilities held by other financial institutions. We combine these measures to derive explicit bounds on the potential magnitude of network effects on contagion and loss amplification. Spillover effects are most significant when node sizes are heterogeneous and the originating node is highly leveraged and has high financial connectivity. Our results also highlight the importance of mechanisms that go beyond simple spillover effects to magnify shocks; these include bankruptcy costs, and mark-to-market losses resulting from credit quality deterioration or a loss of confidence. We illustrate the results with data on the European banking system. 2014 Published by Elsevier B.V.

370 citations


Posted Content
TL;DR: In this paper, the authors present a model that shows how growth depends on knowledge accumulation and its diffusion through both incumbents and entrepreneurial activities, and they claim that entrepreneurs are one missing link in converting knowledge into economically relevant knowledge.
Abstract: The intellectual breakthrough contributed by the new growth theory was the recognition that investments in knowledge and human capital endogenously generate economic growth through the spillover of knowledge. However, endogenous growth theory does not explain how or why spillovers occur. This paper presents a model that shows how growth depends on knowledge accumulation and its diffusion through both incumbents and entrepreneurial activities. We claim that entrepreneurs are one missing link in converting knowledge into economically relevant knowledge. Implementing different regression techniques for the Organisation for Economic Co-operation and Development (OECD) countries during 1981 to 2002 provides surprisingly robust evidence that primarily entrepreneurs contributed to growth and that the importance of entrepreneurs increased in the 1990s. A Granger test confirms that causality goes in the direction from entrepreneurs to growth. The results indicate that policies facilitating entrepreneurship are an important tool to enhance knowledge diffusion and promote economic growth.

369 citations


Journal ArticleDOI
TL;DR: In this article, the authors propose the realized systemic risk beta as a measure of financial companies' contribution to systemic risk, given network interdependence between firms' tail risk exposures.
Abstract: We propose the realized systemic risk beta as a measure of 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. Statistical inference reveals a multitude of relevant risk spillover channels and determines companies' systemic importance in the US financial system. Our approach can be used to monitor companies' systemic importance, enabling transparent macroprudential supervision.

289 citations


Journal ArticleDOI
TL;DR: In this article, the authors examined the net economic impacts of oil and gas production from shale formations for key shale oil-and gas producing areas in Arkansas, North Dakota and Pennsylvania.

185 citations


Journal ArticleDOI
TL;DR: In this paper, the authors employ the VARMA-AGARCH model within the context of BEKK framework using West Texas Intermediate (WTI) and Brent as proxies for oil market and S&P stocks as a proxy for US stock market.

184 citations


Journal ArticleDOI
TL;DR: In this paper, the authors examined the dynamic relationship between tourism growth and economic growth, using a newly introduced spillover index approach, based on monthly data for 10 European countries over the period 1995-2012, revealing the following empirical regularities.

182 citations


Journal ArticleDOI
TL;DR: In this article, the authors propose a conceptual frame within which a broad range of behavioral spillovers can be accounted for when applying behavioral science to policy challenges, and find pervasive evidence for all kinds of spillover effects across a variety of fields and domains.

179 citations


Journal ArticleDOI
TL;DR: This paper analyzed the relevance of neofunctionalism and various spillover mechanisms for explaining the management of the crisis and the drive towards a more complete economic and monetary Union (EMU).
Abstract: This contribution analyses the relevance of neofunctionalist theory and the various spillover mechanisms for explaining the management of the crisis and the drive towards a more complete Economic and Monetary Union (EMU). The management of the crisis resulted in integrative outcomes owing to significant functional dissonances that arose from the incomplete EMU architecture created at Maastricht. These functional rationales were reinforced by integrative pressures exercised by supranational institutions, transnational organized interests and markets. The contribution concludes that, despite shortcomings, neofunctionalism provides important insights for understanding the integrative steps taken during the crisis.

176 citations


Posted Content
TL;DR: This article used panel data for 173 countries over 33 years to explore the magnitude and nature of international fiscal externalities, with a particular focus on developing countries and applying a new method enabling a distinguishing between spillover effects through real investment decisions and through avoidance techniques.
Abstract: International corporate tax issues are now prominent in public debate, most notably with the current G20-OECD project addressing Base Erosion and Profit Shifting (‘BEPS’). But, while there is considerable empirical evidence for advanced countries on the cross-country fiscal externalities at the heart of these issues, there is almost none for developing countries. This paper uses panel data for 173 countries over 33 years to explore the magnitude and nature of international fiscal externalities, with a particular focus on developing countries and applying a new method enabling a distinguishing between spillover effects through real investment decisions and through avoidance techniques — and quantification of the revenue impact of the latter. The results suggest that spillover effects on the tax base are substantially larger in developing countries than in advanced, and that they imply a likely loss of revenue from BEPS that is both substantially larger for them.

