Dynamic employment adjustments over business cycles

This paper uses U.S. monthly industrial production employment data between 1964 and 2000 to examine the dynamic labor adjustments of production workers and nonproduction workers in both the short and long-run. The results from the short-run analysis show that the dynamic adjustment of production workers is consistent with business cycles. However, the adjustment of nonproduction workers is relatively fixed, lags behind the shocks over business cycle changes, and exhibits the quasi-fixed factor property. In the long-run, we found that nonproduction workers and production workers are cointegrated indicating that the two series are in long-run equilibrium.First version received: March 2002/Final version received: November 2003We would like to thank James McClure, participants in the Economics Department seminar series at Ball State University, and an anonymous referee for their comments and suggestions.     

Forecasting exchange rates using feedforward and recurrent neural networks

In this paper we investigate the out-of-sample forecasting ability of feedforward and recurrent neural networks based on empirical foreign exchange rate data. A two-step procedure is proposed to construct suitable networks, in which networks are selected based on the predictive stochastic complexity (PSC) criterion, and the selected networks are estimated using both recursive Newton algorithms and the method of nonlinear least squares. Our results show that PSC is a sensible criterion for selecting networks and for certain exchange rate series, some selected network models have significant market timing ability and/or significantly lower out-of-sample mean squared prediction error relative to the random walk model.     

Subnational home market bias in Vietnam: Evidence from enterprise‐level data

This paper contributes to the home (market) bias literature where administrative or political borders limit trade across borders. Home bias is well documented at the national and subnational level. To sort out macro (e.g., location characteristics) and micro (e.g., enterprise characteristics) factors behind home bias, we use small and medium‐sized enterprise (SME) data from Vietnam. Using the fractional multinomial logit model, we find that the proportion of SME sales outside of their home markets is positively associated with enterprise size, age, number of business association memberships and the distance of SMEs' most important supplier. In contrast, the proportion of SME sales to neighbouring provinces is negatively associated with the share of SME production for final consumption. Besides enterprise‐level frictions, market characteristics matter too. The proportion of SME sales to customers in their home markets is negatively associated with home or neighbouring provinces' governance quality, while the proportion of sales to customers in neighbouring provinces is positively associated with these areas' governance quality. These suggest that good governance frees SME resources for use in selling to less familiar markets.     

Corporation Diversification and Firm Performance: Evidence from Vietnamese Listed Firms

We examine the effect of corporate diversification on the performance of firms listed on the Vietnamese stock exchanges, using 2744 firm year observations over the period from 2007 to 2012. We find that corporate diversification has a negative impact on firm performance. Our results are robust to various econometric estimation techniques including fixed effect, instrumental fixed effect, Heckman selection model and system generalised method of moments. In the Vietnamese context, the lack of an efficient corporate governance system may encourage firms to follow corporate diversification strategies, thus impairing their performance.     

Government expenditure,external and domestic public debt,and economic growth

This paper analyzes the relationship between government expenditure, tax on returns to assets, public debt, and growth in an endogenous growth model. Public debt is composed of two components, domestic debt and external debt. We show conditions for existence, uniqueness, and multiplicity of the steady states. More precisely, existence of steady state requires a sufficiently high productivity and a sufficiently low tax on returns to assets. We also provide the effects of an increase in the tax rate on returns to assets on the steady state. In particular, the relation between public spending and the tax rate has a bell shape. Domestic debt unambiguously increases with tax whereas external debt displays an inverted U‐shaped curve. A high tax rate leads to a reallocation of public debt in favor of domestic debt (to the detriment of external debt). The effect of taxation on consumption (and production) also displays a nonlinear pattern when the output elasticity of capital is lower than unity (the effect is monotonously increasing if this elasticity is unity). We also derive the conditions under which a tax increase can boost or reduce the balanced growth rate.     

Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach

This article adopts a nonparametric quantile causality approach to examine the causal effects of the U.S. and Japan stock markets on the stock markets of the Pacific-Rim region. This approach allows us to detect not only nonlinear causalities in conditional return (mean) and conditional volatility (variance) but also the asymmetries of causalities under extreme market conditions (bullish vs. bearish states). Our results provide significant evidence of causality in return and volatility at different points of the conditional distributions of returns, with the greater effects from the U.S. than from Japan. Asymmetric quantile causality patterns are particularly pronounced in the case of Japan.     

The impact of rural roads and irrigation on household welfare: evidence from Vietnam

We measure the impact of road and irrigation projects on the livelihoods of households in the poorest and most remote areas of Vietnam using difference-in-difference estimators. We find that both rural road and irrigation projects help local households improve the access to safe water and welfare measured by a wealth index. The impact of irrigation projects is found to be larger than the impact of road projects. We also find heterogeneous impacts of road and irrigation projects. Households with higher levels of education tend to benefit more from road projects, while households with lower levels of education are likely to benefit more from irrigation projects.     

Cattle as a consistently resilient agricultural commodity

This study compares a range of agricultural commodities over periods of varying economic circumstances. These commodities are examined over three categories, including returns, risk, and contribution to portfolio optimisation. Consistency in these categories is determined over four equal three-year stages which comprise pre-GFC (Global Financial Crisis), GFC, post-GFC and post-post GFC. To demonstrate resilience in the most extreme circumstances, the study uses Conditional Value at Risk (CVaR), which measures extreme risk in the tail of a distribution, as the risk measure and risk-return optimiser. The study thus provides a unique and comprehensive extreme-risk based focus which identifies and ranks the consistency of performance of agricultural commodities over a range of criteria and conditions. Cattle commodities consistently demonstrate the strongest overall performance in the categories examined.