ABSTRACTSocial trust has enchanted social scientists due to its importance for both cooperation within societies and economic performance. This article provides a novel empirical study of whether external conflict affects trust. The possible ways that conflict could be related to trust are theoretically validated by two hypotheses on social group behavior. To identify the effect of external conflict on within-society trust, I interpret U.S. General Social Survey (GSS) trust data within a natural experiment with the terror attacks of 9/11 observed as the external conflict. Difference-in-differences estimations are in favor of the hypothesis that positive trust attitudes within a group are independent from external conflict.
{"title":"How Does External Conflict Impact Social Trust? Evidence from the 9/11 Attacks as a Natural Experiment in the US","authors":"A. Shaleva","doi":"10.2139/ssrn.1769023","DOIUrl":"https://doi.org/10.2139/ssrn.1769023","url":null,"abstract":"ABSTRACTSocial trust has enchanted social scientists due to its importance for both cooperation within societies and economic performance. This article provides a novel empirical study of whether external conflict affects trust. The possible ways that conflict could be related to trust are theoretically validated by two hypotheses on social group behavior. To identify the effect of external conflict on within-society trust, I interpret U.S. General Social Survey (GSS) trust data within a natural experiment with the terror attacks of 9/11 observed as the external conflict. Difference-in-differences estimations are in favor of the hypothesis that positive trust attitudes within a group are independent from external conflict.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"42 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77051013","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Our objective is to review the existing literature on modeling financial asset return distributions and propose additional models and techniques that provide a better fit for a given financial asset return series such as global stock indices, industry segments and foreign exchange. One possible way is to adjust the model within the whole family of parameters, or only within the family of parameters, which make economic sense. The ideal model specification is the one that can handle structural change and time dependence in conditional mean, variance, skewness, and kurtosis. This may have more economic appeal than assuming fundamental nonnormality. We postulate that the simultaneous estimation of time-varying first-four moments using a flexible family of probability distributions such as the Pearson type distributions might provide a better explanation of risks, and hence, robust design of portfolio allocation systems beyond the traditional first-two moments framework. In a study of fractual structures in exchange rates, Richards (2000) finds in a simulation experiment that the best performing model among non-linear time series models is a GARCH, in which a generalized error distribution was modified to allow for wider tails.In this research, we will combine an autoregressive conditional heteroskedasticity model with an asymmetric information structure due to Daniel B. Nelson (1991) with a flexible family of distributions, developed by Karl Pearson (1895). Within this framework, a nonlinear parametric model with time-varying higher moments is proposed. We, hereby, attempt to extend the time-varying conditional variance nature of traditional ARCH/GARCH-type models to include either time-varying skewness or kurtosis for it might improve our understanding of risks and risk premia seen in financial markets. To this end, we will explore the possible ill behavior of standardized residuals in many types of the time-varying conditional variance models and show that these residuals lead us to the modeling of time-varying skewness and kurtosis. We will fit the Pearson distribution directly to sample data by calculating the second, third and fourth central moments of the observed values and using the definitions of skewness and kurtosis. However, observed values of the third and fourth moments could be sensitive to outliers. This would question the validity of the equation, which takes advantage of the time-varying properties of kurtosis. Moreover, the sensitivity of higher moments’ estimates to a small number of extreme returns also means that ex-post returns may have quite different properties from ex-ante returns. We are also planning to incorporate the concepts of L-moments, introduced by Hosking (1990). L-moments are defined to be the expected values of linear expectations of the order statistics. They are less sensitive to outliers than ordinary moments, and often provide a better identification of the parent distribution that generates a particular dat
