Labor productivity forecasts based on a Beveridge–Nelson filter: Is there statistical evidence for a slowdown?

In this paper, I assess the evidence for a structural break in labor productivity growth in the years before the Great Recession with the use of out-of-sample forecasting exercises for the years 2010 to 2019 and the recently developed Beveridge–Nelson filter. Models based on a Beveridge–Nelson filter with no structural breaks outperform those allowing for a structural break, and there is statistically significant evidence that they outperform the random walk, though all models were too optimistic about labor productivity growth. Recently developed statistical tests do point to the presence of a structural break before the Great Recession, but uncertainty about the data-generating process for labor productivity growth or the timing and magnitude of the break may be too great to be helpful in forecast preparation.     

Non-linear Gaussian sovereign CDS pricing models

Prior literature indicates that quadratic models and the Black–Karasinski model are very promising for CDS pricing. This paper extends these models and the Black [J. Finance 1995, 50, 1371–1376] model for pricing sovereign CDS’s. For all 10 sovereigns in the sample quadratic models best fit CDS spreads in-sample, and a four factor quadratic model can account for the joint effects on CDS spreads of default risk, default loss risk and liquidity risk with no restriction to factors correlation. Liquidity risk appears to affect sovereign CDS spreads. However, quadratic models tend to over-fit some CDS maturities at the expense of other maturities, while the BK model is particularly immune from this tendency. The Black model seems preferable because its out-of-sample performance in the time series dimension is the best.     

Hedging and pricing early-exercise options with complex fourier series expansion

We introduce a new numerical method called the complex Fourier series (CFS) method proposed by Chan (2017) to price options with an early-exercise feature—American, Bermudan and discretely monitored barrier options—under exponential Lévy asset dynamics. This new method allows us to quickly and accurately compute the values of early-exercise options and their Greeks. We also provide an error analysis to demonstrate that, in many cases, we can achieve an exponential convergence rate in the pricing method as long as we choose the correct truncated computational interval. Our numerical analysis indicates that the CFS method is computationally more comparable or favourable than the methods currently available. Finally, the superiority of the CFS method is illustrated with real financial data by considering Standard & Poor’s depositary receipts (SPDR) exchange-traded fund (ETF) on the S&P 500® index options, which are American options traded from November 2017 to February 2018 and from 30 January 2019 to 21 June 2019.     

The mechanism of credit risk contagion among internet P2P lending platforms based on a SEIR model with time-lag

The credit risk contagion of Internet peer-to-peer (P2P) lending platforms is an important part of Internet financial risk management and supervision. This study analyzes the contagion path of credit risk in Internet P2P lending. Based on complex network theory and the theory of infectious disease dynamics, the characteristics of Internet P2P lending development are combined to construct a SEIR model of credit risk transmission among Internet P2P lending platforms with time lag, and the robustness of the model is analyzed and proven. The influence of platform correlations, the susceptible immune rate, the platform elimination rate, contagion latency, the saturation coefficient, and the susceptibility input rate on credit risk contagion behavior among Internet P2P lending platforms is analyzed, using the equilibrium point and threshold value. The impact of each variable is analyzed by simulation. Corresponding countermeasures and suggestions are proposed to prevent and control credit risk contagion among these platforms.     

时间压力对网络冲动性购买的影响研究：交易效用和感知风险的调节

以往关于时间压力对冲动性购买影响的研究结论具有两面性，即促进或抑制。文章引入交易效用和感知风险两个调节变量，通过两个实验探讨了时间压力对网络冲动性购买倾向影响的边界条件。首先，当交易效用较高时，时间压力的增加会导致其网络冲动性购买倾向的提高；而当交易效用较低时，时间压力的增加会导致其网络冲动性购买倾向的降低（实验一）。其次，当人们感知风险较低时，时间压力的增加会导致其网络冲动性购买倾向的提高；而当人们感知风险较高时，时间压力的增加会导致其网络冲动性购买倾向的降低（实验二）。研究结论可以帮助电商企业进一步了解消费者的冲动性购买行为，充分利用时间压力的影响，制定更灵活有效的促销策略。     

Mandatory IFRS adoption and management forecasts: The impact of enforcement changes

