不同的政策不确定性对股市波动影响相同吗?

本文基于多因子混频波动率模型,研究经济政策不确定性对股市行业波动的影响,为预防出现结构性断点,将样本分为经济增长和经济平稳两个时期,分别探讨两个时期内经济政策不确定性对股市波动的影响。研究发现,在全样本时期货币政策不确定性会显著增强行业波动,贸易和外汇政策不确定性会抑制行业波动,而财政政策不确定性的影响存在行业差异性;子样本结果显示,贸易政策不确定性对行业波动的影响存在非对称性,在经济增长期存在助推作用,在经济平稳期存在抑制作用;同时行业波动在经济增长期对贸易政策反应敏感,在经济平稳期对财政政策反应敏感。     

National culture and small firms' use of trade credit: Evidence from Europe

We examine the use of trade credit in Western Europe by relying on a sample of 182,296 small firms for the period 2003–2013. Building on information asymmetry theory, we explore how a country's culture can impact SMEs use of trade credit. We discover that countries' cultural norms play a key role in explaining trade credit differences in Europe. We find that in countries with high power distance, high individualism, high masculinity, and high uncertainty avoidance rely more on trade credit.     

Macroeconomic uncertainty and performance in the European Union

We use a very general bivariate GARCH-M model and monthly data on EU countries covering the 1962–2003 period to test for the impact of real (output growth) and nominal (inflation) macroeconomic uncertainty on inflation and output growth. Our evidence supports a number of important conclusions. First, in the majority of countries uncertainty regarding the output growth rate is related to the average growth rate and the effect in several countries is negative. Second, in half of the cases there is no significant relationship between inflation uncertainty and output growth performance. Third, inflation and output uncertainty have a mixed effect on inflation. Nevertheless, considerable evidence for the Cukierman–Meltzer hypothesis is obtained. Our conclusions are based on adopting both a structural and a reduced-form bivariate GARCH model. Finally, we also find statistically significant evidence of regime switching for both inflation and output growth volatility throughout the sample.     

Corruption and stock market development: Developing vs. developed economies

This paper looks at the impact of corruption on stock market development, emphasizing the difference between developing and developed economies and the role corruption may play in preventing firms from listing. Guided by a theoretical model that explains why corruption’s impact on stock market development may differ, we use a sample of 87 economies worldwide over the period 1995–2017 to test for that difference. For the full sample we find no evidence that corruption has a significant effect on stock market development, but this changes when we split the sample into two groups: high-income and low-income countries. For the subsample of poorer (developing) countries, the corruption-stock market development relationship remains insignificant or weak. For the subsample of high-income (developed) countries, however, we find a significant relationship between lower levels of corruption and stock market capitalization as a share of gross domestic product. Our results further indicate that higher levels of income and investment reduce the impact of that relationship. Our results are robust to alternative estimation specifications and confirm the importance of macroeconomic fundamentals (i.e., income, investment, domestic credit, and macroeconomic stability) for the development of stock markets. In particular, those fundamentals seem more important for developing economies before reduced corruption will have as much (if any) of an impact.     

共同富裕、贸易开放与中国的代际收入流动性

本文利用2002-2018年期间的中国家庭收入调查数据,系统考察了贸易开放对中国代际收入流动性的影响及其作用机制。研究结果表明:(1)从整体上来看,贸易开放显著促进了中国的代际收入流动性,经内生性处理和稳健性检验,这一结论是成立的。(2)贸易开放主要通过促进子代教育、职业向上流动显著提高代际收入流动,但通过激励企业创新、提高子代个人努力程度的两个机制作用不显著。(3)贸易开放显著提高了男性子代的代际收入流动性,对女性子代的影响不显著,与此同时,还具有明显的“弱势群体”特点,显著提高了受教育水平较低子代、低收入家庭子代的代际收入流动性,有助于这类子代跳出“代际低收入传承陷阱”。本文研究提示贸易开放提高了中国的代际收入流动性,有利于促进共同富裕。在继续提高贸易开放水平的同时,应进一步重视提高低收入家庭子代的受教育水平,关注女性子代的收入问题。     

Innovation,diffusion, and trade: Theory and measurement

What are the sources of economic growth? This paper presents a multicountry growth model of innovation and the adoption of foreign technologies through trade. The costs of both domestic innovation and adopting foreign innovations are estimated using data on innovation, output and trade. A decomposition of the sources of growth shows that technology adoption accounts for about 65% of “embodied” growth in developing countries. Developed countries grow mainly through domestic innovation, which explains 75% of their “embodied” growth. Counterfactuals show how growth rates and levels of income would change if countries faced the same barriers to adoption and research productivity.     

