Investigating first‐stage exchange rate pass‐through: Sectoral and macro evidence from euro area countries

In this paper, we evaluate the first‐stage pass‐through, namely the responsiveness of import prices to the exchange rate changes, for a sample of euro area (EA) countries. Our study aimed to shed further light on the role of microeconomic factors versus macroeconomic factors in influencing the extent of the exchange rate pass‐through (ERPT). As a first step, we conduct a sectoral analysis using disaggregated import prices data. We find a much higher degree of pass‐through for more homogeneous goods and commodities, such as oil and raw materials, than for highly differentiated manufactured products, such as machinery and transport equipment. Our results confirm that cross‐country differences in pass‐through rates may be due to divergences in the product composition of imports. The higher share of imports from sectors with lower degrees of pass‐through, the lower ERPT for an economy will be. In a next step, we investigate for the impact of some macroeconomics factors or common events experienced by EA members on the extent of pass‐through. Using the system generalised method of moments within a dynamic panel‐data model, our estimates indicate that decline of import‐price sensitivity to the exchange rate is not significant since the introduction of the single currency. Our findings suggest instead that the weakness of the euro during the first 3 years of the monetary union significantly raised the extent of the ERPT. This outcome could explain why the sensitivity of import prices has not fallen since 1999. We also point out a significant role played by the inflation in the Eurozone, as the responsiveness of import prices to exchange rate fluctuations tends to decline in a low and more stable inflation environment. Overall, our findings support the view that the extent of pass‐through is comprised of both macro‐ and microeconomic aspects that policymakers should take into account.     

技术创新、金融创新与经济增长——基于中国省际面板数据

本文从实证分析层面对金融创新、技术创新与经济增长之间的作用关系进行探讨。基于我国 2000~2015 年省级面板数据，采用GMM估计方法，利用动态面板模型进行实证检验。结果表明：技术创新对经济增长的影响显著为正，单独的金融创新对经济增长起抑制作用，二者的交互作用则对经济增长起显著性正向作用。脱离实体经济的金融创新将抑制经济增长，也会间接阻碍技术创新对经济增长的影响。本文结合当前经济形势，从金融机构与创新企业相接轨共同提高创新水平、培养创新型人才等角度提出建议。     

A general endogenous grid method for multi-dimensional models with non-convexities and constraints

The endogenous grid method (EGM) significantly speeds up the solution of stochastic dynamic programming problems by simplifying or completely eliminating root-finding. We propose a general and parsimonious EGM extended to handle (1) multiple continuous states and choices, (2) multiple occasionally binding constraints, and (3) non-convexities such as discrete choices. Our method enjoys the speed gains of the original one-dimensional EGM, while avoiding expensive interpolation on multi-dimensional irregular endogenous grids. We explicitly define a broad class of models for which our solution method is applicable, and illustrate its speed and accuracy using a consumption–saving model with both liquid assets and illiquid pension assets and a discrete retirement choice.     

Optimal surveillance against foot‐and‐mouth disease: the case of bulk milk testing in Australia

Previous foot‐and‐mouth disease (FMD) outbreaks and simulation‐based analyses suggest substantial payoffs from detecting an incursion early. However, no economic measures for early detection have been analysed in an optimising framework. We investigate the use of bulk milk testing (BMT) for active surveillance against an FMD incursion in Australia. We find that BMT can be justified, but only when the FMD entry probability is sufficiently high or the cost of BMT is low. However, BMT is well suited for post‐outbreak surveillance, to shorten the length of time and size of an epidemic and to facilitate an earlier return to market.     

Risk-Taking Behavior and Capital Adequacy in a Mixed Banking System: New Evidence from Malaysia Using Dynamic OLS and Two-Step Dynamic System GMM Estimators

This study is the first attempt to investigate the relationship between the level of risky assets and capital level in a mixed Malaysian banking system covering 83 months starting December 2006. The results of dynamic ordinary least squares indicate positive relationship between capital ratio (CAR) and risk-weighted asset ratio (RWA) in the long run. Furthermore, the causality analysis based on panel vector error correction model (VECM) and two-step dynamic system generalized method of moments indicates unidirectional causality from CAR to RWA. Our results further suggest that higher capital growth and capital buffer provide an extra cushion for the Malaysian banks to pursue relatively riskier financial activities, and the nature of risk-taking behavior of Islamic banks follows that of the conventional banks.     

