International Economics最新文献

This paper examines the dynamic correlation relationship between Dow Jones sustainability indices (DJSI) with oil and gold in the time and frequency domain. Our empirical analysis discloses multiple imperative findings. First, the period of high dependence between oil and these DJSI assets seems to be restricted to only at higher frequency (128–256 days). As such, DJSI Europe, US, Asia-pacific, and Korea show the strongest dependence with oil in the long run. However, this inter-relationship is only visible from 2018 onwards. Second, across the dependency spectrum and at multiple frequencies, the link between DJSI indices and gold is minimal. Third, when comparing a benchmark portfolio with a blended portfolio composed of a suitability index with gold/oil, in consistency with the hedging ratios results, the utility gain is remarkably better in the sustainability/gold pairing. These findings indicate that the safe haven status of gold for investors in conventional stocks can be extended to investors in sustainability stocks.

In this paper, we show that the proportion of private debt denominated in foreign currency can be a determinant of the size of the domestic fiscal multiplier. The demonstration relies on a two-country New Keynesian DSGE model with nominal rigidities and financial frictions. In line with recent evidence, the model can reproduce the depreciation of the domestic currency following an increase in public spending. We show that, in this case, the increase in debt burden denominated in foreign currency deteriorates the domestic firms’ balance sheets. This raises their external finance premium and crowds out private investment, ultimately offsetting the stimulative effect of the government spending shock.

This paper analyses the proposed free trade agreement (FTA) between EU and India focusing on services trade. Based on the text published by the European Union, it uses the OECD STRI simulator to calculate the preference margins implied by the agreement and next predicts the impact on services trade flows using a general equilibrium structural gravity analysis. I find that the preference margin on the Services Trade Restrictiveness Index (STRI) for Indian exports to the EU is between four and eight basis points depending on the sector, while for EU’s exports to India the preference margin is between 10 and 35 basis points. The predicted effect is more than a doubling of EU services exports to India, while India’s services exports to the EU would increase by about 50%. EU’s trade with the rest of the world would not change much, while India’s exports to the rest of the world would contract by about 3%. Real services output would not change much in the EU or India. Lifting trade restrictions in the telecommunications sector is the most important policy area for facilitating services trade. About half of the predicted export expansion is driven by reforms to domestic regulation.

The aim of this paper is to investigate the impact of public sentiment on tail risk forecasting. In this framework, we extend the Realized Exponential GARCH model to directly incorporate information from realized volatility measures and exogenous variables, thus resulting in a novel dynamically complete specification denoted as the Complete REGARCH-X model. Several sentiment indices related to social media and journal articles regarding the economy and stock market volatility are considered as potential drivers of volatility dynamics. An application to the prediction of daily Value-at-Risk and Expected Shortfall for the Standard & Poor’s 500 index provides evidence that combining the information content of realized volatility and sentiment measures can lead to significant accuracy gains in forecasting tail risk.

Low-carbon hydrogen has already been announced by many countries as one of their priorities for achieving carbon neutrality by 2050. In Europe, particularly, a political momentum for hydrogen use has strengthened in recent years. This potential for massive development of low-carbon hydrogen technologies in the coming decades raises questions about the world's future dependence on mineral resources and the associated environmental impacts. The aim of this article is to address this issue by assessing the raw materials consumption associated with hydrogen development in Europe up to 2050. The results are based on an analysis of the European hydrogen development pathways resulting from the H24EU project. They highlight the importance of platinum-group metals in electrolysers deployment. Annual iridium demand for PEM electrolysers installed in the European Union could cause major supply tensions since it could reach 164% of its current global production by 2050. Nickel, cobalt, and copper, already associated with high risks of bottlenecks in the energy transition, are not left out: the development of alkaline electrolysis could contribute to a substantial increase in demand for these strategic materials.

This paper aims to show the impact of technological intensity (R&D intensity) on trade. Using a detailed product-level dataset of 118 countries from 1988 to 2006 and the Poisson pseudo-maximum-likelihood (PPML) estimator, this paper provides robust evidence that technological intensity promotes exports mainly through increasing the variety of exports. More specifically, a 1-percentage point increase in the country’s technological intensity promotes the variety of exported products by around 0.12% on average across all 15 sectors. In addition, total exports and the variety of exported products increase are higher in technology-intensive sectors.

We analyze the fiscal outcomes associated to the current account imbalances within Europe. We hypothesize that the effects of current account imbalances on fiscal variables within the European Union are nonlinear and that the nonlinearity is modulated by the quality of governance. We use data on 28 European Union countries from 2000 to 2019, apply a Panel Smooth Transition Regression (PSTR) approach and proxy governance by measures of corruption. We find evidence of a nonlinear relationship: the fiscal effects related to current account imbalances are differentiated among European countries. On the one hand, we find a positive elasticity of fiscal balance to current account balance when the quality of institutions is low. This suggests that in countries with high corruption, a deterioration of the current account results in a degradation of fiscal balance and an increase of debt. On the other hand, we find a negative elasticity of fiscal balance to current account balance when the quality of institutions is high. This implies that in countries with low corruption, larger current account imbalances can be related to an improved fiscal balance and a lower debt. Robustness checks comfort our findings.

Our paper examines and compares the influence of oil prices, international geopolitical risks, and government expenditures on Saudi Arabia's economic diversification during 1970–2020. We employ the bounds testing approach to cointegration to estimate the parameters of the Autoregressive Distributed Lag model to attain the paper's goal. Our results show that oil prices and international geopolitical risk harm the KSA diversification process in the short run. The destructive effect of oil prices continues in the long run, while the impact of the international geopolitical risk does not persist. On the other hand, government expenditures encourage the diversification attitude in the short and long run. This outcome highlights the capability of the KSA government to stimulate the diversification process. It is a positive sign of the state capitalism doctrine's impact on the KSA economic diversification mechanism. From a policy implication perspective, our paper suggests prioritizing economic diversification clearly on the KSA government's agenda. Simultaneously, strengthening the KSA institutional framework and developing new forms of the social contract are critical to motivating the diversification process.

We use a general equilibrium trade model to quantify the welfare cost of decoupling from Russia. We find that a doubling of non-tariff barriers imposed by the West on Russian imports and exports of all goods would decrease Russian welfare by 4.8% and would have a relatively small effect on Western welfare. We show that the welfare cost of decoupling is amplified by supply chains and that restrictions on Russian energy, especially oil, matter quantitatively. Finally, we find that welfare losses generated by restrictions actually applied by the West in the aftermath of the 2022 Russian invasion of Ukraine account for around 80% of those obtained in our decoupling scenario.

This paper studies the association between remittances, financial development, and income inequality for a sample of 70 developing countries from 1984 to 2019. Most of the existing studies in the literature have examined either the remittances and inequality relationship or the financial development and inequality relationship, but only a few have looked at the effect of both remittances and financial development on inequality. However, none of the existing studies have looked at the combined effect of these two on inequality. Our contribution to the literature is manifold. First and foremost, we examine whether remittances and financial development are substitutes or complements in reducing inequality and find evidence that, in countries that are more unequal, remittances substitute financial development in reducing inequality. But, in countries that are less unequal, remittances complement financial development in reducing inequality. Second, we find that the substitutionary effect of remittances is larger than their complementary effect. And finally, while previous studies have assumed that remittances and financial development have homogenous effects on inequality, we find that remittances and financial development exert heterogeneous effects across the conditional distribution of inequality.