Announcement effects of bank mergers in Europe and the US

We investigate the announcement effect of large bank mergers in the European and US stock market. Cumulative abnormal returns are calculated on the basis of the performance vis-à-vis the market and a sector index. Mergers result in small positive abnormal returns. Target banks realize significantly higher returns than bidders. In many respects, there is a difference between the announcement effects of European bank mergers compared to those in the US.     

Cross‐Border Auction Cycle Effects of Sovereign Bond Issuance in the Euro Area

We provide evidence for the euro area of spillovers from foreign public debt auctions into domestic secondary‐market auction cycles. We also confirm existing evidence of such spillovers from domestic issues into the domestic secondary market. Consistent with a theory of primary dealers’ limited risk‐bearing capacity, we find that auction cycles from domestic issues are stronger during the recent crisis period, whereas cross‐border effects are stronger in the precrisis period, but this evidence is not strong. This finding likely reflects the opposing effects of reduced sovereign bond market integration during the crisis and higher yield covariances caused by more market volatility.     

Inference with Dependent Data in Accounting and Finance Applications

We review developments in conducting inference for model parameters in the presence of intertemporal and cross‐sectional dependence with an emphasis on panel data applications. We review the use of heteroskedasticity and autocorrelation consistent (HAC) standard error estimators, which include the standard clustered and multiway clustered estimators, and discuss alternative sample‐splitting inference procedures, such as the Fama–Macbeth procedure, within this context. We outline pros and cons of the different procedures. We then illustrate the properties of the discussed procedures within a simulation experiment designed to mimic the type of firm‐level panel data that might be encountered in accounting and finance applications. Our conclusion, based on theoretical properties and simulation performance, is that sample‐splitting procedures with suitably chosen splits are the most likely to deliver robust inferential statements with approximately correct coverage properties in the types of large, heterogeneous panels many researchers are likely to face.     

政府补贴能否促进高新技术企业的自主创新？——来自中关村的证据

中国政府对高新技术企业投入了大量补贴以激励它们创新,但是对补贴效果的研究并未达成一致结论。基于中关村3万多个高新技术企业2001-2012年的观察值,本文同时采用PSM与DID法对政府补贴的效果进行了研究,结果发现:第一,整体而言,政府补贴显著提高了创新经费支出、新产品销售收入和专利申请数量;第二,进一步将创新细分为自主创新和购买引进新技术之后发现,政府补贴存在“挤出效应”:被补贴企业的自主创新明显下降,而购买引进新技术显著增加;第三,政府补贴对企业的短期创新激励有显著的促进作用,但是对长期创新激励的促进作用不显著。本文对高新技术企业的补贴效果提供了实证绩效评估,所得出的结论有助于政府优化和调整激励创新政策。     

Cross-border spillover effects of unconventional monetary policies on Swiss asset prices

Unconventional monetary policies (UMPs) announced by the Federal Reserve, the European Central Bank, the Bank of England and the Bank of Japan exert important spillover effects on asset prices in Switzerland. Using a broad UMP event set and a long-term bond-futures based measure of market anticipation, we show that surprisingly expansionary UMPs lower Swiss government and corporate bond yields, induce the Swiss franc to appreciate, and dampen Swiss equity prices. Four extensions provide further insights. First, the estimated effects are strongest for announcements by the ECB. Second, the impact on government bonds is largest for bonds with residual maturities of 7–10 years. Third, the impact of foreign UMP shocks on exchange rates and Swiss bond yields is less pronounced after the introduction of the minimum rate of 1.20 Swiss franc per Euro by the Swiss National Bank on September 6, 2011, indicating that domestic monetary policy action partially affects the impact of external monetary shocks on domestic financial markets. Fourth, the sign of spillover effects differs for positive and negative UMP surprises, but their strength does not.     