我们的目标是回顾现有的关于金融资产回报分布建模的文献，并提出其他模型和技术，以更好地适应给定的金融资产回报系列，如全球股票指数、行业部门和外汇。一种可能的方法是在整个参数族中调整模型，或者只在参数族中调整模型，这在经济上是有意义的。理想的模型规范是能够处理条件均值、方差、偏度和峰度的结构变化和时间依赖性的模型规范。这可能比假设基本面不正常更具经济吸引力。我们假设，使用灵活的概率分布家族(如Pearson型分布)同时估计时变的前四阶矩可能会更好地解释风险，因此，超越传统的前两阶矩框架的投资组合配置系统的稳健设计。在对汇率分形结构的研究中，Richards(2000)在模拟实验中发现，非线性时间序列模型中表现最好的模型是GARCH模型，该模型对广义误差分布进行了修改，以允许更宽的尾部。在本研究中，我们将把Daniel B. Nelson(1991)提出的具有非对称信息结构的自回归条件异方差模型与Karl Pearson(1895)提出的灵活分布族相结合。在此框架下，提出了具有时变高矩的非线性参数模型。因此，我们试图扩展传统ARCH/ garch型模型的时变条件方差性质，使其包括时变偏度或峰度，因为它可以提高我们对金融市场中风险和风险溢价的理解。为此，我们将探讨许多类型的时变条件方差模型中标准化残差可能的不良行为，并表明这些残差导致我们建立时变偏度和峰度的模型。我们将通过计算观测值的第二、第三和第四中心矩，并使用偏度和峰度的定义，将皮尔逊分布直接拟合到样本数据。然而，第三和第四矩的观测值可能对异常值敏感。这将对利用峰度时变特性的方程的有效性提出质疑。此外，高矩估计对少数极端收益的敏感性也意味着事后收益可能与事前收益具有完全不同的性质。我们还计划纳入霍斯金(1990)引入的l矩的概念。l矩被定义为阶统计量的线性期望的期望值。与普通矩相比，它们对异常值不那么敏感，并且通常能更好地识别产生特定数据样本的母分布。人们可以使用l -矩来拟合数据的特定分布，方法是将前几个样本和总体的l -矩相等，类似于矩的方法。在广义极值分布(Hosking et al.， 1985)和广义帕累托分布(Hosking and Wallis, 1987)的某些情况下，所得到的参数和分位数估计有时比最大似然估计更准确。如果分布的均值存在，那么所有高阶l矩也存在(参见霍斯金(1996)的“定理1”)。因此，l矩可以描述方差或高阶正则矩可能是无限大的肥尾分布。而且，为了使样本l矩的标准误差有限，需要有限的最大矩是第2矩;也就是说,方差。我们认为，由于l -矩在其他重尾分布中的成功应用，对于诸如Pearson - vii型这样的细峰分布使用l -矩可能会有一定的价值。
{"title":"A Volatility Model for Financial Time Series in the Generalized Pearson Setting","authors":"Kurtay Ogunc","doi":"10.2139/ssrn.1925211","DOIUrl":"https://doi.org/10.2139/ssrn.1925211","url":null,"abstract":"Our objective is to review the existing literature on modeling financial asset return distributions and propose additional models and techniques that provide a better fit for a given financial asset return series such as global stock indices, industry segments and foreign exchange. One possible way is to adjust the model within the whole family of parameters, or only within the family of parameters, which make economic sense. The ideal model specification is the one that can handle structural change and time dependence in conditional mean, variance, skewness, and kurtosis. This may have more economic appeal than assuming fundamental nonnormality. We postulate that the simultaneous estimation of time-varying first-four moments using a flexible family of probability distributions such as the Pearson type distributions might provide a better explanation of risks, and hence, robust design of portfolio allocation systems beyond the traditional first-two moments framework. In a study of fractual structures in exchange rates, Richards (2000) finds in a simulation experiment that the best performing model among non-linear time series models is a GARCH, in which a generalized error distribution was modified to allow for wider tails.In this research, we will combine an autoregressive conditional heteroskedasticity model with an asymmetric information structure due to Daniel B. Nelson (1991) with a flexible family of distributions, developed by Karl Pearson (1895). Within this framework, a nonlinear parametric model with time-varying higher moments is proposed. We, hereby, attempt to extend the time-varying conditional variance nature of traditional ARCH/GARCH-type models to include either time-varying skewness or kurtosis for it might improve our understanding of risks and risk premia seen in financial markets. To this end, we will explore the possible ill behavior of standardized residuals in many types of the time-varying conditional variance models and show that these residuals lead us to the modeling of time-varying skewness and kurtosis. We will fit the Pearson distribution directly to sample data by calculating the second, third and fourth central moments of the observed values and using the definitions of skewness and kurtosis. However, observed values of the third and fourth moments could be sensitive to outliers. This would question the validity of the equation, which takes advantage of the time-varying properties of kurtosis. Moreover, the sensitivity of higher moments’ estimates to a small number of extreme returns also means that ex-post returns may have quite different properties from ex-ante returns. We are also planning to incorporate the concepts of L-moments, introduced by Hosking (1990). L-moments are defined to be the expected values of linear expectations of the order statistics. They are less sensitive to outliers than ordinary moments, and often provide a better identification of the parent distribution that generates a particular dat","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"58 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79454992","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper provides an empirical study on the predictability of implied volatility using dataset collected from the London over-the-counter currency option market. The present work is motivated by the lack of empirical studies that address implied volatility characteristics across various maturities. We applied both in and out-of-sample tests that include the nonparametric variance ratio and interval forecasts methodologies. Contrary to the weak-form market efficiency theory, this study provides evidence of non-random movement in the implied volatility series and indicates predictability of implied volatility series. The result suggests that there is a need to account for the differences in data characteristics that exist across the volatility term structure.
