Sovereign contagion risk measure across financial markets in the eurozone: a bivariate copulas and Markov Regime Switching ARMA based approaches

Review of World Economics - This paper analyzes sovereign risk contagion across financial markets in the eurozone during and after the European debt crisis. A particular focus is made on the causal...     

Systemic risk in the financial sphere: Theoretical study and approaches to its estimation

The international financial crisis stimulated research interest in the problem of financial risks. Systemic and systematic risks are the most complicated and poorly studied macrolevel risk effects. Approaches to the regulation and estimation of systemic risks are reviewed in this paper. Special attention is paid to methods of qualitative analysis of the crisis potential accumulation mechanism.     

Evaluating the risk of Chinese housing markets: What we know and what we need to know

Real estate is an important driver of the Chinese economy, which itself is vital for global growth. However, data limitations make it challenging to evaluate competing claims about the state of Chinese housing markets. This paper brings new data and analysis to the study of supply and demand conditions in nearly three dozen major cities. We first document the most accurate measures of land values, construction costs, and overall house prices. We then create and investigate a number of supply and demand metrics to see if price growth reasonably can be interpreted as reflecting local market fundamentals. Key results include the following:

• (1)Real house price growth has been high, averaging 10% per annum since 2006. However, there is substantial heterogeneity across markets, ranging from 2.8% (Jinan) to 19.8% (Beijing). House price growth is driven by rising land values, not by construction costs. Real land values have risen by 14.4% per annum on average. In Beijing, the increase has been by a remarkable 27.5% per year (or by 1036%) since 2004.
• (2)There is variation about the strong positive trend in house price and land value growth. Land values fell by nearly one-third at the beginning of the global financial crisis, but more than fully recovered amidst the 2009–2010 Chinese stimulus. More recent growth has been much more modest, with some markets beginning to decline. Quantities of land sales by local governments to private residential developers have dropped sharply since 2013. The most recent data show transactions volumes down by half or more. This should lead to a reduced supply of new housing units in coming years.
• (3)Market-level analysis of short- and longer-run changes in supply–demand balances finds important variation across markets. In the major East region markets of Beijing, Hangzhou, Shanghai and Shenzhen which have experienced very high rates of real price growth, we estimate that the growth in households demanding housing units has outpaced new construction since the turn of the century. However, there are thirteen large markets, primarily in the interior of the country, in which new housing production has outpaced household growth by at least 30% and another eleven in which it did so by at least 10%. Regression results show that a one standard deviation increase in local market housing inventory is associated with a 0.45 standard deviation lower rate of real house price growth the following year.
• (4)There are no official data on residential vacancy rates in China, but some researchers have reported very high figures (17%+). We develop a new series at the provincial level which yields a much lower vacancy rate on average, but it has been rising—from 5.2% in 2009 to 7.8% in 2014.
• (5)The risk of housing even in markets such as Beijing which show no evidence of oversupply, is best evidenced by price-to-rent ratios. They are well above 50 in the capital city. Poterba's (1984) user cost model suggests these levels can be justified only if owners have sufficiently high expectations of future capital gains. Even a modest one percentage point drop in expected appreciation (or increase in interest rates) would result in a drop in prices of about one-third, absent an offsetting increase in rents.

     

Oligopoly in loan and deposit markets: an econometric application to the Netherlands

Summary This paper presents evidence on the degree of oligopoly in Dutch loan and deposit markets. Using cointegration tests, dynamic specifications are developed for the demand for mortgages, the supply of savings deposits and the associated interest rates. Simultaneous estimation of this model over the period 1957–1990 reveals that in recent years, both markets were significantly more oligopolistic than in Cournot equilibrium. However, competition for mortgages has significantly intensified since the late 1950s. The degree of oligopoly in the market for savings deposits, on the other hand, shows a significant rise over the sample period, probably owing to increased market concentration.This paper, which is a revised version of chapter 4 of my (unpublished) Ph.D. thesis, has greatly benefited from the comments by Lex Hoogduin, Gerard Korteweg and two anonymous referees of this journal. Thanks are also due to Coby Hogewoning and Gwan Tjia, who assisted in collecting the data. All errors and opinions are mine.     

Testing the nexus between renewable energy consumption and environmental quality in Nigeria: The role of broad‐based financial development

This study investigates the nexus between renewable energy consumption and environmental quality in Nigeria, accounting for the role of financial development, and re‐examines the validity of the environmental Kuznet curve (EKC) hypothesis for Nigeria covering the period 1990 to 2016. To cover financial development more adequately, the current study uses the broad‐based financial development index constructed by the International Monetary Fund. The study employs second generation econometric approaches of Lee and Strazicich, and Bayer and Hanck combined cointegration tests to check for stationarity and cointegration among the variables, and then applies autoregressive distributed lag (ARDL) and vector error correction model (VECM) Granger causality tests to explore the effect and causal relationship respectively. The results divulge that renewable energy consumption improves environmental quality, while financial development hurts the environment. Further, the results validate an inverted U‐shaped association between economic growth and environmental degradation in Nigeria. The VECM Granger causality results indicate a long‐run effect of the independent variables on CO₂ emission, while the short‐run causality reveals a mixture of unidirectional and bidirectional causality among the variables. This study therefore recommends that policy makers consider the important roles of renewable energy and financial development in reforming energy policies to achieve environmental sustainability.     

