Sovereign credit ratings and financial markets linkages: Application to European data

We use EU sovereign bond yield and CDS spreads daily data to carry out an event study analysis on the reaction of government yield spreads before and after announcements from rating agencies (Standard & Poor’s, Moody’s, Fitch). Our results show significant responses of government bond yield spreads to changes in rating notations and outlook, particularly in the case of negative announcements. Announcements are not anticipated at 1–2 months horizon but there is bi-directional causality between ratings and spreads within 1–2 weeks; spillover effects especially among EMU countries and from lower rated countries to higher rated countries; and persistence effects for recently downgraded countries.     

Deploying Environmental Management Across Functions: The Relationship Between Green Human Resource Management and Green Supply Chain Management

Balancing environmental, social, and economic performance is today considered a key responsibility that firms have toward society. As a result, academics, practitioners, and political decision makers are increasingly paying attention to environmental management systems improving a full spectrum of environmental performance. In that regard, even if recent literature suggests that environmental management should be deployed through a cross-functional approach, extant literature mostly focuses on independent functional systems. This paper addresses this gap investigating how the deployment of environmental management in the human resource function—adopting green human resource management (GHRM) practices—and the supply chain function—adopting green supply chain management (GSCM) practices—impact on environmental and financial performance. We draw from a multiple-respondent survey of human resource and supply chain managers in multiple industries in Italy. The study suggests that GHRM and GSCM impact on both environmental and financial performance and shows that GHRM and GSCM exert those impacts in a joint fashion. Indeed, our results show that GSCM plays a mediating role in the relationship between GHRM and performance. Overall, our results provide researchers and managers with relevant insights into the cross-functional deployment of the environmental values and principles across functions.     

The contribution of domestic, regional and international factors to Latin America's business cycle

This paper quantifies the relative contribution of domestic, regional and international factors to the fluctuation of domestic output in six key Latin American (LA) countries: Argentina, Bolivia, Brazil, Chile, Mexico and Peru. Using quarterly data over the period 1980:1-2003:4, a multi-variate, multi-country time series model was estimated to study the economic interdependence among LA countries and, in addition, between each of them and the three world largest industrial economies: the US, the Euro Area and Japan. Falsifying a common suspicion, it is shown that the proportion of LA countries' domestic output variability explained by industrial countries' factors is modest. By contrast, domestic and regional factors account for the main share of output variability at all simulation horizons. The implications for the choice of the exchange rate regime are also discussed.     

How costly are debt crises?

The aim of this paper is to assess the short and medium-term impact of debt crises on GDP. Using an unbalanced panel of 154 countries from 1970 to 2008, the paper shows that debt crises produce significant and long-lasting output losses, reducing output by about 10 percent after 8 years. The results also suggest that debt crises tend to be more detrimental than banking and currency crises. The significance of the results is robust to different specifications, identification and endogeneity checks, and datasets.     

Distribution Dynamics and Nonlinear Growth

This paper extends the distribution dynamics approach to the study of the shape of the growth process of a cross-section of countries. We first identify some empirical implications of a nonlinear Solovian growth model with multiple equilibria. These implications are then tested by a novel definition of the state space, which jointly considers income and growth rate. The main findings are that nonlinearity is a salient feature of the overall picture, and that the cross-section dynamics is compatible with the existence of multiple equilibria. We also discuss how the hypothesis of conditional convergence may be challenged in the light of our results.