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The equally weighted portfolio still remains a challenging benchmark 等权重投资组合仍然是一个具有挑战性的基准
Pub Date : 2024-06-22 DOI: 10.1016/j.inteco.2024.100525

This research replicates the paper “Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?”, DeMiguel et al. (2009b). Similar to the referring paper, working in the mean–variance context, we compare the out-of-sample performance of the same investment strategies on the basis of standard metrics (Sharpe ratio, certainty equivalent and turnover). We consider proportional transaction costs and estimation rolling windows of limited length. Our study updates the original paper for many interesting aspects. First, to exclude that the empirical evidence of DeMiguel et al. (2009b), whose data stopped in 2004, could depend on very specific market behavior, we use an updated version of the original databases that contains the returns of the last 20 years. Recent data are characterized by a few severe systemic events, the 2008 global financial crisis and the shock related to the pandemic, and a generally higher level of price volatility than the previous periods. In our opinion, this variation in the market’s conditions makes the replication very interesting. Second, we introduce the Equally Risk Contribution (ERC) portfolio within the allocation strategies under comparison. This allocation rule is strictly related to the mean–variance approach when the variance is used as the referring risk measure and it constitutes a very interesting alternative investment benchmark. Moreover, using real data, we study whether a variation of the holding period or the length of the estimation window can modify the performance of all the strategies under comparison. Our findings confirm the results of DeMiguel et al. (2009b), i.e. that the equally weighted portfolio still remains a challenging benchmark to beat. Nevertheless, we find a few significant differences: the number of strategies that outperform naive diversification is larger due to the increased market volatility; limiting the impact of transaction costs by investing in a portfolio with a stable allocation as the ERC, or modifying the lengths of the estimation window and the holding period, is not sufficient to beat naive diversification systematically.

本研究重复了 DeMiguel 等人(2009b)的论文 "最佳分散投资与天真分散投资:DeMiguel 等人(2009b)的论文 "Optimal Vers Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?"。与参考文献类似,我们在均值-方差的背景下,根据标准指标(夏普比率、确定性等价物和周转率)比较相同投资策略的样本外绩效。我们考虑了比例交易成本和有限长度的估计滚动窗口。我们的研究在许多有趣的方面更新了原论文。首先,DeMiguel 等人(2009b)的数据于 2004 年停止使用,为了排除其经验证据可能依赖于非常特殊的市场行为,我们使用了原始数据库的更新版本,其中包含了过去 20 年的收益。近期数据的特点是发生了几起严重的系统性事件,即 2008 年全球金融危机和与大流行病相关的冲击,而且价格波动水平普遍高于之前的时期。我们认为,市场条件的这种变化使得复制非常有趣。其次,我们在比较的配置策略中引入了同等风险贡献(ERC)投资组合。当使用方差作为参考风险度量时,这种分配规则与均值-方差方法严格相关,它是一种非常有趣的替代投资基准。此外,我们利用真实数据研究了持有期或估算窗口长度的变化是否会改变所有比较策略的表现。我们的研究结果证实了 DeMiguel 等人(2009b)的研究结果,即等权投资组合仍然是一个难以超越的基准。然而,我们发现了一些显著的不同:由于市场波动性增加,表现优于天真的分散投资策略的数量增加了;通过投资于具有稳定配置的投资组合(如 ERC)来限制交易成本的影响,或修改估计窗口和持有期的长度,并不足以系统性地战胜天真的分散投资策略。
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引用次数: 0
Money demand stability: New evidence from transfer entropy 货币需求的稳定性:来自转移熵的新证据
Pub Date : 2024-06-21 DOI: 10.1016/j.inteco.2024.100524
Hadi Movaghari , Apostolos Serletis , Georgios Sermpinis

