Do Cryptocurrencies Increase the Systemic Risk of the Global Financial Market?

The advance of cryptocurrencies has sparked wide concern over their interplay with the existing global financial market. This paper analyzes the risk spillover relation between cryptocurrencies and major financial assets, and unravels how cryptocurrencies could influence global financial systemic risk. We find that cryptocurrencies function as a separate risk source from traditional assets. Major legislative, financial and technological events in the cryptocurrency market may affect risk spillover dynamics. Although the overall penetration of cryptocurrencies is not yet deep, introducing cryptocurrency can significantly increase the systemic risk to traditional markets during low risk level episodes.     

Optimal privatization policy with asymmetry among private firms

We revisit the relationship between the optimal privatization policy and market competition indexes such as the Hirschman–Herfindahl index. It is affected by the number of the firms and asymmetry among the sizes of the firms; the smaller the number of firms and the more asymmetry among firms, the higher the market concentration index. The literature on mixed oligopolies suggested that the optimal degree of privatization increases with the number of private firms, and thus, decreases with the market competition index, assuming that all private firms are homogeneous. We investigate how asymmetry among private firms affects the optimal degree of privatization. We propose the simplest and natural model formulation to discuss asymmetry among private firms. We find that the optimal degree of privatization is either nonmonotone or monotonically increasing, and thus never monotonically decreasing, in asymmetry among private firms.     

Self serving reference points in double auctions

We present a novel approach for modelling self serving bias by way of reference dependence. Bias is modelled as a systematic individual level deviation of the endogenous reference point from the expected price of a good in a two person k-double auction. We find that bias decreases the efficiency of the model, and that efficiency is decreasing in both the level of bias and reference dependence.     

苹果种植适度规模经营研究*——以陕西省白水县为例

［目的］分析苹果种植户经济效益的影响因素，研究适合苹果种植的农地规模，提高白水县果农苹果种植的经济效益，探索苹果产业可持续发展经营模式，丰富以果蔬为主的集约型经济作物适度规模经营研究范围。［方法］采用实地调研法，对陕西省白水县230户苹果种植户进行问卷调查，从收益最大化角度，运用柯布道格拉斯生产函数对苹果生产的投入产出进行经济分析，构建收益最大化模型，测算白水县苹果种植的最适规模，分析苹果产量的影响因素，探讨劳动力投入、资本投入、有效面积和果农参加技术培训对苹果产出的影响和贡献程度，并用钱克明等对农地的适度经营规模定义进行结果验证，最后提出合理的政策建议。［结果］经过分析，在同等技术条件下，劳动力投入、资本投入、有效种植面积、果农参加技术培训的次数对苹果的产出具有显著影响。以农户收益最大化模型测算的劳均经营规模面积在0363~0447hm2（544~670亩）的可视为适度规模，根据钱克明等的适度经营规模目标值的计算，其函数解为550，在适度规模范围之内。即户均农地适度经营规模0751~0966hm2（1127~1449亩）。目前白水县苹果生产处于规模报酬递减阶段，农资市场环境和劳动力投入方面仍然存在短板。［结论］建议扩大白水县户均苹果种植面积，提升土地经营效益，从而增加果农收入，支持农业新型经营主体发展，创新发展模式； 建立新型职业农民培育体系，促进苹果种植户剩余劳动力转移，提高农民非农收入； 从法律上规范农村地区农资市场环境； 规范农户绿色生产经营行为，提高化肥的使用效率和开发新的高效肥料； 政府引导农地的适度规模集中，整合资源进行规模化、现代化的经营。     

FINANCE,DISTRIBUTION AND THE ECONOMIC OBJECTIVE OF FINANCIAL COOPERATIVE INSTITUTIONS

This paper proposes a model where the structure rather than the size of the financial sector explains its influence on income distribution. Because of information asymmetries, a financial sector dominated solely by profit‐maximizing financial intermediaries will increase income and wealth inequality as it gives preferential access to credit for high‐income agents, whereas a diversified inclusive financial sector with alternative models of finance, like cooperatives, will reduce the inequality gap. No full convergence in income distribution can be realized through finance only and there is still a need for redistribution policies. Accordingly, an objective function for cooperative financial institutions should define a desired pricing behaviour that can increase the income of members at a rate higher than the average growth rate of the economy.     

