Unemployment and debt dynamics in a highly indebted small open economy

The paper analyzes the dynamic effects of a total factor productivity shock and an interest rate risk premium shock in a highly indebted open economy. In contrast to the standard open economy framework, search unemployment and wage bargaining are introduced. We find that a negative total factor productivity shock primarily has effects on the economy's production side and on welfare, but not on its stock of foreign debt and the country specific risk premium, and large part of the adjustment happens in the short-run. In contrast, a pure increase in the country specific risk premium causes substantial dynamics and a considerable reduction in foreign debt, allowing higher consumption in the long run and creating an intertemporal welfare gain, even though unemployment increases strongly in the short-run. A 50% haircut of foreign debt significantly reduces the initial response of the unemployment rate. In case of a temporary productivity shock, sticky wages imply smaller employment, but generate higher welfare than flexible wages.     

A model of the classical gold standard with depletion

The operation and properties of the classical gold standard are well recognized. However, one aspect that has not been dealt with is that gold has the characteristics of a durable, but depletable resource. In this paper, we compare the simple classical model of the gold standard with a model of the gold standard that incorporates the durable, depletable nature of gold. Using numerical simulation techniques, we demonstrate an inescapable tendency to long-run deflation when account is taken of the resource constraint. These results are consistent, with and without technological progress and variable real rates of return.     

ON THE DYNAMIC RELATION BETWEEN STOCK PRICES AND EXCHANGE RATES

Abstract In this study we apply recent advances in time-series analysis to examine the intertemporal relation between stock indices and exchange rates for a sample of eight advanced economies. An error correction model (ECM) of the two variables is employed to simultaneously estimate the short-run and long-run dynamics of the variables. The ECM results reveal significant short-run and long-run feedback relations between the two financial markets. Specifically, the results show that an increase in aggregate domestic stock price has a negative short-run effect on domestic currency value. In the long run, however, increases in stock prices have a positive effect on domestic currency value. On the other hand, currency depreciation has a negative short-run and long-run effect on the stock market.     

Financial dollarization: Short-run determinants in transition economies

This paper examines the determinants of financial dollarization in transition economies from a short-run perspective. Using aggregate monthly data of deposit and loan dollarization we study the drivers of short-term fluctuations in dollarization and test their importance at different levels of dollarization. The results provide evidence that (a) the positive (negative) short-run effects of depreciation (monetary expansion) on deposit dollarization are exacerbated in high-dollarization countries; (b) short-run loan dollarization is mainly driven by banks matching of domestic loans and deposits, currency matching of assets and liabilities, international financial integration, and institutional quality; and (c) both types of short-run dollarization are affected by interest rate differentials and deviations from desired dollarization.     

Does the relationship between small and large portfolios’ returns confirm the lead–lag effect? Evidence from the Athens Stock Exchange

This paper investigates whether lead–lag patterns exist between small and large size portfolios constructed from stocks traded in the Athens Stock Exchange (ASE). We examine this relationship in both the short-run (by using the correlation-based approach of Lo and MacKinlay, 1990 and the generalised impulse response analysis by Pesaran and Shin, 1996, Pesaran and Shin, 1998) and the long-run by employing the cointegration-based methodology of Kanas and Kouretas (2005). Furthermore, upon identifying that cointegration exists we then use the estimated error correction models (ECMs) to obtain out-of-sample forecasts of small-firm portfolio returns and it is shown that these ECMs have superior forecasting performance relative to models without the error correction terms. Therefore, we were able to provide a richer exploration of the lead–lag relationships than the one obtained by standard autocorrelation and cross-correlation analysis and vector autoregression analysis. The main finding of our analysis is that a lead–lag effect between small and large size portfolios was established in both the short-run and the long-run for the Athens equity market.     

上海近代标金市场变迁与启示

本文从比较历史制度的视角,分析上海近代标金市场的发展与变迁。20世纪20—30年代,上海不仅是中国的金融中心,也是远东的国际金融中心,其标志是上海标金市场。上海标金市场的交易量巨大,影响到欧美日金融市场,受欧美日金融界所瞩目,位居伦敦、纽约市场之后的第三位。就今天的上海自贸区建设,有如下启示:第一,要明确目标市场的定位;第二,要具有核心竞争力的市场功能;第三,要处理好市场与政府间关系。     

The demand for eurozone stocks and bonds in a time-varying asset allocation framework

This paper analyzes the short and long-run demand for traditional financial asset classes in eleven founding eurozone members. Our sample period starts from the introduction of euro till 2017. We calculate the welfare losses stemming from ignoring the demand for domestic and eurozone equities and bonds, for various levels of risk aversion. Our results show that the bonds of eurozone countries are, in general, desirable for short-run only. However, in Ireland, Portugal and Spain the bonds are desirable for both short-run and long-run investment horizons. Stocks exhibit both short-run and long-run desirability for all countries except Greece. The Greek stocks are desirable for short- run only.     

