Transaction tax and stock market behavior: evidence from an emerging market

This study examines the impact of a stamp tax rate increase on market behavior, using data from two stock exchanges in China. We find that when the tax rate increases from 0.3 to 0.5% (which implies that the transaction cost increases by about 1/3) trading volume decreases by 1/3. This implies an elasticity of turnover with respect to a stamp tax of −50% and an elasticity of turnover with respect to transaction cost of −100%. The markets’ volatility significantly increases after the increase in the tax rate. Furthermore, the change in the volatility structure indicates that the markets become less efficient in the sense that shocks are less quickly assimilated in the markets.

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Buchanan on monetary constitutions

Buchanan’s reflections on monetary issues have been mostly neglected, despite their great interest both per se and for a deeper understanding of his general constitutional endeavour. We will thus propose a comprehensive assessment of Buchanan’s writings on this topic, focusing in particular on the different political models that have been developed to argue in favour of constitutional constraints on the governmental power to create money and on the implications that one can draw from our author’s monetary papers for the structure and the objectives of his constitutional discourse more generally.

On local indeterminacy and endogenous cycles in Ramsey models with heterogeneous households

It is well-known that endogenous cycles can occur in Ramsey models with heterogeneous households and borrowing constraints. In this note, we address the issue of robustness in the more general case of endogenous labor supply and we explain the occurrence of local indeterminacy under progressive taxation.

Does a non-linear mean reverting process characterize real GDP movements?

This paper uses non-linear models to investigate non-stationarity of real GDP per capita for seven OECD countries over the period 1900–2000. Unit root tests based on non-linear models are more powerful than traditional ADF statistics in rejecting the null unit root hypothesis. Empirical results show that, contrary to what the linear ADF statistics suggest, stationarity characterizes five out of the seven countries. This finding stands at variance with other recent studies which conclude that movements in real GDP per capita can be characterized as a non-stationary process.

Bayesian estimation of cointegrating thresholds in the term structure of interest rates

Threshold Error Correction Models are used to analyse the term structure of interest Rates. The paper develops and uses a generalisation of existing models that encompasses both the Band and Equilibrium threshold models of [Balke and Fomby ((1997) Threshold cointegration. Int Econ Rev 38(3):627–645)] and estimates this model using a Bayesian approach. Evidence is found for threshold effects in pairs of longer rates but not in pairs of short rates. The Band threshold model is supported in preference to the Equilibrium model.

A Knowledge-Based Economy: New Directions of Macromodelling

Development of “new economies” leading to economies mostly based on knowledge implies the construction of new long-term macroeconometric models. They should incorporate the impacts of new technologies being endogenized, as well as human capital. The paper discusses several issues related to the extension of the notion of production function. They cover first of all the measurement and explanation of total factor productivity (TFP), the role of domestic and foreign R&D expenditures, as well as educational expenditures. The discussion is extended to include proposals to construct new submodels explaining the sections of research and education and also the ICT industries.

The rise and fall of monopolistic competition revolution

The widespread idea among economists is that monopolistic or imperfect competition is a set of realistic models that were invented in the 1930s and their purpose was to fill the gap between the polar and, at the same time, hypothetical models of perfect competition and pure monopoly. The main argument of this paper is that the monopolistic competition revolution set in motion a reaction—partly driven by methodological considerations, partly ideological—that ultimately led to the restoration of perfect competition, as the benchmark for evaluating market outcomes. In the end, monopolistic competition eclipsed, and perfect competition from the fridges of economic analysis that was up until the 1920s was placed to the very core of microeconomic model-building.

Methodological Procedure for Estimating Brazilian Quarterly GDP Series

This paper presents a methodology for estimating the Brazilian GDP quarterly series in the period between 1960–1996. Firstly, an Engle–Granger’s static equation is estimated using GDP yearly data and GDP-related variables. The estimated coefficients from this regression are then used to obtain a first estimation of the quarterly GDP, with unavoidable measurement errors. The subsequent step is entirely based on benchmarking models estimated within a state space framework and consists in improving the preliminary GDP estimation in order to both eliminate as much as possible the measurement error and that the sum of the quarterly values matches the annual GDP.

On good government

Besley’s treatment of principled agents is a major contribution to public choice and political economy. By focusing on politics as an agency problem, he has shown the way to a new generation of research on the interface of politics and economics.

How large is liquidity risk in an automated auction market?

We introduce a new empirical methodology that models liquidity risk over short time periods for impatient traders who submit market orders. Using Value-at-Risk type measures, we quantify the liquidity risk premia for portfolios and individual stocks traded on the automated auction market Xetra. The specificity of our approach relies on the adequate econometric modelling of the potential price impact incurred by the liquidation of a portfolio. We study the sensitivity of liquidity risk towards portfolio size and traders' time horizon, and interpret its diurnal variation in the light of market microstructure theory.

