Fire sales by euro area banks and funds: What is their asset price impact?

The assets under management of investment funds have soared in recent years, triggering a debate on their possible implications for financial stability. We contribute to this debate assessing the asset price impact of fire sales in a novel partial equilibrium model of euro area funds and banks calibrated over the period between 2008 and 2017. An initial shock to yields causes funds to sell assets to address investor redemptions, while both banks and funds sell assets to keep their leverage constant. These fire sales generate second-round price effects. We find that the potential losses due to the price impact of fire sales have decreased over time for the system. The contribution of funds to this impact is lower than that of banks. However, funds’ relative contribution has risen due to their increased assets under management and banks’ lower leverage and rebalancing towards loans. Should this trend continue, funds will become an increasingly important source of systemic risk.     

Inertia Risk: Improving Economic Models of Catastrophes*

We model endogenous catastrophic risk in a new way. We call it “inertia risk”, which accounts for delays between physical variables and the hazard rate – a characteristic often observed in reality. The added realism significantly affects optimal policies relative to the standard model of catastrophic risk. The probability of a catastrophe occurring at some point in time can span the entire interval [0,1], and is not 0 or 1 as is typical in standard models. Inertia risk can also generate path dependences. We illustrate the implications for policy in a simple model of climate change.     

Estimating the Enduring Effects of Fertiliser Subsidies on Commercial Fertiliser Demand and Maize Production: Panel Data Evidence from Malawi

Most studies of input subsidy programmes confine their analyses to measuring programme effects over a one‐year period. This article estimates the potential longer‐run or enduring effects of fertiliser subsidy programmes on smallholder farm households' demand for commercial fertiliser and maize production over time. We use four waves of panel data on 462 farm households in Malawi for whom fertiliser use can be tracked for eight consecutive seasons between 2003/2004 and 2010/2011. Panel estimation methods are used to control for potential endogeneity of subsidised fertiliser acquisition. Results indicate that farmers acquiring subsidised fertiliser in three consecutive prior years are found to purchase slightly more commercial fertiliser in the next year. This suggests a small amount of crowding in of commercial fertiliser from the receipt of subsidised fertiliser in prior years. In addition, acquiring subsidised fertiliser in a given year has a modest positive impact on increasing maize output in that same year. However, acquiring subsidised fertiliser in multiple prior years generates no statistically significant effect on maize output in the current year. These findings indicate that potential enduring effects of the Malawi fertiliser subsidy programme on maize production are limited. Additional interventions that increase soil fertility can make using inorganic fertiliser more profitable and sustainable for smallholders in sub‐Saharan Africa and thereby increase the cost‐effectiveness of input subsidy programmes.     

The Role of Financial Ratios in the Variance of Stock Trading Volume in Emerging Stock Markets

The study used quarterly panel data of 6 years from 2010 to 2015 of all companies listed on both Vietnamese stock markets including the Ho Chi Minh City Stock Exchange and Ha Noi Stock Exchange, and on three leading industries consisting of insurance-banking, foodstuff, and real estate to explore the relationship among four key financial ratios and stock trading volume. Two models, fixed effects model (FEM) and random effects model (REM), with robust standard errors, were applied for this study. The key findings showed that earnings before tax on sales, debt on owner’s equity, and owner’s equity on total assets significantly influenced trading volume.     

Competition in the stock market with asymmetric information

We build a game theoretical model to examine how the level of information advantage of insiders and the competition between insiders and sophisticated investors affect stock price movements and traders’ trading strategies and profits. We show that the competition between insiders and sophisticated investors can reduce the losses of less sophisticated investors, and thus alleviates the disadvantaged position of the less sophisticated investors. Further, traders’ profits are affected by the accuracy of insiders’ private information, and the number of days that insiders have obtained the information in advance. These findings show the importance of information transparency and the role of sophisticated investors in limiting insiders’ trading advantages and mitigating the expropriation of investors by insiders.     