175 citations


Journal ArticleDOI
TL;DR: In this article, a field experiment highlights negative side effects of monetary framing in the context of pro-environmental behavior and suggests that this strategy can discourage positive spillover on further proenvironmental behaviour.

Journal ArticleDOI
TL;DR: In this article, the authors investigated the spillovers of extreme risks between crude oil and stock markets using daily data of the S&P 500 stock index and West Texas Intermediate (WTI) crude oil futures returns.

Posted Content
TL;DR: In this article, the authors propose a conceptual frame within which a broad range of behavioral spillovers can be accounted for when applying behavioral science to policy challenges, and find pervasive evidence for all kinds of spillover effects across a variety of fields and domains.
Abstract: No behavior sits in a vacuum, and one behavior can greatly affect what happens next. We propose a conceptual frame within which a broad range of behavioral spillovers can be accounted for when applying behavioral science to policy challenges. We consider behaviors which take place sequentially and are linked, at a conscious or unconscious level, by some underlying motive. The first behavior leads to another behavior which can either work in the same direction as the first (promoting spillover), or push back against it (permitting or purging spillover). Looking through this conceptual lens at the existing evidence, we find pervasive evidence for all kinds of spillover effects across a variety of fields and domains. As a result, behavioral scientists, especially those seeking to inform policy, should try to capture all the ripples from one behavior to the next when a pebble of intervention is thrown in the pond, and not just at the immediate behavioral splash it makes.

Journal ArticleDOI
TL;DR: In this paper, the authors empirically investigated both price and volatility spillover effects in a comprehensive VEC-MGARCH framework and further discussed the hedging strategy using the spillover effect.

Journal ArticleDOI
TL;DR: This article examined spillover effects of the recent U.S. financial crisis on five emerging Asian countries by estimating conditional correlations of financial asset returns across countries using multivariate GARCH models.

Journal ArticleDOI
TL;DR: In this article, the authors examined the interdependence of China's policy uncertainty, the global oil market and stock market returns in China and showed that a positive shock to economic policy uncertainty in China has a delayed negative effect on global oil production, real oil prices and real stock market return.
Abstract: This paper examines the interdependence of China's policy uncertainty, the global oil market and stock market returns in China. A structural VAR model is estimated that shows that a positive shock to economic policy uncertainty in China has a delayed negative effect on global oil production, real oil prices and real stock market returns. Shocks to oil market-specific demand significantly raise China's economic policy uncertainty and reduce the real stock market returns. As measured by a spillover index, the interdependence between these variables has been rising since 2003 as China's influence in the oil market has increased. An equivalent spillover index calculated for the US is smaller and has been largely flat over time.

Journal ArticleDOI
TL;DR: In this article, the authors investigate the long-run impact of public debt expansion on economic growth and investigate whether the debt-growth relation varies with the level of indebtedness, finding no evidence for a universally applicable threshold effect in the relationship between public debt and economic growth, once they account for the impact of global factors and their spillover effects.
Abstract: This paper studies the long-run impact of public debt expansion on economic growth and investigates whether the debt-growth relation varies with the level of indebtedness. Our contribution is both theoretical and empirical. On the theoretical side, we develop tests for threshold effects in the context of dynamic heterogeneous panel data models with cross-sectionally dependent errors and illustrate, by means of Monte Carlo experiments, that they perform well in small samples. On the empirical side, using data on a sample of 40 countries (grouped into advanced and developing) over the 1965-2010 period, we find no evidence for a universally applicable threshold effect in the relationship between public debt and economic growth, once we account for the impact of global factors and their spillover effects. Regardless of the threshold, however, we find significant negative long-run effects of public debt build-up on output growth. Provided that public debt is on a downward trajectory, a country with a high level of debt can grow just as fast as its peers.

Journal ArticleDOI
TL;DR: The time varying price spillovers between natural gas and crude oil markets for the period 1994 to 2014 are investigated in this article, showing that in a large part of the sample the natural gas price leads the price of crude oil with price spillover effects lasting up to two weeks.
Abstract: The time varying price spillovers between natural gas and crude oil markets for the period 1994 to 2014 are investigated. Contrary to earlier research, we show that in a large part of our sample the natural gas price leads the price of crude oil with price spillover effects lasting up to two weeks. This result is robust to a battery of tests including out-of-sample forecasting exercises. However, after 2006, we detect little price dependencies between these two energy commodities. This appears due to a conjunction of both demand and supply-side shocks arising from both natural and economic events, including Hurricane Katrina and the Global Financial Crisis, as well as the increased use of new technologies such as hydraulic fracking for the extraction of gas and oil. In effect the long term relation present in the early part of the sample has decoupled such that price determination of these two energy sources are now independent.

