Impact of R&D and Technology Diffusion on Productivity Growth: Empirical Evidence for 10 OECD Countries

This paper examines the empirical evidence on the impact of performed R&D and of R&D embodied in intermediate and capital goods on productivity performance in 10 major OECD countries over the last two decades. To quantify intersectoral and international technology flows, industry-level embodied R&D variables were constructed from an input–output (IO) R&D embodiment model. The productivity variables used are discrete Divisia growth indexes of total factor productivity (TFP), which were estimated from an IO growth accounting model. The results from pooled regressions indicate that the rates of return of the R&D variables were positively significant and increasing in the 1980s. In particular, embodied R&D is an important source for TFP growth in services, indicating very high social returns of the flows of capital-embodied technology into this sector. Moreover, the information and communi-cation technology (ICT) cluster of industries played a major role in the generation and cquisition of new technologies at the international level.     

The periurban city: why to live between the suburbs and the countryside

The last 30 years have witnessed the emergence of a new pattern of urban development in France, called the periurban belt. It is defined as a belt outside the city occupied both by households and farmers. We develop a residential model in which households commuting to an employment center may choose to live with farmers in this mixed belt because they value the rural amenities created by farming activities. Both types of agents compete on the land market and the equilibrium conditions allow us to obtain an analytical solution and to provide some insights about the robustness of the periurban form against decreases in commuting costs. Finally, the model is calibrated on French data.     

Static and dynamic forecasting of short-run demand for money

Previous studies of static and dynamic out-of-sample simulations of the demand for money have indicated a breakdown in the short-run real money balances over the past 1974 forecast period. Using the varying parameter regression technique, the findings of this paper demonstrate that previous results are misleading because the shift of the money demand is obscured by the constant coefficient estimation technique. Our estimation procedure has not only drastically improved both static and dynamic forecasts but has also solved the missing money puzzle.     

Public policy,dynamic status preferences,and wealth inequality

This paper studies the effect of productive government spending (taxation) on aggregate savings behavior and its consequences for the dynamics of wealth inequality, taking into consideration key behavioral changes that occur during the process of economic development. Substantial empirical evidence suggests that during this process agents' preferences toward status (positional consumption) evolves according to the average wealth of the society. The sources of wealth include private capital and productive public capital, the latter financed by a distortionary income tax. This dynamic status effect impacts peoples' responses to tax policy in ways which contrast with those of the standard neoclassical model. Specifically, we find that in response to an increase in the income tax, in economies with a strong (weak) enough dynamic status effect, savings and inequality increase (decrease). Incorporating the behavioral changes to fiscal policy expands the set of mechanisms available to explain the observed variations of savings and wealth distribution dynamics that cannot be attributed to technological or other structural factors.     

Short term persistence in mutual fund market timing and stock selection abilities

Using daily return data from 448 actively managed mutual funds over a recent 9-year period, we look for persistence, over two consecutive quarters, in the ability of funds to select individual stocks and time the market. That is, we decompose overall fund performance into excess returns resulting from stock selection and timing abilities and we separately test for persistence in each ability. We find persistence in the ability to time the market only among well performing funds and in the ability to select stocks only among the very best and worst performers. The existing literature patterns appear only when funds are ranked by their overall performance, which includes stock selection, market timing and fees. With respect to overall performance, there is persistence among most poorly performing and only the top well performing funds. Furthermore, the profitability of a winner-picking strategy depends on the rebalancing frequency and potentially the size of the investment. Small investors cannot profit, whereas large investors can take advantage of the class-A share fee structure and realize positive abnormal returns by annually rebalancing their portfolios.     

Patriotic name bias and stock returns

Companies whose names contain the words “America(n)” or “USA” earn positive abnormal returns of about 6% per annum during World War II, the Korean War, and the War on Terrorism. These abnormal returns are not realized immediately upon the outbreak of each of the wars but are accumulated gradually during wartime. Given that no such effect is observed for the Vietnam War, we hypothesize that major, victorious wars arouse investors' patriotic feelings and cause them to gradually and perhaps subconsciously gravitate toward stocks whose name has a patriotic flavor.     

