Research background: This paper extends the early papers by Brander (1981) and Brander and Krugman (1983) who used a simple partial equilibrium Cournot duopoly to a full general equilibrium setting. The explanations of intra-industry trade can be based either on oligopolistic reciprocal dumping idea (Brander, 1981) or product differentiation (Dixit and Norman, 1980; Krugman, 1979, 1980, 1981; Lancaster, 1980; Helpman, 1981). In this paper we combine both explanations in a unified general equilibrium model. Purpose of the article: We develop a two-sector, one-factor general equilibrium model, in which the first sector produces a differentiated good under monopolistic competition and the second sector produces a homogenous good under Cournot oligopolistic competition. In this paper, we study how competition between domestic and foreign firms resulting from trade liberalization affects intra-industry trade in both sectors. Methods: The paper develops a two-sector model based on several assumptions. Consumers have a two-tier utility function of the Cobb-Douglas-Spence-Dixit-Stiglitz form. Firms operate in two sectors and produce goods under increasing returns to scale resulting from the existence of fixed costs. One sector produces homogenous good under Cournot competition, and the second one produces a differentiated product in under Chamberlinian monopolistic competition. Free entry is assumed in both sectors. Labor is assumed to be the only factor of production with perfect mobility and full employment. Findings & Value added: In contrast to previous papers, our study is based on a full general equilibrium Cournot oligopoly framework with many firms. Moreover, we endogenize the number of firms and study the resulting trading equilibria. Therefore, this paper can be regarded as the extension and unification of the early papers by Brander (1981), Brander and Krugman (1983) and Krugman (1979, 1980).
研究背景：本文将Brander（1981）、Brander和Krugman（1983）早期使用简单的部分均衡Cournot双头垄断的论文扩展到完全的一般均衡设置。产业内贸易的解释可以基于寡头互惠倾销思想（Brander，1981）或产品差异化（Dixit和Norman，1980；克鲁格曼，1979、1980、1981；兰卡斯特，1980；Helpman，1981）。在本文中，我们将这两种解释结合在一个统一的一般均衡模型中。本文的目的：我们建立了一个两部门、一因素的一般均衡模型，其中第一部门在垄断竞争下产生差异化商品，第二部门在库诺寡头竞争下产生同质商品。在本文中，我们研究了贸易自由化导致的国内外企业之间的竞争如何影响这两个部门的产业内贸易。方法：本文在几个假设的基础上建立了一个两部门模型。消费者具有Cobb Douglas Spence Dixit Stiglitz形式的双层效用函数。公司在两个部门运营，并在固定成本存在的情况下，以不断增加的规模回报率生产商品。一个部门在库诺竞争下生产同质产品，第二个部门在Chamberlinian垄断竞争下生产差异化产品。这两个部门都假定可以自由进入。劳动力被认为是唯一具有完美流动性和充分就业的生产要素。研究结果和附加值：与以前的论文相比，我们的研究是基于对许多公司的完全一般均衡古诺寡头垄断框架。此外，我们将企业数量内生，并研究由此产生的交易均衡。因此，本文可以看作是Brander（1981）、Brander和Krugman（1983）和Krug曼（19791980）早期论文的延伸和统一。
{"title":"Intra-industry trade in differentiated and homogenous commodities: Brander and Krugman models unified","authors":"A. Cieślik, Leszek Wincenciak","doi":"10.24136/EQ.2018.002","DOIUrl":"https://doi.org/10.24136/EQ.2018.002","url":null,"abstract":"Research background: This paper extends the early papers by Brander (1981) and Brander and Krugman (1983) who used a simple partial equilibrium Cournot duopoly to a full general equilibrium setting. The explanations of intra-industry trade can be based either on oligopolistic reciprocal dumping idea (Brander, 1981) or product differentiation (Dixit and Norman, 1980; Krugman, 1979, 1980, 1981; Lancaster, 1980; Helpman, 1981). In this paper we combine both explanations in a unified general equilibrium model. Purpose of the article: We develop a two-sector, one-factor general equilibrium model, in which the first sector produces a differentiated good under monopolistic competition and the second sector produces a homogenous good under Cournot oligopolistic competition. In this paper, we study how competition between domestic and foreign firms resulting from trade liberalization affects intra-industry trade in both sectors. Methods: The paper develops a two-sector model based on several assumptions. Consumers have a two-tier utility function of the Cobb-Douglas-Spence-Dixit-Stiglitz form. Firms operate in two sectors and produce goods under increasing returns to scale resulting from the existence of fixed costs. One sector produces homogenous good under Cournot competition, and the second one produces a differentiated product in under Chamberlinian monopolistic competition. Free entry is assumed in both sectors. Labor is assumed to be the only factor of production with perfect mobility and full employment. Findings & Value added: In contrast to previous papers, our study is based on a full general equilibrium Cournot oligopoly framework with many firms. Moreover, we endogenize the number of firms and study the resulting trading equilibria. Therefore, this paper can be regarded as the extension and unification of the early papers by Brander (1981), Brander and Krugman (1983) and Krugman (1979, 1980).","PeriodicalId":45768,"journal":{"name":"Equilibrium-Quarterly Journal of Economics and Economic Policy","volume":"13 1","pages":"29-53"},"PeriodicalIF":5.7,"publicationDate":"2018-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48004396","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
