Which external shock matters in small open economies? Global risk aversion vs. US economic policy uncertainty

We investigate the roles of global risk aversion and US economic policy uncertainty in contributing to financial and macroeconomic fluctuations in small open economies (SOEs). We use a panel of forty SOEs that includes both advanced economies (AEs) and emerging markets economies (EMEs) to find that SOEs’ financial and economic activities exhibit relatively short-lived and robust reactions to risk aversion shocks, while responding smoothly and persistently to US policy uncertainty shocks, consistent with Bloom et al. (2018). A novel finding of this paper is that the responses of AEs and EMEs are asymmetric: AEs react more strongly to US policy uncertainty shocks while EMEs are more sensitive to risk aversion shocks. These results suggest that the channels through which each shock is transmitted to SOEs may vary.     

成本节约的不确定性、效率抗辩与并购评估审查

横向并购可能给参与并购的企业带来成本节约而产生效率效应,同时也可能产生反竞争效应。在横向并购反垄断审查的效率抗辩中,并购企业只要能够证实成本节约的效率效应能够抵消反竞争效应进而增进社会总福利水平,就可以获得反垄断当局的批准。然而,成本节约及其实现程度具有不确定性,成本节约的不确定性不仅会影响消费者剩余和社会总福利水平,而且将对效率抗辩和反垄断当局并购审查的判定规则产生影响。本文以Cournot模型为基础,系统分析了成本节约的不确定性对于横向并购反垄断评估审查中效率抗辩、判定规则和预期消费者福利的影响,为反垄断当局在并购评估审查中如何考虑效率因素提供决策参考。     

Are You Risk Averse over Other People's Money?

Decisions with uncertain outcomes are often made by one party in settings where another party bears the consequences. Whenever an individual is delegated to make decisions that affect others, such as in the typical corporate structure, does the individual make decisions that reflect the risk preferences of the party bearing the consequences? We examine this question in two simple settings, lottery choices and sealed‐bid auctions, using controlled laboratory experiments. We find that when an individual makes a decision for an anonymous stranger, there is a tendency to exhibit less risk aversion. This reduction in risk aversion is relative to his or her own preferences, and it is also relative to his or her belief about the preferences of others. This result has significant implications for the design of contracts between principals and agents.     

With or without siblings: Sorting into competition in the experimental labor market

We employ a well-controlled laboratory experiment to examine whether only children and those with siblings differ in their willingness to compete. We find that only children are more likely to undervalue the chance of winning and shy away from competition, but they become to embrace competition as their self-assessed winning probability increases. Alternatively, once uncertainty of relative performance is removed, the gap in willingness to compete between the two groups disappears. Utilizing a two-stage model of decision weights under uncertainty, we find that such a gap is predominantly caused by their heterogeneous attitudes toward ambiguity.     

损失厌恶与偏好异质性——来自神经经济学的证据

损失厌恶是行为经济学家发现的人类进行风险决策时的一种重要行为模式。我们通过近年来兴起的功能性近红外脑成像（fNIRS）技术,对被试风险决策时的大脑前额叶皮层进行了测量和成像。结果表明,人们在处理收益和损失时,大脑皮层的激活状态存在着明显的差异。由此可以证实,损失厌恶是一种人类在长期进化过程中所获得的适应性心理本能。     

“屏蔽效应”与内陆边境地区的城市化滞后

内陆边境地区在政治和经济上存在较大的不确定性以及信息上的不对称性和不完善性,由此产生的边界"屏蔽效应"使得内陆边境地区的区位实际优势不确定、特别是相对优势在未来可能发生变化,导致内陆边境地区的交易成本被抬高。由此可以从一个新的视角解释我国对外开放激励因素由弱转强的情况下,内陆边境地区城市化并没有同步得到快速的发展。     

Overall and time-varying effects of global and domestic uncertainty on the Korean economy

This study analyzes the overall and time-varying effects of global and domestic uncertainty on the Korean economy by estimating constant parameter and time-varying parameter vector autoregressive models. Global and Korea-specific uncertainty are measured using the method proposed by Mumtaz and Theodoridis (2017). A rise in both the uncertainty measures has an adverse impact on the Korean economy by lowering stock market returns and output growth, and by creating inflation caused by currency depreciation. Quantitatively, the domestic uncertainty shock exercises a larger effect on the Korean economy than the global uncertainty shock, as the former uncertainty shock accounts for about one-fifth of output variation and the latter accounts for about one-tenth. Regarding time-varying effects, substantial increases in domestic uncertainty during the Asian Financial Crisis and global uncertainty during the Global Financial Crisis explain a significant part of macroeconomic fluctuations in Korea during those periods. This is because of the increased volatility of uncertainty shocks during these periods, rather than a structural change in the way these shocks affect the economy.     