This paper revisits the empirical relationship between interest rates and money demand from a novel perspective, i.e., information theory. Particularly, we utilize the model-free transfer entropy to quantify the flow of information from interest rates to monetary aggregates and present three findings. First, we document a hump-shaped informational link between interest rate and M1 monetary aggregate, with a rounded high point in the late 1980s and early 1990s. Second, we identify three structural shifts in the information transmission from interest rate to M1. The first two breakpoints occurred in the early 1980s and mid-1990s, likely as a response to the removal of Regulation Q and the introduction of sweep technology, respectively. The third shift took place during the relatively less-explored period of the early 2000s. Finally, we unravel a previously unreported pivotal distinction between the first two changepoints despite the apparent similarity in inducing money demand instability: the 1980s financial deregulations facilitate the transmission of information, whereas the 1990s financial reforms acted as an impediment to the information flow. Our results are robust to alternative entropy measures.

本文从一个新的视角,即信息论,重新审视了利率与货币需求之间的经验关系。特别是,我们利用无模型转移熵来量化从利率到货币总量的信息流,并提出了三项发现。首先,我们记录了利率与 M1 货币总量之间的驼峰形信息联系,在 20 世纪 80 年代末和 90 年代初出现了一个圆形高点。其次,我们确定了从利率到 M1 的信息传递的三次结构性转变。前两个断点出现在 20 世纪 80 年代初和 90 年代中期,可能分别是对取消 Q 条例和引入扫尾技术的反应。第三个转变发生在相对较少探索的 2000 年代初。最后,尽管在诱发货币需求不稳定性方面存在明显的相似性,但我们揭示了前两个变化点之间以前未曾报道过的关键区别:20 世纪 80 年代的金融监管放松促进了信息的传递,而 20 世纪 90 年代的金融改革则阻碍了信息的流动。我们的研究结果对其他熵指标也是稳健的。
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引用次数: 0
Political uncertainty and macro-financial dynamics in the BRICS 金砖国家的政治不确定性和宏观金融动态
Pub Date : 2024-06-18 DOI: 10.1016/j.inteco.2024.100523
Fredj Jawadi , Thierry M. Pondie

We empirically study the impact of political uncertainty on macro-financial variables (stock prices, inflation, consumption) and behavioral dynamics (consumer confidence, anxiety) in the BRICS over the period 1990–2022. To this end, we applied a panel vector autoregressive (PVAR) model that tests further endogenous interactions between the variables in the model. Accordingly, we find that political uncertainty increases inflation while reducing consumer spending and stock prices. In addition, we find that consumer confidence and investor anxiety are negatively affected by political uncertainty. Our results have different implications, especially for policymakers who have to tackle political uncertainty in order to protect householders and investors more effectively.

我们对 1990-2022 年间金砖五国的政治不确定性对宏观金融变量(股票价格、通货膨胀、消费)和行为动态(消费者信心、焦虑)的影响进行了实证研究。为此,我们采用了面板向量自回归(PVAR)模型,进一步检验了模型中变量之间的内生互动关系。因此,我们发现政治不确定性会增加通货膨胀,同时降低消费者支出和股票价格。此外,我们还发现消费者信心和投资者焦虑受到政治不确定性的负面影响。我们的研究结果具有不同的意义,特别是对决策者而言,他们必须应对政治不确定性,以更有效地保护家庭和投资者。
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引用次数: 0
How interstate soft conflicts affect bilateral migration: Results from a structural gravity model 国家间软冲突如何影响双边移民:结构引力模型的结果
Pub Date : 2024-06-13 DOI: 10.1016/j.inteco.2024.100522
Tamar Taralashvili

This study aims to empirically examine the impact of interstate soft conflicts on bilateral migration. Interstate soft conflicts that arise when diplomacy fails and a military operation seems too extreme may act as a policy tool and have a negative effect on bilateral relations. The empirical approach uses balanced panel data with annual observations and a theory-consistent structural gravity model of migration, augmented by a new measure of interstate soft conflict. The findings suggest that interstate soft conflicts have a lasting adverse effect on migration, regardless of the control for omitted variables (presence of regional trade agreements, various types of sanctions, the state acts, and militarized interstate disputes) and different model specifications. More specifically, these conflicts result in an average reduction of about 23.35% in bilateral migration. After accounting for the time delay in the effect and addressing reverse causality, the findings suggest that interstate soft conflicts may exert a prolonged (the effect disappears after three years) adverse impact on bilateral migration flows, causing a reduction of approximately 34.22%. Therefore, the study’s findings not only illuminate the complex relationship between soft conflicts and migration but also underscore their significant implications. These insights are valuable for policymakers and researchers, providing a solid foundation for informed decision-making and further exploring this complex issue.