{"title":"Predictability of Implied Volatility: Evidence from the Over-the-counter Currency Option Markets","authors":"Alfred H.S. Wong, R. Heaney, Amalia Di Iorio","doi":"10.2139/ssrn.1917062","DOIUrl":"https://doi.org/10.2139/ssrn.1917062","url":null,"abstract":"This paper provides an empirical study on the predictability of implied volatility using dataset collected from the London over-the-counter currency option market. The present work is motivated by the lack of empirical studies that address implied volatility characteristics across various maturities. We applied both in and out-of-sample tests that include the nonparametric variance ratio and interval forecasts methodologies. Contrary to the weak-form market efficiency theory, this study provides evidence of non-random movement in the implied volatility series and indicates predictability of implied volatility series. The result suggests that there is a need to account for the differences in data characteristics that exist across the volatility term structure.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"20 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81235326","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Anne-Laure Delatte, M. Gex, Antonia López‐Villavicencio
This paper assesses the potential influence of the growing CDS market on the borrowing cost of sovereign states during the European sovereign crisis. We analyze the sovereign debt market to ascertain the pattern of information transmission between the CDS and corresponding bond markets. Our methodological innovation is the use of a non-linear specification rather than the linear VECM specification customarily employed. Using a panel smooth transition model during the 2008-2010 period, we find that: 1) linearity tests clearly reject the null hypothesis of a linear transmission mechanisms between the bond and the CDS markets; 2) market distress alters the mutual influence and 3) the higher the distress the more the CDS market dominates the information transmission between CDS and bond markets.
{"title":"Has the CDS Market Influenced the Borrowing Cost of European Countries During the Sovereign Crisis?","authors":"Anne-Laure Delatte, M. Gex, Antonia López‐Villavicencio","doi":"10.2139/ssrn.1917219","DOIUrl":"https://doi.org/10.2139/ssrn.1917219","url":null,"abstract":"This paper assesses the potential influence of the growing CDS market on the borrowing cost of sovereign states during the European sovereign crisis. We analyze the sovereign debt market to ascertain the pattern of information transmission between the CDS and corresponding bond markets. Our methodological innovation is the use of a non-linear specification rather than the linear VECM specification customarily employed. Using a panel smooth transition model during the 2008-2010 period, we find that: 1) linearity tests clearly reject the null hypothesis of a linear transmission mechanisms between the bond and the CDS markets; 2) market distress alters the mutual influence and 3) the higher the distress the more the CDS market dominates the information transmission between CDS and bond markets.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"61 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82763819","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
If localization economies are present, firms within denser industry concentrations should exhibit higher levels of performance than more isolated firms. Nevertheless, research in industrial organization that has focused on the influences on firm survival has largely ignored the potential effects from agglomeration. Recent studies in urban and regional economics suggests that agglomeration effects may be very localized. Analyses of industry concentration at the MSA or county-level may fail to detect important elements of intra-industry firm interaction that occur at the sub-MSA level. Using a highly detailed dataset on firm locations and characteristics for Texas, this paper analyses agglomeration effects on firm survival over geographic areas as small as a single mile radius. We find that greater firm density within very close proximity (within 1 mile) of firms in the same industry increases mortality rates while greater concentration over larger distances reduces mortality rates.
