Quarterly Review of Economics and Finance最新文献

This paper investigates how the presence of a large fraction of rule-of-thumb consumers and an informal sector and (henceforth, informality) impact on the effectiveness of monetary policy in developing/emerging economies. We develop a small open economy New-Keynesian model, which is estimated using data on selected Sub-Saharan African countries where the coexistence of these two frictions is widespread - Burundi, Malawi and Rwanda. The results reveal that (i) rule-of-thumb consumption enhances the dominance of demand shocks and makes inflation stabilization a challenge; (ii) the presence of an informal sector causes supply shocks to be dominant, creating a trade-off between stabilizing inflation and output; (iii) rule-of-thumb consumption weakens the transmission mechanism of monetary policy while its interaction with informality worsens the situation in most of the selected countries; (iv) informality amid a large population of rule-of-thumb consumers causes the nominal interest rate to counterintuitively decline in response to a contractionary monetary policy shock; (v) in some of the selected countries, a positive productivity shock counterintuitively triggers a nominal exchange rate appreciation when informality interacts with rule-of-thumb consumption behavior; (vi) the coexistence of informality and rule-of-thumb consumption behavior amplifies country-risk premium shocks and; (vii) rule-of-thumb consumption behavior is welfare enhancing. These findings are informative to policymakers, particularly in emerging economies, on the priority reforms as they transition to inflation targeting frameworks. Direct policy implications emerge regarding financial inclusion, the size of the informal sector, and farm input subsidy programs.

This paper presents a framework for identifying the impacts of antitrust regulation on innovation and industry dynamics. I consider two inventor types: multi-product incumbent firms and startups not yet in product markets. They pursue external innovation, which results in Schumpeterian competition; and internal innovation, which incumbent firms use to refine current products in their portfolios. I find that weaker regulation gives incumbent firms greater market power to block competition, reducing incentives for external innovation, but raising incentives for internal innovation. Less heavy-handed regulation slows industry dynamics and raises industrial concentration; however, more lenient regulation may increase aggregate innovation depending on parameter value.

We analyze why fund selection measures, including daily six factor alpha, daily return volatility, and minimum churn rate of a fund within a quarter, predict fund performance. Among these three fund selection measures, we demonstrate that funds with lower return volatility generate better fund performance, portfolio holdings performance, and trading portfolio performance. This result suggests that funds with lower return volatility possess better both stock picking and trading skill. In addition, funds with higher alpha or higher minimum churn rate have better fund performance and better portfolio holdings performance, but worse trading portfolio performance. As we demonstrate that portfolio holdings performance rather than trading portfolio performance mainly contributes to fund performance, our findings suggest that fund investors should pay attention to funds’ stock picking skill more than their trading skill. Moreover, funds’ lack of trading skill helps explain why original funds may underperform copycat funds.

This study examines the banking efficiency of different ownership types and operations in an emerging market in South Asia. It further explores the moderating effect of Islamic banking operations on such relationships. The effects of banking regulatory developments on banking efficiency are also examined through a quasi-natural experiment approach. Using 533 banking unit observations of banks for FY 2002/2003 to 2017/2018 period, and applying the data envelopment analysis (DEA) method for banking efficiency and Tobit regression, the findings document that the banking efficiency of the state-owned conventional banks outperforms privately-owned domestic banks, as well as conventional domestically owned banks (state-owned and privately-owned banks) outperforms the foreign-owned banks. Again, the banking efficiency outperformance of the conventional banking operation over the Islamic banking operation is found. However, the outperformance of conventional state-owned banks diminishes with the moderation of Islamic banking operations. Additionally, the quasi-natural experiment with difference-in-difference (DID) regression result reveals that the banking efficiency of Islamic banks and conventional state-owned banks has improved during the post-regulatory period and reduced the efficiency gap between them (in favor of conventional banks). However, the banking efficiency of conventional state-owned banks offering Islamic banking services has diminished in the post-regulatory period. These findings remain robust during the global financial crisis (GFC) and non-GFC periods. Overall, the results add a new dimension to the banking efficiency and regulatory development research for the policymakers and regulators in the financial services sector.