J. Pietrucha, Rafal Zelazny, M. Kozłowska, Oliwia Sojka
Research background: In existing studies two main channels of international technology spillovers are extensively discussed — trade and FDI. Nevertheless empirical studies give mixed results regards the nature and extent of trade and FDI spillovers. Purpose of the article: The aim of the article is to study import and foreign direct investments (FDI) as channels of international TFP spillovers. Methods: We employ dynamic spatial autoregression (SAR) methods. Our panel comprises data for 41 developed and upper mid-developed countries over the period 1995–2014. Findings & Value added: Our preliminary results show that (1) the trade and investment channels are both important for technology transfer, (2) the degree of their significance depends on the absorptive capacity such as good quality of the institutions.
{"title":"Import and FDI as channels of international TFP spillovers","authors":"J. Pietrucha, Rafal Zelazny, M. Kozłowska, Oliwia Sojka","doi":"10.24136/EQ.2018.003","DOIUrl":"https://doi.org/10.24136/EQ.2018.003","url":null,"abstract":"Research background: In existing studies two main channels of international technology spillovers are extensively discussed — trade and FDI. Nevertheless empirical studies give mixed results regards the nature and extent of trade and FDI spillovers. \u0000Purpose of the article: The aim of the article is to study import and foreign direct investments (FDI) as channels of international TFP spillovers. \u0000Methods: We employ dynamic spatial autoregression (SAR) methods. Our panel comprises data for 41 developed and upper mid-developed countries over the period 1995–2014. \u0000Findings & Value added: Our preliminary results show that (1) the trade and investment channels are both important for technology transfer, (2) the degree of their significance depends on the absorptive capacity such as good quality of the institutions.","PeriodicalId":45768,"journal":{"name":"Equilibrium-Quarterly Journal of Economics and Economic Policy","volume":"13 1","pages":"55-72"},"PeriodicalIF":5.7,"publicationDate":"2018-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46109918","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Nijolė Maknickienė, Indrė Lapinskaitė, A. Maknickas
Research background: Research and measurement of sentiments, and the integration of methods for sentiment analysis in forecasting models or trading strategies for financial markets are gaining increasing attention at present. The theories that claim it is difficult to predict the individual investor’s decision also claim that individual investors cause market instability due to their irrationality. The existing instability increases the need for scientific research. Purpose of the article: This paper is dedicated to establishing a link between the individual investors’ behavior, which is expressed as sentiments, and the market dynamic, and is evaluated in the stock market. This article hypothesizes that the dynamics in the market is unequivocally related to the individual investor’s sentiments, and that this relationship occurs when the sentiments are expressed strongly and are unlimited. Methods: The research was carried out invoking the method of Evolino RNN-based prediction model. The data for the research from AAII (American Association of Individual Investors), an investor sentiment survey, were used. Stock indices and sentiments are forecasted separately before being combined as a single composition of distributions. Findings & Value added: The novelty of this paper is the prediction of sentiments of individual investors using an Evolino RNN-based prediction model. The results of this paper should be seen not only as the prediction of the connection and composition of investors’ sentiments and stock indices, but also as the research of the dynamic of individual investors’ sentiments and indices.
