What is the major determinant of cross-border banking flows?

This study examines the major determinant of cross-border credit flows through global banks across 70 countries. Employing a Bayesian dynamic latent factor model, we decompose volatilities of banking flows into the contribution of a global common factor, regional common factor, and country-specific factor. The results indicate that the global and regional common factor explains about 40–50 percent of volatility in overall cross-border banking flows. In particular, the contribution of the global common factor increased in the 2000s. Simultaneously, main determinants are largely heterogeneous across countries: this implies that the desirable policy response to credit inflows may differ for each host country.     

A dominance solvable global game with strategic substitutes

Global games emerged as an approach to equilibrium selection. For a general setting with supermodular payoffs, unique selection of equilibrium has been obtained through iterative elimination of strictly dominated strategies. For the case of global games with strategic substitutes, uniqueness of equilibrium has not been proved by iterative elimination of strictly dominated strategies, making the equilibrium less appealing. In this work we provide a condition for dominance solvability in a simple three-player binary-action global game with strategic substitutes. This opens an unexplored research agenda on the study of global games with strategic substitutes.     

A PRIMER ON GLOBAL GAMES APPLIED TO MACROECONOMICS AND FINANCE

This paper shows how to solve global games applied to macroeconomics and finance. We ascertain the roles of public and private information for the determination of a unique equilibrium, and discuss the informative role of market prices. We examine the impact of public information on social welfare, comparing models with and without complementarities at the aggregate level.     

When profession trumps potential: The moderating role of professional identification in employees’ reactions to talent management

Abstract

This study aimed to investigate the role that a professionalized context plays in shaping employee reactions to talent management decisions. We examined the mediating role of felt obligation in the relationship between talent ratings and organizational citizenship behavior. Further, the study tested whether professional identification moderates the relationship between talent ratings and felt obligation towards the organization. Five hundred and ninety-eight teachers that had recently received ratings of their talent status responded to a survey questionnaire. Felt obligation mediated the relationship between talent ratings and organizational citizenship behavior. Furthermore, professional identification moderated the relationship between ratings of potential and felt obligation in such a way that the relationship was strongest for the teachers expressing the lowest professional identification. At high levels of professional identification, the relationship was not significant. These results indicate that conventional talent management might be less effective for increasing favorable attitudes and behaviors among employees in highly professionalized contexts, such as the education sector.     

长江经济带农业绿色生产效率及其时空分异特征研究

［目的］从静态分析和动态分析两个方面，阐释长江经济带农业绿色生产效率和农业绿色全要素生产率的时空分异特征以及生产率增长来源，以期为提高长江经济带农业绿色发展质量提供科学决策依据。［方法］文章基于资源环境约束的角度，利用MinDS模型和Global Malmquist Luenberger指数相结合的方法，测算长江经济带农业绿色生产效率和农业绿色全要素生产率，并将农业全要素生产率变化分解为纯技术效率变化（PEC）、纯技术变化（PTC）、规模效率变化（SEEC）和规模技术变化（SETC）4个部分。［结果］（1）长江经济带农业绿色生产效率水平较高，且呈不断增长趋势，下游地区的农业绿色生产效率高于中、上游，且中、上游与下游地区的差距不断拉大； （2）长江经济带农业绿色全要素生产率增长较快，以3年为1个周期，呈现波动式上升趋势，其增长主要源于纯技术进步和规模技术提高； （3）长江经济带下游农业绿色全要素生产率增长率最高，上游次之，中游最低，其中，下游农业绿色全要素生产率增长主要源于纯技术进步，中游是纯技术效率改进、纯技术进步和规模技术提高共同作用的结果，上游则源于纯技术效率改进、纯技术进步和规模效率提高。［结论］长江经济带上、中、下游三大区域的农业绿色发展水平和发展能力存在较大差异，需制定差异化政策，以调整农业增长模式，促进农业转型升级，实现高质量发展。     

A test for inflation persistence in Nigeria using fractional integration & fractional cointegration techniques

This study seeks to test for inflation persistence in Nigeria using the recently developed fractional cointegration VAR model by Johansen and Nielsen (2012) and complemented with univariate fractional integration techniques. The empirical results suggest evidence of high inflation persistence in Nigeria albeit with a lower trend after the global financial crisis. Also, the major classes of inflation – headline, core and food inflation rates, share long run properties regardless of the sample used. This suggests that any policy action directed at a particular class of inflation will have a spill-over effect on the other classes given the strong association among them. The ability to also exploit the fractional cointegration in a multivariate set-up when modeling inflation is a major contribution of this study and ignoring same may lead to wrong conclusions. However, the results are sensitive to the choice of data frequency.     

Financial statement comparability and bank risk-taking

This study examines the relationship between financial statement comparability and bank risk-taking. Our analysis of a sample of publicly listed U.S. banks over the 1994–2019 period shows that banks with more comparable financial statements are related to significantly less risk-taking. We also find that the negative relationship between comparability and risk-taking is more pronounced for firms with more severe moral hazard and agency problems. Our documented findings are robust across alternative measures of comparability and risk-taking and considering change analysis, after controlling for strength of corporate governance and using propensity score matching and two-stage least squares estimation to address endogeneity concerns. Our analysis also shows that the relationship between financial statement comparability and bank risk-taking is stronger for smaller banks than for larger banks. Overall, this study provides unique insights into the role of financial statement comparability in curbing risk-taking in the banking sector.     

Guarantees,transparency and the interdependency between sovereign and bank default risk

Bank debt guarantees have traditionally been viewed as costless measures to prevent bank runs. However, as recent experiences in some European countries have demonstrated, guarantees may link the coordination problems of bank and sovereign creditors and induce a functional interdependence between the likelihoods of a government default and bank illiquidity. Employing a global-game approach, we model this link, showing the existence and uniqueness of the joint equilibrium and derive its comparative statics properties. In equilibrium, the guarantee reduces the probability of a bank run, while it increases the probability of a sovereign default. The latter erodes the guarantee’s credibility and thus its effectiveness ex ante. By setting the guarantee optimally, the government balances these two effects in order to minimize expected costs of crises. Our results show that the optimal guarantee has clear-cut welfare gains which are enhanced through policies that promote greater balance sheet transparency.     

Impact of macroeconomic surprises on the Brazilian yield curve and expected inflation

This study investigates how unexpected announcements in Brazilian and U.S. macroeconomic indicators affect the term structure of nominal interest rates, as well as implicit inflation expectations and real interest rates. Using daily data from March 2005 to December 2012, we employ an extended Vector Error Correction Model to take into account nonstationarity and the long-term equilibrium among different maturities of those curves. We found empirical evidence that macroeconomic surprises, domestic (Brazilian) and external (U.S. American), which lead the market to believe that there might be a higher risk of inflation or an overheated economy, raise nominal interest rates, implicit expected inflation and real interest rates. Surprisingly, in relation to the efficient-market hypothesis, we found that some macroeconomic surprises have a lagged effect on the yield curves. We also tested the impact of the global financial crisis of 2007–09 and found that the crisis affected significantly the direction and magnitude of the responses to macroeconomic news.