Nonlinear dynamics in exchange rate deviations from the monetary fundamentals: An empirical study

This paper reexamines empirical performance of the monetary exchange rate model with nonlinear dynamics of exchange rate deviation from the monetary fundamentals. First, we apply unit root test of Park and Shintani (2005) to post-Bretton Woods exchange rate data and able to reject the null of unit root deviation from monetary fundamentals against alternative hypothesis of nonlinear stationary process for deutschemark, pound, and Swiss franc. Our empirical results find that exchange rates show high degree of mean-reversion with larger deviation and long periods of overvaluation and undervaluation of dollar. We also find empirical evidence of predictability of the monetary fundamentals at longer horizons.     

FINANCIAL DEVELOPMENT ON GROWTH CONVERGENCE

This paper investigates whether the impacts of financial development on growth convergence vary with the stage of real development. We implement this analysis through the instrumental variable threshold regression approach proposed by Caner and Hansen. Our empirical evidence shows that financial intermediary development leads to long‐run convergence in growth of both economic activity and productivity. Moreover, such convergence‐enhancing effects of financial intermediation are stronger for less‐developed countries than for the more industrialized. In addition, the data reveal that stock market development assists growth convergence only in low‐income countries.     

EFFECTS OF PATENTS ON PRODUCTIVITY GROWTH IN KOREAN MANUFACTURING: A PANEL DATA ANALYSIS*

Abstract.  We analyse the contributions of patents to total factor productivity (TFP) performance in Korean manufacturing industries during the period 1981–1999. This paper treats potential autocorrelation problems seriously and uses recent panel cointegration approaches to investigate the robustness of the patent-TFP relationship. The results show that both domestic and foreign-resident patent applications have significant positive effects on productivity and that foreign-resident patent applications have a larger effect than domestic patents in improving TFP in Korean manufacturing. We also find evidence of knowledge spillovers among industries, in that the patent applications of other industries increase TFP in any single industry.     

The changing pattern of industrial technology linkage structure of Korea: Did the ICT industry play a role in the 1980s and 1990s?

The notion of the knowledge-based economy highlights the strategic importance of inter-industrial knowledge flows. Among others, the crucial role of information and communications technology (ICT) industry is emphasized. The pattern whereby technological knowledge is created, accumulated and disseminated through the interactive learning among industries can be portrayed as a network. Based on the network theory, this empirical study analyses, from the dynamic perspective, inter-industrial technological knowledge structure of Korean industries during the reference period of early 1980s to mid-1990s. Overall, the density of the network increased over time, implying that the knowledge network has expanded and intensified. The role of the ICT industry in the global network has also increased but needs to be further strengthened, especially informatization of non-ICT industries by the outflow of ICT industrial knowledge in the future. The findings in turn render some important policy implications that should be addressed in developing technology policy.     

Amenity values of spatial configurations of forest landscapes over space and time in the Southern Appalachian Highlands

This research analyzes amenity values of spatial configurations of forest landscapes over space and time in the Southern Appalachian Highlands using geographically weighted regression (GWR) in a hedonic housing-price framework with a census-block group (CBG) dataset. Results show that housing-price response to mean forest-patch size and forest-patch density increased substantially between 1990 and 2000 in a few specific areas with economically significant amenity values. The spatial and temporal dynamics of the resulting amenity-value estimates are evaluated for potential use as site-selection indicators for implementation of forest conservation programs.     

2018 KLEIN LECTURE: INDIVIDUAL AND AGGREGATE LABOR SUPPLY IN HETEROGENEOUS AGENT ECONOMIES WITH INTENSIVE AND EXTENSIVE MARGINS

We study business cycle fluctuations in heterogeneous agent general equilibrium models featuring intensive and extensive margins of labor supply. A nonlinear mapping from time devoted to work to labor services generates operative extensive and intensive margins. Our model captures the salient features of the empirical distribution of hours worked, including how individuals transit within this distribution. We study how various specifications influence labor supply responses to aggregate technology shocks and find that abstracting from intensive margin adjustment can have large effects on the volatility of aggregate hours even if fluctuations along the intensive margin are small.     

Are social entrepreneurs more risk-averse?

We have a conventional wisdom that risk-seeking behaviours are related to commercially oriented entrepreneurs. For this reason, most studies have focused on the context of commercial entrepreneurship, and thus we do not know the risk propensity of social entrepreneurs. Using the PSM method, contrary to our wisdom, we find that social entrepreneurs tend to more have about 15% risk-seeking propensity than commercial entrepreneurs.     

Do gender and age impact the time‐varying Okun's law? Evidence from South Korea

This study investigates the time‐varying Okun's law for different age and gender cohorts in South Korea over the 1980–2014 period. We found that the absolute value of the estimated Okun coefficients for all age cohorts and both genders become larger in a recession than in an expansion. We also found that the youth cohort (15–24 years old) for both genders is more sensitive to a negative economic impact than are older cohorts. These differences imply that when policymakers try to find a way of reducing the unemployment rate, they should consider differences in behaviour among these groups. Furthermore, the policies should be combined with age‐specific policies.     

The price relationship between organic and non-organic vegetables in the U.S.: evidence from Nielsen scanner data

This study investigates price relationships between organic and conventional carrots, tomatoes, and lettuce in the U.S. utilizing Nielsen scanner data from 2006–2015. We employ a threshold vector error correction model (TVECM), threshold vector autoregressive model (TVAR), and threshold cointegration test to test whether market integration exists between organic and conventional vegetables as well as the existence of asymmetric price transmission. The results find positive long-run relationships between organic and conventional prices of carrots and tomatoes and show the existence of asymmetric price transmission in price pairs of lettuce and tomatoes. Our findings suggest that the price relationship between organic and conventional vegetables varies by characteristics, such as shelf life, volatility in the price premium, and substitutability.     

Sources of fluctuations in hours worked for Canada,Germany, Japan and the U.S.: a sign restriction VAR approach

This study empirically examines the sources of fluctuations in hours worked in Canada, Germany, Japan and the U.S. It is particularly motivated by Galí’s (1999) VAR study, which demonstrates that a positive technology shock reduces hours worked, at least in the short run. However, in the present study, a technology shock is identified without recourse to Galí’s long-run restriction, which has been subject to active controversy. Furthermore, this study uncovers other important sources of fluctuations in hours worked to reflect the concern, raised by numerous studies, that technology shocks leave most variations in hours worked unexplained. Specifically, there are six shocks underlying our model, and they are identified using a set of sign restrictions. The empirical results confirm that in all four countries, a positive technology shock significantly reduces hours worked. This technology shock, along with labor supply and demand shocks, accounts for most of the short-term variations in hours worked. As the forecasting horizon increases, technology and demand shocks become less important, whereas labor supply shocks contribute to explaining the bulk of long-run variations in hours worked. Finally, the empirical relevance of Galí’s long-run identification restriction is tested and the results are related to those obtained using the sign restriction model.