贸易开放度会影响极端国际资本流动吗?——基于54个经济体跨国面板数据的分析

随着世界各国频繁出现国际资本大规模流入或流出的现象,极端国际资本流动已成为国际金融领域广泛关注的重要问题。本文参考Forbes&Warnock (2012)的方法,基于54个经济体1991年第一季度至2016年第四季度的国际资本流动数据,构建极端国际资本流动时期数据库,可识别四种极端国际资本流动事件类型:"激增(Surges)""骤停(Sudden Stops)""外逃(Flight)"以及"撤回(Retrenchment)"。基于该数据库,分析贸易开放度对极端国际资本流动的影响。实证结果表明,第一,一国贸易开放度越高,其发生极端国际资本流动事件的可能性越低。第二,在考虑了国家经济发展水平的差异后,贸易开放度对本国资本和外国资本流入和流出的影响存在显著差异。对于发达经济体,贸易开放度对外国资本流动和本国资本流动均有显著影响;对于发展中经济体,贸易开放度仅影响本国的资本流动,对外国资本流动的影响并不显著。第三,贸易开放度对长期资本极端流动与短期资本极端流动的影响并没有显著差异。基于本文的研究结果,建议我国应继续坚持贸易开放政策,且此后分析极端国际资本流动应将其细分为激增、骤停、外逃和撤回四类,对极端国际资本流动的监测应区分本国资本和外国资本异常流动情况。     

美国金融危机对中国贸易影响的价格溢出效应分析

金融危机的贸易溢出效应主要是通过价格效应和收入效应实现的。中美两国存在密切的互补型贸易关系,本文就美国金融危机通过价格效应对我国贸易状况的影响进行了实证研究,并与收入效应的影响进行对比分析。研究发现,美国金融危机对我国贸易溢出的价格效应显著,而收入效应较小;美国金融危机对中国贸易的溢出效应主要是显著影响了出口,而对进口的影响较为短暂。     

不确定性、产业空心化与经济波动

以 Aghion 等(2004)的模型为基础,将不确定性、产业空心化引入到宏观经济波动的模型中来,分析其对经济波动的影响,并运用全球106个国家1980~2013年之间的数据进行实证检验,结论表明：不确定性、产业空心化程度的变化会影响财富的变化,财富的变化会影响投资的变化,进而影响经济波动;不确定性程度每提高1个百分点,经济波动就会提高0.441个百分点,产业空心化程度每提高0.028个百分点,经济波动就会提高0.019个百分点。进一步来看,产业空心化程度的提高伴随不确定性程度的上升会显著地加剧一个国家的经济波动。低收入国家不确定性程度的增大对经济波动的加剧作用最大,高收入国家对经济波动的加剧作用最小。与中高收入国家相比,低收入国家产业空心化程度的提高会显著地加剧该国经济波动。     

Political uncertainty and cross-border equity portfolio allocation decisions: International evidence

Political risk models highlight that political uncertainty matters for corporate investment decisions. However, how political uncertainty matters for investment allocation decisions is relatively under-explored. In this study, we examine the impact of political uncertainty associated with national elections on foreign equity portfolio in 48 countries. Our results indicate that political uncertainty reduces international equity allocations to the host country and such reduction appears more pronounced in the election year. Further analysis shows that the interaction between political uncertainty and institutional quality has a positive and significant effect on international equity portfolio flow, suggesting that the value of institutional quality outweighs the negative effects of political uncertainty. Lastly, we find equity home bias to be negative and significant; however, the interaction between political uncertainty and equity home bias appears insignificant.     

Research on the impact of OFDI on the home country's global value chain upgrading

Based on the trade value-added accounting method proposed by Koopman et al., the "GVC Position Indices" and "GVC Participation Degree" of 64 countries from 2005 to 2015 are calculated in our paper by using the OECD-TIVA data. Then the impact of outward foreign direct investment (OFDI) on the home country's GVC upgrading is theoretically analyzed and empirically tested on this basis. Empirical results at country-specific level show that OFDI exerts a positive effect on the home country's GVC upgrading via boosting technological advancement and raising trading network status, and the impact of OFDI in emerging countries is more significant than that in developed countries; meanwhile, the empirical test using China's sub-industry data indicates that compared with low and middle-tech (LMT) industries, OFDI of high-tech (HT) industries have a stronger impact on China's GVC upgrading. Finally, we put forward suggestions on how to avoid the "low-end lock-in" risk and promote the home country's GVC upgrading through OFDI for developing countries like China.     