Journal ArticleDOI
TL;DR: In this article, a practical guide for researchers and practitioners who want to understand spillover effects in program evaluation is presented. But, it does not discuss how to design a field experiment to measure the average effects of the treatment on eligible and ineligible subjects for the program in the presence of spillover effect.
Abstract: This paper is a practical guide for researchers and practitioners who want to understand spillover effects in program evaluation. The paper defines spillover effects and discusses why it is important to measure them. It explains how to design a field experiment to measure the average effects of the treatment on eligible and ineligible subjects for the program in the presence of spillover effects. In addition, the paper discusses the use of nonexperimental methods for estimating spillover effects when the experimental design is not a viable option. Evaluations that account for spillover effects should be designed such that they explain the cause of these effects and whom they affect. Such an evaluation design is necessary to avoid inappropriate policy recommendations and neglecting important mechanisms through which the program operates.

Journal ArticleDOI
TL;DR: Analysis of the relationship between economic conditions and health with a focus on different approaches to geographic aggregation reveals that the results are sensitive to the level of geographic aggregation with more-disaggregated analyses-particularly county-level analyses-routinely producing estimates that are smaller in magnitude.

Journal ArticleDOI
TL;DR: In this paper, the structure of return spillovers is examined by constructing Granger causality networks using daily closing prices of 20 developed markets from 2nd January 2006 to 31st December 2013.
Abstract: The structure of return spillovers is examined by constructing Granger causality networks using daily closing prices of 20 developed markets from 2nd January 2006 to 31st December 2013. The data is properly aligned to take into account non-synchronous trading effects. The study of the resulting networks of over 94 sub-samples revealed three significant findings. First, after the recent financial crisis the impact of the US stock market has declined. Second, spatial probit models confirmed the role of the temporal proximity between market closing times for return spillovers, i.e. the time distance between national stock markets matters. Third, a preferential attachment between stock markets exists, i.e. the probability of the presence of spillover effects between any given two markets increases with their degree of connectedness to others.

Journal ArticleDOI
TL;DR: In this paper, the existence of direct and spillover effects of road, railway, airport and seaport infrastructure projects is tested by estimating a production function in the form of a Spatial Durbin Model and is estimated using panel data from the 47 peninsular Spanish provinces by alternatively applying a Maximum Likelihood estimator and Instrumental Variables/Generalized Method of Moments estimators.
Abstract: Transportation infrastructure services may cause an impact on the economy of the region in which they are located and, additionally, they are likely to have an impact on other regions. This effect has been labeled the spillover effect. In this study, the existence of direct and spillover effects of road, railway, airport and seaport infrastructure projects is tested by estimating a production function. Together with this primary objective, two common concerns in the literature are addressed: the lack of theoretical foundations for spatial econometrics models and the likely endogenous relationship between transport infrastructure and economic development. The estimated production function takes the form of a Spatial Durbin Model and is estimated using panel data from the 47 peninsular Spanish provinces by alternatively applying a Maximum Likelihood estimator and Instrumental Variables/Generalized Method of Moments estimators. According to the estimates, road transport infrastructure positively affects the output of the region in which the infrastructure is located and its neighboring provinces, while the remaining modes of transportation projects cause no significant impacts on average.

Journal ArticleDOI
TL;DR: In this paper, the authors estimate international spillover effects of US Quantitative Easing (QE) on emerging market economies using a Bayesian VAR on monthly US macroeconomic and financial data.
Abstract: We estimate international spillover effects of US Quantitative Easing (QE) on emerging market economies. Using a Bayesian VAR on monthly US macroeconomic and financial data, we first identify the US QE shock with non-recursive identifying restrictions. We estimate strong and robust macroeconomic and financial impacts of the US QE shock on US output, consumer prices, long-term yields, and asset prices. The identified US QE shock is then used in a monthly Bayesian panel VAR for emerging market economies to infer the spillover effects on these countries. We find that an expansionary US QE shock has significant effects on financial variables in emerging market economies. It leads to an exchange rate appreciation, a reduction in long-term bond yields, a stock market boom, and an increase in capital inflows to these countries. These effects on financial variables are stronger for the "Fragile Five" countries compared to other emerging market economies. We however do not find significant effects of the US QE shock on output and consumer prices of emerging markets.

Journal ArticleDOI
TL;DR: In this paper, 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.

Posted Content
TL;DR: In this article, the authors examine the product market spillover effects of hedge fund activism on the industry rivals of target firms and find that hedge fund intervention has negative real and stockholder wealth effects on the average rival firm.
Abstract: We examine the product market spillover effects of hedge fund activism (HFA) on the industry rivals of target firms. HFA has negative real and stockholder wealth effects on the average rival firm. The effects on rivals' product market performance is commensurate with post-activism improvements in target’s productivity, cost and capital allocation efficiency, and product differentiation. Financially constrained rivals accommodate these improvements but those facing high intervention threat respond effectively to them. The spillover effects are strengthened in less concentrated and low entry barrier industries. The results are robust to the alternative hypothesis of strategic target selection by hedge funds.