{"title":"Application of Ensemble of Recurrent Neural Networks for Forecasting of Stock Market Sentiments","authors":"Nijolė Maknickienė, Indrė Lapinskaitė, A. Maknickas","doi":"10.24136/EQ.2018.001","DOIUrl":"https://doi.org/10.24136/EQ.2018.001","url":null,"abstract":"Research background: Research and measurement of sentiments, and the integration of methods for sentiment analysis in forecasting models or trading strategies for financial markets are gaining increasing attention at present. The theories that claim it is difficult to predict the individual investor’s decision also claim that individual investors cause market instability due to their irrationality. The existing instability increases the need for scientific research. \u0000Purpose of the article: This paper is dedicated to establishing a link between the individual investors’ behavior, which is expressed as sentiments, and the market dynamic, and is evaluated in the stock market. This article hypothesizes that the dynamics in the market is unequivocally related to the individual investor’s sentiments, and that this relationship occurs when the sentiments are expressed strongly and are unlimited. \u0000Methods: The research was carried out invoking the method of Evolino RNN-based prediction model. The data for the research from AAII (American Association of Individual Investors), an investor sentiment survey, were used. Stock indices and sentiments are forecasted separately before being combined as a single composition of distributions. \u0000Findings & Value added: The novelty of this paper is the prediction of sentiments of individual investors using an Evolino RNN-based prediction model. The results of this paper should be seen not only as the prediction of the connection and composition of investors’ sentiments and stock indices, but also as the research of the dynamic of individual investors’ sentiments and indices.","PeriodicalId":45768,"journal":{"name":"Equilibrium-Quarterly Journal of Economics and Economic Policy","volume":"13 1","pages":"7-27"},"PeriodicalIF":5.7,"publicationDate":"2018-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46437195","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Research background: Local public investments satisfy basic local communities? needs and are crucial from the perspective of regional convergence. Against this background, investments by the Polish local government pose as an interesting research subject. It is because, due to its size and dynamics, local public investments exert a considerably significant influence on the Polish economy. Self-government entities with primary responsibility for conducting local public in-vestments in Poland are municipalities. Purpose of the article: The paper aims to identify fiscal, demographic and infra-structural determinants of municipal investment spending in Poland. Methods: We use panel data for 2,412 Polish municipalities over the period 2007?2014. For institutional reasons, the sample excludes cities with county rights. The baseline specification employs two-way fixed-effects (FE) estimation that controls both for municipality and year fixed effects. To test for robustness, the sample is restricted to municipalities with up to 20,000; 10,000 and 5,000 inhabitants. For each considered sample, there are four regression specifications. Findings & Value added: Investment spending increases both in own revenues and grants. On the contrary, we document the negative impact of indebtedness level and the coverage of water supply and sewage systems. The coefficients on population size and the share of old inhabitants cease to be negative and statistically significant for municipalities with fewer than 10,000 inhabitants. The results indicate that, apart from fiscal capacity, the investment policies of Polish municipalities are affected by economies of scale, local communities? preferences and infrastructural endowment. The study also shows that incurring debt should be of particular concern for supervisory and control bodies.
{"title":"The determinants of local public investments in Poland","authors":"Monika Banaszewska","doi":"10.24136/EQ.2018.006","DOIUrl":"https://doi.org/10.24136/EQ.2018.006","url":null,"abstract":"Research background: Local public investments satisfy basic local communities? needs and are crucial from the perspective of regional convergence. Against this background, investments by the Polish local government pose as an interesting research subject. It is because, due to its size and dynamics, local public investments exert a considerably significant influence on the Polish economy. Self-government entities with primary responsibility for conducting local public in-vestments in Poland are municipalities. \u0000Purpose of the article: The paper aims to identify fiscal, demographic and infra-structural determinants of municipal investment spending in Poland. \u0000Methods: We use panel data for 2,412 Polish municipalities over the period 2007?2014. For institutional reasons, the sample excludes cities with county rights. The baseline specification employs two-way fixed-effects (FE) estimation that controls both for municipality and year fixed effects. To test for robustness, the sample is restricted to municipalities with up to 20,000; 10,000 and 5,000 inhabitants. For each considered sample, there are four regression specifications. \u0000Findings & Value added: Investment spending increases both in own revenues and grants. On the contrary, we document the negative impact of indebtedness level and the coverage of water supply and sewage systems. The coefficients on population size and the share of old inhabitants cease to be negative and statistically significant for municipalities with fewer than 10,000 inhabitants. The results indicate that, apart from fiscal capacity, the investment policies of Polish municipalities are affected by economies of scale, local communities? preferences and infrastructural endowment. The study also shows that incurring debt should be of particular concern for supervisory and control bodies.","PeriodicalId":45768,"journal":{"name":"Equilibrium-Quarterly Journal of Economics and Economic Policy","volume":"24 12","pages":"105-121"},"PeriodicalIF":5.7,"publicationDate":"2018-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41294714","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Research background: Entrepreneurship issues in the transition economies have attracted growing attention from scholars in recent years. However, the debate over the value of entrepreneurship in reinforcing structural change is