经济政策不确定性如何影响企业出口决策？——基于出口频率的视角

出口频率作为出口决策的重要一环,是企业出口扩张的新边际,也是出口变化的“晴雨表”。本文在随机存货模型的基础上,考察了经济政策不确定性对企业出口频率的影响及其传导渠道,并采用2000-2006年工业企业数据库与海关数据库的匹配数据进行实证检验,结果发现:目的国经济政策不确定性增加会显著降低企业出口频率,且这一影响存在部分惯性效应;经济政策不确定性通过贸易成本、存货成本和市场需求波动共同影响企业出口频率的中介效应十分显著,其中贸易成本是最重要的传导渠道,占比达到19%以上;如果进一步考虑目的国、产品和企业异质性,会发现出口目的国经济发展水平较高、出口产品为中间品和消费品的企业,其出口频率受经济政策不确定性的影响较小。因此,政府和企业应高度关注出口频率的变化趋势,合理应对经济政策不确定性对出口决策的外部冲击。     

反倾销如何影响了跨国并购

当前,贸易壁垒对中国构建更高层次的开放型经济体制造成了多重复杂影响。基于中国微观企业跨国并购以及反倾销微观案件数据,本文全面探究了反倾销贸易壁垒对跨国并购的影响效应与作用机制。通过多种稳健性估计发现,国家、行业不同层面反倾销壁垒,对企业跨国并购规模、并购数量具有显著的抑制效应。进一步分析发现,反倾销贸易壁垒有助于企业规避特定国家政策冲击,进而对企业跨国并购成功率具有一定带动效应;反倾销贸易壁垒加大了“上下游企业”并购协同成本,显著抑制了跨行业并购;反倾销对企业跨国并购的多重影响,与一国行业贸易竞争力降低存在显著关联。因此,要全面理性分析反倾销带来的跨国并购障碍与风险,制定符合企业自身的并购策略,积极利用同行业协同并购优势,规避贸易壁垒带来的负向冲击。     

Foreign bank subsidiaries’ risk-taking behavior: Impact of home and host country national culture

This paper examines whether the risk-taking behavior of foreign affiliates of multinational banks is more influenced by the national culture of their parent banks’ home country or the national culture of foreign affiliates’ host country. The study uses a dataset of 292 foreign affiliates (i.e., subsidiaries or branch operations) operating in 66 countries having parent banks in 26 countries for empirical analysis. National culture of both home and host countries is measured with four dimensions—uncertainty avoidance, individualism, masculinity and power distance—of Hofstede's framework of national culture. Findings suggest that the national culture of parent banks’ home country has higher impact on the risk-taking behavior of foreign affiliates of multinational banks than the national culture of their host country. Specifically, foreign affiliates’ risk-taking is higher if parent banks’ home country has low uncertainty avoidance, high individualism and low power distance cultural values. This study extends our understanding that how informal institutions, such as the national culture, influence the financial decisions in multinational banks.     

How Does Infrastructure Construction Affect Economic Development along the “Belt and Road”: By Promoting Growth or Improving Distribution?

ABSTRACT

The “Belt and Road Initiative” has involved deepening infrastructure construction along the “Belt and Road”. Using data from countries who have joined the “Belt and Road”, this study examines how infrastructure construction has affected economic development along the route. Findings show that infrastructure construction can promote economic growth and per capita output growth while improving income distribution of residents along the “Belt and Road”. Results also indicate that the effect of infrastructure construction on economic development is heterogeneous; such construction can substantially increase economic growth in developing countries but has no significant effect on economic growth in developed and emerging developing countries. Infrastructure construction can greatly improve residents’ income distribution in developed and developing countries but has no significant effect on residents in emerging developing countries. Collectively, these findings identify foreign direct investment and urbanization as important channels through which infrastructure construction can influence economic development.     