This paper examines the role of the public health system and inequality during a health crisis (pandemic). We study a two-jurisdiction economy (rich, poor) with two household types (entrepreneurs, workers) and a shock affecting health goods demand and labor productivity. The presence of a public health system helps reduce health consumption inequality and lessens the impact of health shocks on non-health consumption inequality, especially when the pandemic leads to productivity loss. However, it also contributes to increased total consumption inequality, highlighting trade-offs in addressing inequality during a pandemic. Public health provision mitigates pandemic-driven inequality and dampens its rise.

What are the effects of fiscal austerity on income inequality? In this paper I estimate the average treatment effect ($\mathrm{ATE}$) of fiscal consolidations quantifying their dynamic impact by means of dose–response functions. Dose–response functions allow the $\mathrm{ATE}$s to vary by the levels of treatment. I find that austerity indeed increases income inequality, however the increases manifest themselves whenever unannounced fiscal measures are relatively low, lower that 0.20% of GDP or relatively high, higher than 2.17% of GDP. For intermediate levels of fiscal measures income inequality does not change. These results hold for various measures of income inequality.

This paper assesses the performance of Divisia and simple-sum monetary aggregates in explaining changes in key macroeconomic variables in the United States from 1967 to 2022. In the spirit of Friedman and Schwartz, I extract the cyclical components of money, output, and prices and find that money generally leads the latter two variables. Next, I test for Granger causality from monetary aggregates to several measures of real activity. Then, I estimate a more comprehensive VAR consisting of several real and nominal variables. Consistent with previous research, Divisia aggregates outperform their simple-sum counterparts. While the narrower aggregates exhibit a close relationship with output and prices in the earlier years of the sample, the broader aggregates outperform the narrow aggregates over the entire period. This reflects an evolution of the monetary system in which assets included in the broad aggregates have become increasingly important. Finally, I use counterfactual forecasts to find that broad Divisia money played an important role in explaining the severity of the Great Recession and the high inflation of 2021 and 2022.

We implement a state-space modeling to capture jointly the one-year and infinite horizons equity risk premia (ERPs) over a secular period in France. Expected stock returns are represented by mixing traditional expectation processes, expected variances are from GARCHX models and risk prices are stochastic state variables estimated using the Kalman filter method. Represented by the spread between long-and short-term ERPs, the term structure strongly varies over time exhibiting a dominant downward sloping. Both expected variances and risk prices are highly at play in determining the ERPs term structure, the effects of restraints on borrowing and of international stock market contagion completing the explanation. Overall, our modeling provides rather similar results using US data. We finally show that the French ERPs term structure varies with the economic cycle, the cost of capital and the liquidity preference.

This paper aims to analyze the impact of the COVID-19 pandemic on market-based systemic risk and the connectedness of commercial banks in Gulf Cooperation Council countries. The results suggest that systemic risk has increased significantly after the pandemic by employing two very well-known systemic risk measures, the Delta conditional value-at-risk (ΔCoVaR) and the marginal expected shortfall (MES), but heterogeneously across GCC nations. Using the Granger-Causality network method, the results reveal a remarkable rise in the percentage and number of significant connectedness between banks for Kuwait and KSA during the pandemic. Oman and Qatar experienced an unnoticeable increase in bank return connectedness. Furthermore, the study identifies the bank characteristics that provide shelter from the systemic shocks of the pandemic. The study findings indicate that income diversification is the most crucial variable for enhancing bank stability amid the pandemic. Our findings provide policy-related implications for understanding and mitigating risk shock transmission and the containment of systemic financial risk, in addition to multiple future lines of research.

We argue that the utility of specific assets, in our case collectibles, is not only derived from the financial outcome, but also from the conditions that prevail until a financial outcome may be realized. Therefore, we derive a multi-attribute utility function that measures financial returns — using a mean-variance utility function — on the one hand, and non-financial returns — using an experienced utility function — on the other. We then reveal the trade-off between financial and non-financial utility by analyzing 363 owners of collectibles. We divide the owners into the group of collectors and the group of investors, based on their self-reported motivation. Our results suggest that collectors receive almost no utility from financial returns, but rather from experience. The opposite is the case for investors. Our findings help to explain the reported financial underperformance of collectibles and suggest to adjust existing models of utility.