Efficiency evaluation of the regional high-tech industry in China: A new framework based on meta-frontier dynamic DEA analysis

This paper proposes a new framework based on the combination of the dynamic DEA, meta-frontier analysis theory, and truncated regression model, and then focuses on the efficiency evaluation of regional high-tech industries in China. For all of the overall technical efficiency, technical efficiency, and scale efficiency scores, the east area is always in the lead, with the central and west areas obviously lagging behind. The eastern area has the highest technology level, whereas the west and central areas fall behind in turn. However, the meta-technology ratio of the west area has rapidly increased and presents a trend of catching up with the east. The variables of GRP per capital, total exports and imports, highway mileage per capita, and ratio of tertiary industry to GRP have positive relationships with technical efficiency, and the time trend exhibits a negative coefficient.     

Analysing job creation effects of scaling up infrastructure spending in South Africa

In a first for South Africa, this article draws on literature on infrastructure productivity to model dynamic economy-wide employment impacts of infrastructure investment funded with different fiscal tools. Using a dynamic computable general equilibrium model, the South African investment plan is modelled, given the infrastructure externality. Alternative fiscal scenarios to finance the policy are modelled in the article. In the long run, unemployment decreases for all types of workers under one of the scenarios. In the short run, only elementary occupation workers benefit from a decrease in unemployment; for the rest, unemployment rises.     

Dynamics of female labour force participation in France

This article formulates and estimates a structural intertemporal model of labour force participation. Relying on theoretical characterizations derived from an economic model of lifetime behaviour, we estimate a dynamic probit model with correlated random effects using longitudinal data to allow for a dynamic structure. The model is applied to a panel of married women drawn from the 1997–2002 French Labour Force surveys in order to represent their participation behaviour. It is estimated by maximum simulated likelihood. Our results show that women’s decisions to go out to work are characterized by significant state dependence, unobserved heterogeneity and negative serial correlation in the transitory error component. In addition, we find that the presence of young children in a woman’s household reduces her labour participation, but unequally according to their age and number. As expected, educational level has a positive impact on women’s participation. Last, a rise in the husband’s wage is found to raise female participation initially and to lower it subsequently. This empirical finding suggests that leisure may not systematically be a normal good, contrary to what is frequently assumed in the literature.     

On emerging stock market contagion: The Baltic region

This study provides new evidence on emerging stock market contagion during the Global Financial crisis (GFC) and the Euro zone Sovereign Debt Crisis (ESDC). Focusing on the three emerging Baltic markets and developed European markets, proxied by the EUROSTOXX50 stock index, we explore asymmetric dynamic conditional correlation dynamics across stable and crisis periods. Empirical evidence indicates a diverse contagion pattern for the Baltic region across the two crises. Latvia and Lithuania were contagious during the GFC, while they were insulated from the adverse effects of the ESDC. On the other hand, Estonia decoupled from the negative consequences during the global turmoil period, but recoupled during the ESDC. The results could be attributed to financial and macroeconomic characteristics of the Baltic countries before and after the turmoil periods and the introduction time of the Euro as a national currency.     

Impact of oil price changes on Turkey’s exports

Substantial decline in oil prices observed since the second half of 2014 has brought forward discussions on the impact of oil prices on the external balance. This decline is expected to shift real income from oil exporter countries to oil importer countries. In this context, we study the effect of change in oil prices on Turkey’s exports taking into account the fact that Turkey’s export to oil exporting countries has approximately one-third share in total exports, while export to oil importing countries has a share of two-thirds. At the first step, we analyse the effect of oil prices on economic growth of trade partners of Turkey, where countries are grouped according to their net oil export position. We find that the effect of oil prices on different country groups’ growth is asymmetric. In the second stage, for two groups of countries, we estimate growth-export elasticity through Turkey’s export demand function. Finally, we calculate the net effect of oil prices on exports considering different income effects caused by oil price change on each country groups. Results indicate that the net effect of oil prices on the exports is limited given the current export shares.