Herding behavior in the Pakistan stock exchange: Some new insights

This study attempts to examine the presence of herding behavior in the Pakistan Stock Exchange (PSX). The novel contribution of this paper is that it investigates the herding phenomenon from a large number of facets such as herding of firms towards market, herding of firms towards industry portfolios, herding of industry portfolios towards market, herding in mostly traded stocks and in large and small stocks, and herding in the crisis period. For this purpose, we use the herding behavior model of Christie and Huang (1995) on the daily closing prices data of 609 firms listed on the PSX from January 2004 to December 2013. Results show that individual firms do not herd towards market index, except when the market experiences a negative return of 5%. However, when we sort firms into small and large groups based on median market capitalization, results indicate that large firms show herding behavior in extreme market movements. Further, we find that firms in several industries herd towards their industry portfolios. However, we find weak evidence of industry portfolios herding towards the market. We also segregate the impact of financial crisis of 2008 from normal times. These findings support results of our baseline estimation.     

Experiential Marketing and Long-Term Sales

This study investigates the ability of winery tasting rooms to create brand awareness and build long-term brand loyalty. Specifically, we test the conjecture that if tasting rooms create brand awareness and a pleasurable tasting room experience, then those visitors are more likely to recognize and seek out those brands once they leave the tasting room. To measure these effects, we exploit differences in tasting room characteristics to conduct a series of natural experiments from which we analyze differences in off-premise retail sales away from the tasting room. We use scan data on wine sold off-premise through traditional retail outlets to then test for differences among tasting room characteristics. Our results indicate that tasting rooms act as a form of experiential marketing for wineries, creating brand awareness and generating greater growth in off-premise retail sales. Finally, we address issues of endogeneity and unobserved heterogeneity as potential sources of bias.     

A COOL Effect: The Direct and Indirect Impact of Country-of-Origin Disclosures on Purchase Intentions for Retail Food Products

Retailers recently became required to provide specific country-of-origin information for muscle cuts of beef, chicken, pork, lamb, and goat. Drawing from the consumer inference and activation theory literatures, hypotheses are offered regarding how consumers use country-of-origin labeling (COOL) to draw inferences related to specific product attributes and how these inferences, in turn, lead to differences in mediation effects for purchase intentions. Results from a pilot study and two experiments reveal that consumers are more likely to purchase meat when it is identified as a U.S. product. Furthermore, the relative strength of the mediating effects of perceived food safety, taste, and freshness differs as expected. The authors show how the direct and indirect effects of the country-of-origin disclosure are attenuated by the presentation of objective information about the meat processing systems of competing countries. Given the recently mandated COOL disclosures, results have important implications for food retailers, members of the supply chain, and consumers.     

能源碳排放与环境污染空间效应研究——基于能源强度与技术进步视角的空间杜宾计量模型

本文基于空间环境库兹涅茨曲线理论探讨经济发展约束下能源强度和技术进步对大气环境的空间效应作用机理，采用探索性空间分析工具、经典最小二乘估计（OLS）、空间滞后模型（SLM）、空间误差模型（SEM）和空间杜宾--可拓展随机性环境影响评估模型（Spatial Durbin-STIRPAT Models）探索能源碳排放与大气环境污染的空间格局和空间溢出效应。实证估计结果表明，能源碳排放与空气环境污染在空间分布上表现出空间正相关性和空间集聚效应；能源强度与技术进步对能源碳排放与大气环境的空间溢出效应显著。在此基础上提出了相应的政策建议。     

工业集聚与污染排放强度——基于固定效应门限回归模型的再检验

为研究工业集聚对污染排放强度的影响，本文选取2000~2015年全国30个省市（自治区）的面板数据，以工业集聚为门槛变量，利用固定效应门限回归模型，实证分析了不同工业集聚水平对污染排放强度的影响。结果发现：工业集聚对废水排放强度的影响存在显著门槛效应，在达到门槛值前，工业集聚很大程度降低了废水排放强度，在跨过门槛值后，这种作用会减弱。工业集聚与废气排放强度呈显著倒“U”型关系，在工业集聚水平小于门槛值时，工业集聚会加剧废气排放，大于门槛值后，工业集聚会降低废气排放强度。工业集聚会降低废物排放强度，但未出现显著门槛效应。