Journal of Economic Interaction and Coordination最新文献

The purpose of this study is to examine the connectedness of industry sectors on the Johannesburg Stock Exchange in a time-frequency domain. We use econophysics-based methods like the wavelet multiple correlation and wavelet scalogram difference to identify the evolution of the connectedness of the sectors over time and at different frequencies. The findings show that the sectors on the Johannesburg Stock Exchange are especially integrated at lower frequencies. Wavelet multiple correlation peaks in response to local and global shocks like the black-swan COVID-19 pandemic in 2020 and the downgrading of South African debt by Fitch in 2013. Though there are opportunities for sectoral diversification on the JSE, this fails when it is most needed, during crisis periods. Investors should therefore consider other asset classes that could serve as a haven in times of crisis. Though extant literature has examined sectoral dependencies on the stock markets of developed and developing countries, to the best of our knowledge, this is the first study to examine this connectedness in a South African context using multiple nonparametric methods that are robust to non-normality, presence of outliers as well as non-stationary data.

In this paper, we model an evolutionary noncooperative game between politicians and citizens that, given the level of infection, describes the observed variety of mitigation policies and citizens' compliance during the COVID-19 pandemic period. Our results show that different stable equilibria exist and that different ways/paths exist to reach these equilibria may be present, depending on the choice of parameters. When the parameters are chosen opportunistically, in the short run, our model generates transitions between hard and soft policy measures to deal with the pandemic. In the long-run, convergence is achieved toward one of the possible stable steady states (obey or not obey lockdown rules) as functions of politicians' and citizens' incentives.

Although various indicators of economic sentiment are often assessed in macroeconomic studies, the generating process of economic sentiment itself is still a puzzle. This paper offers pioneer evidence on the persistence of economic sentiment. Applying a battery of fractional integration tests on the European Economic Sentiment Indicator (ESI) of all individual EU member states, we reveal that ESI is dominantly a long-memory process. This finding is robust across several estimators, and it fairly contradicts the conventional wisdom of ESI as a purely transitory macroeconomic shock. Further on, this is true for both core EU economies and new member states, although the later ones exhibit slightly longer memory. Finally, we reveal that the end of the Great Moderation era has increased ESI's persistence, but the effect is only marginal. As it seems, a series of macroeconomic turbulences recorded after the global financial crisis has not initiated a significant shift in agents' collective memory and ESI will likely keep its pivotal role in governing business cycles in the future.

We develop an agent-based model of vaccine decisions across a heterogeneous network model with urban and rural regions. In the model, agents make rational decisions to vaccinate or not, based on the relative private costs of vaccinations and infections as well as an estimated probability of infection if not vaccinated. The model is a methodological advance in that it provides an economic rationale for traditional threshold models of vaccine decision-making that are commonly used in agent-based network models of vaccine choice. In the model, more dense urban regions have more connections between agents than less dense rural regions. Higher density leads to higher levels of vaccine usage and lower rates of infection in urban regions within the model. This finding adds to the more commonly discussed socio-economic reasons for higher levels of vaccination usage in urban areas compared to rural areas. In addition to this direct contribution, the paper emphasizes the importance of endogenous decision-making in models of epidemiology. For instance, we find that networks that lead to larger epidemics in exogenous vaccination models lead to smaller epidemics in our model because agents use vaccinations to offset the additional risk introduced by these network structures. Endogenous agent responses to risk need to be incorporated into theoretical and empirical models of economic epidemiology.