Economic Modelling最新文献

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Editorial of the special issue on: Digital economy in game-theoretic approaches 特刊编辑博弈论方法中的数字经济

IF 4.2 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2024-09-26 DOI: 10.1016/j.econmod.2024.106894

Xiaogang Che, Bo Chen, Sanxi Li, Jie Zheng

引用次数: 0

Institutional openness and analyst competition in China's capital market: Evidence of information acquisition advantages 中国资本市场的制度开放与分析师竞争：信息获取优势的证据

IF 4.2 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2024-09-25 DOI: 10.1016/j.econmod.2024.106895

Rujun Xu , Sha Wu

The factors driving analyst competition have emerged as a critical research topic while firm characteristics and external environments affect analyst competition. However, the impact of institutional openness is underexplored in the current literature. Based on a quasi–natural experiment of the Administrative Measures for Foreign-Invested Brokerage Firms, we examined the effects of institutional openness on analyst competition using a difference–in–differences model (DID). Our research illustrates that greater institutional openness improves analyst competition through information acquisition advantages. The positive impact of institutional openness on analyst competition was more pronounced in brokerage firms with shorter establishment times and companies with less investor attention. Finally, analyst competition caused by institutional openness enhanced the market information transmission efficiency. The findings provide essential contributions to understanding the institutional openness effect and characteristics of the analyst industry.

在公司特征和外部环境影响分析师竞争的同时，分析师竞争的驱动因素已成为一个重要的研究课题。然而，在目前的文献中，对制度开放度的影响还缺乏深入研究。基于《外商投资证券公司管理办法》的准自然实验，我们使用差分模型（DID）研究了制度开放对分析师竞争的影响。我们的研究表明，提高机构开放度可以通过信息获取优势改善分析师竞争。机构开放对分析师竞争的积极影响在成立时间较短的券商和投资者关注度较低的公司中更为明显。最后，机构开放带来的分析师竞争提高了市场信息传递效率。研究结果为理解制度开放效应和分析师行业特征做出了重要贡献。

引用次数: 0

Endogenous human capital and market structure in a monetary Schumpeterian model 熊彼特货币模型中的内生人力资本和市场结构

IF 4.2 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2024-09-21 DOI: 10.1016/j.econmod.2024.106889

Qichun He , Xilin Wang

This study incorporates endogenous human capital into a monetary Schumpeterian model with endogenous market structure. We find that endogenous human capital leads to continuous entry of firms, sustaining horizontal innovation and making it a twin engine of long-run growth with vertical innovation. Moreover, an increase in the nominal interest rate has no immediate effect on growth, whereas it has a negative effect on long-run growth. This is because the return to vertical innovation (the incumbents) is proportional to firm size (i.e., human capital per firm), a state variable that adjusts slowly. A higher nominal interest rate decreases labor supply for human capital accumulation, reducing the growth rate of human capital and immediately lowering the return to entry. The relatively higher return to incumbents increases the growth rate of vertical innovation, thus offsetting the decrease in human capital growth rate. Firm size decreases in the long run, reducing the growth rate of vertical innovation and equilibrium total growth and welfare. We calibrate the model to the U.S. economy and find that the negative effects of nominal interest rate on growth and welfare are small and increasing during the transition due to endogenous human capital and market structure and substantial in the steady state.

本研究将内生人力资本纳入具有内生市场结构的熊彼特货币模型。我们发现，内生人力资本会导致企业不断进入，维持横向创新，并使其与纵向创新成为长期增长的双引擎。此外，名义利率的提高不会对经济增长产生直接影响，但会对长期经济增长产生负面影响。这是因为纵向创新（在职者）的回报与企业规模（即每个企业的人力资本）成正比，而企业规模是一个调整缓慢的状态变量。较高的名义利率会减少人力资本积累的劳动力供给，降低人力资本的增长率，并立即降低进入企业的回报率。在职者相对较高的回报率提高了纵向创新的增长率，从而抵消了人力资本增长率的下降。从长期来看，企业规模会缩小，从而降低纵向创新的增长率以及均衡总增长率和福利。我们根据美国经济对模型进行了校准，发现由于人力资本和市场结构的内生性，名义利率对经济增长和福利的负面影响很小，而且在转型期间会不断增加，而在稳态时则会大幅增加。

