The role of market expectations in commodity price dynamics: Evidence from oil data

This paper examines the contribution of market expectations to commodity price dynamics. It proposes a dynamic competitive storage framework with an explicit expectations shock along with concurrent shocks to study the commodity price movements. This allows for a refined analysis of the expectations’ effect on price and inventory and the estimation of the expectations. Applied to the world crude oil market, it finds that the contribution of market expectations to the crude oil spot price movements is limited from 1987 to 2014.     

Does too much finance harm economic growth?

This study provides new evidence on the relationship between finance and economic growth using an innovative dynamic panel threshold technique. The sample consists of 87 developed and developing countries. The empirical results indicate that there is a threshold effect in the finance–growth relationship. In particular, we find that the level of financial development is beneficial to growth only up to a certain threshold; beyond the threshold level further development of finance tends to adversely affect growth. These findings reveal that more finance is not necessarily good for economic growth and highlight that an “optimal” level of financial development is more crucial in facilitating growth.     

A model for international capital markets closure in an economy with incomplete markets and short sales

Using a two-country dynamic optimization model, we investigate the impact of exchange risk, incomplete information and short sales constraints on international portfolio decisions around market closure. Using optimal control theory, we provide solutions and simulation results. Our model can be applied to solve several problems in financial economics in the presence of market closure, information asymmetry and short sales constraints.     

全球城市的理论涵义及实践性

本文在国内外全球城市学者研究成果基础上阐述了全球城市的理论逻辑、动态逻辑、实践逻辑。关于理论逻辑,基于经济全球化已经从传统走向现代的客观事实引出了跨国公司的主体地位,进而阐述了全球城市形成和发展的客观必然性,紧接着从信息化角度阐述了全球城市资源配置功能从“在岸”演进到“在岸”与“离岸”并举;关于动态逻辑,从区域化全球化的发展程度、发展中国家如何崛起全球城市、全球城市作为地点空间和流动空间如何演化、全球城市版本的迭代升级四个方面阐述全球城市动态逻辑的基本趋势;关于实践逻辑,聚焦上海的全球城市建设,阐述了上海为什么要定位全球城市、中国的全球城市发生在什么地方、上海如何建设全球城市、上海到底怎么做长三角一体化的龙头等等方面的问题。     

Constructing a financial fragility index for emerging countries

This article proposes a novel framework to construct a financial fragility index (FIX) of an emerging country from five main variables by combining the methods of principal component analysis and dynamic conditional correlations. The main contribution of the FIX is the time-varying weighting scheme of the variables and it is demonstrated for a leading emerging market, Turkey. A comparison with the classic principal component approach on forecasting economic activity-expectations and a policy making application are presented.     

Leverage versus volatility: Evidence from the capital structure of European firms

The impact of leverage on financial market stability and the relationship with the real economy is a key concern among researchers. This paper makes an initial attempt to investigate the relationship between a firm’s leverage, return and share price volatility from an Islamic finance perspective and capital structure theory. A multi-country dynamic panel framework and the mean-variance efficient frontier are applied to 320 sample firms from eight European countries, divided into portfolios of low and high debt using the shari’ah screening threshold of 33%. We find that the firm’s return and volatility change with changes in the capital structure. Islamic-compliant stocks show, in most cases, less volatility than non-compliant stocks but are no different in terms of return. Finally, our results tend to imply a case for limiting debt beyond certain levels.     

Dynamic agency with persistent observable shocks

This paper studies a continuous-time hidden-action model with persistent observable shocks. In this model, I develop a method to characterize the optimal contract with history-dependent effort exertion and shirking decisions. Temporal shirking is always optimal after some histories as long as a positive persistent shock is expected. As a result, my model gives rise to a mechanism through which the moral hazard problem amplifies macroeconomic fluctuations. I also show the pattern of the agent’s utility adjustments with respect to persistent shocks and its implications for compensation design.     

How internal and external factors influence the dynamics of SME technology collaboration networks over time

This paper presents a framework to assess the effects of technology collaboration networks (TCNs) on the innovation performance of small and medium-sized enterprises (SME). It includes three factors that affect firm dynamics and could influence the success of the TCN: the macroeconomic cycle (macro-level), the industry life cycle (industry-level) and the age of the firm (firm-level). Previous papers have focused on factors at one specific level, mainly the firm level, but have not looked at these all together and have also failed to take into account how they evolve gradually over time. This study closes this gap using a panel of 44,885 observations for SMEs for the period 2003–2013. The findings confirm the importance of the inclusion of these factors at the macroeconomic, industry and firm level since they influence the TCN and the innovation performance relationship. The implications for managers and policy makers are discussed.     

Foreign market selection of online retailers — A path-dependent perspective on influence factors

Internationalization is a critical task for online retailers, yet the question of how and in which order online retailers choose foreign markets has not been investigated. Based on dynamic capabilities and institutional theory, the authors identify, test and explain factors influencing the foreign market selection behavior of European online retailers. Following a dynamic, path-dependent view of the market selection process over time, the hypotheses are tested using a longitudinal database containing observations of the foreign market selection behavior of 140 online retailers in Europe, accounting for 825 market entries over 15 years. The use of a rank-ordered logistic regression model allows the observation of how different attributes contribute to overall evaluations of the attractiveness of chosen markets, assuming that online retailers attempt to maximize the utility of markets for their specific interests, in dependence of the observed factors.The results indicate that market size, rule of law, and local market knowledge, as well as a common language and the logistics performance of a target country have a positive effect on the likelihood of selecting a target country. Although the internet is said to reduce the impact of distance, both cultural and geographic distance as well as added geographic distance still show a negative impact on the selection of foreign markets by online retailers.     

Does easy availability of cash affect corruption? Evidence from a panel of countries

Using annual panel data of 54 countries for the period 2005-14, we examine whether currency in circulation, both aggregate and in large denominations, affects the level of corruption in a country. Standard panel data models suggest that the ratios of (i) aggregate currency in circulation to M1 and, (ii) large denomination banknotes to M1 are both statistically significant determinants of corruption. Tests for reverse causality within a panel Granger framework reveal a uni-directional causality of corruption with the first variable, but a bi-directional one with the second. These findings suggest that a limitation in the supply of high-denomination banknotes, inter alia, could be a tool to fight corruption, and bring to the fore the important role of payment systems, extending an earlier study by Goel and Mehrotra (2012). The results also highlight that, along with the government, the central bank of an economy can also play an important role in the fight against corruption.