本研究旨在从实证角度探讨国家间软冲突对双边移民的影响。当外交失败、军事行动显得过于极端时,国家间的软冲突可能会成为一种政策工具,并对双边关系产生负面影响。实证方法采用了年度观测的平衡面板数据和与理论一致的移民结构重力模型,并增加了新的国家间软冲突衡量指标。研究结果表明,国家间的软冲突会对移民产生持久的不利影响,无论是否控制了遗漏变量(地区贸易协定的存在、各种类型的制裁、国家行为以及军事化的国家间争端)以及不同的模型规格。更具体地说,这些冲突导致双边移民人数平均减少约 23.35%。在考虑了影响的时间延迟并解决了反向因果关系后,研究结果表明,国家间软冲突可能会对双边移民潮产生长期(三年后影响消失)的不利影响,导致双边移民潮减少约 34.22%。因此,研究结果不仅揭示了软冲突与移民之间的复杂关系,还强调了其重要意义。这些见解对政策制定者和研究人员都很有价值,为知情决策和进一步探讨这一复杂问题提供了坚实的基础。
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引用次数: 0
Determinants of India's cotton export performance: An empirical analysis 印度棉花出口业绩的决定因素:实证分析
Pub Date : 2024-06-07 DOI: 10.1016/j.inteco.2024.100521
Alok Kumar Yadav, Utpal Chattopadhyay

Cotton export performance plays a critical role in bridging the gaps in India's soaring trade deficits and helps in maximizing the overall gains from international trade. We examine the impact of macroeconomic determinants on India's cotton export performance using data from 1990 to 2020. To assess the long-run and short-run impacts on cotton export performance, an autoregressive distributed lag (ARDL) model has been deployed. The findings reveal that yield and export price have had statistically positive significant impact on India's cotton export performance over the long-run and short-run. However, the resulting estimates of market size and exchange rate do have a mixed effect on cotton export performance over the period. Moreover, our results offer some important policy implications for the stakeholders including the farmers, exporters, and government to enhance Agri-product competitiveness.

棉花出口业绩在弥补印度贸易赤字飙升的缺口方面发挥着至关重要的作用,并有助于实现国际贸易总体收益的最大化。我们利用 1990 年至 2020 年的数据研究了宏观经济决定因素对印度棉花出口绩效的影响。为评估对棉花出口绩效的长期和短期影响,我们采用了自回归分布滞后(ARDL)模型。研究结果表明,产量和出口价格对印度棉花出口绩效的长期和短期影响在统计上都是积极的。然而,市场规模和汇率的估计结果对这一时期的棉花出口绩效影响不一。此外,我们的研究结果还为包括农民、出口商和政府在内的利益相关者提供了一些重要的政策启示,以提高农产品的竞争力。
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引用次数: 0
It's a match! Linking foreign counterparts in Italian customs data to their balance sheets 匹配!将意大利海关数据中的外国同行与其资产负债表联系起来
Pub Date : 2024-05-24 DOI: 10.1016/j.inteco.2024.100511
Marta Crispino, Francesco Paolo Conteduca

This paper describes the methodology underlying the matching between extra-EU counterparts in the Italian Customs and Monopolies Agency data with firms in the Bureau van Dijk Orbis database. Through different validation exercises, we show that the matches stemming from our proposed procedure are largely correct regarding both records and transaction values. The resulting corresponding tables can serve as a useful tool to shed light on the features of the counterparts of Italian firms active in international trade.

