Does economic policy uncertainty raise corporate precautionary cash holdings? Evidence from China

Using China as the research setting, this paper investigates the relationship between economic policy uncertainty and corporate precautionary cash holdings. Empirical results show a U-shaped relation between economic policy uncertainty and corporate precautionary cash holdings. Empirical analysis, in terms of ownership structure, firm size, corporate competitiveness and geographical location, further shows that (i) the effects for economic policy uncertainty in both state-owned and non-state-owned enterprises are significant, but the effect is stronger for state-owned enterprises; (ii) such significant effect is also found more strongly in small and medium-sized enterprises and highly competitive enterprises; and (iii) the effects for eastern, central and western China are all statistically significant, but the effect is strongest for eastern China.     

Robust consumption‐investment problem under CRRA and CARA utilities with time‐varying confidence sets

We consider a robust consumption‐investment problem under constant relative risk aversion and constant absolute risk aversion utilities. The time‐varying confidence sets are specified by Θ, a correspondence from [0, T] to the space of the Lévy triplets, and describe a priori drift, volatility, and jump information. For each possible measure, the log‐price processes of stocks are semimartingales, and the triplet of their differential characteristics is almost surely a measurable selector from the correspondence Θ. By proposing and investigating the global kernel, an optimal policy and a worst‐case measure are generated from a saddle point of the global kernel, and they constitute a saddle point of the objective function.     

Third-party certification and post-IPO acquisitions

ABSTRACT

We explore the link between third-party certification (venture capital backing, analyst following and having a top underwriter), and post-IPO acquisition activity through the reduction in valuation uncertainty channel. In a sample of 2,424 U.S. IPOs, we find that third-party certification facilitates post-IPO acquisitions. The certified firms are both more likely and conduct acquisitions sooner after the IPO. Our results support the notion that third-party certification reduces post-IPO valuation uncertainty and thereby facilitates a more efficient acquisition strategy.     

Uncovering the global network of economic policy uncertainty

This study uncovers the static and dynamic network of economic policy uncertainty (EPU) across 17 developed and emerging economies. We build a centrality network using the minimal spanning tree (MST) as well as a dependency network using partial correlations. Results from the MST show that EPU exhibits some degree of geographical connections with EPUs in seven countries in the sample directly linked to the US EPU. Evidence from dynamic time-varying MST reveals that the nature and dominance of the EPU network have changed significantly over time. Further, the US and German EPUs dominate a close-knit global policy uncertainty network with the highest net (To and From) transmitter of information flow in the dependency network. Greece, Russia, and Brazil are the top three net receivers of information in the global network of EPU. The policy implication of these results relates to the renewed and ongoing international debate on policy coordination.     

Does economic policy uncertainty affect cryptocurrency markets? Evidence from Twitter-based uncertainty measures

Using daily data from August 9, 2015, to July 7, 2020, this study examines the effects of economic policy uncertainty (EPU) on the returns of four cryptocurrencies: Bitcoin, Ethereum, Litecoin, and Ripple. To this end, two new measures of EPU (Twitter-based economic uncertainty and Twitter-based market uncertainty) are considered. A Granger causality test using the recursive evolving window approach shows a significant causality between the Twitter-based EPU measures and the BTC/USD exchange rate from October 2016 to July 2017. Moreover, a significant causality was noted from the EPU measures to the ETH/USD exchange rate from June 2019 to February 2020 and from the EPU measures to the XRP/USD exchange rate from January 2020 to February 2020. The Twitter-based EPU measures primarily positively affect the returns of the related cryptocurrencies during these periods. These results are robust to different measures of Twitter-based EPU and different econometric techniques. Potential implications, including the COVID-19 era, are also discussed.     

Pricing a rural development program: uncertainty,indifference, and protest behaviors

This article presents an econometric approach to modeling uncertainty, unwillingness to pay, and protest behavior in contingent valuation studies. For that purpose, a mixture model with sample selection is developed for a multiple‐bounded uncertainty elicitation format. The proposed theoretical framework is applied to evaluate the social welfare impact of implementing a sustainable rural development program. Results show that a “naive” analytical approach that excludes protesters from the analysis would result in significantly higher willingness to pay estimates for those individuals who favor the implementation of the program and agree to reveal their true reservation prices.     

Public Provision of Private Goods,Self‐Selection,and Income Tax Avoidance

Redistributive taxation should benefit those with low earnings capacity rather than those who choose a lower income to obtain tax savings. Several contributions have highlighted how public provision of work complements can discourage people from lowering labor supply to diminish taxable income. We show how tax avoidance, previously neglected, can alter the conclusions regarding public provision. Tax avoidance breaks the link between labor supply and reported income. An agent reducing his reported income to escape taxes might no longer forego a publicly provided labor complement, because he can now lower his income by avoiding more rather than working less.     

The uncertainty challenge of contingent collaboration

Contingent knowledge workers will play an increasingly important role in organisational success as workers transition in and out of project‐based innovation teams with more frequency. Our research finds that collaborators in the contingent, high‐skill workforce face uncertainty challenges to their work that are unique from the independent, contingent professionals more often studied. The article proposes a theoretical framework of uncertainty to guide us in understanding collaborative contingent knowledge workers’ work experience. Interviews with postdoctoral researchers reveal four findings about the influence of these highly uncertain work environments on collaborative contingent knowledge workers – collaboration isolation, frustrated independence, performance anxiety and internalised blame. Perhaps most concerning is that the workers internalise the negative impacts as personal failings instead of recognising them as consequences of a poorly designed work environment. This study argues for the need to manage and mitigate different sources of uncertainty to avoid creating an unnecessary burden on contingent knowledge workers, and to enable a sustainable, contingent knowledge workforce.     

国际油价冲击与中国的经济增长——基于非对称关系视角的分析

本文基于季度数据，引入非对称协整模型，考察国际油价与中国经济增长的动态关系，并鉴于油价波动对不发达经济体可能的冲击，还测度了油价的不确定性并探析其对经济增长的影响，结果表明：（1）从短期来看，国际油价变化是国内经济增长的单向Granger原因，“中国因素”对全球油价变化的影响尚不明显；（2）从长期来看，国际油价和经济增长具有非对称协整关系，油价上涨对经济的影响明显大于油价下跌所产生的效应；（3）国际石油市场存在正反馈交易行为，导致油价波动在油价上涨时表现更加明显。油价不确定性在短期内对经济增长存在负面影响，长期中则不会显著影响经济增长。以上结果意味着必须高度重视石油安全问题，加强油价波动预警与风险管理系统。     

Sentiment,mood and outbound tourism demand

We investigate spillover effects from sentiment and mood shocks on US outbound tourism demand from 1996 until 2013. We use the Index of Consumer Sentiment and Economic Policy Uncertainty Index as proxies for sentiment and the S&P500 as a proxy for mood. We find a moderate to high interrelationship among sentiment, mood and outbound tourism demand. More importantly, sentiment and mood indicators are net transmitters of spillover shocks to outbound tourism demand. The magnitude of spillover effects sourced by sentiment and mood is time-varying and depends on certain socio-economic and environmental events. Our results have important implications for policymakers and travel agents in their efforts to predict tourism arrivals from key origin countries and to plan their tourism strategy.