我国居民杠杆率现状及影响因素研究

近年来,我国居民部门杠杆率的快速上升引起社会各界关注。本文使用货币信贷和城镇储户调查数据,对我国居民部门杠杆率和偿债能力现状进行了分析,并运用各省住户贷款数据计算各省的居民杠杆率,使用面板数据模型对居民杠杆率上升的原因进行了实证分析。结果表明,房价的快速上涨和住房销售的增长都对居民部门杠杆率的上升有显著正向影响,其中房价上涨的影响程度更大。此外,金融发展水平和老年人抚养比对居民杠杆率有正向影响,少年人抚养比对居民杠杆率有负向影响。     

The interest rate pass-through in the Euro area during the global financial crisis

This paper uses panel vector autoregressive (VAR) models for euro area member countries to explore the widening of retail bank interest rate spreads that emerged in the course of the global financial crisis. We find that the interest rate pass-through was generally complete on impact before the outbreak of the financial crisis, but became significantly distorted in the period thereafter, which hampered the effectiveness of monetary policy. Empirical evidence suggests that the decrease in the interest rate pass-through can be related to a change in the structural parameters characterizing the economies and a substantial increase in the average size of structural shocks. DSGE model simulations show that an increase in the frictions that banks are subject to can explain the decrease in the retail bank interest rate pass-through.     

Credit risk,managerial behaviour and macroeconomic equilibrium within dual banking systems: Interest-free vs. interest-based banking industries

In this paper, an attempt has been made to explore the determinants of credit risk in the banking system with a particular interest toward the Islamic banking industry. We analyze the link between credit risk and a set of bank-specific and macroeconomic along with institutional variables using two complementary approaches. First, we investigate the factors of credit risk using one-step generalized method of moments (GMM) system estimator. Then, we explore the feedback between credit risk and its determinants in a panel vector autoregressive (PVAR) model. We have used a sample of Middle Eastern, North African (MENA) and Asian countries to apply our model. The major purpose of this paper is to find factors that could explain credit risk within the interest-free banking system relative to the interest-based one.     

Do R&D and ICT affect total factor productivity growth differently?

We analyze the effect of ICT and R&D on total factor productivity (TFP) growth across different industries in Sweden. R&D alone is significantly associated with contemporaneous TFP growth, thus exhibiting indirect effects. Although there is no significant short-run association between ICT and TFP, we find a positive association with a lag of seven to eight years. Thus, R&D affect TFP much faster than ICT-investments. We also divide ICT capital into hardware and software capital. To our knowledge, this distinction has not been made in any previous study analyzing TFP at the industry level. The results show that lagged hardware capital services growth is significantly associated with TFP growth. Hence, investments complementary to hardware are needed to reap the long-run TFP effects from reorganizing production.     

Dynamic capability in a small global factory

In order to balance their local and global operations optimally, SMEs are moving toward a ‘global factory’ type of organizational form, meaning a differentiated network of activities held together through the control of key assets and flows of knowledge, and coordinated by a focal firm. Managing such a network requires a specific dynamic capability comprising, according to our study, cognitive, managerial, and organizational capabilities. Cognitive capabilities – cultural awareness, entrepreneurial orientation, and a global mindset – are the basis for a global factory because they are the source for opportunity recognition and exploitation, and are therefore crucial. The focal firm's organizational flexibility and absorptive capacity, as well as managerial capabilities in the areas of interface competence and analytical capability, are needed in the steering of a small global factory, the success of which depends on the nurturing of these assets.     

Good signals gone bad: Dynamic signalling with switched effort levels

This paper examines signalling when the sender exerts effort and receives benefits over time. Receivers only observe a noisy public signal about the effort, which has no intrinsic value.The modelling of signalling in a dynamic context gives rise to novel equilibrium outcomes. In some equilibria, a sender with a higher cost of effort exerts strictly more effort than his low-cost counterpart. The low-cost type can compensate later for initial low effort, but this is not worthwhile for a high-cost type. The interpretation of a given signal switches endogenously over time, depending on which type the receivers expect to send it.     

Oil risk contracts,business conduct and performance patterns: Data panel analysis

Using the economic and financial performance data of international companies for the exploration, and exploration–extraction (E&E) of oil, as well as the patterns of institutional situation and orientation with the government market and national oil companies or NOCs that receive project offers, we analyze the institutional development and behavior patterns by type of E&E contract, following the strategic actor approach, or the so-called agency theory. Additionally, in light of Mexico's energy reform being implemented between 2015 and 2019, we analyzed the types of license contracts compared to those for production and shared profit. Subsequently, it was determined-through panel data methods in the analysis of 17 companies between 2005 and 2015-that global companies present bigger yields and commitments compared to specialized companies, confirmed by their net income and returns on equity or ROE.     

A new look at variation in employment growth in Canada: The role of industry,provincial, national and external factors

We examine fluctuations in employment growth using Canadian data from 1976 to 2010. We consider a wide range of models and examine the sensitivity of our findings to modelling assumptions. The results from our most preferred model, which we selected using the Bayesian Information Criteria, indicate that most of the variance in employment growth that is not due to the idiosyncratic error comes from domestic sources, with most of this coming from industry and provincial factors. Overall, we find that external and national factors play a much smaller role in employment fluctuations than in earlier research. We provide some possible explanations for these differences and discuss the implications of our findings for public policy and theory.     

Forecasting macroeconomic variables in emerging economies

Forecasting macroeconomic variables in rapidly changing emerging economies presents a number of challenges. In addition to structural changes, the time-series data are usually available only for a short number of periods, and predictors are available in different lengths and frequencies. Dynamic model averaging (DMA), by allowing the forecasting model to change dynamically over time, permits the use of predictors with different lengths and frequencies for the purpose of forecasting in a rapidly changing economy. This study uses DMA to forecast inflation and growth in Vietnam, Thailand, Philippines, Sri Lanka and Ghana. We compare its forecasting performance with a wide range of other time-series methods. We find that the size and composition of the optimal predictor set changed, indicating changes in the economic relationships over time. We also find that DMA frequently produces more accurate forecasts than other forecasting methods for both inflation and economic growth in the countries studied.     

Food scandals,media attention and habit persistence among desensitised meat consumers

Consumer reactions to food scandals and their resulting economic implication are well documented. However, studies have typically neglected the roles that consumption habits and media usage behaviours may play in explaining household’s response to food safety incidences. In this study we develop a model of heterogeneous media usage intensity, information impacts and decay over time to estimate household’s behavioural responses to the 2011 German Dioxin scandal. We are specifically interested in determining the degree of heterogeneity in household’s short-term adjustments demand patterns versus persisting long-term consumption habits of meat products (chicken and pork) directly affected by the incident. The empirical analysis employs detailed household-level retail scanner and media usage data collected by the GfK Consumer Scan panel for a total of 16,023 households over a period of 104 calendar weeks. Results of dynamic correlated random effect Tobit models indicate an important role of unobserved heterogeneity in explaining household responses during the food scandal. We find strong empirical evidence supporting our hypothesis that short-term marginal adjustments in demand and propensity to buy affected products triggered by the negative impact of household media exposure were over-compensated by habit persistence. The question of how consumption patterns evolve over time in the presence of food scandals is expected to be of interest for both policy makers and the food industry. The potential biases in the projection of economic impacts resulting from simplifying assumptions of household’s response patterns to a proliferating numbers of food safety incidences has implications for risk management and public policy.