still incomplete. The need for a more thorough approach is noticeable, taking into account drivers which determine entrepreneurial activity in the transition economies. The findings may be useful for recognising opportunities and threats of the development of these economies. Purpose of the article: This paper extends research on entrepreneurship in the transition economies by considering drivers of entrepreneurial activity. The aim of the paper is to investigate what drivers have their consequences for entrepreneurial activity in the Visegrad countries. As the Visegrad countries represent a unique context, because they faced a similar structure at the beginning of the transition process, a valuable insight can be gained by focusing on them. Methods: Hypothesis development is based on the literature review. Fixed effects panel regression was employed for hypothesis testing. Panel data consists of 440 observations for the Visegrad countries for the 2004–2014 period. To control for autocorrelation and hetero-scedasticity, Durbin-Watson test and Wald statistic were used, respectively. Findings & Value added: This paper contributes to the existing literature by pre-senting an analysis of drivers having their impact on entrepreneurial activity in the Visegrad countries. It provides new insights on understanding of the entrepreneur-ship issues in the transition economies. The main finding is that entrepreneurial activity in the Visegrad countries is determined significantly by the economy struc-ture and human capital. However, the signif-icance and the intensity of these effects are different. The findings may be interesting for policymakers in particular. Shifting from general entrepreneurship support towards a focus on promoting entrepreneurial behaviour among high-skilled workers should be considered. Fostering networking, collaboration and internalisation should be regarded for knowledge transfer and spillover enhancement.
{"title":"Entrepreneurial activity drivers in the transition economies. Evidence from the Visegrad countries","authors":"J. Zygmunt","doi":"10.24136/EQ.2018.005","DOIUrl":"https://doi.org/10.24136/EQ.2018.005","url":null,"abstract":"Research background: Entrepreneurship issues in the transition economies have attracted growing attention from scholars in recent years. However, the debate over the value of entrepreneurship in reinforcing structural change is still incomplete. The need for a more thorough approach is noticeable, taking into account drivers which determine entrepreneurial activity in the transition economies. The findings may be useful for recognising opportunities and threats of the development of these economies. \u0000Purpose of the article: This paper extends research on entrepreneurship in the transition economies by considering drivers of entrepreneurial activity. The aim of the paper is to investigate what drivers have their consequences for entrepreneurial activity in the Visegrad countries. As the Visegrad countries represent a unique context, because they faced a similar structure at the beginning of the transition process, a valuable insight can be gained by focusing on them. \u0000Methods: Hypothesis development is based on the literature review. Fixed effects panel regression was employed for hypothesis testing. Panel data consists of 440 observations for the Visegrad countries for the 2004–2014 period. To control for autocorrelation and hetero-scedasticity, Durbin-Watson test and Wald statistic were used, respectively. \u0000Findings & Value added: This paper contributes to the existing literature by pre-senting an analysis of drivers having their impact on entrepreneurial activity in the Visegrad countries. It provides new insights on understanding of the entrepreneur-ship issues in the transition economies. The main finding is that entrepreneurial activity in the Visegrad countries is determined significantly by the economy struc-ture and human capital. However, the signif-icance and the intensity of these effects are different. The findings may be interesting for policymakers in particular. Shifting from general entrepreneurship support towards a focus on promoting entrepreneurial behaviour among high-skilled workers should be considered. Fostering networking, collaboration and internalisation should be regarded for knowledge transfer and spillover enhancement.","PeriodicalId":45768,"journal":{"name":"Equilibrium-Quarterly Journal of Economics and Economic Policy","volume":"13 1","pages":"89-103"},"PeriodicalIF":5.7,"publicationDate":"2018-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49370037","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Research background: The literature indicates that labor market institutions are determined by cultural, political and economic factors, but does not give explicit conclusions which of these vast group of factors dominates. Purpose of the article: The goal of this study is to empirically assess whether cultural and political factors dominate over economic factors in shaping the labor market institutional framework in the OECD and post-socialist countries. Methods: This framework can be measured by a vast group of indicators. We use 10 such variables that describe the group of 47 post-socialist and OECD countries (that did not experience economic transition) in the years 2005?2009. These indicators allow to construct one Employment Efficiency Index which explains almost 47% of the employment rate heterogeneity in the years 2010?2015. In the second step, the Employment Efficiency Index is regressed on 7 uncorrelated and standardized components that describe the cultural, political and economic characteristics of the analyzed countries in the years 1995?2004 and the Chow test is conducted in order to determine whether they influence the Index with the same strength in post-socialist and non-transition OECD countries. Findings & Value added: The obtained results show that cultural and political factors have a stronger influence on labor market institutions. Moreover, the estimates reveal that the countries which experienced weak labor market performance in the period 1995?2004 did not make their institutional framework more pro-employment in the following years and, in consequence, also recorded low values of the employment rate in the period 2010?2015. Such result suggests that economic factors occurred to be on average an insufficient trigger for labor market reforms in the group of analyzed countries. Finally, the Chow test revealed that this conclusion is applicable to both post-socialist and non-transition OECD countries.
