Oxford Bulletin of Economics and Statistics最新文献

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The Real Effects of Zombie Lending in Europe 欧洲僵尸贷款的实际影响

IF 2.5 3区经济学 Q2 ECONOMICS

Oxford Bulletin of Economics and Statistics

Pub Date : 2024-09-18 DOI: 10.1111/obes.12636

Belinda Tracey

‘Zombie lending’ occurs when a lender supports an otherwise insolvent borrower. Recent studies document that zombie lending has been widespread following the European sovereign debt crisis. In this paper, I develop a quantitative model to study the impact of these lending practices on firm dynamics. In the model, firm liquidations and zombie lending arise endogenously. The model provides a good match to key euro‐area firm statistics over the period 2011–14. I find that zombie lending has a substantial impact on borrowing costs, helping more low‐productivity firms to survive. This, in turn, causes a drag on aggregate output, investment and productivity.

僵尸贷款 "是指贷款人支持原本无力偿债的借款人。最近的研究表明，在欧洲主权债务危机之后，僵尸贷款非常普遍。在本文中，我建立了一个定量模型来研究这些借贷行为对企业动态的影响。在该模型中，企业清算和僵尸贷款是内生性的。该模型与 2011-14 年间欧元区的主要企业统计数据十分吻合。我发现，僵尸贷款对借贷成本有很大影响，有助于更多低生产率企业存活下来。这反过来又拖累了总产出、投资和生产率。

引用次数: 0

Factoring in the Micro: A Transaction‐Level Dynamic Factor Approach to the Decomposition of Export Volatility 微观因素：分解出口波动的交易级动态因素法

IF 2.5 3区经济学 Q2 ECONOMICS

Oxford Bulletin of Economics and Statistics

Pub Date : 2024-09-12 DOI: 10.1111/obes.12639

Angelo Cuzzola, Matteo Barigozzi, Marco Grazzi, Daniele Moschella

This paper analyzes the export volatility sources estimating a dynamic factor model on transaction‐level data. Utilizing an exhaustive dataset of French export transactions from 1993 to 2017, we reconstruct the latent factors space associated with global and destination‐specific macroeconomic shocks through a Quasi‐Maximum likelihood approach which allows accommodating both the high share of missing values and the high dimensionality of the microeconomic time series. The estimated parameters are then used to derive a volatility decomposition of the aggregate and firm‐level export growth rates, highlighting structural spatial patterns and the role of geographical diversification in mitigating export risks.

本文通过对交易层面数据的动态因素模型进行估计，分析了出口波动来源。利用 1993 年至 2017 年法国出口交易的详尽数据集，我们通过准极大似然法重建了与全球和特定目的地宏观经济冲击相关的潜在因素空间，这种方法可以同时适应高比例的缺失值和微观经济时间序列的高维性。然后，利用估算出的参数对总体和企业层面的出口增长率进行波动性分解，突出结构性空间模式和地理多样化在降低出口风险方面的作用。

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The Growth Effect of State Capacity Revisited 重新审视国家能力的增长效应

IF 2.5 3区经济学 Q2 ECONOMICS

Oxford Bulletin of Economics and Statistics

Pub Date : 2024-09-10 DOI: 10.1111/obes.12642

Trung V. Vu

I provide new empirical estimates of the effect of state capacity on economic development across countries over the period 1960–2022. Specifically, I construct a comprehensive state capacity index based on six different dimensions of effective state institutions available in the Varieties of Democracy (V‐Dem) dataset. Then, I estimate heterogeneous parameter models under a common factor framework. My empirical strategy explicitly allows the growth effect of state capacity to differ across countries and accounts for unobserved common factors. My preferred estimates indicate that a one‐standard‐deviation increase in my V‐Dem‐based state capacity index predicts a rise in income per person by roughly 6%–7%. The magnitude of such impact equates to less than half of that implied by conventional estimates obtained under highly restrictive assumptions of slope homogeneity and cross‐sectional independence. Furthermore, I provide partial evidence suggesting that worldwide heterogeneity in the economic importance of state capacity is deeply rooted in prehistorically determined population diversity, state history, long‐term relatedness between countries, and interpersonal trust.

