Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network

This paper investigates the systemic risk spillovers and connectedness in the sectoral tail risk network of Chinese stock market, and explores the transmission mechanism of systemic risk spillovers by block models. Based on conditional value at risk (CoVaR) and single index model (SIM) quantile regression technique, we analyse the tail risk connectedness and find that during market crashes, stock market exposes to more systemic risk and more connectedness. Further, the orthogonal pulse function shows that Herfindahl-Hirschman Index (HHI) of edges has a significant positive effect on systemic risk, but the impact shows a certain lagging feature. Besides, the directional connectedness of sectors shows that systemic risk receivers and transmitters vary across time, and we adopt PageRank index to identify systemically important sector released by utilities and financial sectors. Finally, by block model we find that the tail risk network of Chinese sectors can be divided into four different spillover function blocks. The role of blocks and the spatial spillover transmission path between risk blocks are time-varying. Our results provide useful and positive implications for market participants and policy makers dealing with investment diversification and tracing the paths of risk shock transmission.     

Public acceptance of and heterogeneity in behavioral beach trip responses to offshore wind farm development in Catalonia (Spain)

A combined travel cost – contingent behaviour survey of residents and tourists in Catalonia is conducted on-site to examine the effects on beach recreational demand of developing an offshore wind farm (OWF) project. The survey considers four potential OWF scenarios with different degrees of visual impact. We allow for heterogeneity in trip preferences among individuals and control for on-site sampling through the use of a random parameters negative binomial (RPNB) model and a Multivariate Poisson log-normal (MPLN) model, respectively. The welfare measures derived from the RPNB model relate to the current beach users only, whereas those from the MPLN model refer to the general population of residents and tourists in Catalonia. The results show the importance of the specific place of location of the OWF project and how the installation of wind turbines would significantly decrease the demand for trips, depending on their degree of visual impacts, leading to a substantial welfare loss. However, the results also show that the project mainly would cause a displacement of trips to other beaches within Catalonia rather than outside Catalonia and that the welfare per trip measures generated by the RPNB and MPLN models substantially differ. Policy implications of these findings are discussed.     

Inferring information from the S&P 500, CBOE VIX,and CBOE SKEW indices

This paper compares the information extracted from the S&P 500, CBOE VIX, and CBOE SKEW indices for the S&P 500 index option pricing. Based on our empirical analysis, VIX is a very informative index for option prices. Whether adding the SKEW or the VIX term structure can improve the option pricing performance depends on the model we choose. Roughly speaking, the VIX term structure is informative for some models, while the SKEW is very noisy and does not contain much important information for option prices. This paper also extends Zhang et al. (2017, J Futures Markets, 37, 211–237) into three typical affine models.     

Comparative performances of measures of consumer and economic sentiment in forecasting consumption: a multi-country analysis

ABSTRACT

This paper seeks to compare the capabilities of assorted measures of consumer and economic sentiment in predicting the growth of household expenditure. An analysis of quarterly data on five European countries shows that for none of these can the model which incorporates the EU’s headline consumer confidence indicator be deemed to be significantly inferior to any of its seven rivals. However, the rankings of the sentiment variables are seen to be influenced by: the proportion of total spending by households that is devoted to durable goods; and the nature of the behaviour of consumption over the forecast interval.     

Firm profitability and expected stock returns: Evidence from Latin America

Despite their higher valuation ratios, larger size, and higher investment needs, profitable firms outperform, in both raw and risk-adjusted returns, unprofitable firms in Latin America. The positive effect of firm profitability on stock returns is pervasive in univariate and bivariate sorts, panel regressions, across sub-regional markets, and among small and large stocks. A five-factor model that includes market, size, distress, profitability, and investment factors prices profitability portfolios better than other popular factor models. Five-factor alphas of profitability portfolios tend to be lower and less statistically significant, both individually and collectively, than alphas from other three widely-used pricing models.     

