The Displacement Effect of Public Pensions on the Accumulation of Financial Assets*

The generosity of public pensions may depress private savings and provide incentives to retire early. While there is plenty of evidence supporting the latter effect, there remains considerable controversy over whether public pensions crowd out private savings. This paper uses international micro‐data sets collected over recent years to investigate whether public pensions displace private savings. The identification strategy relies not only on cross‐country differences in generosity but also on differences in the progressivity or non‐linearity of pension formulas across countries. We estimate that an extra dollar of pension wealth depresses accumulated financial assets around the time of retirement by 22 cents. An extra 10,000 dollars in public pension wealth reduces the average retirement age by roughly one month, which implies an elasticity of years of retirement with respect to pension wealth of 0.15.     

How large is liquidity risk in an automated auction market?

We introduce a new empirical methodology that models liquidity risk over short time periods for impatient traders who submit market orders. Using Value-at-Risk type measures, we quantify the liquidity risk premia for portfolios and individual stocks traded on the automated auction market Xetra. The specificity of our approach relies on the adequate econometric modelling of the potential price impact incurred by the liquidation of a portfolio. We study the sensitivity of liquidity risk towards portfolio size and traders' time horizon, and interpret its diurnal variation in the light of market microstructure theory.

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Asset Prices as Indicators of Euro Area Monetary Policy: An Empirical Assessment of Their Role in a Taylor Rule

This paper estimates forward-looking and forecast-based Taylor rules for France, Germany, Italy, and the euro area. Performing extensive tests for over-identifying restrictions and instrument relevance, we find that asset prices can be highly relevant as instruments in policy rules. While asset prices improve Taylor rule estimates, different assets prove most relevant across countries and this result could be seen as complicating the tasks of the European Central Bank. Encompassing tests show that forecast-based outperform forward-looking Taylor rules. A policy implication is that central banks ought to release their own forecasts and the basis upon which they are generated.

Repeated interaction in standard setting

Standardization may allow the owners of standard‐essential patents to charge higher royalties than would have been negotiated ex ante. In practice, however, standard‐setting efforts are often characterized by repeated interaction and complementarities among technologies. These features give firms that contribute technology to standards both the ability and the incentive to avoid excessive royalties by threatening to exclude other technology contributors from future rounds of standardization if they charge royalties exceeding ‘fair, reasonable, and nondiscriminatory’ (FRAND) levels. We show that such an outcome can be sustained as a subgame‐perfect equilibrium of a repeated standard‐setting game and examine how the decision‐making rules of standard‐setting organizations (SSOs) affect the sustainability of FRAND royalties. Our analysis provides a novel justification for super‐majority requirements and other rules frequently adopted by SSOs.     

A unified approach to systemic risk measures via acceptance sets

We specify a general methodological framework for systemic risk measures via multidimensional acceptance sets and aggregation functions. Existing systemic risk measures can usually be interpreted as the minimal amount of cash needed to secure the system after aggregating individual risks. In contrast, our approach also includes systemic risk measures that can be interpreted as the minimal amount of cash that secures the aggregated system by allocating capital to the single institutions before aggregating the individual risks. An important feature of our approach is the possibility of allocating cash according to the future state of the system (scenario‐dependent allocation). We also provide conditions that ensure monotonicity, convexity, or quasi‐convexity of our systemic risk measures.     

Asia's ‘little divergence’ in the twentieth century: evidence from PPP-based direct estimates of GDP per capita, 1913–69

This article uses expenditure-based purchasing power parities (PPPs) to estimate GDP per capita in comparable prices for 12 Asian countries for six benchmark years during the period 1913–69. The article finds that in 1913 levels of real GDP per capita in several countries were comparable to those in Japan. GDP per capita in Japan and other Asian countries diverged during and after the First World War. The article questions whether Asia's ‘little divergence’ between Japan and other Asian countries dates back to the late eighteenth century. It draws attention to the different resource endowments of Japan, China, and India compared to other Asian countries, and their implications for the development trajectories of Asian countries. The article demonstrates that using historical PPP estimates yields estimates of GDP per capita that diverge from those based on retropolations of the single 1990 PPP-converted benchmark year. It concludes that historical estimates of PPPs are needed to confirm analyses of comparative economic performance based on available GDP per capita data.     

Did foreign exchange holding influence growth performance during the global financial crisis?

In a context of increased foreign exchange reserves holding from emerging and developing countries, this paper investigates the diminishing return of reserves holding assumption over the most severe phase of the global financial crisis (2008Q1–2010Q4). Relying on a Panel Smooth Transition Regression model, we highlight the differential effect of the accumulation of foreign exchange reserves for a set of financial vulnerabilities variables. In a specific manner, although reserves accumulation is effective above a critical threshold to cope with vulnerabilities related to the financial channel, we show that it becomes less effective beyond a certain threshold for domestic bank vulnerabilities. Our results are robust to alternative specifications.     

Gender and Promotions: Evidence from Academic Economists in France*

The promotion system for French academic economists provides an interesting environment to examine the promotion gap between men and women. Promotions occur through national competitions for which we have information both on candidates and on those eligible to be candidates. Thus, we can examine the two stages of the process: application and success. Women are less likely to seek promotion, and this accounts for up to 76 percent of the promotion gap. Being a woman also reduces the probability of promotion conditional on applying, although the gender difference is not statistically significant. Our results highlight the importance of the decision to apply.     

Ethnic divisions and the effect of appropriative competition intensity on economic performance

This paper features a growth model with an appropriative contest and a common-pool investment game between politically organised rival ethnic factions. I determine how the long-run equilibrium coalition shapes incentives to invest, show the existence of a unique steady state, and investigate how the ease to capture rents affects economic performance. The use of numerical simulations concerning a global sample of countries demonstrates that contest intensity can sometimes be beneficial, despite wasteful grabbing behaviours, due to a mechanism related to the concentration of power. When rents become easier to capture, dominant groups have an incentive to expand their influence further. This adjustment can be beneficial as these groups contribute most to capital accumulation.