我对 1960-2022 年间国家能力对各国经济发展的影响进行了新的实证估算。具体来说，我根据民主多样性（V-Dem）数据集提供的有效国家机构的六个不同维度，构建了一个全面的国家能力指数。然后，我在共同因素框架下估计异质性参数模型。我的实证策略明确允许国家能力的增长效应因国家而异，并考虑了未观察到的共同因素。我的首选估计结果表明，基于 V-Dem 的国家能力指数每增加一个标准差，人均收入就会增加约 6%-7%。这种影响的程度相当于在斜率同质性和横截面独立性的高度限制性假设下获得的传统估计值所隐含的影响程度的一半以下。此外，我还提供了部分证据，表明国家能力的经济重要性在世界范围内的异质性深深植根于历史之前决定的人口多样性、国家历史、国家之间的长期关联性以及人际信任。

引用次数: 0

Economic Growth Analysis When Balanced Growth Paths May Be Time Varying 平衡增长路径可能随时间变化时的经济增长分析

IF 2.5 3区经济学 Q2 ECONOMICS

Oxford Bulletin of Economics and Statistics

Pub Date : 2024-08-22 DOI: 10.1111/obes.12638

Andrew Mountford

The determinants of an economy's growth path for income per head may vary over time. In this paper, we apply unobserved components analysis to an otherwise standard panel model of economic growth dynamics so that an economy's long‐run relative income per head can change at any point of time. We apply this model to data for US states for 1929–2021 and the world economy for 1970–2019. In both datasets an economy's initial relative income per head is a good predictor of its long‐run relative income per head. Relatively poor economies on average remain relatively poor.

一个经济体人均收入增长路径的决定因素可能随时间而变化。在本文中，我们将非观测成分分析应用于经济增长动态的标准面板模型，从而使一个经济体的长期人均相对收入可以在任何时间点发生变化。我们将该模型应用于 1929-2021 年美国各州的数据和 1970-2019 年世界经济的数据。在这两个数据集中，一个经济体的初始人均相对收入可以很好地预测其长期人均相对收入。相对贫穷的经济体平均而言仍然相对贫穷。

引用次数: 0

Can Preferences for Redistribution Explain the Impact of Austerity on Political Participation? Evidence from the UK 再分配偏好能否解释紧缩政策对政治参与的影响？来自英国的证据

IF 2.5 3区经济学 Q2 ECONOMICS

Oxford Bulletin of Economics and Statistics

Pub Date : 2024-08-17 DOI: 10.1111/obes.12640

Patricia Justino, Bruno Martorano, Laura Metzger

Many European countries introduced austerity policies to control rising debt in the wake of the Great Recession of the late 2000s. Recent research suggests that austerity fuelled political polarization, instability, and populism in Europe. However, the motives behind citizens' responses to austerity are not well understood. Using the case of the UK, we study whether preferences for redistribution drive the effect of austerity on political participation in the form of voting, appealing for reform with the government, and protesting. Based on experimental and observational data, we show that individual exposure to austerity increases voting and appealing for reform with the government but not protesting, and changes people's preferences for redistribution. The experimental data show that being exposed to austerity is associated with a 0.128 and a 0.096 unit increase in voting and appealing for reform, respectively. The data also show that exposure to austerity increases preferences for taxing higher incomes and spending more on welfare and social security. This change in preferences explains between 8% and 11% of the effect of exposure to austerity on political participation.

在 2000 年代末的大衰退之后，许多欧洲国家出台了紧缩政策，以控制债务的增加。最近的研究表明，紧缩政策助长了欧洲的政治两极分化、不稳定和民粹主义。然而，人们对公民应对紧缩政策的动机还不甚了解。我们以英国为例，研究重新分配的偏好是否会推动紧缩政策对投票、呼吁政府改革和抗议等形式的政治参与产生影响。基于实验数据和观察数据，我们发现个人受到紧缩政策的影响会增加投票和向政府呼吁改革的次数，但不会增加抗议次数，而且会改变人们对再分配的偏好。实验数据显示，受到紧缩政策的影响会使投票率和改革呼吁率分别增加 0.128 和 0.096 个单位。数据还显示，紧缩政策会增加对高收入征税以及增加福利和社会保障支出的偏好。这种偏好的变化解释了紧缩政策对政治参与影响的 8%到 11%。

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引用次数: 0

The Implications of Routine‐Biased Technological Change on Hours Worked Fluctuations* 偏重常规的技术变革对工时波动的影响*

IF 2.5 3区经济学 Q2 ECONOMICS

Oxford Bulletin of Economics and Statistics

Pub Date : 2024-08-16 DOI: 10.1111/obes.12637

Sébastien Bock, Idriss Fontaine

Technological change has been biased towards replacing routine labour over the past four decades. We study the implications of those shifts in the task composition of labour demand on hours worked fluctuations. We build quarterly time series on hours worked and task premiums from the CPS and assess the effects of routine‐biased technological change by estimating a VAR model with long‐run exclusion and sign restrictions. The results indicate that the decline in total hours worked is driven by routine‐biased technology shocks through a decline in routine hours. These shocks generate recognizable aggregate fluctuations pointing out to their potential relevance for business cycles.