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引用次数: 0

Information acquisition and financial advice 信息获取和财务咨询

IF 4.2 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2024-09-21 DOI: 10.1016/j.econmod.2024.106891

Gülen Karakoç , Marco Pagnozzi , Salvatore Piccolo , Giovanni Walter Puopolo

This study analyzes the incentives for investors to delegate investment decisions to biased financial advisors who can acquire information about multiple risky asset characteristics. We show that the investor limits the amount of wealth a financial advisor can invest on her behalf to prevent unprofitable investment. This cap decreases as the conflict of interest between the investor and advisor widens and may be lower for a better-informed advisor. Although the investor always prefers a better-informed advisor, the advisor may choose to acquire less information to induce the investor to impose a higher cap. Reducing the conflict of interests between the investor and the advisor may not improve financial decisions, as it may discourage the advisor from acquiring more information. Our findings provide implications for policymakers seeking to regulate the delegated portfolio management industry, favoring better investment decisions.

本研究分析了投资者将投资决策委托给有偏见的财务顾问的动机，因为财务顾问可以获取多种风险资产特征的信息。我们的研究表明，投资者会限制理财顾问代表其投资的财富数额，以防止无利可图的投资。这个上限会随着投资者和顾问之间利益冲突的扩大而减少，对于信息更灵通的顾问来说，这个上限可能会更低。虽然投资者总是倾向于信息更灵通的顾问，但顾问可能会选择获取更少的信息来诱导投资者设定更高的上限。减少投资者与顾问之间的利益冲突可能不会改善财务决策，因为这可能会阻碍顾问获取更多信息。我们的研究结果为政策制定者提供了监管委托投资组合管理行业的启示，有利于做出更好的投资决策。

引用次数: 0

Partial privatization and the degree of corporate social responsibility of private investors 部分私有化与私人投资者的企业社会责任程度

IF 4.2 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2024-09-20 DOI: 10.1016/j.econmod.2024.106892

Juan Carlos Bárcena-Ruiz, María Begoña Garzón, Amagoia Sagasta

A significant issue for study is what type of private investor governments should sell public firms to: those who care about corporate social responsibility (CSR) or those who are profit-maximizers. To analyze this issue we measure CSR concern through consumer surplus and consider a market in which a private and a public firm compete. We find that the decision taken by the government crucially depends on the social concern of the rival private firm. When that firm cares about CSR, selling part of the public firm to socially concerned private investors is no worse than selling to profit-maximizing investors. However, when the private firm maximizes profits the opposite result is obtained. In addition, from a social welfare viewpoint, when social concern is not high it is desirable for all private investors to engage in CSR. Otherwise, it is preferable for them not to care about society.

一个值得研究的重要问题是，政府应将公共企业出售给哪类私人投资者：是关心企业社会责任（CSR）的投资者，还是追求利润最大化的投资者。为了分析这个问题，我们通过消费者剩余来衡量企业社会责任，并考虑了私营企业和公营企业竞争的市场。我们发现，政府的决策在很大程度上取决于竞争对手私营企业的社会责任感。当该企业关注企业社会责任时，将公营企业的一部分出售给关注社会责任的私人投资者并不比出售给追求利润最大化的投资者差。然而，当私营企业追求利润最大化时，结果却恰恰相反。此外，从社会福利的角度来看，当社会关注度不高时，所有私人投资者都参与企业社会责任是可取的。否则，他们最好不关心社会。

引用次数: 0

Does restricting private school enrollment increase the public school housing premium? Evidence from the Chengdu real estate market 限制民办学校招生是否会提高公办学校住房溢价？来自成都房地产市场的证据

IF 4.2 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2024-09-20 DOI: 10.1016/j.econmod.2024.106890

Yanchi Zou

Despite a growing body of literature demonstrating the role of private schools in narrowing the housing premium associated with high-quality public schools, there is little evidence on how policy shocks that limit access to private schools affect this premium. Using 21,364 observations of house transaction data from 2017 to 2021, this paper examines the impact of one policy limiting private schools’ autonomy in enrolling students on the public school housing premium in Chengdu, China. My findings reveal that when private schools lose the right to select students, the housing premium associated with high-quality public schools increases significantly. The escalation in high-quality school housing premium is attributed to the growing uncertainty regarding the accessibility of private schools as alternative options. The policy effect on housing premium remains robust at school district boundaries. My conclusion implies that policy-makers should pay attention to the positive role of private schools in promoting educational equity.

