Sensorimotor experiences in servicescapes predict attitude formation through memory dynamics: A longitudinal study

In a longitudinal study design with three waves, we show that strong sensorimotor associations of past service experiences positively influence consumers' attitude formation during postconsumption stages by (a) leading to more postconsumptive memories, specifically if (b) the initial experience has been perceived as moderately positive. Our study complements extant research on sensory marketing, consumer retrospection, and cognitive reinforcement by introducing memory frequency as an important mediator to explain time-related antecedents of consumers' word-of-mouth. The results provide novel insights into the dynamics of attitude formation based on prior service experiences and help marketers to create long-lasting customer relationships during postconsumption stages.     

Is the Relationship of Wealth Inequality with the Real,Financial and Housing Cycle Country-Specific?

Atlantic Economic Journal - Relying on the methodology of deviation cycle dynamics, we analyze whether the association of wealth inequality measures and the real, financial and housing cycle are...     

Monetary Policy Committee Transparency: Measurement,Determinants, and Economic Effects

This paper studies monetary policy committee transparency (MPCT) based on a new index that measures central bankers’ educational and professional backgrounds as disclosed through central bank websites. Based on a novel cross-sectional data set covering 75 central banks, we investigate the determinants of MPCT as well as its economic consequences. We find that past inflation, institutional indicators, and monetary policy strategy are important determinants of MPCT. MPCT has a robust and significantly negative impact on inflation variability and inflation expectations, even after controlling for important macroeconomic variables and institutional transparency, as well as instrumenting MPCT in various ways. MPCT can be both a complement to and a substitute for institutional transparency.     

Global Credit Risk: World,Country and Industry Factors

We investigate the dynamic properties of systematic default risk conditions for firms in different countries, industries and rating groups. We use a high‐dimensional nonlinear non‐Gaussian state‐space model to estimate common components in corporate defaults in a 41 country samples between 1980:Q1 and s2014:Q4, covering both the global financial crisis and euro area sovereign debt crisis. We find that macro and default‐specific world factors are a primary source of default clustering across countries. Defaults cluster more than what shared exposures to macro factors imply, indicating that other factors also play a significant role. For all firms, deviations of systematic default risk from macro fundamentals are correlated with net tightening bank lending standards, suggesting that bank credit supply and systematic default risk are inversely related. Copyright © 2016 John Wiley & Sons, Ltd.     

Do individual index futures investors destabilize the underlying spot market?

This study investigates the impact of introducing index futures trading on the volatility of the underlying stock market. We exploit a unique institutional setting in which presumably uninformed individuals are the dominant trader type in the futures markets. This enables us to investigate the destabilization hypothesis more accurately than previous studies do and to provide evidence for or against the influence of individuals trading in index futures on spot market volatility. To overcome econometric shortcomings of the existing literature we employ a Markov‐switching‐GARCH approach to endogenously identify distinct volatility regimes. Our empirical evidence for Poland suggests that the introduction of index futures trading does not destabilize the spot market. This finding is robust across three stock market indices and is corroborated by further analysis of a control group. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:81–101, 2011     

Determinants of European stock market integration

We analyse the determinants of stock market integration among EU member states for the period 1999–2007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate risk, market capitalisation, and business cycle synchronisation in a pooled OLS model. By grouping the countries into euro area countries, “old” EU member states outside the euro area, and new EU member states, we also evaluate the impact of euro introduction and the European unification process on stock market integration. We find a significant trend toward more stock market integration, which is enhanced by the size of relative and absolute market capitalisation and hindered by foreign exchange risk between old member states and the euro area. Interest rate spreads and business cycle synchronisation are also significant factors in explaining equity market integration.     

Bayesian estimation of the output gap for a small open economy: The case of Canada

We introduce a novel approach for estimating output gaps for small open economies. Identification is based on a multivariate trend-cycle decomposition in which transitory exchange rate movements are linked to the output gap and inflation. The model is then applied to Canadian data.     

Nowcasting and forecasting global financial sector stress and credit market dislocation

We introduce a new international model for the systematic distress risk of financial institutions from the US, the European Union, and the Asia-Pacific region. Our proposed dynamic factor model can be represented as a nonlinear, non-Gaussian state space model with parameters that we estimate using Monte Carlo maximum likelihood methods. We construct measures of global financial sector risk and of credit market dislocation, where credit market dislocation is defined as a significant and persistent decoupling of the credit risk cycle from macro-financial fundamentals in one or more regions. We show that, in the past, such decoupling has preceded episodes of systemic financial distress. Our new measure provides a risk-based indicator of credit conditions, and as such, complements earlier quantity-based indicators from the literature. In an extensive comparison with such quantity-based systemic risk indicators, we find that the behaviour of the new indicator is competitive with that of the best quantity-based indicators.     

Government capital formation: Explaining the decline

Government Capital Formation: Explaining the Decline. —This paper examines whether various hypotheses put forward to explain the downward trends in government capital spending are supported by the data. Using panel data for 22 OECD countries for 1980–1992, various hypotheses are tested in a model. The authors find support for three hypotheses: (1) capital spending is reduced during periods of fiscal stringency, since this category of government spending is politically an easier target for cuts than other spending categories; (2) myopic governments will cut investment spending more than governments which have a longer policy horizon; (3) private investment influences government investment spending, because both types of investment are complementary.