{"title":"Cultural, political and economic roots of the labor market institutional framework in the OECD and post-socialist countries","authors":"Michal Pilc","doi":"10.24136/EQ.V12I4.37","DOIUrl":"https://doi.org/10.24136/EQ.V12I4.37","url":null,"abstract":"Research background: The literature indicates that labor market institutions are determined by cultural, political and economic factors, but does not give explicit conclusions which of these vast group of factors dominates. \u0000Purpose of the article: The goal of this study is to empirically assess whether cultural and political factors dominate over economic factors in shaping the labor market institutional framework in the OECD and post-socialist countries. \u0000Methods: This framework can be measured by a vast group of indicators. We use 10 such variables that describe the group of 47 post-socialist and OECD countries (that did not experience economic transition) in the years 2005?2009. These indicators allow to construct one Employment Efficiency Index which explains almost 47% of the employment rate heterogeneity in the years 2010?2015. In the second step, the Employment Efficiency Index is regressed on 7 uncorrelated and standardized components that describe the cultural, political and economic characteristics of the analyzed countries in the years 1995?2004 and the Chow test is conducted in order to determine whether they influence the Index with the same strength in post-socialist and non-transition OECD countries. \u0000Findings & Value added: The obtained results show that cultural and political factors have a stronger influence on labor market institutions. Moreover, the estimates reveal that the countries which experienced weak labor market performance in the period 1995?2004 did not make their institutional framework more pro-employment in the following years and, in consequence, also recorded low values of the employment rate in the period 2010?2015. Such result suggests that economic factors occurred to be on average an insufficient trigger for labor market reforms in the group of analyzed countries. Finally, the Chow test revealed that this conclusion is applicable to both post-socialist and non-transition OECD countries.","PeriodicalId":45768,"journal":{"name":"Equilibrium-Quarterly Journal of Economics and Economic Policy","volume":"12 1","pages":"713-731"},"PeriodicalIF":5.7,"publicationDate":"2017-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46767035","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Research background: In the last decades social responsible investment has evolved into an important and influential investment class. What supports then the development of SRI? The neoclassical approach suggests that the attractiveness of investment should result from the risk-return relationship that is satisfying for the investor. However, the performance analysis of SRI vs. conventional investment, conducted in numerous research papers, often delivers contradictory conclusions. If financial factors could not explain the phenomenon of SRI, nonfinancial factors may have played a decisive role in the formation of modern SRI market. Purpose of the article: The purpose of this paper is to analyze financial investment performance of socially responsible vs. respective conventional indices in the periods of high, low and unidentified global risk. Therefore, a following research hypothesis was verified: SR indices perform financially better in high-risk periods than in low-risk periods. This hypothesis is justified by the assumption that, when selecting SRI, investors go by a longer investment horizon than they do when selecting other investments, not subject to such verification. Methods: Among SR indices, we chose three to compare them with their conventional counterparts: DJSI US vs. DJITR (USA), DJSI Korea vs. KOSPI (South Korea) and Respect Index vs. WIG20TR (Poland). The VIX index was used as the global measure of risk aversion. To measure the relative performance of SR and conventional indices in different risk periods, we applied risk-adjusted performance measures, including RSD, Sharpe and Treynor ratios, traditional and asymmetrical CAPM. Findings & Value added: The research shows that conventional and socially responsible indices do not differ statistically in terms of risk and return irrespective of global risk. Our research confirms that the rising, socially responsible, investment market cannot be analyzed only through the prism of simplified rational choices. Additionally, it should be analyzed in terms of moral philosophy and behavioral economics, including the psycho-social features of investors.
