Pub Date : 2024-03-02DOI: 10.1007/s00181-024-02564-5
Antonio Aguirre, Ignacio N. Lobato
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.
{"title":"Evidence of non-fundamentalness in OECD capital stocks","authors":"Antonio Aguirre, Ignacio N. Lobato","doi":"10.1007/s00181-024-02564-5","DOIUrl":"https://doi.org/10.1007/s00181-024-02564-5","url":null,"abstract":"<p>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.</p>","PeriodicalId":11642,"journal":{"name":"Empirical Economics","volume":null,"pages":null},"PeriodicalIF":3.2,"publicationDate":"2024-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140016987","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-03-02DOI: 10.1007/s00181-024-02569-0
Zhenhao Gong, Min Seong Kim
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.
本文提出了一种在存在横截面依赖性时有效的交互固定效应模型推断程序。当误差项与横截面相关时,该模型的最小二乘法(LS)估计值会出现渐近偏差,因此相关的置信区间往往会有较大的覆盖误差。为了解决这个问题,我们提出了 LS 估计器的偏差修正和横截面依赖性稳健方差估计器,以构建相关的检验统计量。本文还讨论了实施所提方法的实际问题,包括构建反映横截面依赖性衰减模式的距离和选择带宽参数。蒙特卡罗模拟显示,我们的程序在有限样本中运行良好。作为经验例证,我们应用我们的程序研究了离婚法改革对离婚率的影响,以及清洁水和污水处理措施对儿童死亡率的影响。
{"title":"Improved inference for interactive fixed effects model under cross-sectional dependence","authors":"Zhenhao Gong, Min Seong Kim","doi":"10.1007/s00181-024-02569-0","DOIUrl":"https://doi.org/10.1007/s00181-024-02569-0","url":null,"abstract":"<p>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.</p>","PeriodicalId":11642,"journal":{"name":"Empirical Economics","volume":null,"pages":null},"PeriodicalIF":3.2,"publicationDate":"2024-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140016992","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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.
{"title":"An empirical assessment of effectiveness of the US tobacco control policies: a smoothed instrumental variables quantile regression approach","authors":"Vardges Hovhannisyan, Vahé Heboyan, Magdana Kondaridze","doi":"10.1007/s00181-024-02562-7","DOIUrl":"https://doi.org/10.1007/s00181-024-02562-7","url":null,"abstract":"<p>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.</p>","PeriodicalId":11642,"journal":{"name":"Empirical Economics","volume":null,"pages":null},"PeriodicalIF":3.2,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140016986","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-02-23DOI: 10.1007/s00181-024-02559-2
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.
{"title":"Which financial inclusion indicators and dimensions matter for income inequality? A Bayesian model averaging approach","authors":"","doi":"10.1007/s00181-024-02559-2","DOIUrl":"https://doi.org/10.1007/s00181-024-02559-2","url":null,"abstract":"<h3>Abstract</h3> <p>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.</p>","PeriodicalId":11642,"journal":{"name":"Empirical Economics","volume":null,"pages":null},"PeriodicalIF":3.2,"publicationDate":"2024-02-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139949678","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-02-23DOI: 10.1007/s00181-023-02539-y
Rabah Arezki, Alou Adesse Dama, Simeon Djankov, Ha Nguyen
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.
{"title":"Contagious protests","authors":"Rabah Arezki, Alou Adesse Dama, Simeon Djankov, Ha Nguyen","doi":"10.1007/s00181-023-02539-y","DOIUrl":"https://doi.org/10.1007/s00181-023-02539-y","url":null,"abstract":"<p>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.</p>","PeriodicalId":11642,"journal":{"name":"Empirical Economics","volume":null,"pages":null},"PeriodicalIF":3.2,"publicationDate":"2024-02-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139949740","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-02-20DOI: 10.1007/s00181-023-02541-4
Burak Alparslan Eroğlu, Deniz İkizlerli, Numan Ülkü
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.
{"title":"A mixed-frequency VAR application to studying joint dynamics of foreign investor trading and stock market returns","authors":"Burak Alparslan Eroğlu, Deniz İkizlerli, Numan Ülkü","doi":"10.1007/s00181-023-02541-4","DOIUrl":"https://doi.org/10.1007/s00181-023-02541-4","url":null,"abstract":"<p>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.</p>","PeriodicalId":11642,"journal":{"name":"Empirical Economics","volume":null,"pages":null},"PeriodicalIF":3.2,"publicationDate":"2024-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139926934","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-02-20DOI: 10.1007/s00181-024-02558-3
Abstract
We examine electoral cycles in tax reforms using monthly data over the period 1990–2018 for 22 advanced economies and emerging markets. We show that governments tend to avoid announcing tax reforms during the months running up to elections. In addition, they become more likely to announce those reforms in the first few months following elections, suggesting that “political capital" and/or “political opportunity" channels play a role in the timing of reforms. These patterns are broad-based regarding changes in the tax base and rates, and for various types of taxes. We also find that the pre-election decrease in the likelihood of tax reform announcements appears to be stronger in emerging markets, and weaker in countries with relatively better institutional quality. Finally, our results indicate that neither fiscal rules nor IMF programs seem to have differential effects on electoral cycles in tax reforms.
