相关多样性对企业创新的非线性影响——基于上市公司的PSTR实证研究

依据雅各布外部性理论探究相关多样性对企业创新的影响，基于2007-2013年上市公司数据，运用PSTR模型实证检验相关多样性对企业创新的非线性影响。研究发现：相关多样性对企业创新有正向作用；随着研发投入的不断增加，相关多样性对企业创新产生非线性影响；企业所有制性质不同，相关多样性对企业创新的非线性影响也不相同；随着研发投入的不断增加且突破某一临界值，在更高的研发投入诱导下，中、西部地区相关多样性对辖区企业创新产生更为强烈的正向作用。     

International R&D Rivalry with Spillovers and Tariff Policies

This paper investigates the effects of R&D spillovers on the R&D choices of foreign exporters when the importing country adopts either uniform or discriminatory alternative tariff regimes. We show that the importing country should optimally choose a uniform tariff regime. A uniform tariff regime is also advantageous for foreign exporters if the R&D spillovers are sufficiently large. A comparison of free trade with the two tariff regimes reveals that there are some situations in which both the importing country and foreign exporters are better off under free trade, which supports trade liberalization.

MICRO AND SMALL ENTERPRISE GROWTH IN TURKEY: UNDER THE SHADOW OF FINANCIAL CRISIS

The present study analyzes the impacts of selected factors on the growth of micro and small enterprises (MSE) in Turkey. Using unique national field survey data on urban MSE that engage 1–49 persons, we present the determinants of MSE growth for the period between the start‐up of enterprises and the year 2000. We evaluate the impact of the financial crisis experienced in Turkey in 2001 on MSE. Detrimental effects of the crisis on MSE are clearly detected in our estimations. Some of the factors contributing to the growth of MSE lose their influence almost immediately during the crisis; indeed, the impact of some factors is reversed. Overall results reveal that there is much scope to design supportive policies for MSE to enable them to withstand the negative impacts of future crises, especially in emerging economies.     

Corporate social responsibility and Eurozone corporate bonds: The moderating role of country sustainability

In this paper, we empirically examine whether superior performance in corporate social responsibility (CSR) results in lower credit risk, measured by credit ratings and zero-volatility spreads (z-spreads). We are especially interested in how the environmental, social, and governance (ESG) related performance of the corresponding countries moderates this relationship. We find only weak evidence that superior corporate social performance (CSP) results in systematically reduced credit risk. However, we do find strong support for our hypothesis that a country’s ESG performance moderates the CSP–credit risk relationship. Superior CSP is regarded as risk-reducing and rewarded with better ratings and lower z-spreads only if it is recognized by the environment. In addition, we find a reduction of corporate bonds’ z-spreads by approx. 9.64 basis points if the CSP of a company mirrors the ESG performance of the country it is located in.     

Bailout uncertainty in a microfounded general equilibrium model of the financial system

This paper develops a micro-founded general equilibrium model of the financial system composed of ultimate borrowers, ultimate lenders and financial intermediaries. The model is used to investigate the impact of uncertainty about the likelihood of governmental bailouts on leverage, interest rates, the volume of defaults and the real economy. The distinction between risk and uncertainty is implemented by applying the multiple priors framework to beliefs about the probability of bailout.Results of the analysis include: (i) An unanticipated increase in bailout uncertainty raises interest rates, the volume of defaults in both the real and financial sectors and may lead to a total drying up of credit markets. (ii) Lower exante bailout uncertainty is conducive to higher leverage, which in turn raises moral hazard and makes the economy more vulnerable to expost increases in bailout uncertainty. (iii) Bailout uncertainty affects the likelihood of bubbles, the amplitude of booms and busts as well as the banking and the credit spreads. (iv) Higher bailout uncertainty is associated with higher returns’ variability in diversified portfolios and higher systemic risks, (v) Pre-crisis expansionary monetary policy reinforces those effects by inducing higher aggregate leverage levels. (vi) The larger the change in bailout uncertainty and the change in aversion to this uncertainty, the stronger the pre-crisis buildup and the deeper the ensuing crisis.A central policy implication of the analysis is that the vaguest is bailout policy prior to a crisis, the lower is the magnitude of investments destroyed or missed due to errors in evaluating bailout and other intervention policies. On the other hand, the clearer is bailout policy upon the eruption of a crisis, the smaller the contraction of credit and the destruction of investment activity.     

Teaching teenagers in finance: Does it work?

Many initiatives worldwide aim at improving financial literacy through targeted education programs, yet there is little evidence regarding their effectiveness. We examine the impact of a short financial education program on teenagers in German high schools. Our findings reveal that the training program significantly increases teenagers’ interest in financial matters and their financial knowledge, especially their ability to properly assess the riskiness of assets. Behaviorally, we observe a decrease in the prevalence of self-reported impulse purchases, but at the same time find no evidence of a significant increase in savings.     

The side effects of quantitative easing: Evidence from the UK bond market

We examine the returns to UK government bonds before, during and between the phases of quantitative easing to identify the side effects for the market itself. We show that the onset of QE led to a sustained reduction in the costs of trading and removed some return regularities. However, controlling for a wide range of market activity, including issuance and QE announcements, we find evidence that investors could have earned excess returns after costs by trading in response to the purchase auction calendar. Drawing on economic theory, we explore the implications of these findings for both the efficiency of the market and the costs of government debt management in both the short and long run.     

A new approach to measuring riskiness in the equity market: Implications for the risk premium

We introduce a new approach to measuring riskiness in the equity market. We propose option implied and physical measures of riskiness and investigate their performance in predicting future market returns. The predictive regressions indicate a positive and significant relation between time-varying riskiness and expected market returns. The significantly positive link between aggregate riskiness and market risk premium remains intact after controlling for the S&P 500 index option implied volatility (VIX), aggregate idiosyncratic volatility, and a large set of macroeconomic variables. We also provide alternative explanations for the positive relation by showing that aggregate riskiness is higher during economic downturns characterized by high aggregate risk aversion and high expected returns.     

More on Middlemen: Equilibrium Entry and Efficiency in Intermediated Markets

This paper generalizes Rubinstein and Wolinsky's (1987) model of middlemen (intermediation) by incorporating production and search costs, plus more general matching and bargaining. This allows us to study many new issues, including entry, efficiency, and dynamics. In the benchmark model, equilibrium exists uniquely and involves production and intermediation for some parameters but not others. Sometimes intermediation is essential: the market operates if and only if middlemen are active. If bargaining powers are set correctly equilibrium is efficient; if not there can be too much or too little economic activity. This is novel, compared to the original Rubinstein–Wolinsky model, where equilibrium is always efficient.     

R&D Spillovers for Public R&D Productivity

ABSTRACT

This paper empirically investigates whether the productivity of a public (government-funded) R&D project improves when the aggregate R&D investment in the same technology field increases. Based on the unique project level data that cover almost entire public R&D projects in Korea, this paper shows that aggregate investment in other public R&D projects in the same technology field increases a public R&D project’s outputs both independent of its project expenditure (additive spillover effects) and interactive with its project expenditure (multiplicative spillover effects). The spillover effects from the aggregate private R&D investment in the same technology field also exist, but to a much lesser extent.