{"title":"The impact of global risk on the performance of socially responsible and conventional stock indices","authors":"P. Śliwiński, Maciej Łobza","doi":"10.24136/EQ.V12I4.34","DOIUrl":"https://doi.org/10.24136/EQ.V12I4.34","url":null,"abstract":"Research background: In the last decades social responsible investment has evolved into an important and influential investment class. What supports then the development of SRI? The neoclassical approach suggests that the attractiveness of investment should result from the risk-return relationship that is satisfying for the investor. However, the performance analysis of SRI vs. conventional investment, conducted in numerous research papers, often delivers contradictory conclusions. If financial factors could not explain the phenomenon of SRI, nonfinancial factors may have played a decisive role in the formation of modern SRI market. Purpose of the article: The purpose of this paper is to analyze financial investment performance of socially responsible vs. respective conventional indices in the periods of high, low and unidentified global risk. Therefore, a following research hypothesis was verified: SR indices perform financially better in high-risk periods than in low-risk periods. This hypothesis is justified by the assumption that, when selecting SRI, investors go by a longer investment horizon than they do when selecting other investments, not subject to such verification. Methods: Among SR indices, we chose three to compare them with their conventional counterparts: DJSI US vs. DJITR (USA), DJSI Korea vs. KOSPI (South Korea) and Respect Index vs. WIG20TR (Poland). The VIX index was used as the global measure of risk aversion. To measure the relative performance of SR and conventional indices in different risk periods, we applied risk-adjusted performance measures, including RSD, Sharpe and Treynor ratios, traditional and asymmetrical CAPM. Findings & Value added: The research shows that conventional and socially responsible indices do not differ statistically in terms of risk and return irrespective of global risk. Our research confirms that the rising, socially responsible, investment market cannot be analyzed only through the prism of simplified rational choices. Additionally, it should be analyzed in terms of moral philosophy and behavioral economics, including the psycho-social features of investors.","PeriodicalId":45768,"journal":{"name":"Equilibrium-Quarterly Journal of Economics and Economic Policy","volume":"12 1","pages":"657-674"},"PeriodicalIF":5.7,"publicationDate":"2017-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42970180","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Tomasz S. Berent, Bogusław Bławat, M. Dietl, P. Krzyk, Radosław Rejman
Research background: Bankruptcy literature is populated with scores of (econometric) models ranging from Altman’s Z-score, Ohlson’s O-score, Zmijewski’s probit model to k-nearest neighbors, classification trees, support vector machines, mathematical programming, evolutionary algorithms or neural networks, all designed to predict financial distress with highest precision. We believe corporate default is also an important research topic to be identified with the prediction accuracy only. Despite the wealth of modelling effort, a unified theory of default is yet to be proposed. Purpose of the article: Due to the disagreement both on the definition and hence the timing of default, as well as on the measurement of prediction accuracy, the comparison (of predictive power) of various models can be seriously misleading. The purpose of the article is to argue for the shift in research focus from maximizing accuracy to the analysis of the information capacity of predictors. By doing this, we may yet come closer to understanding default itself. Methods: We critically appraise the bankruptcy research literature for its methodological variety and empirical findings. Default definitions, sampling procedures, in and out-of-sample testing and accuracy measurement are all scrutinized. In an empirical part, we use a double stochastic Poisson process with multi-period prediction horizon and a comprehensive database of some 15,000 Polish non-listed companies to illustrate the merits of our new approach to default modelling. Findings & Value added: In the theoretical part, we call for the construction of a single unified default forecasting platform estimated for the largest dataset of firms possible to allow testing the utility of various sources of micro, mezzo, and macro information. Our preliminary empirical evidence is encouraging. The accuracy ratio amounts to 0.92 for t = 0 and drops to 0.81 two years ahead of default. We point to the pivotal role played by the information on firm’s liquidity (alternatively in profitability) and — in contrast to Altman’s tradition — hardly any contribution to predictive power of other financial ratios. Macro data is shown to be critical. It adds, on average, more than 10 p.p. to accuracy ratio. In the future, we hope to integrate listed and non-listed firms data into one model, ideally at higher frequency than annual, and include the information on firm's competitiveness position.