本文介绍了将意大利海关和垄断局数据中的欧盟外同行与 Bureau van Dijk Orbis 数据库中的公司进行匹配的方法。通过不同的验证工作,我们表明,我们提出的程序所产生的匹配结果在记录和交易额方面都基本正确。由此产生的相应表格可以作为一种有用的工具,用于揭示活跃在国际贸易中的意大利公司对应方的特征。
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引用次数: 0
Internationalization and financial constraints: Opportunities, obstacles, and strategies 国际化与财务限制:机遇、障碍和战略
Pub Date : 2024-05-20 DOI: 10.1016/j.inteco.2024.100510
G. Falavigna , V. Giannini , R. Ippoliti

This study delves into the relationship between financial constraints and internationalization, investigating the role and extent of variability in access to the capital market in shaping internationalization strategic choices. In detail, focusing on the Italian manufacturing industry between 2013 and 2019, we examine this relation disentangling the effect between export and import dynamics. Initially, we run various OLS regression models to investigate the profile of exporting/importing firms, providing a preliminary picture of the internationalization process of the Italian manufacturing industry. Then, we run several GMM regression models to highlight these dynamics over time and to collect robust evidence for our hypotheses. According to the results, we observe that firms under high financial constraints have the lowest intensity of import and export flows (i), firms under moderate financial constraints have the highest intensity of export flows (ii), and firms under low financial constraints have the highest intensity of import flows (iii). An interpretation of these results concerns the heterogeneity of business-to-business payment dynamics across the EU global value chain, with the Italian market characterized by the longest delay. Hence, internationalization through export flows represents an opportunity for those companies with the most aggressive business strategies, quickly raising their internal liquidity, and complementing local financial debts with international trade credits. On the other hand, only firms with no restrictions to the capital market can afford prompt payments of foreign suppliers, easily collecting the necessary liquidity to support import flows.

本研究深入探讨了金融约束与国际化之间的关系,研究了资本市场准入的变化在影响国际化战略选择方面的作用和程度。具体而言,我们以 2013 年至 2019 年期间的意大利制造业为重点,研究了出口和进口动态之间的影响。首先,我们运行各种 OLS 回归模型来研究出口/进口企业的概况,从而初步了解意大利制造业的国际化进程。然后,我们运行多个 GMM 回归模型,以突出这些动态随时间的变化,并为我们的假设收集有力的证据。根据结果,我们发现高财务约束下的企业进出口流量强度最低(i),中等财务约束下的企业出口流量强度最高(ii),低财务约束下的企业进口流量强度最高(iii)。对这些结果的解释涉及欧盟全球价值链中企业间支付动态的异质性,意大利市场的特点是延迟时间最长。因此,通过出口流动实现国际化对那些拥有最积极经营战略的公司来说是一个机会,它们可以迅速提高内部流动性,并以国际贸易信贷补充本地金融债务。另一方面,只有对资本市场没有限制的公司才有能力迅速向外国供应商付款,轻松筹集必要的流动资金来支持进口流动。
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引用次数: 0
Economic globalisation and Africa's quest for greener and more inclusive growth: The missing link 经济全球化与非洲对更绿色、更具包容性增长的追求:缺失的环节
Pub Date : 2024-05-15 DOI: 10.1016/j.inteco.2024.100509
Isaac K. Ofori , Andreas Freytag , Simplice A. Asongu

This study examines the contingency and threshold effects of economic freedom in the economic globalisation (EG) and inclusive green growth (IGG) relationship. To this end, we apply the fixed-effects generalized method of moments with Driscoll-Kraay standard errors estimator to macro data for the period 2008–2020 for 22 selected African countries. The following findings are established. First, we find that economic freedom reduces the negative effect of EG on IGG. Second, when we disaggregate EG into financial and trade globalisation, we show that the moderating effect of economic freedom on the former is rather striking. Third, our threshold analysis suggests that by improving Africa's unfree economic architecture to 60% (moderately free), the IGG-deteriorating marginal effects of EG are significantly mitigated (but not nullified). We conclude that unless an effort is made to improve economic freedom in Africa, the envisaged IGG gains of economic globalisation might prove elusive.