Asymmetric Cointegration,Nonlinear ARDL,and the J-Curve: A Bilateral Analysis of China and Its 21 Trading Partners

This article follows the nonlinear Autoregressive Distributed Lag (ARDL) error-correction methodology to explore nonlinearity in the relationship between the trade balances and the real exchange rates for China and its 21 partners. We find evidence for short-run asymmetric effects of exchange rate in cases of 18 partners, short-run adjustment asymmetry in cases of 11 partners, short-run cumulative asymmetry in cases of seven partners, and a significant long-run asymmetric effect cases of five partners. We find support for the “J-curve” that is only due to appreciation or depreciation of the Yuan in cases of five partners, including the U.S.     

The capitalization of income streams and the effects of open-market policy under fixed exchange rates

This paper investigates the long- and short-run neutrality of open-market monetary policy in a world of fixed exchange rates and imperfect substitutability between bonds denominated in different currencies. Using an illustrative portfolio-balance model, it shows that when the public discounts the future tax liabilities associated with the national debt and the central bank supports the exchange rate by trading non-interest-bearing foreign assets, open-market policy has a short-run effect, but no long-run effect, on the domestic price level and interest rate. When the foreign-exchange intervention assets earn interest that is rebated to and capitalized by the public, open-market policy loses even its short-run efficacy — the capital-account offset to monetary policy is complete.     

Sample selection and event study estimation

The anomalies literature suggests that pricing is biased systematically for securities grouped by certain characteristics. If these characteristics are related to selection in an event study sample, imprecise predictions of an event study method may produce erroneous results. This paper performs simulations to compare a battery of short-run event study prediction and testing methods where samples are grouped by market equity, prior returns, book-to-market, and earnings-to-price ratios. Significant statistical errors are reported for both standard and newer methods, including three- and four-factor models. A characteristic-based benchmark model produces the least biased returns with the least rejection errors in all samples.     

An investigation on the causal relationships between banking concentration and economic growth

This paper explores the causality between concentration in the banking industry and economic growth. Two empirical tests are performed for Italy over the period 1991-2001: the first one is a standard Granger-Sims causality test, the second one studies the direction of causality by taking into account the impact of changes in banks' internal and external factors on their own market shares. The results show that in the short-run economic growth is predominantly caused by banking consolidation, while in the long-run a reverse causation direction emerges, so that economic expansions tend to reduce market shares and thus favour a stronger competition in the industry.     

Exchange-rate volatility and industry trade between the U.S. and Malaysia

Previous research that investigated the impact of exchange rate volatility on the trade flows of Malaysia concentrated only on the aggregate exports of Malaysia to the rest of the world. In this paper we first concentrate on the trade flows between Malaysia and the U.S. After showing that exchange rate volatility has neither short-run nor long-run effect on the trade flows between the two countries, we disaggregate the trade data by industry and consider the experience of 101 U.S. exporting industries to Malaysia and 17 U.S. importing industries from Malaysia. While exchange rate volatility seems to have significant short-run effects on the trade flows of most industries, short-run effects translate into the long run only in a limited number of small industries.     

Stocks,flows, and market equilibrium in neoclassical monetary growth models

The treatment of short-run monetary equilibrium in neoclassical monetary growth theory has been criticized as one of asset market equilibrium that leaves the status of real flows unclear. The paper shows this dichotomy to be the result of a stock-flow confusion. A resolution is attempted on the basis of which it is shown that the output market is in fact continuously equilibrated, and that neoclassical models can be employed for short-run analysis.     

汇率与股价关联的实证研究——基于汇改后中国大陆、台湾、香港的数据

通过运用协整检验和格兰杰因果检验对汇率制度改革后中国大陆、台湾、香港的股市与汇市关系的实证结果表明,中国大陆汇市与股市存在长期稳定的协整关系,短期相互影响明显;台湾汇市与股市只存在短期的相互效应;香港数据表明两者不存在因果关系,但方差分解显示股市变动对汇率波动有一定的冲击效应.     