尽管越来越多的文献证明了民办学校在缩小与优质公立学校相关的住房溢价方面的作用，但关于限制民办学校入学机会的政策冲击如何影响这一溢价的证据却很少。本文利用 2017 年至 2021 年的 21364 个房屋交易数据观测值，研究了一项限制民办学校招生自主权的政策对中国成都公办学校住房溢价的影响。我的研究结果表明，当民办学校失去择校生权利时，与优质公办学校相关的住房溢价就会显著上升。优质学校住房溢价的上升归因于民办学校作为替代选择的可及性越来越不确定。在学区边界上，政策对住房溢价的影响仍然很强。我的结论意味着，政策制定者应重视私立学校在促进教育公平方面的积极作用。

引用次数: 0

Licensing of a cost-reducing innovation in a Stackelberg-differentiated duopoly 斯塔克尔伯格差异化二元垄断中降低成本创新的许可证制度

IF 4.2 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2024-09-18 DOI: 10.1016/j.econmod.2024.106893

Manel Antelo , Lluís Bru

This study investigates the licensing of a cost-reducing innovation by a firm to its direct competitor in a Stackelberg-differentiated duopoly. We find that the licensor's market position coupled with the product's nature and innovation size play an important role in framing the licensing agreement and its welfare impact. When acting as the market leader in determining output, the licensor offers its competitor a pure ad valorem royalty contract if the products are close substitutes for each other or if the innovation is sufficiently large in the case of distant substitutes; otherwise, a per-unit royalty combined with a fixed fee is preferred. However, if the licensor acts as a follower in the product market, the licence comprises a per-unit royalty, sometimes combined with a fixed payment. Compared with the pre-licensing context, licensing by a market follower is never welfare-reducing, whereas licensing by a market leader is only welfare-reducing when products are extremely close substitutes. Optimal licensing with complementary products is also studied, which could result in a per-unit subsidy.

本研究探讨了一家企业向其直接竞争对手发放降低成本的创新许可的问题。我们发现，许可人的市场地位、产品性质和创新规模在制定许可协议及其福利影响方面发挥着重要作用。当市场领导者决定产出时，如果产品之间是近似替代品，或者创新规模足够大（如果是远距离替代品），则许可人向其竞争者提供纯粹的从价许可使用费合同；否则，许可人倾向于提供单位许可使用费和固定费用。但是，如果许可人在产品市场上处于从属地位，许可则包括按单位计算的使用费，有时还与固定费用相结合。与发放许可前的情况相比，市场追随者发放许可绝不会减少福利，而市场领导者发放许可只有在产品的替代性极强时才会减少福利。我们还研究了互补产品的最优许可，这可能会导致单位补贴。

引用次数: 0

Does local government debt management affect cross-border M&As? Evidence from China 地方政府债务管理会影响跨国并购吗？来自中国的证据

IF 4.2 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2024-09-16 DOI: 10.1016/j.econmod.2024.106886

Deng-Kui Si , Hong-Xue Li , Shilei Wu , Fuyou Zhou

The rapid expansion of government debt exacerbates systemic risks and tightens the credit transmission channels of monetary policy, posing a severe threat to the healthy development of firms. Existing literature mainly examines the impact of government debt on corporate financing behavior, innovation, and total output. Using data from a sample of Chinese A-share listed firms covering the period from 2001 to 2022, we investigate the impact of local government debt management on corporate cross-border mergers and acquisitions (M&As). Our analysis reveals that effective local government debt management promotes cross-border M&As by alleviating corporate financing constraints, intensifying market competition, and enhancing corporate risk-taking capacity. The findings offer fresh insights into achieving the dual objectives of risk prevention and stable growth through local government debt management and provide significant implications for boosting the high-quality development of the real economy.