We examine how concurrent enforcement changes affect the positive relationship between mandatory IFRS adoption and firms’ voluntary disclosure. We show that the increase in the issuance of management forecasts after IFRS adoption is smaller for firms from IFRS-mandating countries with concurrent enforcement changes than for those from countries without such changes. We find no difference in the increase of forecast informativeness between firms from IFRS-mandating countries without concurrent enforcement changes and firms from non-IFRS-mandating countries; however, firms domiciled in IFRS-mandating countries with concurrent enforcement changes exhibit a significantly smaller increase in forecast informativeness. Our findings suggest that better IFRS enforcement distinctly weakens (strengthens) the positive effect of IFRS adoption on voluntary (mandatory) disclosure.     

Are China’s regional agricultural productivities converging: How and why?

This article tests the hypotheses of convergence to a single level of total factor productivity (TFP), and a steady state of TFP growth rate in China’s agricultural sector. Based on multilateral TFP estimates we found that China’s agricultural sector has rebounded in recent years from a slower TFP growth in the 2005–2007 period. While convergence test results confirm a “catch-up” effect that provinces with lower TFP levels tend to grow faster than others, estimated rates of β convergence are conditional on how we capture the heterogeneity effect across regions. The rates of β convergence range from 0.016 to 0.039 under different model specifications. Estimates show that higher growth rates of educational attainment, R&D, and intermediate goods density (per unit of labor) can enhance TFP growth. Unfortunately, there is no evidence of an overall σ convergence, indicating that TFP levels are not converging except in the South region. It implies that to catch up with leading provinces, it would require extra efforts for those lagging behind by increasing their region-specific research investment, promoting rural educational attainment, and enhancing embodied technical change.     

CEO internal experience and voluntary disclosure quality: Evidence from management forecasts

Internally‐promoted CEOs should have a deep understanding of their firm's products, supply chain, operations, business climate, corporate culture, and how to navigate among employees to get the information they need. Thus, we argue that internally‐promoted CEOs are likely to produce higher quality disclosure than outsider CEOs. Using a sample of US firms from the S&P1500 index from 2001 to 2011, we hand‐collect whether a CEO is hired from inside the firm and, if so, the number of years they worked at the firm before becoming CEO. We then examine whether managers with more internal experience issue higher quality disclosures and offer three main findings. First, CEOs with more internal experience are more likely to issue voluntary earnings forecasts than those managers with less internal experience as well as those managers hired from outside the firm. Second, CEOs with more internal experience issue more accurate earnings forecasts than those managers with less internal experience as well as those managers hired from outside the firm. Finally, investors react more strongly to forecasts issued by insider CEOs than to those issued by outsider CEOs. In additional analysis, we find no evidence that these results extend to mandatory reporting quality (i.e., accruals quality, restatements, or internal control weaknesses), perhaps because mandatory disclosure is subjected to heavy oversight by the board of directors, auditors, and regulators. Overall, our findings suggest that when managers have work experience with the firm prior to becoming the CEO, the firm's voluntary disclosure is of higher quality.     

Re‐vitalizing money demand in the Euro area. Still valid at the zero‐lower bound

The analysis of monetary developments has always been a cornerstone of the ECB's monetary analysis and, thus, of its overall monetary policy strategy. In this respect, money demand models provide a framework for explaining monetary developments and assessing price stability over the medium term. It is a well‐documented fact in the literature that, when interest rates are at the zero‐lower bound, the analysis of money stocks become even more important for monetary policy. Therefore, this paper re‐investigates the stability properties of M3 demand in the euro area in the light of the recent economic crisis. A cointegration analysis is performed over the sample period 1983 Q1 and 2015 Q1 and leads to a well‐identified model comprising real money balances, income, the long‐term interest rate and the own rate of M3 holdings. The specification appears to be robust against the Lucas critique of a policy dependent parameter regime, in the sense that no signs of breaks can be found when interest rates reach the zero‐lower bound. Furthermore, deviations of M3 from its equilibrium level do not point to substantial inflation pressure at the end of the sample. Excess liquidity models turn out to outperform the autoregressive benchmark, as they deliver more accurate CPI inflation forecasts, especially at the longer horizons. The inclusion of unconventional monetary policy measures does not contradict these findings.