过去四十年来，技术变革一直偏向于替代常规劳动。我们研究了劳动力需求的任务构成变化对工作时间波动的影响。我们从 CPS 中建立了工作时数和任务溢价的季度时间序列，并通过估计带有长期排除和符号限制的 VAR 模型来评估常规偏向技术变革的影响。结果表明，总工时的下降是由常规技术冲击通过常规工时的下降驱动的。这些冲击产生了可识别的总体波动，显示出它们与商业周期的潜在相关性。

引用次数: 0

Bayesian Estimation of Fixed Effects Models with Large Datasets* 大型数据集固定效应模型的贝叶斯估计*

IF 2.5 3区经济学 Q2 ECONOMICS

Oxford Bulletin of Economics and Statistics

Pub Date : 2024-08-14 DOI: 10.1111/obes.12641

Hang Qian

In hierarchical prior longitudinal models, random effects are estimated by the Gibbs sampler. We show that fixed effects can be handled by a similar Gibbs sampler under a diffuse prior on the unobserved heterogeneity. The dummy variable approach for fixed effects is computationally intensive and has the out‐of‐memory risk, while the Gibbs sampler can reproduce the dummy variable estimator without creating dummy variables, and therefore avoids the memory burden. Compared to alternating projections and other classical approaches, our method simplifies both inference and estimation of the limited dependent variable models with fixed effects. The proposed method is applied to a real‐world mortgage dataset for classification with three‐way fixed effects on banks, regions, and loan purposes.

在分层先验纵向模型中，随机效应由吉布斯采样器估算。我们的研究表明，在未观察异质性的扩散先验条件下，固定效应也可以用类似的吉布斯采样器来处理。固定效应的虚拟变量方法计算量大，且有失忆风险，而吉布斯采样器可以在不创建虚拟变量的情况下重现虚拟变量估计，从而避免了失忆负担。与交替预测和其他经典方法相比，我们的方法简化了具有固定效应的有限因变量模型的推断和估计。我们将所提出的方法应用于现实世界的抵押贷款数据集，对银行、地区和贷款用途三方面的固定效应进行分类。

引用次数: 0

Monetary Policy Effectiveness under the Ultra‐Low Interest Rate Environment: Evidence from Yield Curve Dynamics in Japan 超低利率环境下的货币政策有效性：来自日本收益率曲线动态的证据

IF 2.5 3区经济学 Q2 ECONOMICS

Oxford Bulletin of Economics and Statistics

Pub Date : 2024-08-07 DOI: 10.1111/obes.12635

Shigenori Shiratsuka

I examine the effectiveness of monetary policy under the ultra‐low interest rate environment in Japan through the lens of yield curve dynamics. To that end, I employ the dynamic Nelson–Siegel model with time‐varying parameters, thereby computing indicators for tracing monetary easing effects. I show that the estimation performance of the yield curve models is sufficiently improved even under the ultra‐low interest rate environment by extending the dynamic Nelson–Siegel model to allow a loading parameter to vary over time, in addition to three factors of yield curve dynamics: level, slope, and curvature. However, I also demonstrate that the identification of the level and loading parameters is critical in assessing monetary policy effects. I reveal that monetary easing effects under the Quantitative and Qualitative Monetary Easing (QQE) are produced by flattening the yield curve in the ultra‐long‐term maturity zone over 10 years, while monetary easing effects from maturities shorter than ten years remain almost unchanged. Monetary policy fails to produce sufficient monetary easing effects within the time frame of the standard macroeconomic stabilization policy, even with the full‐fledged implementation of unconventional monetary policy measures under the ultra‐low interest rate environment in Japan.