{"title":"Firm's default — new methodological approach and preliminary evidence from Poland","authors":"Tomasz S. Berent, Bogusław Bławat, M. Dietl, P. Krzyk, Radosław Rejman","doi":"10.24136/EQ.V12I4.39","DOIUrl":"https://doi.org/10.24136/EQ.V12I4.39","url":null,"abstract":"Research background: Bankruptcy literature is populated with scores of (econometric) models ranging from Altman’s Z-score, Ohlson’s O-score, Zmijewski’s probit model to k-nearest neighbors, classification trees, support vector machines, mathematical programming, evolutionary algorithms or neural networks, all designed to predict financial distress with highest precision. We believe corporate default is also an important research topic to be identified with the prediction accuracy only. Despite the wealth of modelling effort, a unified theory of default is yet to be proposed. \u0000Purpose of the article: Due to the disagreement both on the definition and hence the timing of default, as well as on the measurement of prediction accuracy, the comparison (of predictive power) of various models can be seriously misleading. The purpose of the article is to argue for the shift in research focus from maximizing accuracy to the analysis of the information capacity of predictors. By doing this, we may yet come closer to understanding default itself. \u0000Methods: We critically appraise the bankruptcy research literature for its methodological variety and empirical findings. Default definitions, sampling procedures, in and out-of-sample testing and accuracy measurement are all scrutinized. In an empirical part, we use a double stochastic Poisson process with multi-period prediction horizon and a comprehensive database of some 15,000 Polish non-listed companies to illustrate the merits of our new approach to default modelling. \u0000Findings & Value added: In the theoretical part, we call for the construction of a single unified default forecasting platform estimated for the largest dataset of firms possible to allow testing the utility of various sources of micro, mezzo, and macro information. Our preliminary empirical evidence is encouraging. The accuracy ratio amounts to 0.92 for t = 0 and drops to 0.81 two years ahead of default. We point to the pivotal role played by the information on firm’s liquidity (alternatively in profitability) and — in contrast to Altman’s tradition — hardly any contribution to predictive power of other financial ratios. Macro data is shown to be critical. It adds, on average, more than 10 p.p. to accuracy ratio. In the future, we hope to integrate listed and non-listed firms data into one model, ideally at higher frequency than annual, and include the information on firm's competitiveness position.","PeriodicalId":45768,"journal":{"name":"Equilibrium-Quarterly Journal of Economics and Economic Policy","volume":"12 1","pages":"753-773"},"PeriodicalIF":5.7,"publicationDate":"2017-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49413152","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Research background: Importance of intangible resources for country’s economic growth is widely recognized. However, empirical evidence of this influence is hard to show due to measurement limitations of intangible resources. Majority of empirical studies concentrates on the analysis of a specific type of intangible resource’s influence on economic growth. National intellectual capital concept provides background for an integrated assessment of the country's intangible resources. This new approach enables the estimation of intangible resources’ influence to economic growth in a more complex way. Purpose of the article: a) To examine various scientific approaches of the national intellectual capital and its impact on the economic growth; b) to offer a measurement model of the national intellectual capital influence on economic growth; c) to evaluate the specific European Union countries’ intellectual capital’s effect on their economic growth. Methods: Econometric analysis; refined factor value computation method using the standardized regression coefficients; the SAW method; expert evaluation, cluster analysis; correlation and regression analyses. Findings & Value added: A review of the economic growth theories showed that structural components of intellectual capital (human capital, structural capital, social capital, relational capital) in economic growth theories are analyzed as key determinants of economic growth. Our proposed research methodology consists time lag between variables and this let us evaluate casual relation. Empirical analysis of 25 European Union countries’ intellectual capital’s effect on their economic growth rate revealed that national intellectual capital and the countries’ level of economic development have statistically significant impact on economic growth rate. The analysis of intellectual capital components’ influence on economic growth rate of 25 European Union countries showed that only human capital and the level of economic development have statistically significant influence. A more comprehensive human capital’s influence on economic growth analysis revealed that 63.1 percent of the long-term economic growth rate in 25 European Union countries can be explained by differences in their economic development level and differences in educational achievement factor values. Moreover, analysis of national intellectual capital effect on economic growth in separate clusters allowed to identify influence differences in each group of countries.