本研究探讨了经济自由在经济全球化(EG)和包容性绿色增长(IGG)关系中的偶然效应和门槛效应。为此,我们对选定的 22 个非洲国家 2008-2020 年期间的宏观数据采用了固定效应广义矩方法和 Driscoll-Kraay 标准误差估计法。我们得出了以下结论。首先,我们发现经济自由降低了 EG 对 IGG 的负面影响。其次,当我们将 EG 分解为金融全球化和贸易全球化时,我们发现经济自由对前者的调节作用相当显著。第三,我们的阈值分析表明,通过将非洲不自由的经济结构提高到 60%(适度自由),EG 对 IGG 劣化的边际效应会得到显著缓解(但不会消失)。我们的结论是,除非努力提高非洲的经济自由度,否则经济全球化的 IGG 预期收益可能难以实现。
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引用次数: 0
Remittances and government expenditures on human capital in developing countries 发展中国家的汇款和政府人力资本支出
Pub Date : 2024-05-14 DOI: 10.1016/j.inteco.2024.100508
Kevin Williams

This paper investigates the effect that remittances have on government expenditures on human capital within a large panel of developing countries. Remittances reduce government expenditures on education by 0.23–0.84 percentage points for every 10 percentage point increase in remittances. Remittances, by contrast, increase government expenditures on health by 0.99–1.83 percentage points for every 10 percentage point increase in remittances. These findings indicate that remittances induce reallocation of government expenditures from education to health. Democratic political institutions shape the relationship between remittances and government expenditures on human capital. I present additional evidence that government expenditures on education respond differentially to remittances in Small Island Developing States, a group of countries with unique characteristics that make them vulnerable to adverse economic and environmental shocks.

本文研究了汇款对发展中国家政府人力资本支出的影响。汇款每增加 10 个百分点,政府在教育方面的支出就会减少 0.23-0.84 个百分点。相反,汇款每增加 10 个百分点,政府在医疗卫生方面的支出就会增加 0.99-1.83 个百分点。这些研究结果表明,汇款促使政府将教育支出重新分配到卫生领域。民主政治体制决定了汇款与政府人力资本支出之间的关系。我提出了更多证据,证明在小岛屿发展中国家,政府教育支出对汇款的反应是不同的,这些国家具有独特的特点,容易受到不利的经济和环境冲击。
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引用次数: 0
The effects of foreign investor composition on Colombia's sovereign debt flows 外国投资者构成对哥伦比亚主权债务流动的影响
Pub Date : 2024-05-09 DOI: 10.1016/j.inteco.2024.100507
Fredy Gamboa-Estrada , Andres Sanchez-Jabba

Assessing the composition of sovereign debt holders is important because investors' behavior varies according to distinctive components, including shareholders' preferences, regulatory constraints, and profitability mandates. To study this issue, we examine the determinants of offshore investments of mutual funds and pension funds, which concentrate Colombia's outstanding sovereign debt. Our results indicate that mutual funds exhibit considerable sensitivity to shocks in global factors, such as the Federal Funds Rate, sovereign risk, and the composition of financial indices. This contrasts with findings among pension funds, for which we detected a lower sensitivity to these factors, underlining the differences in foreign investor behavior that can impact sovereign debt flows within emerging markets.

评估主权债务持有者的构成非常重要,因为投资者的行为因股东偏好、监管限制和盈利任务等不同因素而异。为了研究这个问题,我们研究了共同基金和养老基金离岸投资的决定因素,这些基金集中了哥伦比亚尚未偿还的主权债务。我们的研究结果表明,共同基金对联邦基金利率、主权风险和金融指数构成等全球因素的冲击相当敏感。这与养老基金的研究结果形成了鲜明对比,我们发现养老基金对这些因素的敏感度较低,这凸显了外国投资者行为的差异,而这种差异可能会影响新兴市场内的主权债务流动。
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引用次数: 0
期刊
International Economics
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