Do constraints created by economic growth targets benefit sustainable development? Evidence from China

An economic growth target is a declaration by policy authorities of commitment to that target and the corresponding allocation of resources. The constraints created by economic growth target are an important economic management method in China, which has helped China's economy to achieve remarkable achievements. However, it has also brought about serious environmental problems, threatening China's sustainable development. Using the data about economic growth targets in the work reports of 30 Chinese provincial governments from 2006 to 2017, this paper constructs several spatial measurement methods, such as the spatial Durbin model, to examine the constraints created by economic growth target's impacts on air pollution. The main conclusions are as follows. First, a significant “U-shaped” relationship exists between the constraints created by economic growth targets and air pollution. Second, the spatial Durbin model analysis revealed that PM_2.5 across China's provinces display significant positive spatial spillover effects and spatial agglomeration characteristics. Third, the direct, indirect, and total effects of constraints created by economic growth targets on air pollution are all statistically significant and depict a “U shape.” Finally, the constraints created by economic growth targets have an apparent threshold effect on air pollution, and the inhibiting effects increase with human capital and industrial restructuring. However, with the increase in foreign direct investments, constraints created by economic growth targets may increase air pollution. The conclusions of this paper are of great significance for improving the management of local government economic growth targets and sustainable development.     

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.     

Engaging Australian small-scale lifestyle landowners in natural resource management programmes – Perceptions,past experiences and policy implications

This study explores Australian small-scale rural lifestyle landowners’ perceptions of and experiences with natural resource management (NRM) extension and incentive programmes and discusses means to better-match such programmes to these landowners’ NRM interests, assistance needs and delivery preferences. Data was collected from seventeen in-depth qualitative case-studies of small-acreage landholders located in the Noosa hinterland in south-east Queensland. These landholders indicated a high need for expert advice, labour and other resource assistance to achieve their property management objectives. They had, however, a low-level of awareness and understanding of available programmes (particularly incentive schemes) that could provide some of their needed support. Other key barriers to the landholders’ participation in these programmes were aversions to support providers, a perceived unsuitability of properties or irrelevance of particular incentive programmes, and concerns about programme application procedures or property-rights and value-related implications of engagement. Increased NRM engagement among small-scale lifestyle landowners may be achievable through amendments to existing support programmes and better communication of these programmes. The design and delivery of appropriate measures and messages may require collaborative partnerships, with knowledgeable and influential ‘go-to’ landowners and peer-mentoring networks playing a critical role. In many cases, conservation-focused incentive programmes may need to facilitate cooperative NRM among groups of adjoining micro-scale lifestyle landowners and allow greater flexibility in the length and allowable land and forest management practices of contractual agreements. Moreover, small-scale lifestyle landowners have much interest in and need for support to integrate multi-purpose agroforestry systems with other environmental and aesthetic property management goals. Workshops, follow-up field-days on participating properties, free one-on-one on-property advice, and NRM guides that include detailed case-study accounts of landowner experiences are important means of communicating the availability, administrative requirements and benefits of support programmes to small-scale lifestyle landowners.     

Agricultural productivity growth in Latin America and the Caribbean: an analysis of climatic effects,catch‐up and convergence*

This paper investigates whether climatic adjusted total factor productivity (CATFP) in Latin America and the Caribbean (LAC) is converging, converging to different steady states or exhibit absolute convergence, that is the process does not require (government) interventions to reach its equilibrium path. We use data from the University of East Anglia’s Climatic Research Unit and from the Food and Agriculture Organization for 28 LAC countries over a 54‐year period (1961–2014) to estimate random parameters stochastic production frontier models to calculate CATFP and then use cross‐sectional regressions and an error correction model to analyse CATFP convergence across countries in the region. The results show that technological progress is the main driver of CATFP growth in the region and there is no absolute convergence, that is CATFP gaps across countries will not decrease over time and least performing countries will not grow faster than better performing ones without targeted policies. However, CATFP across LAC exhibits conditional convergence towards different steady states. Technological progress plays a critical role in raising the steady state level of CATFP with an overall average of 2.22 per cent per annum.     

"特朗普税改政策"的溢出效应及中国的应对策略

特朗普税改使美国成为税收洼地,各国为争夺国际资本竞相效仿降税,加剧了全球税收竞争,为世界经济复苏增加了更多的不确定性.因此,有必要通过构建利润转移视角的税收竞争模型,揭示特朗普税改对全球经济产生溢出效应的作用机制及赤字约束问题,并运用一般均衡模型(CGE)模拟特朗普税改对世界经济溢出效应的长短期影响.特朗普税改是以邻为壑的经济政策,但长期内对中国等世界主要经济体的负面影响不断减弱,并会对出口产生一定的正面影响.因此,我国应构建国际税务交互管理体制,强化企业税收激励的法制保障,完善税改冲击的应急运行机制.