政府债务的快速扩张加剧了系统性风险，收紧了货币政策的信贷传导渠道，对企业的健康发展构成了严重威胁。现有文献主要研究政府债务对企业融资行为、创新和总产出的影响。利用 2001 年至 2022 年中国 A 股上市公司的样本数据，我们研究了地方政府债务管理对企业跨国并购（M&As）的影响。我们的分析表明，有效的地方政府债务管理可以缓解企业融资约束、加剧市场竞争、增强企业风险承担能力，从而促进企业跨境并购。研究结果为通过地方政府债务管理实现防风险和稳增长的双重目标提供了新的视角，对推动实体经济高质量发展具有重要意义。

引用次数: 0

Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies 基于范围的 GARCH 模型的稳健估算：预测加密货币的波动率、风险价值和预期缺口

IF 4.2 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2024-09-14 DOI: 10.1016/j.econmod.2024.106887

Piotr Fiszeder , Marta Małecka , Peter Molnár

Traditional volatility models do not work well when volatility changes rapidly and in the presence of outliers. Therefore, two lines of improvements have been developed separately in the existing literature. Range-based models benefit from efficient volatility estimates based on low and high prices, while robust methods deal with outliers. We propose a range-based GARCH model with a bounded M-estimator, which combines these two improvements with a third new improvement: a modified robust method, which adds elasticity in treating the outliers. We apply this model to Bitcoin, Ethereum Classic, Ethereum, and Litecoin and find that it forecasts variances, value at risk, and expected shortfall more accurately than the standard GARCH model, the standard range-based GARCH model, and the GARCH model with the robust estimation. Utilization of high and low prices joined with a novel treatment of outliers makes our model perform well during extreme periods when traditional volatility models fail.

传统的波动率模型在波动率快速变化和存在异常值的情况下效果不佳。因此，现有文献分别提出了两种改进方法。基于范围的模型得益于基于低价和高价的有效波动率估计，而稳健方法则可以处理异常值。我们提出了一种基于范围的 GARCH 模型，该模型具有有界 M 估计器，将这两种改进方法与第三种新的改进方法相结合：一种改进的稳健方法，在处理异常值时增加了弹性。我们将该模型应用于比特币、以太坊经典版、以太坊和莱特币，发现它比标准 GARCH 模型、标准基于范围的 GARCH 模型和带有稳健估计的 GARCH 模型更准确地预测了方差、风险价值和预期缺口。利用高价和低价以及对异常值的新颖处理方法，使我们的模型在传统波动率模型失效的极端时期表现出色。

引用次数: 0

Regional aggregation bias in the global computable general equilibrium model: Issues in assessing the economic impact of climate change and trade liberalization 全球可计算一般均衡模型中的区域汇总偏差：评估气候变化和贸易自由化经济影响的问题

IF 4.2 2区经济学 Q1 ECONOMICS

Economic Modelling

Pub Date : 2024-09-10 DOI: 10.1016/j.econmod.2024.106885

Yoji Kunimitsu

This study examined the bias introduced by regional aggregation (RA) when assessing the effect of climate change and trade liberalization through computational experiments. The analysis used global computable general equilibrium models with different pre-aggregation levels, based on the GTAP10 database. The bias was quantified by comparing the effects between large-scale and aggregated models. The results revealed that RA bias comprised over 35% of estimated effects related to climate change and global trade liberalization; it reversed the change direction in the simulation and deviated changes beyond the variation range observed in the sensitivity analysis; and it increased in developing countries where the proportions of imports were high. Much RA bias is artificially created by aggregating countries with different initial shocks, which then spreads to other countries through a pseudo-trade structure. Therefore, adopting a disaggregated global model is crucial to improve the accuracy of climate change assessments with diverse shocks worldwide.

本研究通过计算实验，研究了在评估气候变化和贸易自由化的影响时，区域汇总（RA）带来的偏差。分析使用了基于 GTAP10 数据库、具有不同预聚集水平的全球可计算一般均衡模型。通过比较大规模模型和聚合模型之间的影响，对偏差进行了量化。结果显示，在与气候变化和全球贸易自由化相关的估计效应中，RA 偏差占 35% 以上；它扭转了模拟中的变化方向，使变化偏离了敏感性分析中观察到的变化范围；在进口比例较高的发展中国家，RA 偏差有所增加。许多 RA 偏差是通过将初始冲击不同的国家汇总而人为造成的，然后通过伪贸易结构扩散到其他国家。因此，采用分类全球模型对于提高全球不同冲击下气候变化评估的准确性至关重要。

引用次数: 0

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