{"title":"Geographic Concentration and Firm Survival","authors":"Dakshina G. De Silva, R. Mccomb","doi":"10.2139/ssrn.1912506","DOIUrl":"https://doi.org/10.2139/ssrn.1912506","url":null,"abstract":"If localization economies are present, firms within denser industry concentrations should exhibit higher levels of performance than more isolated firms. Nevertheless, research in industrial organization that has focused on the influences on firm survival has largely ignored the potential effects from agglomeration. Recent studies in urban and regional economics suggests that agglomeration effects may be very localized. Analyses of industry concentration at the MSA or county-level may fail to detect important elements of intra-industry firm interaction that occur at the sub-MSA level. Using a highly detailed dataset on firm locations and characteristics for Texas, this paper analyses agglomeration effects on firm survival over geographic areas as small as a single mile radius. We find that greater firm density within very close proximity (within 1 mile) of firms in the same industry increases mortality rates while greater concentration over larger distances reduces mortality rates.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"38 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85034353","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This is a comment on Mitchell and Wallis (2011) which in turn is a critical reaction to Gneiting et al. (2007). The comment discusses the notion of forecast calibration, the advantage of using scoring rules, the “sharpness” principle and a general approach to testing calibration. The aim is to show how a more general and explicitly stated framework can provide further insights into the theory and practice of of probabilistic forecasting.
{"title":"Evaluating Density Forecasts: A Comment","authors":"A. Tsyplakov","doi":"10.2139/ssrn.1907799","DOIUrl":"https://doi.org/10.2139/ssrn.1907799","url":null,"abstract":"This is a comment on Mitchell and Wallis (2011) which in turn is a critical reaction to Gneiting et al. (2007). The comment discusses the notion of forecast calibration, the advantage of using scoring rules, the “sharpness” principle and a general approach to testing calibration. The aim is to show how a more general and explicitly stated framework can provide further insights into the theory and practice of of probabilistic forecasting.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"6 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85432978","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The idea of generating and searching for interactions and transformations is implemented in R. The icreater function adds log, sqrt, and negative reciprocal transformations suggested by Tukey and then the data set with these transformation is used to generate NXN interactions and this final data set is fed into recursive partitioning, conditional inference trees and random forests. This approach is tested for 3 credit data sets: German, Brazillian credit card data set and home equity data set. Adding transformed interaction terms improves predictive accuracy in 2 out of the 3 data sets. So it is shown to work sometimes.
{"title":"Effect of Interaction Terms on Recursive Partitioning Techniques (Recursive Partitioning, Unbiased Conditional Inference Trees, Random Forest): Some Experiments with the Icreater Functions","authors":"Dhruv Sharma","doi":"10.2139/ssrn.1906005","DOIUrl":"https://doi.org/10.2139/ssrn.1906005","url":null,"abstract":"The idea of generating and searching for interactions and transformations is implemented in R. The icreater function adds log, sqrt, and negative reciprocal transformations suggested by Tukey and then the data set with these transformation is used to generate NXN interactions and this final data set is fed into recursive partitioning, conditional inference trees and random forests. This approach is tested for 3 credit data sets: German, Brazillian credit card data set and home equity data set. Adding transformed interaction terms improves predictive accuracy in 2 out of the 3 data sets. So it is shown to work sometimes.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"79 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89541581","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We consider the channel consisting in transferring the credit risk associated with refinancing operations between financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French government debt securities market, since these assets are used as collateral both in the open market operations of the ECB and on the interbank market. In our time-varying transition probability Markov-switching (TVTP-MS) model, we highlight the existence of two regimes. In one of them, which we refer to as the conventional regime, monetary policy neutrality is verified; in the other, which we dub the unconventional regime, monetary policy operations lead to volatility and liquidity premia on the collateral market. The existence of these conventional and unconventional regimes highlights some asymmetries in the conduct of monetary policy.