The Impact of Inflation Uncertainty on Output Growth and Inflation in Thailand*

We explore the impact of inflation uncertainty on output growth in Thailand, an emerging market economy with moderate inflation. Inflation and output uncertainty are modeled in a bivariate constant conditional correlation generalized autoregressive conditional heteroskedastic (AR(p)‐cccGARCH(1,1)) specification. We include the exchange rate in the mean equations, and use the headline and core inflation rates and industrial production to generate inflation and output uncertainty series. These series are then used in Granger causality tests to make inferences about the effect of monetary policy‐induced inflation uncertainty. Causality tests show a positive relation from inflation to inflation uncertainty. Additionally, increased inflation uncertainty decreases output. These results are consistent with real costs associated with moderate inflation. Finally, we find no evidence that monetary policy reduced these costs.     

Sovereign Spreads and Contagion Risks in Asia

In the aftermath of the recent global financial turmoil, sovereign spreads have exhibited a significant degree of volatility. This paper explores how much of these movements in the spreads of Asian economies reflected shifts in global risk aversion or country‐specific risks, directly from worsening fundamentals, or indirectly from spillovers originating in other sovereigns, or risks and uncertainty surrounding their exchange rates. This analysis finds that earlier in the crisis, the increase in market‐implied contagion led to an increase of sovereign bond yields relative to the swaps. Higher‐rated sovereign bonds in Asia benefited from the flight to quality that accompanied the increase in global risk aversion during this period. Once the systemic risks in the financial sectors worldwide were contained, the risk of sovereign spillovers eased, which, together with a fall in perceived currency‐related risks, led to a fall in sovereign bond yields relative to swaps yields across the board. Comparing the situation to that of Europe, the present paper concludes that the debt crisis in the euro area has not affected the perception of sovereign risks of Asian economies. In fact, a fall in exchange rate and spillover risks, combined with stronger fundamentals, have led to a continued normalization of Asian sovereign spreads since the height of the financial crisis.     

Land Transport for Export: The Effects of Cost, Time, and Uncertainty in Sub-Saharan Africa

In Sub-Saharan Africa (SSA), inland export transport costs and time delays are much higher for landlocked countries, vary substantially between different geographic corridors, and exhibit substantial uncertainty. Unit costs and costs of time for land transport of exports are high for many agricultural products relative to metals and other high-value products. We illustrate systemic uncertainty in land and maritime transport for exporting by use of simulation. Relationships among uncertainty, infrastructure quality, and other features of logistics systems are highly non-linear, and can be potentially used to identify priorities for trade facilitation.     

不确定性下的投资项目风险控制优化系统的设计

本文通过优化技术将市场中的不确定性进行分层,大大加快了对与市场风险信息的感应分析与处理的速度,并运用多种风险模型相结合的风险识别体系,即VAR、CVAR和压力测试共同作用的风险识别系统,大大提高了风险控制的准确性,减少了小概率以及极端情况下等风险对于投资项目的影响,并实现了风险决策反馈体系的高效率运作,规避了原有风险控制系统三大内在缺陷,真正同现代的风险市场同步,能够起到了风险识别、预警、规避、控制的作用。     

Does economic uncertainty affect the soundness of banks? Evidence from emerging Asian economies

This paper examines the impact of economic uncertainty on four dimensions of banking soundness, namely, banks’ loan growth rates, interest rate spreads, capitalization and risk. By using the bank-level panel data of approximately 500 commercial banks in seven emerging Asian economies, we find consistent evidence that increased economic uncertainty decelerates banks’ loan growth, narrows their interest rate spreads and aggravates their risk, but induces banks to increase their capital holdings. Our results are shown to be robust in a series of checks that use alternative indicators of economic uncertainty and econometric methodologies.     

Note on uncertainty and socially excessive entry

It is well known that under general conditions entry into imperfectly competitive markets is usually excessive. This note explores the effects of uncertainty on this result. Specifically, a firm that incurs entry costs might fail to successfully enter a market. In this environment, it is found that the previous conditions might not hold when there is uncertainty. That is, with uncertainty entry might be socially insufficient (instead of excessive) by more than one firm.     