When to go abroad: economic policy uncertainty and Chinese firms’ overseas investment

We study how economic policy uncertainty (EPU) influences firms’ overseas investments for Chinese listed companies. We find a significant negative relationship between EPU and firms’ overseas investments after controlling for firm characteristics and macroeconomic variables. Chinese firms seem to reduce their overseas investments on fixed income securities when facing domestic policy uncertainty. The negative relationship is pronounced for financially constrained firms, firms relying on government subsidies and with low overseas revenues, and SOEs. Firms operating in high marketisation regions can mitigate the negative effect of EPU on firms’ overseas investments. Our results remain significant when considering endogeneity problems.     

Real Exchange Rates and Fundamentals: A Cross‐Country Perspective

This paper employs newly constructed measures for productivity differentials, external imbalances, and commodity terms of trade to estimate a panel cointegrating relationship between real exchange rates and a set of fundamentals for a sample of 48 industrial countries and emerging markets. It finds evidence of a strong positive relation between the consumer price index‐based real exchange rate and commodity terms of trade. The estimated impact of productivity growth differentials between traded and nontraded goods, while statistically significant, is small. Increases in net foreign assets, government consumption, and trade restrictions tend to be associated with appreciating real exchange rates.     

Insurance and economic policy uncertainty

Just as the world has witnessed the increased importance of the insurance sector over the past few decades, it has also witnessed a sharp rise in risks and uncertainties. Surprisingly, studies analyzing the relationship between economic policy uncertainty and the insurance sector are almost non-existent. Another major limitation of insurance literature is the choice of methodology. Most studies on the insurance sector do not take into consideration issues of heterogeneity and cross-sectional dependence, and are therefore subject to errors. To address the identified gaps, this research investigates the impact of economic policy uncertainty on insurance premiums in a panel of 15 countries over the period 1998–2016 by employing heterogeneous panel estimation techniques with cross-sectional dependence. The Durbin-Hausman cointegration tests of Westerlund (2008) confirm that a long-run relationship exists between the variables. Findings from the error correction based panel estimations show that the insurance sector is not immune to the effects of economic policy uncertainty. Economic policy uncertainty raises insurance premiums both in the short and long run, although the long-run impact is greater than the short-run impact. In addition, economic policy uncertainty exerts a bigger influence on non-life insurance premium than on life insurance premium, indicating that the economic risks covered by non-life insurance are more sensitive to uncertainty than the mortality and longevity risks covered by life insurance. Our findings further show that national income, education, population, financial development and institutional quality all raise insurance premiums, while inflation lowers insurance premiums.     

Nominal uncertainty,real uncertainty and macroeconomic performance in a time-varying asymmetric framework: Implications for monetary policy

This study examines the dynamic causal links and volatility spillovers of inflation, output growth and their uncertainties in four South Asian countries, namely, Pakistan, India, Bangladesh and Sri Lanka by utilizing asymmetric GARCH family models. Our empirical evidence supports a number of important conclusions. There is an overwhelming support for Friedman-Ball hypothesis of positive inflation-uncertainty trade-off for all countries excluding India and Sri Lanka. The Cukierman-Meltzer’s idea that inflation uncertainty generates inflation, hold for Bangladesh and Sri Lanka only and the Holland’s hypothesis of negative influence of inflation uncertainty on level inflation is supported by India only. The positive influence of output uncertainty on inflation (Devereux (1989) hypothesis) is supported by all countries excluding Bangladesh while nominal uncertainty (real uncertainty) has negative (positive) effect on output growth in Pakistan (Bangladesh). Output growth is reducing real uncertainty in all countries excluding Sri Lanka and nominal uncertainty in Pakistan only. There is significant negative relationship between inflation and output growth for Pakistan only while real uncertainty is positively (negatively) related with nominal uncertainty in India (Bangladesh). The estimated results are almost robust with the simultaneous estimation procedure for testing the main hypotheses. In general, there is asymmetric effect and persistence of the GARCH parameters for all countries. The study suggests that the concerned central banks should pay more attention to the effects of macroeconomic uncertainty and should focus their monetary policy strategy on stabilizing both output growth and inflation.     

Foreign Banks in Poor Countries: Theory and Evidence

We study how foreign bank penetration affects financial sector development in poor countries. A theoretical model shows that when domestic banks are better than foreign banks at monitoring soft information customers, foreign bank entry may hurt these customers and worsen welfare. The model also predicts that credit to the private sector should be lower in countries with more foreign bank penetration, and that foreign banks should have a less risky loan portfolio. In the empirical section, we test these predictions for a sample of lower income countries and find support for the theoretical model.