{"title":"National intellectual capital influence on economic growth in the European Union countries","authors":"Irena Mačerinskienė, Rasa Aleknavičiūtė","doi":"10.24136/EQ.V12I4.30","DOIUrl":"https://doi.org/10.24136/EQ.V12I4.30","url":null,"abstract":"Research background: Importance of intangible resources for country’s economic growth is widely recognized. However, empirical evidence of this influence is hard to show due to measurement limitations of intangible resources. Majority of empirical studies concentrates on the analysis of a specific type of intangible resource’s influence on economic growth. National intellectual capital concept provides background for an integrated assessment of the country's intangible resources. This new approach enables the estimation of intangible resources’ influence to economic growth in a more complex way. Purpose of the article: a) To examine various scientific approaches of the national intellectual capital and its impact on the economic growth; b) to offer a measurement model of the national intellectual capital influence on economic growth; c) to evaluate the specific European Union countries’ intellectual capital’s effect on their economic growth. Methods: Econometric analysis; refined factor value computation method using the standardized regression coefficients; the SAW method; expert evaluation, cluster analysis; correlation and regression analyses. Findings & Value added: A review of the economic growth theories showed that structural components of intellectual capital (human capital, structural capital, social capital, relational capital) in economic growth theories are analyzed as key determinants of economic growth. Our proposed research methodology consists time lag between variables and this let us evaluate casual relation. Empirical analysis of 25 European Union countries’ intellectual capital’s effect on their economic growth rate revealed that national intellectual capital and the countries’ level of economic development have statistically significant impact on economic growth rate. The analysis of intellectual capital components’ influence on economic growth rate of 25 European Union countries showed that only human capital and the level of economic development have statistically significant influence. A more comprehensive human capital’s influence on economic growth analysis revealed that 63.1 percent of the long-term economic growth rate in 25 European Union countries can be explained by differences in their economic development level and differences in educational achievement factor values. Moreover, analysis of national intellectual capital effect on economic growth in separate clusters allowed to identify influence differences in each group of countries.","PeriodicalId":45768,"journal":{"name":"Equilibrium-Quarterly Journal of Economics and Economic Policy","volume":"12 1","pages":"573-592"},"PeriodicalIF":5.7,"publicationDate":"2017-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46238563","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Research background: Transfer of newly created money through unconventional monetary measures follows the official European Central Bank distribution key. Yet, it does not take into account the ability of individual countries to drive growth process in other economies. Money spent to boost domestic credit provisioning in growth pole-like economies is more likely to spill over to other adjoined economies and help them to recover, even in the presence of depressed domestic demand and/or overleveraged domestic banking sector. Purpose of the article: This paper reports growth pole scores for 19 euro area countries, and compares it to the official distribution key used to transmit newly created source of funding. Methods: We modify the procedure developed in World Bank (2011) for growth pole com-putation in order to account for strength of linkages connecting member states. Findings & Value added: Our results suggest that the official distribution key might not be completely optimal once looking at the growth pole scores. Countries small in economic size (Baltic states, Slovakia and Slovenia) would benefit from a more differentiated distribution, as they strongly outperform their benchmark set by the official distribution key. On the other hand, big euro area economies do not achieve the levels used in official distribution key, taking into account their growth pole potential for other euro area economies.
{"title":"Stimulating Economic Recovery through Euro Area Growth Poles : Call for More Directed Unconventional Monetary Policy Measures?","authors":"Jana Kotlebova, Mária Širaňová","doi":"10.24136/EQ.V12I4.33","DOIUrl":"https://doi.org/10.24136/EQ.V12I4.33","url":null,"abstract":"Research background: Transfer of newly created money through unconventional monetary measures follows the official European Central Bank distribution key. Yet, it does not take into account the ability of individual countries to drive growth process in other economies. Money spent to boost domestic credit provisioning in growth pole-like economies is more likely to spill over to other adjoined economies and help them to recover, even in the presence of depressed domestic demand and/or overleveraged domestic banking sector. \u0000Purpose of the article: This paper reports growth pole scores for 19 euro area countries, and compares it to the official distribution key used to transmit newly created source of funding. \u0000Methods: We modify the procedure developed in World Bank (2011) for growth pole com-putation in order to account for strength of linkages connecting member states. \u0000Findings & Value added: Our results suggest that the official distribution key might not be completely optimal once looking at the growth pole scores. Countries small in economic size (Baltic states, Slovakia and Slovenia) would benefit from a more differentiated distribution, as they strongly outperform their benchmark set by the official distribution key. On the other hand, big euro area economies do not achieve the levels used in official distribution key, taking into account their growth pole potential for other euro area economies.","PeriodicalId":45768,"journal":{"name":"Equilibrium-Quarterly Journal of Economics and Economic Policy","volume":"12 1","pages":"633-653"},"PeriodicalIF":5.7,"publicationDate":"2017-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44839922","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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