Inflation dynamics: A cross-country investigation

We document that “persistent and lagged” inflation (with respect to output) is a world-wide phenomenon in that these short-run inflation dynamics are highly synchronized across countries. In particular, the average cross-country correlation of inflation is significantly and systematically stronger than that of output, while the cross-country correlation of money growth is essentially zero. We investigate whether standard monetary models driven by monetary shocks are consistent with the empirical facts. We find that neither the new Keynesian sticky-price model nor the sticky-information model can fully explain the data. An independent contribution of the paper is to provide a simple solution technique for solving general equilibrium models with sticky information.     

Flu Fallout: Information Production Constraints and Corporate Disclosure

Using influenza epidemic data, we examine how constraints on corporate information production affect disclosure policies. We find that firms in areas with higher flu activity are less likely to issue short-run earnings forecasts and more likely to issue long-run earnings forecasts. These results are more pronounced when the information production process is more complex, when managers face a greater reputational loss for issuing low-quality short-run forecasts, and when firms’ costs of switching the forecast horizon are lower. Further analysis implies that the effect of flu activity on these forecast issuance decisions is not driven by firm performance or information uncertainty. Our results suggest that managers do not simply avoid issuing forecasts in response to information production constraints. Instead, they shift the forecast horizon from short-run to long-run, appearing to balance the costs of issuing low-quality forecasts with those of not issuing forecasts at all.     

Financial Development and Income Inequality: Long-Run Relationship and Short-Run Heterogeneity

This article examines the dynamic relationship between financial development and income inequality using the PMG. We find that financial development will reduce inequality in the long run, while it can increase inequality in the short run. Using the estimates of country-specific short-run coefficients, we also find that adverse short-run effects of financial development are associated with the vulnerabilities of countries in terms of their greater susceptibility to crises and poor quality of governance. Good governance seems to be important for achieving inclusive growth though financial development.     

Underpricing of Chinese A-share IPOs and short-run underperformance under the approval system from 2001 to 2005

This paper analyses underpricing and short-run underperformance of the Chinese A-share IPOs from Mar, 2001 to 2005 when the new approval system was adopted. We find that the average market adjusted first-day return is 93.49% in this period, a more reasonable level when compared with those in previous periods in China. The findings show that underpricing in this period is significantly affected by offering mechanisms and inequality of demand and supply of IPOs. The effect of shareholder's structure is tested in the model and state-owned share's weight is shown to increase the degree of underpricing. Meanwhile, this paper analyses IPOs' short-run underpricing on their 10th, 20th, 30th trading days. It is found that most IPOs' underpricing shrinks and the degree of shrinking degrees is different across the groups categorized by offering mechanisms. Further, the underperformance of IPOs which are underwritten by more prestigious underwriters shows a comparatively lower range and is less severe in the short-run.     

黄金充当货币的历史逻辑

历史上先后出现过两种类型的货币,即商品货币和纸币。在商品货币发展的过程中,唯有黄金本位制演变为全球性的货币制度安排。本文分别从黄金优良的物质特性,以及工业革命后英国确立在全球经济和金融领域主导地位、黄金大发现等社会经济因素角度,分析了黄金充当货币的历史逻辑。文章指出,虽然黄金已逐渐淡出国际货币舞台,但其作为一些国家重要的国际储备选项,仍然发挥着国际货币体系价值支撑的作用。     

Estimating the degree of operating efficiency gains from a potential bank merger and acquisition: A DEA bootstrapped approach

We propose a bootstrapped Data Envelopment Analysis (DEA)-based procedure to pre-calculate and pre-evaluate the short-run operating efficiency gains of a potential bank merger or acquisition (M&A). As an illustrative example, we apply our proposed procedure to investigate the degree of operating efficiency gains of 45 possible bank M&As in the Greek banking industry over the period from 2007 to 2011. The results reveal that a year before and a year after the initiation of the Greek fiscal crisis, the majority of the potential bank M&As under examination were unable to generate short-run operating efficiency gains. In addition, our results for 2011 indicate that the majority of bank M&As can lead to short-run operating efficiency gains. Finally, the empirical findings support the view that a merger or acquisition between efficient banks does not ensure an efficient bank M&A.