Empirical Economics最新文献

This study examines the heterogeneity in job mobility and earnings growth among workers who were mismatched in their previous jobs due to different reasons. Mismatched is defined as working in jobs that are not related to the highest degree field. Using a panel dataset derived from the National Survey of College Graduates, I find that workers who were previously mismatched due to the unavailability of jobs in related fields (demand-mismatched) are more likely to make complex moves, i.e., changing both employer and job title, and experience higher earnings growth relative to their matched counterparts. The earnings growth among previously matched workers and workers who were mismatched due to other reasons, such as a change in career interests (supply-mismatched), is generally not significantly different. However, supply-mismatched workers encounter negative earnings growth after making simple moves, i.e., changing only employer. Further, heterogeneous earnings growth patterns are found among mismatched workers in different stages of career and between female and male mismatched workers.

This research investigates the spillovers of global liquidity to Asia–Pacific countries, focusing on the contradictory effects of policy-driven liquidity created by monetary stances in advanced economies and market-driven liquidity generated by the private banking sector. Our findings stand in sharp contrast to previous studies, showing that shifts in macro-financial indicators in Asia–Pacific economies are predominantly influenced by market-driven shocks rather than those of policy-driven liquidity. Specifically, liquidity shocks associated with surges in cross-border credit flows, especially those denominated in US dollars, drive up asset prices and have boosting effects on inflation and economic output. A positive shock to market liquidity also results in an appreciation pressure on domestic currencies and a short-term rise in interest rates. However, excess liquidity shocks caused by the Bank of Japan’s adjustments in shadow short rates and balance sheets have a negative effect on inflation and bring about temporary depreciation pressure on Asian currencies. Surprisingly, we find that Asian responses to financial easing associated with the Fed’s monetary policy change are not well-pronounced.

Abstract

This paper explores a joint test of predictability and one-time structural break, both of which are assumed to be absent under the null hypothesis. The test combines IVX estimator with a sup-Wald-type statistic. The limiting distribution of the test statistic is expected to be non-pivotal under (near-)integration. Nevertheless, for univariate cases, the distribution is highly insensitive to the variation of unestimable nuisance parameter. We hence propose to use critical values from the pivotal distribution derived under stationarity for empirical study. Simulation results suggest that this approach delivers satisfactory and robust inference in finite sample. An empirical application to the predictability of US stock returns is provided.

Abstract

Accurate real-time macroeconomic data are essential for policy-making and economic nowcasting. The rising interest in analyses at the sub-national level cannot be served as such data are currently not available. In this paper, I introduce a real-time database for German regional economic accounts. The database contains real-time information for nine macroeconomic aggregates and the 16 German states. I conduct both a revision analysis and a nowcasting experiment for real gross domestic product. By pooling the states together, the first official estimates show no systematic revision errors. The pooling, however, suppresses the revision characteristics of single states. For half of the 16 German states I find that the first estimates are no optimal predictions, thus, leaving room for improvements in the future. The real-time nowcasts for real gross domestic product growth based on a mixed-frequency vector autoregression are very accurate and beat several benchmark models. More regional data would help to better inform the model, thereby increasing its nowcast performance even further.

This note examines evidence of non-fundamentalness in the rate of variation of annual per capita capital stock for OECD countries in the period 1955–2020. Leeper et al. (2013) proposed a theoretical model in which, due to agents performing fiscal foresight, this economic series could exhibit a non-fundamental behavior (in particular, a non-invertible moving average component), which has important implications for modeling and forecasting. Using the methodology proposed in Velasco and Lobato (2018), which delivers consistent estimators of the autoregressive and moving average parameters without imposing fundamentalness assumptions, we empirically examine whether the capital data are better represented with an invertible or a non-invertible moving average model. We find strong evidence in favor of the non-invertible representation since for the countries that present significant innovation asymmetry, the selected model is predominantly non-invertible.

This paper proposes an inference procedure for the interactive fixed effects model that is valid in the presence of cross-sectional dependence. When the error terms are cross-sectionally dependent, the least square (LS) estimator of this model is asymptotically biased and therefore the associated confidence interval tends to have a large coverage error. To address this, we propose a bias correction of the LS estimator and a cross-sectional dependence robust variance estimator to construct associated test statistics. The paper also discusses practical issues in implementing the proposed method, including the construction of distance that reflects the decaying pattern of cross-sectional dependence and the selection of the bandwidth parameters. Monte Carlo simulations show our procedure works well in finite samples. As empirical illustrations, we apply our procedure to study the effect of divorce law reforms on divorce rates and the impact of clean water and sewerage interventions on child mortality.

A sound understanding of the potency of tobacco control policies is key to tobacco prevention. This study exploits a Smoothed Instrumental Variables Quantile Regression estimator to gauge the effectiveness of these policies while addressing major methodological and data limitations plaguing the previous literature. Specifically, smoke-free indoor air laws and tobacco control expenditures are examined in a single framework, which has the promise of accounting for potential complementarities thereof. Further, endogeneity of price (a proxy for tax policy) and other tobacco control policies is addressed through a unique set of instruments while allowing for differential impacts across the conditional distribution of cigarette consumption. Finally, our use of the nationally representative individual-level price and consumption data is essential to precise estimation of price elasticities and policy effects. Results indicate that ignoring price and policy endogeneity leads to inconsistent estimates. Further, tobacco control expenditures appear to be effective only for relatively more addicted smokers. Meanwhile, state-level smoke-free indoor laws, whose primary goal is to reduce exposure to second-hand smoke, do not affect cigarette use among smokers. In contrast, tax policy appears to be most potent for less addicted individuals. Therefore, optimal policy responses should combine tobacco control expenditures with sin taxes.

Abstract

This paper employs Bayesian model averaging (BMA) and uses posterior inclusion probability (PIP) values to evaluate which financial inclusion indicators, dimensions, and other determinants of income inequality should be considered in an empirical specification assessing the relationship between financial inclusion and income inequality, given model uncertainty. The results show that for the lower income country group, financial access and usage indicators are the most relevant financial inclusion indicators. For financial inclusion dimension, we find evidence on the importance of financial access. However, the results for upper income country group are different, suggesting the need to differentiate between the two groups in assessing the importance of financial inclusion on income inequality. These results suggest that theoretical models linking financial inclusion and income inequality could well focus on the role of financial access by providing theoretical foundations on the mechanics as to how this dimension of financial inclusion impact income inequality particularly for lower income countries.

This paper explores the spillover of protests across countries using data on nonviolent and spontaneous demonstrations for 200 countries from 2000 to 2020. Using an autoregressive spatial model, the analysis finds strong evidence of “contagious protests,” with a catalyzing role of social media. In particular, social media penetration in the source and destination of protests leads to protest spillovers between countries. There is evidence of parallel learning between streets of nations alongside the already documented learning between governments.

We present the first application of the mixed-frequency VAR (MF-VAR) method in the market microstructure literature, studying the interaction between stock market returns and foreign investors’ trading. MF-VAR allows us to use daily investor trading data together with higher-frequency return series and uncover novel intraday patterns in the feedback trading behavior and the information content of trading. Using data from Korea, we find that foreign investors chase opening-hour returns, and their trading has the ability to forecast subsequent days' late-hour returns. This pattern suggests that foreign investors selectively respond to the information incorporated during opening hours. Over the years, foreign investors' response to intraday returns has become more prompt, and the predictive ability of their trading has disappeared. A specific test made feasible by the MF-VAR method does not support the global private information hypothesis.