Spillover effect

About: Spillover effect is a research topic. Over the lifetime, 7869 publications have been published within this topic receiving 167367 citations.

Information flows between non-deliverable forward (NDF) and spot markets: Evidence from Korean currency

Abstract: This paper investigates the interrelation and information flows between the Won–Dollar spot and offshore forward, i.e., NDF markets. In particular, this paper focuses on the impact of the reform in the Korean exchange rate systems, which occurred in December 1997 in response to the currency crisis, on the relation between the two markets. Using the augmented GARCH formulation, this paper finds that during the pre-reform period a mean spillover effect exists from the spot to the NDF market but not vice versa, and a volatility spillover effect exists in both directions. After the reform, however, the results are reversed and a mean spillover effect exists from the NDF to the spot market. Also, the volatility spillover effect exists only in the same direction. These findings suggest that there are information flows between the two markets, and the reform has changed the direction of the dynamic relation.

The Impact of IT-Related Spillovers on Long-Run Productivity: An Empirical Analysis

Abstract: This paper examines the effects of IT-related spillovers on firm-level productivity improvements over a long-term horizon. In contrast, prior research has largely focused on the direct and contemporaneous impacts of IT investments. As a result, we do not fully understand how IT investments are associated with ongoing productivity improvements in future periods and how spillovers influence these gains. In this paper, we examine whether firms receive incremental benefits from IT-related spillovers and whether these spillovers lead to more persistent returns. We focus on the spillovers that accrue to firms from their interindustry transactions, especially the IT services industry. We model and estimate the impact of spillovers on long-run productivity using firm-level data from the manufacturing, transportation, trade, and services sectors. We find that spillover impacts are highly significant, but that the magnitude and persistence of the impacts vary. Firms with high IT intensity receive greater spillover benefits from the IT services industry. Moreover, these benefits are sustained over a long-term horizon. However, the impact of IT-related spillovers does not persist in low IT intensity firms regardless of the source. Overall, our results shed light on the existence and sources of IT-related spillovers and on their important role in shaping the long-run returns to IT investment. Our results also help explain the findings of excess returns to IT investment in the IT productivity literature.