The role of accountability in determining the relationship between financial reporting quality and the performance of public organizations: Evidence from Vietnam

Drawing on the new public management and agency theory, this study examines the mediating role of accountability in the relationship between financial-reporting quality and the performance of public organizations. The research model and hypotheses tested with a survey of 177 responses obtained from accountants and managers working in the public sector in Vietnam. Our analysis shows that accountability has a mediating role on the relationship between financial-reporting quality and performance, with significant implications for public organizations seeking to improve both their financial-reporting quality and their organizational performance with better designed systems of accountability.     

Employment and output effects of financial shocks

This paper develops a New Keynesian model featured with financial frictions in the form of an exogenous credit constraint to explore the employment and output effects of financial shocks. I show that the equity payout adjustment costs are crucial for the transmission mechanism of financial shocks. The model is estimated using the Bayesian methods and simulated using the observed exogenous shocks for two periods, 1954:III–1983:IV and 1984:I–2015:I. Overall, it is found that financial shocks can account for the observed dynamics of employment and output, especially the sharp decreases during the Great Recession 2007–2008. Additionally, the financial shock is the third and second biggest contributor to output and employment variations, respectively, in the earlier period, but it turns out to be the main source of employment and output fluctuations in the later period. I find that firms are faced higher equity payout adjustment costs in the period 1984:I–2015:I, which accounts for greater variations in the equity payouts in the period.     

Does it pay to be green? A disaggregated analysis of U.S. firms with green patents

The objective of this paper is to investigate the relationship between environmental performance and financial performance on a sample of 361 U.S. firms over the 2007–2016 period. We contribute to the literature by considering firms active in sustainable innovations by obtaining green patents. We also contribute to the literature by using disaggregated measures of environmental performance collected from the Bloomberg ESG database, including environmental disclosure score, greenhouse gas emissions, waste emissions and water use. Panel data regressions' results show that environmental transparency positively influences current accounting and stock market performance, but negatively influences the return on capital employed. Furthermore, lower pollution emissions tend to improve the current return on assets, while being harmful for the efficiency of long‐term capital employment at the same time. The empirical results also indicate that the Global Financial Crisis (2007–2010) increased the environmental transparency of firms with green patents but negatively impacted their price to earnings ratio. At the same time, lower waste disposal diminishes stock valuation while the opposite is true with water use. Taken together, our results suggest that environmental transparency and greenhouse gas emissions generally appear to be the most important environmental variables influencing financial performance, with increasing importance attributed to them by the market after the global crisis period.     

Forecasting bitcoin volatility: Evidence from the options market

This paper studies a large number of bitcoin (BTC) options traded on the options exchange Deribit. We use the trades to calculate implied volatility (IV) and analyze if volatility forecasts can be improved using such information. IV is less accurate than AutoRegressive–Moving-Average or Heterogeneous Auto-Regressive model forecasts in predicting short-term BTC volatility (1 day ahead), but superior in predicting long-term volatility (7, 10, 15 days ahead). Furthermore, a combination of IV and model-based forecasts provides the highest accuracy for all forecasting horizons revealing that the BTC options market contains unique information.     

The transmission of business cycles: Lessons from the 2004 enlargement of the EU and the adoption of the euro

This paper evaluates the macroeconomic interdependencies of seven Central and Eastern European Countries (CEECs) with the Euro Area (EA) through trade relationship. We estimate a near‐VAR model and simulate the responses of activity in those CEECs to output shocks for 12 former members of the EA before and after the 2004 enlargement of the European Union. During both periods, empirical results show that spillover effects come through the main economies of the EA: Germany, France and Italy. Furthermore, CEECs were more responsive to output shocks in the EA after 2004 than before (3.3 times more on average). Increases in spillover effects are larger for the three CEECs that adopted the Euro early (Slovenia, Slovakia and Estonia) than the other CEECs but without higher trade intensity with the EA. Our results show that trade effects are positive inside the same currency area but negative for the CEECs without the euro.     

Price formation on clandestine markets: the case of the Paris gold market during the Second World War

Because of the scarcity of data, there are few quantitative analyses dealing with clandestine markets, despite their prime importance during wartime. This article exploits a unique database of daily prices of gold coins traded in occupied Paris in order to gain insights into the price formation on such a market. First, using data from Switzerland, we show that arbitrage took place, despite the costs and risks involved, and led to a gradual (but incomplete) convergence of gold prices. Furthermore, a study of price seasonality reveals that less strict borders controls during the weekends made the volatility of returns higher at the start of the following week. Second, on the basis of an event study, we provide evidence that laws related to black markets did not have a significant impact on the gold price, except for the most severe law passed on 8 June 1943 which greatly increased the sentences for involvement. Finally, we assess whether the so‐called coin premiums existed on this clandestine market, and show that the large price variations for one gram of fine gold contained in different coins were due to market participants’ preferences for specific gold coins.     

Optimal growth when consumption takes time

This article analyzes a one‐sector growth model where the consumption takes time. When the consumption takes time, the consumption set is compact and we meet satiety. However, we prove that dynamic constraints are binding. This result is crucial to prove that, under well‐known assumptions in macroeconomic dynamic programming, the optimal path is monotonic and always converges to a unique nontrivial steady state as in the case where consumption is timeless.     

Optimal Structure of Technology Adoption and Creation: Basic versus Development Research in Relation to the Distance from the Technological Frontier*

Many economists maintain that in order to advance economic growth Asian countries should focus more on basic research than on technology adoption, and more on the supply of skilled workers than the supply of unskilled workers. In this context, this paper presents a theoretical model and empirical evidence to explain the observation that a country in which the level of technology approaches the technology frontier tends to rely more on technology creation than adoption, and invest more in basic research than in development. The model shows that technology creation involves both basic and development research processes, whereas technology adoption uses only the latter process. Therefore, R&D investment in our model involves three different processes: basic research in technology creation, development in technology creation, and development in technology adoption. The results suggest first that the rate of growth is positively correlated with the level of basic research activities in the technology creation sector, if a country's technology gap with the technology frontier is small enough. Second, an increase in the efficiency of the education system for highly skilled workers raises the level of basic research and the rate of growth. Third, verifying these theoretical results, empirical analyses using panel data from Korea, Japan and Taipei, China show that the narrower the distance to the technological frontier, the higher the growth effect of basic R&D, which indicates that the share of basic R&D matters for economic growth. Finally, the results also show that the quality of tertiary education has a significantly positive effect on the productivity of R&D.     

Who is afraid of disposition of financial assets? The moderating role of regulatory focus in the disposition effect

The disposition effect refers to the tendency of financial consumers to sell winning assets (e.g., stocks) too early and to hold losing assets for too long. This effect implies that investors behave asymmetrically under the conditions of paper gains and losses. Although prior research on the disposition effect drew primarily on prospect theory as the explanatory mechanism, we focus on regulatory focus, an alternative mechanism. Regulatory focus theory suggests that people pay distinctive attention to profits and losses depending on self-regulation orientations (i.e., promotion focus vs. prevention focus). We argue that regulatory focus has different influences on financial consumers’ investment behavior in the gain and loss domains. In three experimental studies, we demonstrate that regulatory focus moderates the disposition effect. The results of the current studies imply that the disposition effect is primarily driven by prevention- (vs. promotion-) focused individuals who behave asymmetrically in the gain and loss domains.