ON THE ROBUSTNESS OF RANGE‐BASED VOLATILITY ESTIMATORS

We empirically examine Parkinson's range‐based volatility estimate in the federal funds market, which is unique because institutional regulations create a predictable pattern in interday volatility. We find that range‐based volatility estimates and standard deviations produce the expected volatility pattern. We also find that at trading pressure points where microstructure noise should be greatest, range‐based estimates are less than the standard deviations. Thus, we support the argument that range‐based volatility estimates remove the upward bias created by microstructure noise. We find that the Parkinson method is the most efficient range‐based volatility measure among a set of alternates in this market.     

Social Mobility in Nineteenth Century Rural Sweden – A Micro Level Analysis

Abstract

Pre-industrial rural societies have often been pictured as stationary and immobile both in geographical and social terms. In the last decades this image has begun to change, especially as regards geographical mobility, while our knowledge of social mobility of rural pre-industrial Europe is still rudimentary. This study focuses on social attainment and mobility in a rural community of nineteenth-century southern Sweden, making use of high quality micro-level demographic and socioeconomic data. We show that intergenerational social mobility was quite frequent. Downward mobility was more prevalent than upward, and also increased over time. Social attainment and mobility were determined by a combination of inherited factors and individual agency. Social origin was of major importance, and so was the social origin of the spouse, which points to the crucial role played by partner selection in determining individual social outcome. Availability of networks as measured by place of birth also played a role in social achievement.     

THE INTERACTION OF MONETARY POLICY AND STOCK RETURNS

The “irrational exuberance” of the stock market in the late 1990s led to a discussion of the appropriate policy response by monetary authorities. Any response would be contingent on the stock market reaction to policy shocks. In this study, I employ a structural vector autoregression to estimate the response of the stock market returns to innovations in the federal funds rate. The role of the stock market in the Federal Reserve policy rule can also be examined empirically.     

2020年农民增收:新冠肺炎疫情的影响与应对建议

新冠肺炎疫情将从多个渠道、多重方式对今年农民增收带来严重冲击,其中对工资性收入影响尤为突出。疫情在全球加速扩散,对全球经济贸易增长冲击严重,通过全球供应链影响我国产业经营和农民就业,今年后期农民持续增收挑战巨大。本文认为必须统筹疫情防控和经济社会发展两线作战;加快中小企业复工复产,实施文化旅游产业振兴,加大创新创业支持,恢复和稳定农民就业增收;创新农产品产销对接,实施产业提升工程,提升风险治理能力,稳住和促进农业经营增收;加强国际疫情研判,抓紧做好防范应对,稳住农民增收基础。要对标问题、攻坚克难、系统发力,通过一揽子政策助力农民持续增收,力争如期实现全面建成小康社会和全面打赢脱贫攻坚战目标。     

Firm adoption of international standards: evidence from the Ethiopian floriculture sector

Global trade in agriculture and food products is increasingly governed by an array of standards. In order to continue exporting, developing countries have little choice but to comply with the new requirements. This study uses a census based panel data set from the nascent floriculture industry in Ethiopia to empirically examine the determinants of firms’ adoption of international private standards in fresh horticulture produce in large‐scale estate farms. The econometric analysis shows that larger size, older, and foreign owned firms are more likely to adopt the private standards. Moreover, this study analyzes the overall industry level efforts and public–private partnership to launch and implement a national scheme GAP and build a firm's capacity to comply with the standards.     

R&D Strategy in International Mixed Duopoly with Research Spillovers

This paper examines the international mixed duopoly behaviour with research spillovers. Using a two‐stage game with Research and Development (R&D) and output, we investigate the effects of imperfectly appropriable R&D on optimal R&D strategies of a domestic public firm and a foreign private firm across different market interactions: (i) international R&D competition, (ii) only the foreign firm conducts R&D, (iii) only the domestic public firm conducts R&D, (iv) no firm conducts R&D, and (v) research joint venture. The results show that firms' research performances are determined by the degree of spillovers and the optimal R&D strategies involve R&D competition. Spillovers are shown to be socially beneficial and their absence can prove to be a strategic deterrent, with the public firm monopolising the market. Some of these findings contrast with the traditional models of oligopoly (with or without R&D) and mixed oligopoly (without R&D).     

重大突发公共卫生事件背景下企业捐赠对股价的影响——基于企业异质性的分组检验

以2020年沪深A股上市公司为样本,探讨在重大突发公共卫生事件暴发后企业捐赠对股票价格的影响,并分别从公司自身性质（产权性质、行业性质）、内部特征（内部控制质量、信息披露质量）、外部环境（产品市场竞争、所在地区疫情严重程度）三个维度研究捐赠发挥的作用效果是否会因企业异质性而存在显著差异。实证结果显示,在重大突发公共卫生事件背景下,企业捐赠对股票价格有显著正向影响。进一步研究发现,此关系会受到企业异质性的影响。具体而言,国有企业、受疫情负面影响严重行业的企业、内部控制质量低的企业、信息披露质量低的企业、疫情严重地区所在企业、产品市场竞争度高的企业,捐赠对股价的提升作用不显著。     

Covid-19, Economic Growth and South African Fiscal Policy

Following years of fast-rising debt levels, we show that the Covid-19 crisis worsened an already deteriorating fiscal position in South Africa. To restore fiscal sustainability in the aftermath of the crisis some commentators argue that higher government expenditure will grow GDP sufficiently to stabilise the debt/GDP ratio. We reject this, showing that although a real increase in expenditure stimulates economic growth (a short-run, once-off effect), the public expenditure/GDP ratio exceeds the level at which an increase in the ratio positively impacts growth. We then explore the past efforts of government to maintain or restore fiscal sustainability by estimating a fiscal reaction function using a Markov-switching model. Following the impact of the Covid-19 crisis on the budget, we subsequently establish the deficit, expenditure and revenue adjustments that the government will have to make to restore fiscal sustainability. Finally, we consider the merits of introducing a debt ceiling.     

A Tale of Three Countries: What is the Relationship Between COVID-19, Lockdown and Happiness?

The COVID-19 pandemic led many governments to implement lockdown regulations to curb the spread of the virus. Though lockdowns do minimise the physical damage caused by the virus, there may also be substantial damage to population well-being. Using a pooled data set, we analyse the relationship between a mandatory lockdown and happiness in three diverse countries: South Africa, New Zealand and Australia. These countries differ amongst others in terms of lockdown regulations and duration. The primary aim is to determine, whether a lockdown is negatively associated with happiness, notwithstanding the characteristics of a country or the strictness of the lockdown regulations. Second, we compare the effect size of the lockdown on happiness between these countries. We use Difference-in-Difference estimations to determine the association between lockdown and happiness and a Least Squares Dummy Variable estimation to study the heterogeneity in the effect size of the lockdown by country. Our results show that a lockdown is associated with a decline in happiness, regardless of the characteristics of the country or the type and duration of its lockdown regulations. Furthermore, the effect size differs between countries in the sense that the more stringent the stay-at-home regulations are, the greater it seems to be.     

The impact of auctions on residential property prices

This study assesses whether the sale method in residential real estate markets – auction versus private treaty – is a determinant of sale price. Utilising a larger and richer dataset than previous research, we test for a price effect in auction sales in Sydney and Christchurch. When self‐selection biases are corrected for, using two‐stage hedonic regression analysis and a matched sampling procedure, we find no significant difference between prices of properties sold at auction to those sold by private treaty. This conflicts with the conclusions of previous research in the Australian and New Zealand housing markets, which have documented a price premium associated with auction sales.