The new Keynesian Phillips curve: endogeneity and misspecification

The wrong or insignificant sign of the forcing variable in the new Keynesian Phillips curve estimations may be a result of the endogeneity of the labour share and misspecification of real marginal cost in the baseline model. We address the misspecification of real marginal cost by formulating a broad measure that features the labour share, output gap and supply shock variables. The endogeneity of the labour share is addressed by using an appropriate lag of the labour share in the Phillips curve. Reduced-form evidence from five developed and five emerging market economies support the empirical validity of the NKPC.     

Proxy variable estimation of productivity and efficiency

We model productivity and inefficiency jointly, instead of modeling and estimating either only productivity or only inefficiency with many variable and quasi-fixed inputs. In the first model, we use a multi-step procedure. We use the proxy variable method based on the first-order condition (FOC) of expected profit maximization with respect to the single variable input to take care of the endogeneity problem arising from both productivity and inefficiency. To separate mean inefficiency from mean productivity we assume them nonparametric functions of different sets of exogenous variables. In the second model, we consider a novel system consisting of the production function and the FOCs of expected profit maximization for the multiple variable inputs. Distributional assumptions are made on all the random errors associated with the production function, the FOCs, productivity, and inefficiency functions in the second model. We use the Colombian food manufacturing data as an application of our model.     

Endogeneity and the Dynamics of Voluntary Disclosure Quality: Is there Really an Effect on the Cost of Equity Capital?*

Research on the effects of voluntary disclosure quality on the cost of equity capital is often plagued by endogeneity concerns. In this paper, I use a dynamic panel system GMM estimator, which provides internal instruments from the firm's history that directly address endogeneity arising from unobserved heterogeneity and simultaneity. By using hand-collected voluntary disclosure scores for firms listed in the Swiss stock exchange, I examine the dynamic relation between voluntary disclosure quality and the cost of equity capital in a panel over a period of 10 years. The results suggest that the relation between voluntary disclosure quality and the cost of equity capital becomes insignificant after controlling adequately for potential dynamic endogeneity, simultaneity, and unobserved heterogeneity.     

Roles of Formal Institutions and Social Capital in Innovation Activities: A Cross-Country Analysis

This paper investigates the roles of formal institutions and social capital in countries’ innovation activities. The sample consists of 62 developed and developing countries, using the ordinary least squares robust standard error estimations, instrumental variable (IV) estimators, and quantile regression. The empirical results indicate that formal institutions and social capital complement one another in influencing countries’ innovations level. In terms of the relative importance of both in promoting innovation activities, the social capital has greater role compared to formal institutions. Furthermore, the empirical result suggests that innovation level tends to be higher in countries with higher social capital. We also use the quantile regression to estimate whether the relationship among formal institutions, social capital, and innovation differs at different points in the conditional distribution of innovation. The results demonstrate that formal institutions yield a significant positive impact only after exceeding in 50th quantile, whereas social capital do so at lower 10th quantile. Therefore, in addition to a policy focus on improving the formal institutions, countries with a low level of innovation should enrich social capital in their promotion of innovation activity.     

Combining Modelling Strategies to Analyse Teaching Styles Data

This paper combines two estimation procedures: Iterative Generalized Least Squares as used in the software MLwiN; Gibbs Sampling as employed in thesoftware BUGS to produce a modelling strategy that respects the hierarchical natureof the Teaching Styles data and also allows for the endogeneity problems encountered when examining pupil progress.     

Origin and concentration

We analyse the effects of different types and concentration of ownership on performance using a large population of firms in the Czech Republic after mass privatization. Specifications based on first‐differences combined with instrumental variables show that the performance effects of different types and concentration of ownership are limited when compared to earlier studies. Often, concentrated ownership has a positive effect, a finding that supports the agency theory. The positive effect of foreign ownership is detected primarily for majority ownership and for ownership by foreign industrial firms. The state as a holder of the golden share has a positive effect on employment and sometimes, also on output and profitability. Overall, our results highlight the benefits of strategic restructuring accompanied by an inflow of new capital and managerial culture.     

Informality and credit constraints: evidence from Sub-Saharan African MSEs

The attributes of micro and small enterprises (MSEs) influencing access to credit, in particular the level and role of firm informality, are analysed in the article. The puzzle is the push for MSEs to join the formal sector and the tug to avoid the extra burden it places on the firm. It is important to know more clearly what forces are at work and the sources of the causal effects. This study uses data from the World Bank Enterprise Surveys for five low-income countries (LICs) in Sub-Saharan Africa. The method is empirical and as we find informality to be endogenous to credit constraints, an instrumental variable approach is estimated. Further, to address the possibility of reverse causality, an instrument for the informality variable is required; not registered with Inland Revenue (tax office) is the chosen instrument variable. The findings reveal that as the probability of a firm operating in the formal sector increases, there is greater access to external credit. The causality relationships are tested providing a strong platform for the formalization of polices to reduce the informality of the MSE sector. These are discussed in the context of the research findings.     

多元化折价与多元化溢价的稳健性：一个文献述评

自从Langand Stulz（1994）提出多元化折价以来，多元化折价与溢价的争论成为公司财务领域的焦点问题之一。但是，文献研究表明，多元化本身可能是中性的，多元化可能并不是产生折价的原因。本文对多元化折价与溢价的文献进行了归纳，认为多元化折价与溢价的稳健性取决于多元化赖以存在的条件，以及实证研究是否解决了内生性问题。今后的研究需要提高数据的可靠性、消除内生性、引入新的方法、嵌入制度和政治关联等因素。