From philanthropy to a different way of doing business: strategies and challenges in integrating pro-poor approaches into tourism business

Pro-poor tourism means managing a tourism business so that it makes business sense for the operator and at the same time benefits the poor. Based on the Pro-Poor Tourism Pilot Programme conducted in southern Africa, this article argues that ‘mainstream’ commercial tourism can do much to embrace pro-poor approaches. In particular, the tourism sector needs to go further in shifting from philanthropic approaches to pro-poor approaches that entail doing business differently, with more committed changes to strategy and business structures. The pilot programme case studies reveal a range of potential business benefits companies can achieve through pro-poor approaches, such as enhanced social licence to operate and increased brand recognition. They also show that implementing a pro-poor approach depends on the company's context and circumstances. Such a shift entails a number of challenges and companies need to commit to making the necessary effort.     

The utility of a common coinage: Currency unions and the integration of money markets in late Medieval Central Europe

This paper employs a new method and dataset to estimate the effect of currency unions on the integration of financial markets in late Medieval Central Europe. The analysis reveals that membership in a union was significantly correlated with well-integrated markets. We also examine whether currency unions were endogenous. Our results indicate that where unions were established, markets had been significantly better integrated already in the preceding period. In addition, we show that currency unions created by autonomous merchant towns were better integrated than unions implemented by territorial rulers. The overall implication is that monetary diversity was a corollary of weakly integrated markets in late Medieval Central Europe.     

New evidence and new methods to measure human capital inequality before and during the industrial revolution: France and the US in the seventeenth to nineteenth centuries

We explore pre‐ and early industrial inequality of numeracy using the age heaping method and anthropometric strategies. For France, we map differential numeracy between the upper and lower segments of a sample population for 26 regions during the seventeenth century. For the US, inequality of numeracy is estimated for 25 states during the 19th century. Testing the hypothesis of a negative impact of inequality on welfare growth, we find evidence that lower inequality increased industrial development in the US, whereas for France such an effect was only evident in interactions with political variables such as proximity to central government.     

Access to urban markets for small-scale producers of indigenous cereals: a qualitative study of consumption practices and potential demand among urban consumers in Polokwane

This study of urban residents of Polokwane, the capital of the Limpopo province in South Africa, was designed to describe how, where, when and by whom sorghum and millet are consumed; how the subjects of the study perceived these grains; to what extent the produce of small-scale producers was considered acceptable; and to gauge their potential demand for products derived from indigenous cereals. Qualitative data were collected using individual interviews and focus-group sessions. The findings suggest that sorghum, which is easily purchasable in town, is widely consumed, mainly as soft porridge, but also as thick porridge, fermented porridge and sorghum beer. The age of consumers, the closeness of their links with rural areas and their religion influence their consumption of sorghum products. Sorghum is seen as being healthy, nutritious and traditional, but inconvenient to cook and preserve. Millet, which is not readily available in Polokwane, is considered old-fashioned. A ‘need for tradition’, or its opposite, a ‘need for modernity’, among consumers underlies their demand for products derived from indigenous cereals, a demand which is only partially satisfied. Many respondents would be ready to purchase products originating from small-scale farmers; some may believe that the quality of the produce of small farms is better, or may feel solidarity with small farmers and want to support them. This paper presents ideas for further investigation about the possibility of developing specific products and marketing strategies that will allow small-scale farmers to meet an unsatisfied urban demand.     

The effect on price,liquidity and risk when stocks are added to and deleted from a sustainability index: Evidence from the Asia Pacific context

We examine the impact on returns, risk and liquidity of stocks in the Asia Pacific markets when included into and deleted from the Dow Jones Sustainability World Index over the period 2002–2010. Using an event study methodology, we test five existing hypotheses and two new ones, called the “sustainability taste hypothesis” and “sustainability redundancy hypothesis”, which we developed. Consistent with the “sustainability redundancy hypothesis”, we find that both index addition and index deletion stocks experience a significant decline in returns, an increase in trading volume, no change in systematic risk and an increase in idiosyncratic risk. This indicates that sustainability matters to Asia Pacific investors, although in a somewhat negative manner.     

对外开放与中国29省市间收入差距:1985～2007年

本文利用1985～2007年期间的省际数据,针对对外开放与地区间收入差距之间的关系进行了研究。研究结果表明:在影响地区间收入差距的3个因素中,出口差距的作用最大,进口差距的作用其次,外资差距的作用最小;出口差距对地区间收入差距具有显著的、持久的"正向"促进作用,出口差距对收入差距的贡献率最大,贡献率在20%～64.2%之间;进口差距对地区间收入差距具有显著的、持久的"反向"促进作用,进口差距对出口差距的贡献率基本保持在5%～8%之间;外资差距对地区间收入差距具有微小的"反向"促进作用,外资差距对收入差距的贡献率一直小于2%。因此,中国政府要想缩小地区间收入差距,就要高度重视缩小地区间出口差距。     

Human capital and growth in Japan: Converging to the steady state in a 1% world

Annual growth in GDP/adult in Japan has declined from over 10% in 1969 to an average of 1% since the financial crisis in 1991. I show that a dynamic Solow growth model, augmented with human capital, weekly hours worked, and oil prices, explains Japan’s annual growth rates from 1969 to 2007 as conditional convergence to a steady-state rate of 1%/year. Each year of average adult schooling attainment raised GDP/adult directly or indirectly by 20 percent, and weekly hours worked had an output elasticity of 0.5. The marginal product of schooling in 2005 is double the marginal product of physical capital.     

Verdoorn's law and increasing returns to scale in the UK regions, 1968-91: some new estimates based on the cointegration approach

The Johansen approach to estimating long-run cointegration vectorsis used with 1968–91 UK region by industry data to estimatereturns to scale. Thus, this approach has the advantages ofincluding a measure of capital, it overcomes the simultaneityproblems associated with the single-equation Verdoom law, andit involves estimating a correctly specified dynamic model inwhich is embedded the long-run solution(s). The results indicatethat there is substantial evidence that increasing returns arethe norm for the majority of manufacturing industries in Britishregions.