Liquidity Commonality in the London Stock Exchange

Abstract:  A number of events such as the international market crash of October 1987 and the 1997 East Asian crisis show that individual firm liquidity is affected by market-wide factors. However, research in systematic liquidity is still at an embryonic stage and given the gap in the literature, the paper offers first time evidence (to the best of our knowledge) on the presence of systematic liquidity in the UK using FTSE100 and FTSE250 stocks. The unique setting of the London Stock Exchange as regards changes in trading regimes, allows an original answer as to whether changes in the nature of market making from obligatory to non-obligatory, affect commonality in liquidity. Results indicate that commonality is quite strong for FTSE100 stocks at individual and portfolio level, while for the FTSE250 it is strong only at portfolio level. Overall commonality is on average similar across trading regimes, irrespective of the nature of the provision of liquidity.     

On corporate financial distress prediction: What can we learn from private firms in a developing economy? Evidence from Greece

Review of Quantitative Finance and Accounting - Using a large dataset that includes nearly 31,000 Greek private firms we examine the determinants of the probability of corporate financial distress....     

The effects of human capital and R&D upon International trade flows: Evidence from a multi-input,multi-output model for the United States

Zusammenfassung Die Auswirkungen von Humankapital und F&E auf die internationalen Handelsstr?me: Evidenz aus einem Modell mit mehreren Inputs und Outputs für die USA. - In diesem Aufsatz wird ein Modell mit mehreren Inputs und Outputs entwickelt, um den Au▾enhandelssektor der amerikanischen Volkswirtschaft zu untersuchen. Da es sowohl Humankapital als auch F&E auf der Produktionsseite einer offenen Volkswirtschaft modelliert, hat dieses Modell mehrere Vorteile gegenüber früheren Studien, die wie üblich einen Produktionsproze▾ mit nur zwei Inputs verwenden. Die empirischen Ergebnisse deuten darauf hin, da▾ Exportgüter humankapital- und Investitionsgüter forschungsintensiv sind. Au▾erdem ergibt sich, da▾ Erh?hungen des Humankapitals und der F&E-ausgaben zu einem Anstieg der Importe beitragen. Diese Ergebnisse haben weitreichende Implikationen für die Gestaltung sowohl der heimischen Industriepolitik als auch der internationalen Handelspolitik.

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Résumé Les effets du capital humain et de la R&D sur les flux de commerce international: évidence d’un modèle multi-input, multi-output pour les Etats Unis. - Dans cet article l’auteur formule un modèle multi-output, multi-input pour étudier le secteur étranger de l’économie américaine. L’approche de modeler le capital humain et la R&D dans le secteur de production en contexte d’une économie ouverte possède plusieurs avantages vis-à-vis des autres études antérieures qui utilisent seulement le processus de production conventionnel à deux input. Les résultats empiriques suggèrent que des exportations sont intensives en capital humain et que les biens d’investissement sont intensifs en R&D. De plus, il est démontré que les accroissements en capital humain et R&D contribuent à l’accroissement des importations. Ces résultats ont des conséquences importantes pour la formulation de la politique d’industrie et de la politique commerciale.

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Resumen Los efectos del capital humano y de I&D sobre el comercio internacional: evidencia empfrica de un modelo de varios insumos y productos de los EE UU. - En este trabajo se présenta un modelo con varios productos e insumos para estudiar el sector externo de la economfa de los EE UU. Modelar el capital humano y el gasto en I&D como parte del sector productivo de una economfa abierta tiene varias ventajas frente a estudios previos que solo consideran un proceso de producci?n con dos insumos. Los resultados empiricos sugieren que las exportaciones son intensivas en capital humano y que bienes de capital son intensivos en I&D. Ademas, se encuentra que un nivel mas alto de capital humano e I&D contribuira a un aumento en las importaciones. Estos resultados tienen efectos importantes para del diseno de polfticas industriales y comerciales.