The puzzle of greenhouse gas footprints of oil abundance

The present inquiry lays a groundwork for the analysis of the net greenhouse gas (GHG) footprint of oil in the oil-abundant settings. To address the research question, the study puts forward a three-sector decision model, which provides a common ground for the assessment of the interaction of the structuralist and institutional factors influencing environmental pollution in the oil-reliant economies. The study shows that fossil-fuel abundance triggers forces, which induce diametrically opposed effects concerning atmospheric pollution. These are the rising carbon-intensive oil extraction and processing and fossil-fueled power generation versus shrinkage of the carbon-intensive manufacturing and growth of the low-carbon tertiarization. The theoretical analysis enables compartmentalization of the essential factors, which determine GHG emissions in the respective countries. To assess the significance of the proposed theoretical framework, the study employs multivariate panel co-integration techniques and two-stage fixed effects estimations for a dataset of 38 oil-producing countries for the time period between 1960 and 2018. In contrast to the existing literature, this study drives apart from the black box approaches that employ just one omnibus variable, per capita income.     

Does bond market development enhance the banking sector’s efficiency in resource allocation? Industry-level evidence from Korea

Korea’s financial system used to be bank-based, with banks playing the leading role in financing corporations. As highlighted by Park et al. (2019), however, bond markets have developed rapidly in Korea and other Asian countries. The corporate bond market competes with banks as a source of finance for large borrowers. As such, bond markets may affect banking sector operation, a process known as disintermediation. In this paper, we examine whether bond market development improves the efficiency of resource allocation in Korean bank lending. We propose two channels through which bond market development affects the efficiency of bank lending. Since the two channels have opposing effects on the efficiency of banking, the issue must be settled by empirical analysis. We find that bank loans are much less efficient than bond financing in allocating resources across industries. Furthermore, banks are particularly inefficient in resource allocation in industries that rely more on bond financing. This suggests that competition from bond financing does not improve allocative efficiency of bank loans.     

Re‐vitalizing money demand in the Euro area. Still valid at the zero‐lower bound

The analysis of monetary developments has always been a cornerstone of the ECB's monetary analysis and, thus, of its overall monetary policy strategy. In this respect, money demand models provide a framework for explaining monetary developments and assessing price stability over the medium term. It is a well‐documented fact in the literature that, when interest rates are at the zero‐lower bound, the analysis of money stocks become even more important for monetary policy. Therefore, this paper re‐investigates the stability properties of M3 demand in the euro area in the light of the recent economic crisis. A cointegration analysis is performed over the sample period 1983 Q1 and 2015 Q1 and leads to a well‐identified model comprising real money balances, income, the long‐term interest rate and the own rate of M3 holdings. The specification appears to be robust against the Lucas critique of a policy dependent parameter regime, in the sense that no signs of breaks can be found when interest rates reach the zero‐lower bound. Furthermore, deviations of M3 from its equilibrium level do not point to substantial inflation pressure at the end of the sample. Excess liquidity models turn out to outperform the autoregressive benchmark, as they deliver more accurate CPI inflation forecasts, especially at the longer horizons. The inclusion of unconventional monetary policy measures does not contradict these findings.     

Risk,uncertainty, and leverage

Using mostly theoretical models and traditional risk/uncertainty measures (VIX index, panic, precaution, scary bad news, etc.), the current literature tries to clarify the risk/uncertainty-deleveraging pattern. The findings are not sufficient to explain the dynamic empirical relationship between modern risk/uncertainty indicators and leverage. We fill this gap in the literature by using US quarterly data, from 1985:1 to 2018:4, Granger causality tests, and a structural vector autoregression model. We find that commercial bank leverage rises when geopolitical risk and macroeconomic, policy, and equity uncertainty increase. Client-based business relationships of banks and high government borrowing from banks during crises periods are responsible for this relationship. We find that the leverage of broker-dealers and shadow banks declines when Chicago risk and macroeconomic, policy, financial, and equity uncertainty increase. We argue that the vulnerability of broker-dealers and shadow banks to the risk/uncertainty of the entire market system is responsible for this relationship.     

Fame and the fortune of academic economists: How the market rewards influential research in economics

We analyze the pay and position of 1009 faculty members who teach in doctoral‐granting economics departments at 53 large public universities in the United States. Using the Web of Science, we have identified the journal articles published by these scholars and the number of times each of these articles has been subsequently cited in published research articles. We find that research influence, as measured by various measures of total citations, is a remarkably strong predictor of the salary and the prestige of the department in which professors are employed. We also examine the effect of coauthorship. Surprisingly, we find no salary penalty for sharing authorship; however, in terms of prestige of employing department, coauthorship is fully discounted.