我从收益率曲线动态的角度研究了日本超低利率环境下货币政策的有效性。为此，我采用了参数时变的动态 Nelson-Siegel 模型，从而计算出追踪货币宽松效果的指标。我的研究表明，通过扩展动态尼尔森-西格尔模型，除了收益率曲线动态的三个因素：水平、斜率和曲率外，还允许负载参数随时间变化，即使在超低利率环境下，收益率曲线模型的估计性能也能得到充分改善。不过，我也证明了水平参数和负载参数的识别对于评估货币政策效果至关重要。我揭示了定量和定性货币宽松政策（QQE）下的货币宽松效应是通过拉平 10 年以上超长期期限区的收益率曲线产生的，而 10 年以下期限的货币宽松效应几乎没有变化。即使在日本超低利率环境下全面实施非常规货币政策措施，货币政策也无法在标准宏观经济稳定政策的时间框架内产生足够的货币宽松效果。

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引用次数: 0

The Real Effects of Credit Supply Shocks: Evidence from an Emerging Economy 信贷供应冲击的实际影响：新兴经济体的证据

IF 2.5 3区经济学 Q2 ECONOMICS

Oxford Bulletin of Economics and Statistics

Pub Date : 2024-07-24 DOI: 10.1111/obes.12634

Aleksei Kiselev, Daria Kolesnik, Mikhail Mamonov, Anna Pestova

What role do credit supply shocks (CSS) play in macroeconomic dynamics in emerging economies? We exploit Russia's setting, including the 2014 Western sanctions, and show that a negative CSS normalized to 0.5 p.p. increase in the lending rate leads to a decrease of 2 p.p. in the output growth rate, 1.5 p.p. in the consumption growth rate and 5 p.p. in the investment growth rate within a quarter. The heterogeneity of the household and firm responses to CSS is driven by debt‐to‐income and leverage ratios, with indebted poorer households and larger firms being more sensitive to fluctuations in credit conditions.

信贷供应冲击（CSS）在新兴经济体的宏观经济动态中扮演什么角色？我们利用俄罗斯的背景（包括 2014 年的西方制裁），研究表明，贷款利率正常化为 0.5 个百分点的负 CSS 会在一个季度内导致产出增长率下降 2 个百分点，消费增长率下降 1.5 个百分点，投资增长率下降 5 个百分点。家庭和企业对 CSS 的反应的异质性受债务收入比和杠杆比率的影响，负债较多的贫困家庭和规模较大的企业对信贷条件的波动更为敏感。

引用次数: 0

The Impact of Firm Technology on Carbon Disclosure: The Critical Role of Stakeholder Pressure 企业技术对碳信息披露的影响：利益相关者压力的关键作用

IF 1.5 3区经济学 Q2 ECONOMICS

Oxford Bulletin of Economics and Statistics

Pub Date : 2024-07-16 DOI: 10.1111/obes.12633

Morakinyo O. Adetutu, Kayode A. Odusanya, Eleni Stathopoulou, Thomas G. Weyman-Jones

The demand for transparency about the microeconomic sources of environmental pollution has surged recently, causing carbon disclosure to rise to the top of the global climate change discourse. In this study, we empirically investigate how the environmental performance of firm production technologies shapes their voluntary carbon disclosure behaviour and how key stakeholders influence the performance-disclosure relationship. Using a panel of 1,547 firms across 24 countries covering 2006–20, we find that firms with the most efficient technologies for reducing emissions tend to disclose their carbon impact, especially when they face more stringent environmental regulations. These high-performing firms demonstrate a tendency for non-disclosure when faced with intense shareholder and environmental activist pushback against pollution. Our findings also highlight the existence of a profitability penalty for transparent high-efficiency firms relative to comparable firms that adopt strategic silence.

近来，人们对环境污染的微观经济来源的透明度要求急剧上升，导致碳信息披露成为全球气候变化讨论的热点。在本研究中，我们通过实证研究探讨了企业生产技术的环境绩效如何影响其自愿碳披露行为，以及主要利益相关者如何影响绩效与披露之间的关系。通过对 2006-20 年间 24 个国家 1547 家企业的面板研究，我们发现，拥有最高效减排技术的企业倾向于披露其碳影响，尤其是在面临更严格的环境法规时。当面临股东和环保活动家对污染的强烈反对时，这些表现优异的公司则表现出不披露的倾向。我们的研究结果还强调，相对于采取战略沉默的同类公司，透明的高效率公司存在盈利惩罚。

引用次数: 0

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