{"title":"The Impact of Unconventional Monetary Policy on the Market for Collateral: The Case of the French Bond Market","authors":"","doi":"10.2139/ssrn.1911879","DOIUrl":"https://doi.org/10.2139/ssrn.1911879","url":null,"abstract":"We consider the channel consisting in transferring the credit risk associated with refinancing operations between financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French government debt securities market, since these assets are used as collateral both in the open market operations of the ECB and on the interbank market. In our time-varying transition probability Markov-switching (TVTP-MS) model, we highlight the existence of two regimes. In one of them, which we refer to as the conventional regime, monetary policy neutrality is verified; in the other, which we dub the unconventional regime, monetary policy operations lead to volatility and liquidity premia on the collateral market. The existence of these conventional and unconventional regimes highlights some asymmetries in the conduct of monetary policy.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"18 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90197304","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
When a major study finds that a widely used medical treatment is no better than a less expensive alternative, do physicians stop using it? Policymakers hope that comparative effectiveness research will identify less expensive substitutes for widely-used treatments, but physicians may be reluctant to abandon profitable therapies. We examine the impact of the COURAGE trial, which found that medical therapy is as effective as percutaneous coronary intervention (PCI) for patients with stable angina, on practice patterns. Using hospital discharge data from US community, Veterans Administration, and English hospitals, we detect a moderate decline in PCI volume post-COURAGE. However, many patients with stable angina continue to receive PCI. We do not find differences in PCI volume trends by reimbursement scheme or hospitals' teaching status, ownership, or degree of vertical integration.
{"title":"Comparative Effectiveness Research, Courage, and Technological Abandonment","authors":"D. Howard, Yu‐Chu Shen","doi":"10.3386/W17371","DOIUrl":"https://doi.org/10.3386/W17371","url":null,"abstract":"When a major study finds that a widely used medical treatment is no better than a less expensive alternative, do physicians stop using it? Policymakers hope that comparative effectiveness research will identify less expensive substitutes for widely-used treatments, but physicians may be reluctant to abandon profitable therapies. We examine the impact of the COURAGE trial, which found that medical therapy is as effective as percutaneous coronary intervention (PCI) for patients with stable angina, on practice patterns. Using hospital discharge data from US community, Veterans Administration, and English hospitals, we detect a moderate decline in PCI volume post-COURAGE. However, many patients with stable angina continue to receive PCI. We do not find differences in PCI volume trends by reimbursement scheme or hospitals' teaching status, ownership, or degree of vertical integration.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"50 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90528715","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2011-08-01DOI: 10.7172/2353-6845.JBFE.2015.1.6
Yifei Huang, R. Singh
The recent financial crisis has brought to the forefront renewed concerns about the merit of financial development, especially for the most vulnerable segments of our population. Studies on the relationship between financial development and poverty have been inconclusive. Some claim that, by allowing more entrepreneurs to obtain financing, financial development improves the allocation of capital, which has a particularly large impact on the poor. Others argue that it is primarily the rich and politically connected who benefit from improvements in the financial system. This paper looks at a sample of 37 countries in sub-Saharan Africa from 1992 through 2006. Its results suggest that financial deepening could narrow income inequality and reduce poverty, and that stronger property rights reinforce these effects. Interest rate and lending liberalization alone could, however, be detrimental to the poor if not accompanied by institutional reforms, in particular stronger property rights and wider access to creditor information.
{"title":"Financial Deepening, Property Rights and Poverty: Evidence from Sub-Saharan Africa","authors":"Yifei Huang, R. Singh","doi":"10.7172/2353-6845.JBFE.2015.1.6","DOIUrl":"https://doi.org/10.7172/2353-6845.JBFE.2015.1.6","url":null,"abstract":"The recent financial crisis has brought to the forefront renewed concerns about the merit of financial development, especially for the most vulnerable segments of our population. Studies on the relationship between financial development and poverty have been inconclusive. Some claim that, by allowing more entrepreneurs to obtain financing, financial development improves the allocation of capital, which has a particularly large impact on the poor. Others argue that it is primarily the rich and politically connected who benefit from improvements in the financial system. This paper looks at a sample of 37 countries in sub-Saharan Africa from 1992 through 2006. Its results suggest that financial deepening could narrow income inequality and reduce poverty, and that stronger property rights reinforce these effects. Interest rate and lending liberalization alone could, however, be detrimental to the poor if not accompanied by institutional reforms, in particular stronger property rights and wider access to creditor information.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"36 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79172059","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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