Stock market volatility forecasting: Do we need high-frequency data?

The general consensus in the volatility forecasting literature is that high-frequency volatility models outperform low-frequency volatility models. However, such a conclusion is reached when low-frequency volatility models are estimated from daily returns. Instead, we study this question considering daily, low-frequency volatility estimators based on open, high, low, and close daily prices. Our data sample consists of 18 stock market indices. We find that high-frequency volatility models tend to outperform low-frequency volatility models only for short-term forecasts. As the forecast horizon increases (up to one month), the difference in forecast accuracy becomes statistically indistinguishable for most market indices. To evaluate the practical implications of our results, we study a simple asset allocation problem. The results reveal that asset allocation based on high-frequency volatility model forecasts does not outperform asset allocation based on low-frequency volatility model forecasts.     

Globalization and Outward Foreign Direct Investment

While recent research into foreign direct investment (FDI) has focused on examining the importance of institutions, corruption, money laundering, and tax havens, the role of globalization on FDI has not yet been explored. This research investigates the impacts of globalization on outward FDI. We find that both overall globalization and its economic and social dimensions significantly positively influence outward FDI flows. We also demonstrate that beyond the level of globalization, corruption, money laundering, and the status of a country as a tax haven, cross-country similarity also plays an important role. Accordingly, policies specifically designed to increase the transparency of outward FDI flows should be required to address money laundering and the existence of tax havens.     

Wage formation during economic transformation: macroeconomic facts and firm survey evidence from Slovenia

This article provides macroeconomic stylised facts on wage comparisons and microeconomic evidence on how institutional changes, competitive pressures in firms' output markets, human capital and efficiency wage payment affect wage formation during the early stages of transformation. Wages in Slovenia are higher than in other transition Central and Eastern European countries and higher than labour productivity. We use a firm survey panel dataset of Slovenian enterprises to investigate labour cost adjustment and its policy relevance. The results reveal that transformation was not a uniform process as it has induced different labour cost adjustments and wage responses to transformation shocks over time. The hypothesis that labour productivity and competitive pressures in firms' output markets were important for wage formation was not supported. We confirm that rent seeking increased wages in insider, management and employee-owned enterprises in anticipation of privatisation. The effect of human capital was modest and efficiency wage payment was found not to be significant. The hypothesis of unionisation in Slovenian enterprises was not supported.     

Causes of Changes in Agricultural Employment in Slovenia: Evidence from Micro‐data

This paper analyses labour adjustment in and out of agriculture during transition to a market economy. A multinomial logit model is used to determine the factors that affect these processes. The results show that elderly, less educated and full‐time employees on a farm are more likely to continue with farming. Inflow of labour into agriculture is largely associated with the unemployment and retirement of farm household members. Age, education and investment in human capital are the key factors that improve the quality, mobility and flexibility of labour, which is crucial for efficient labour adjustment at the micro‐level and sector level. Better‐educated individuals are more likely to enter into employment in non‐agricultural, particularly service, activities.     

Social aspirations in European banks: peer-influenced risk behaviour

We test a sample of 3,586 banks from 33 European countries to determine whether performances above or below a social aspiration level (median performance of peer banks) influence banks’ aggregate risk levels. Our results are consistent with the behavioural theory of the firm and prospect theory in that we find that bank performance below a bank’s social aspiration level is followed by increased aggregate risk, i.e. risk-taking behaviour in the subsequent year. Although under-performing banks tend to be risk-takers, large banks and banks with high aggregate risk levels tend to limit the increase in their aggregate risk levels.     

Export-led growth: the case of the Slovenian and Estonian economies

The export-led growth hypothesis is investigated in the case of the two small, open and export-oriented Slovenian and Estonian economies. The Johansen cointegration test and Granger causality test were applied to investigate the relationship between the time series variables for export, import and gross domestic product (GDP). The results reveal evidence to support the export-led growth hypothesis in both economies. The Granger causality relationship is found between export growth and economic (GDP) growth for both countries. Slovenia and Estonia can enhance economic growth by providing a better enabling environment for exporters and by market expansion.     

Agro-food trade competitiveness of Central European and Balkan countries

This paper investigates the level, composition, and differences in agro-food relative trade advantages/disadvantages for eight Central European and Balkan countries on the European Union (EU) markets and their implications for food policy. Higher and more stable relative trade advantages are found for bulk primary raw agricultural commodities and less for consumer-ready foods, implying competitiveness shortcomings in food processing and in international food marketing. Duration analysis shows that the EU enlargement has a negative impact on agro-food relative trade advantages for all eight analyzed countries. Estimations imply that the duration of agro-food relative trade advantages are the highest for Hungary and Poland, and for Bulgaria in differentiated products, indicating their agro-food trade potentials in the EU-15 markets.     

Modelling price transmission and volatility spillover in the Slovenian wheat market

Interdependence between first and second moments of producer and consumer wheat prices in Slovenia is assessed, in light of the recent major historical events that the country has undergone, as well as the recent rumours of cartel agreements between millers causing a decline in farm-gate prices, while leaving consumer prices untouched. A threshold vector error correction and multivariate generalized autoregressive conditional heteroscedasticity model with exogenous variables is applied. Results indicate that price-level adjustments mainly favour retailers by increasing their marketing margins. Important second-moment interactions are also identified. Increases in international wheat stocks reduce producer prices, while higher interest rates increase their instability.     

The Effect of Investment,LFA and Agri-environmental Subsidies on the Components of Total Factor Productivity: The Case of Slovenian Farms

The effect of subsidies on the performance of farms has received a great deal of attention in the literature, although results are inconclusive. Furthermore, much of the related literature examines the effect of subsidies only on technical efficiency (TE). We examine the effect of different types of subsidies on the different components of total factor productivity (TFP) in Slovenian agriculture over the period 2006–2013. We first estimate a Random Parameter Stochastic production frontier model. Then, based on the estimates of this model, we calculate and decompose the TFP index into TE, scale efficiency and technological change. Third, we apply combined difference-in-difference and a matching estimator to examine the effect of investment, less favoured area (LFA) and agri-environmental (AE) subsidies on the different components of TFP. In our case, these subsidies are found to have no significant effect on either TFP or on its components.