内部资源不确定性与民营企业创新力研究

鉴于中国民营企业创新主要依靠自有资金的特征现实,文章以企业内部资金为例,将内部资源不确定性纳入到现有的外部环境不确定性与企业创新研究框架中,探讨企业在不同内外部不确定性组合状况下的创新行为反应。理论矩阵模型揭示,内部资金资源不确定性对企业创新决策的影响超过外部环境不确定性,在企业创新行为选择过程中起主导作用,而且内部资金不确定性与企业创新之间存在着负相关关系。这一理论推论得到了企业微观调研数据的实证支持,并且相比国有企业,民营企业创新对内部资金资源的不稳定性更敏感。研究表明,政府激励民营企业创新的政策,当以稳定企业内部资源、提高企业收入帮助企业拥有稳定资金流为主要着力点,在具体政策工具上,税收减免比研发资助补贴等措施在激励企业研发、改变民营企业创新能力低动力不足方面更有效。     

环境不确定性对渐进式创新和突破式创新的影响研究

文章探讨了环境不确定的三个维度(需求不确定性、技术不确定性和竞争强度),分别对企业渐进式创新和突破式创新的影响。并通过对404家中国企业的实证研究发现:环境不确定性的三个维度对渐进式创新和突破式创新影响不尽相同,其中需求不确定性对渐进式创新和突破式创新的影响不显著;技术不确定性与渐进式创新负相关,与突破式创新正相关;竞争强度对渐进式创新的影响不显著,与突破式创新负相关。     

基于实物期权的石油项目投资决策研究

论文结合石油项目的具体特征,在价格不确定条件下研究石油开发投资决策背后的内在机制与路径。运用实物期权方法构建石油项目投资评估与决策模型,详细讨论各种不确定因素对石油项目投资价值与油价阈值的影响。在此基础上讨论了对石油价格首次达到阈值的期望时间与概率,对于企业把握投资时机具有重要的参考价值。     

从不确定性角度探讨一种和谐固化管理的思路

近年来关于复杂性和非线性成为各个学科中共同探讨的问题,文章试图通过对复杂性的认识,把思维科学拓展到社会的维度,分析思维的发散基准和判断基准的变换来阐述主体思维不确定性的根源。提出主体思维对不确定性的反向累积效应是不确定性管理的一种有效的方式,在此基础上提出一     

Do local firms employ political activities to respond to political uncertainty?

Using hand-collected data in China from 2001 to 2019, we examine how political uncertainty affects corporate political activities, including corporate corruption and corporate charitable donations, and whether the anti-corruption campaign moderates the relationship between political uncertainty and corporate political activities. First, we find that when city government officials change, local firms significantly increase corporate charitable donations while reducing corporate corruption. Second, the anti-corruption campaign strengthens the effects of political uncertainty on corporate political activities. Third, our results also show that political uncertainty has stronger effects 1) when new government officials come from external appointments, and 2) when former government officials experience abnormal turnover. In addition, the effects of political uncertainty on corporate charitable donations are stronger in non-state-owned enterprises and firms belonging to regulated industries. Finally, political uncertainty increases firms’ government subsidies through corporate political activities. It’s clear that political activities have mediating effects.     

Tariffs versus Quotas under Market Price Uncertainty

This paper compares the welfare effects of a tariff and a quota in an imperfectly competitive market when demand is uncertain and policy must be chosen before the uncertainty is resolved. The model assumes a Cournot duopoly market with linear demand, additive uncertainty, homogeneous products, and constant marginal costs. It is shown that the optimal policy is autarky for high levels of uncertainty, a quota at the free-trade level for intermediate levels, and a tariff at low levels. JEL no. F13     

Income Uncertainty and Optimal Redistribution

Implications of income uncertainty for socially efficient redistribution are examined. Counter-intuitively, a policymaker may respond optimally to a negative utility shock in the economy by redistributing income away from those who suffered the shock. In particular, it may be welfare enhancing to redistribute income away from risk-averse taxpayers who suffer an increase in the variance of their earnings. The direction of redistribution following an increase in uncertainty depends on the degree to which absolute risk aversion declines with consumption. A condition is provided for when an efficient policy redistributes away from those facing the greatest uncertainty.