Valuation of VIX and target volatility options with affine GARCH models

In this paper we propose semiclosed-form solutions, subject to an inversion of the Fourier transform, for the price of VIX options and target volatility options under affine GARCH models based on Gaussian and Inverse Gaussian distributions. We illustrate the advantage of the proposed analytic expressions by comparing them with those obtained from benchmark Monte–Carlo simulations. The empirical performance of the two affine GARCH models is tested using different calibration exercises based on historical returns and market quotes on VIX and SPX options.     

The role of gender and its potential channels to affect self-employment in Taiwan

This research investigates the gender differences in the self-employment sector by employing a dynamic panel model with county- and city-level data from 1998 to 2016 in Taiwan. Our study is distinct from most others in this issue in that we explore not only the inter-gender difference, but also the intra-gender differences in self-employment. Following this framework, we first find that women are on average less likely to self-employ than men, and further find that older men, married men, men living in lower income regions and women living in higher income regions are more likely to become self-employed compared to their respective reference groups. We thus argue that gender influences self-employment not only directly but also through interactions with other demographic variables. Separate evaluation of different groups based on demographics should therefore result in better targeting of policies.     

政府质量、科技创新与绿色GDP——中国省际空间溢出效应及区域差异对比

通过构建嵌入政府质量和科技创新因素的经济增长模型，利用中国30个省份2004~2017年的平衡面板数据，实证检验政府质量、科技创新对绿色GDP发展的影响。研究发现：中国绿色GDP存在显著的空间集聚性及明显的区域差异性。在经济权重矩阵影响下，不同地区的政府效率、市场化程度、公平程度和腐败程度对绿色GDP的影响不同，其中政府效率、公平程度能有效促进经济发展较好地区的绿色GDP增长，却会抑制比较落后地区绿色GDP的增长；市场化程度对大部分地区绿色GDP呈现促进作用；腐败程度对地区绿色GDP增长呈阻碍作用。科技创新对各地区绿色GDP均起到积极的促进作用。因此，提升绿色GDP发展水平不仅需要提高地方政府质量，为绿色GDP发展提供符合实际的政策指导意见，还需激活企业科技创新能力，为绿色GDP发展提供有力科技保障。     

Modelling with flexibility through the business cycle: using a panel smooth transition model to test for the lipstick effect

ABSTRACT

Consumer spending typically declines during periods of economic distress, but observers have noted that lipstick purchases appear to increase during recessions, which is often referred to as the lipstick effect. However, the existence of such effect has remained empirically unconfirmed. Using weekly retail scanner data on lipstick sales from 2006 to 2016 in the United States, we applied a Panel Smooth Transition Regression (PSTR) demand model to test the relationship between economic distress and lipstick sales. This flexible demand specification allows regression coefficients to vary as a function of an exogenous macroeconomic variables and fluctuate asymmetrically, non-linearly, and time-varyingly across an unlimited number of regimes. Empirical results show the income elasticity of demand for lipstick decreased rapidly from 0.31 to 0.05 during the 2007–2009 recession, then slowly rebounded to 0.31 by the second quarter of 2014, thus first empirically confirming the existence of the lipstick effect.     

Unconscious Processes of Organizing: Intergroup Conflict in Mental Health Care

A critical but overlooked issue in Weick’s seminal work, The Social Psychology of Organizing (1969/1979), concerns ‘the heat’ of organizing processes, namely, the underground emotional processes underpinning the organizing of conflictual work relationships. We present a qualitative case study of psychiatric agencies mandated by public policy to collaborate but instead engaged in persistent conflict despite its deleterious effects on their working relationship and on the wellbeing of the clients they intended to serve. To explain these conflictual features of organizing, we integrate Weick’s organizing theory with systems psychodynamics to deepen the understanding of emotions in organizing, specifically the motivational forces underpinning sensemaking and actions between interacting psychiatric agencies. This integration of theories reveals a critical feature of the relationship between the conscious and unconscious organizing processes: When a threat is involved, sensemaking and action are overtaken by social defences, resulting in dysfunctional organizing of the primary task. Drawing on these findings, we enrich Weick’s seminal work by developing a model that portrays organizing as the ritualized interaction of emotions, sensemaking and behavioural responses.