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The economic analysis of social norms: A reappraisal of Hayek’s legacy

This paper is organized as follows: first, we show that the reference to the notion of group selection is coherent with the other parts of Hayek’s thought. Second, we develop the idea that recent works in terms of the emergence and evolution of social norms corroborate in part Hayek’s theses in this domain. Finally, we put to the fore some drawbacks in Hayek’s approach and propose means to solve them.

Financial intermediation and growth: causality and causes without outliers

In a seminal paper, Levine et al. (J Monet Econ 46:31–77, 2000) provide cross-sectional evidence showing that financial development has positive average impact on long-run growth, using a sample of 71 countries. We argue that the evidence is sensitive to the presence of outliers.

Situational logic in social science inquiry: From economics to criminology

Karl R. Popper proposed that the method of explanation in economics, or situational logic, should become the general model for analyses across the social sciences. This article makes good Popper's proposal by extending situational logic to a social problem outside the traditional scope of economics: crime. Specifically, the discussion reviews models developed by economist Gary S. Becker and criminologist Ronald V. Clarke. Becker's ‘economic approach’ to crime incorporates essential features of situational logic. Clarke's ‘situational crime prevention’ offers an even better demonstration; it explicitly incorporates the ideas of piecemeal social engineering and unintended social repercussions. Popper took situational logic from Menger and the Austrians, making this emerging area of criminology an extension of Austrian economics.

Taylor Rule in Practice: Evidence from Turkey

This paper estimates the backward-looking and forward-looking monetary policy reaction functions of the Central Bank of the Republic of Turkey (CBRT) by considering the post-crisis period from August 2001 to September 2006, with a special emphasis on inflation targeting. Policies which the CBRT applied are analyzed according to the Taylor rule. The empirical results indicate that the CBRT followed the Taylor rule in its interest setting behaviour. In forward-looking models, the response coefficient of inflation and the output gap is greater than that of backward-looking models. The results of forward-looking models reflect, the policies conducted in Turkey. In the post-crisis period, expected inflation has been the main reaction variable for the CBRT. This suggests that monetary policy over the post-crisis period was not accommodating increases in expected inflation. The main conclusion is that ‘Taylor rule’ based monetary policies were effective in inflation targeting in Turkey.

Inputs and institutions as conservative elements

Ludwig von Mises argued that capital goods were “conservative elements” that constrain future production decisions. Similarly, social capital and institutions also constrain future production decisions. These insights are applied to the institutional transformation of the post-Reconstruction American South. It is argued that the structure of social capital that developed in the South was inappropriate to the formal institutions that emerged as a result of the Civil War and Reconstruction. The tensions between institutions and social capital are examined in the context of racist lynching.

Comparing Interpersonal Comparisons in Utility Theory and Happiness Research

Social scientists are reluctant to make explicit interpersonal comparisons of well-being. However, implicit comparisons are made on a surprisingly regular basis. These comparisons are based on the wealth and the Kaldor–Hicks concept in utility theory and on self-reported well-being in happiness research. Taking a utilitarian stance, this paper tests the ethical foundations of both principles. While self-reported well-being serves as an acceptable proxy for utilitarian decision-making, the Kaldor–Hicks concept does not appear so. Implications for evaluating policies are outlined.

Quantifying corruption by a human capital earnings equation

This paper uses a human capital earnings equation to quantify administrative corruption in the public sector. Regression analyses are conducted based on information from surveys administered to public officials in Albania. After accounting for officials’ characteristics, e.g., schooling, experience, gender, type of agency, and public and private sectors’ features, we deduce that the administrative corruption was on average 2.6× the officials’ current salary in Albania, which is equivalent to 16.7% of the country’s GDP.

The Austrian roots of the economics of institutions

This paper presents an analysis of the way the Austrian theory of institutions evolved from Menger’s main works. It also tries to advance the idea that the economics of institutions, when it deals with the emergence and evolution of rules and norms from interacting individuals, is inspired by Menger’s work and more generally by the Austrian analysis of the emergence and evolution of institutions. Recent works in the economics of institutions build on this earlier Austrian work to make it more formalized and testable.

The Social Economics of Neoliberal Globalization

The recent period of intensive and extensive development of global economic integration, or globalization, has reached a crossroads. The regime of the neoliberal Great Capitalist Restoration is not sustainable and fundamental governance changes must be made. This paper adds perspective to the choices that must be made at this critical juncture of the global social economy by applying the master concepts of Schumpeter’s Creative Destruction and Polanyi’s Protective Response.

The effect of capital requirement regulation on the transmission of monetary policy: evidence from Austria

This paper analyzes the role of banks’ regulatory capitalization in the transmission of monetary policy. We use a confidential dataset for Austrian banks spanning from the first quarter of 1997 to the fourth quarter of 2003. We find evidence that Austrian banks react in an asymmetric way to monetary policy depending on their regulatory excess capitalization, i.e. low capitalized banks react more restrictively to a monetary tightening than their highly capitalized peers.