Journal ArticleDOI
TL;DR: In this article, a static and dynamic gravity model was developed to test the determinants of FDI between 14 investment partners and 39 host countries during the period 1990-2011 and evaluate the impact of the recent economic crisis on FDI.

Posted Content
TL;DR: In this article, the authors used a novel data set on capital control actions in 17 emerging-market economies (EMEs) over the period 2001-11, and provided new evidence on domestic and multilateral (or spillover) effects of capital controls.
Abstract: Using a novel data set on capital control actions in 17 emerging-market economies (EMEs) over the period 2001–11, we provide new evidence on domestic and multilateral (or spillover) effects of capital controls. Our results, based on panel vector autoregressions, suggest that capital control actions had limited impact on the variables of the monetary policy trilemma, as a result of offsetting resident flows and ample investment opportunities in EMEs. These findings highlight the importance of the macroeconomic context and of the increasing role of resident flows in understanding the effectiveness of capital inflow management. Tightening of capital inflow restrictions in Brazil, Russia, India, China and South Africa (the BRICS) generated significant spillovers via bank lending and exchange rates, particularly in the post-2008 environment of abundant global liquidity. Spillovers seem to be strongest among the BRICS and in Latin America. These results are robust to various specifications of our models.

Journal ArticleDOI
TL;DR: In this paper, the authors examined the impact of negative work-to-family and family to work spillover on feelings of depression and life satisfaction, as well as crossover effects between partners.
Abstract: Combining work and family can be a significant source of tension and conflict. For young dual-earner couples especially it is a challenge to find a balance. We examine the impact of negative work-to-family and family-to-work spillover on feelings of depression and life satisfaction, as well as crossover effects between partners. Of particular interest are differences between married and cohabiting partners. Dyadic data stemming from a subsample of the Belgian survey ‘Relationships in Flanders’ (2010) are used (N newlywed couples = 376, N recently cohabiting couples = 344). Regressions confirm that both work-to-family and family-to-work spillover are major stressors. In line with gender role theories, men seem somewhat more affected by family-to-work spillover; women by work-to-family spillover, also when their partner allows work to interfere with family. Overall, the cohabiting do not feel more distressed, but do feel less satisfied with life. Moreover, interesting differences appear when comparing both ...

Journal ArticleDOI
TL;DR: In this paper, the authors identify and measure the "inter-regional" effects of spatial agglomeration in tourism considering the occurrence and strength of the geographic spillover effects in both localisation-driven and urbanization-driven clusters in Poland (NUTS-4 level).
Abstract: The goal of this study is to identify and measure the ‘inter-regional’ effects of spatial agglomeration in tourism considering the occurrence and strength of the geographic spillover effects in both localisation-driven and urbanisation-driven clusters in Poland (NUTS-4 level). In particular, we modify the standard cluster-mapping procedure based on the location quotient (LQ) to take into account the agglomeration phenomenon outside the administrative boundaries of territorial units.The research subject is the concentration of the economic activity in tourism (tourism agglomeration) of localisation and urbanisation types, which reflect the agglomeration economies and externalities and the spatial inter-dependence of tourism flows and supply in neighbouring regions. As tourism flows frequently and freely among different regions and tourism supply is heterogeneous and complementary to other sectors of the regional economy, it is crucial to discriminate between cluster types and geographic spillovers, as well...

Journal ArticleDOI
TL;DR: In this paper, the authors consider what happens when two competing firms invest in a shared supplier and analyze the equilibrium outcomes in terms of the number of investing firms and capacity levels for each scenario; realized capacity is a stochastic function of investment levels.
Abstract: When firms invest in a shared supplier, one key concern is whether the invested capacity will be used for a competitor. In practice, this concern is addressed by restricting the use of the capacity. We consider what happens when two competing firms invest in a shared supplier. We consider two scenarios that differ in how capacity is used: exclusive capacity and first-priority capacity. We model firms' investment and production decisions, and analyze the equilibrium outcomes in terms of the number of investing firms and capacity levels for each scenario; realized capacity is a stochastic function of investment levels. We also identify conditions under which the spillover effect occurs, where one firm taps into the other firm's invested capacity. Although the spillover supposedly intensifies competition, it actually discourages firms' investment. We also characterize the firms' and supplier's preference about the capacity type. While the non-investing firm always prefers spillovers from the first-priority capacity, the investing firm does not always want to shut off the other firm's access to its leftover capacity, especially when allowing spillover induces the other firm not to invest. The supplier's preference depends on the trade-off between over-investment and flexibility