{"title":"Electoral cycles in tax reforms","authors":"","doi":"10.1007/s00181-024-02558-3","DOIUrl":"https://doi.org/10.1007/s00181-024-02558-3","url":null,"abstract":"<h3>Abstract</h3> <p>We examine electoral cycles in tax reforms using monthly data over the period 1990–2018 for 22 advanced economies and emerging markets. We show that governments tend to avoid announcing tax reforms during the months running up to elections. In addition, they become more likely to announce those reforms in the first few months following elections, suggesting that “political capital" and/or “political opportunity" channels play a role in the timing of reforms. These patterns are broad-based regarding changes in the tax base and rates, and for various types of taxes. We also find that the pre-election decrease in the likelihood of tax reform announcements appears to be stronger in emerging markets, and weaker in countries with relatively better institutional quality. Finally, our results indicate that neither fiscal rules nor IMF programs seem to have differential effects on electoral cycles in tax reforms.</p>","PeriodicalId":11642,"journal":{"name":"Empirical Economics","volume":null,"pages":null},"PeriodicalIF":3.2,"publicationDate":"2024-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139926936","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-02-20DOI: 10.1007/s00181-024-02554-7
Abstract
Recent literature gives emphasis on the services provided by telecommunication capital which might be subject to internal and external-networking effects, as well as costly irreversible investment pointing out to a more important and complicated effect from these services on productivity and growth. The objective of this paper is to model these effects using a production function framework, along with a newly constructed dataset. A TFP growth approach is employed taking into consideration all the above characteristics, and a smooth coefficient semiparametric model is used. From the analysis, we observe that the services of telecommunication capital depend on the level of telecommunication capital stock. There is a significant positive, but heterogeneous, relationship between telecommunication capital and country productivity. Even though the effect is positive, it diminishes with its level but increases with networking, captured by number of users. Also, telecommunication capital growth and its own effect appear to be raising income in all countries used in our sample, even those who experienced output reduction. These characteristics should be taken into consideration when new telecommunication investment policy is considered within a country.
{"title":"Telecommunication capital and productivity growth: further insights using network characteristics and nonlinearities","authors":"","doi":"10.1007/s00181-024-02554-7","DOIUrl":"https://doi.org/10.1007/s00181-024-02554-7","url":null,"abstract":"<h3>Abstract</h3> <p>Recent literature gives emphasis on the services provided by telecommunication capital which might be subject to internal and external-networking effects, as well as costly irreversible investment pointing out to a more important and complicated effect from these services on productivity and growth. The objective of this paper is to model these effects using a production function framework, along with a newly constructed dataset. A TFP growth approach is employed taking into consideration all the above characteristics, and a smooth coefficient semiparametric model is used. From the analysis, we observe that the services of telecommunication capital depend on the level of telecommunication capital stock. There is a significant positive, but heterogeneous, relationship between telecommunication capital and country productivity. Even though the effect is positive, it diminishes with its level but increases with networking, captured by number of users. Also, telecommunication capital growth and its own effect appear to be raising income in all countries used in our sample, even those who experienced output reduction. These characteristics should be taken into consideration when new telecommunication investment policy is considered within a country.</p>","PeriodicalId":11642,"journal":{"name":"Empirical Economics","volume":null,"pages":null},"PeriodicalIF":3.2,"publicationDate":"2024-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139926932","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-02-19DOI: 10.1007/s00181-024-02563-6
Mao Wu, Ying Ma, Yu Gao, Zhanhui Ji
{"title":"The impact of digital economy on income inequality from the perspective of technological progress-biased transformation: evidence from China","authors":"Mao Wu, Ying Ma, Yu Gao, Zhanhui Ji","doi":"10.1007/s00181-024-02563-6","DOIUrl":"https://doi.org/10.1007/s00181-024-02563-6","url":null,"abstract":"","PeriodicalId":11642,"journal":{"name":"Empirical Economics","volume":null,"pages":null},"PeriodicalIF":3.2,"publicationDate":"2024-02-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140449370","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}