The welfare effects of disclosure under cognitive dissonance

Atlantic Economic Journal -     

Does too much government spending depress the economic development of transition economies? Evidences from dynamic panel threshold analysis

This paper investigates the relationship between government size and economic growth and determines the optimal level of government spending to maximize economic growth. The paper applies a dynamic panel data analysis based upon a threshold model to test the threshold effect of government spending in 26 transition economies over the period spanning 1993–2016. According to the analysis results, government expenditures have a threshold effect on economic growth, and there is a non-linear relationship depicted as an Armey curve in these transition economies. The findings indicate that a government size above the threshold government spending level adversely affects economic growth, while a government size below the threshold level has a positive effect. Furthermore, there is a statistically significant relationship between the two variables above and below that optimal level, even if we divide the sample into developed and developing countries. Our findings suggest that governments in transition economies should consider optimal government size at around the estimated threshold level to support sustainable economic growth.     

The Lévy LIBOR model

Models driven by Lévy processes are attractive because of their greater flexibility compared to classical diffusion models. First we derive the dynamics of the LIBOR rate process in a semimartingale as well as a Lévy Heath-Jarrow-Morton setting. Then we introduce a Lévy LIBOR market model. In order to guarantee positive rates, the LIBOR rate process is constructed as an ordinary exponential. Via backward induction we get that the rates are martingales under the corresponding forward measures. An explicit formula to price caps and floors which uses bilateral Laplace transforms is derived.     

Reserve Requirements,Liquidity Risk,and Bank Lending Behavior

Although reserve requirements (RR) have been used in emerging markets to smooth credit cycles, the transmission mechanism remains blurry. Using bank‐level data, we unveil the interaction of RR with bank lending. We identify a new channel that works through a decline in banks’ liquid assets and loan supply due to an increase in RR. “Quantitative tightening” through RR raises the short‐term funding needs of the banking system, which is met by collateralized central bank lending, thus depleting banks’ unencumbered liquid assets. Our results suggest that such a shift in bank liquidity is associated with a significant change in lending.     

Incumbency advantage and its value

Markets with network effects are typically concentrated. The aim of this paper is to discuss some recent work on “incumbency advantage.” That is, the fact that firms already installed generate higher profits than entrants even if the latter offer identical or even better terms (in terms of price and quality) to consumers. In particular, we review recently known sources of the advantage and potential mitigating factors and point to a number of open issues.     

Sustainability practices of family firms: the interplay between family ownership and long-term orientation

Sustainability practices are critical for family firms, as they relate directly to the continuity of the business and relationships with important stakeholders, such as members of the local community. Nevertheless, not all family firms wish to adopt sustainability practices. To examine this, we draw upon the socioemotional wealth perspective in order to develop a theoretical model of the direct negative effects of family ownership on the adoption of sustainability practices. We also suggest moderating effects of long-term orientation (LTO) on this link. Our model is tested on a sample of 195 family firms in the tourism and hospitality sector. The results support our hypothesis that family ownership negatively influences the adoption of sustainability practices. Additionally, LTO moderates the relationship between family ownership and the adoption of sustainability practices, such that family owners with a high LTO are more likely to adopt this particular practice compared to those with a low LTO.     

Portfolio optimization based on GARCH-EVT-Copula forecasting models

This study uses GARCH-EVT-copula and ARMA-GARCH-EVT-copula models to perform out-of-sample forecasts and simulate one-day-ahead returns for ten stock indexes. We construct optimal portfolios based on the global minimum variance (GMV), minimum conditional value-at-risk (Min-CVaR) and certainty equivalence tangency (CET) criteria, and model the dependence structure between stock market returns by employing elliptical (Student-$t$ and Gaussian) and Archimedean (Clayton, Frank and Gumbel) copulas. We analyze the performances of 288 risk modeling portfolio strategies using out-of-sample back-testing. Our main finding is that the CET portfolio, based on ARMA-GARCH-EVT-copula forecasts, outperforms the benchmark portfolio based on historical returns. The regression analyses show that GARCH-EVT forecasting models, which use Gaussian or Student-$t$ copulas, are best at reducing the portfolio risk.     

Teaching Interactive Media Design

In todays, computer-centered society, designing interactive media has emerged as a new profession. Interactive design is often associated with spread of computers as a communication and interaction tool. However, interactive design has been a staple of artists and designers for many centuries. We present a historical perspective upon interactive design and point out the close relationship of this field with different fields of art and design. We argue that interactive media design is a distinct and evolving field and that it is imperative to teach it as such. In this paper, we have adopted this perspective and detailed a new four-year under-graduate curriculum on interactive media design education. This curriculum stresses the various components of interactive media design and its close relationship with computer science. This revised version was published online in July 2006 with corrections to the Cover Date.