The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore最新文献
F. Larosa, Nadia Ameli, Jamie Rickman, Sumit Kothari
The financial system is a key tool to enable the shift towards a climate-smart economy: by reallocating capital to low-carbon assets, it internalizes the climate externality. However, the financial sector operates as an ecosystem of evolving agents continuously shaping the outcomes they jointly generate. Hence, the consequences of global warming and the climate impacts are potentially amplified by the micro and meso dynamics of agents interacting with each other and with technologies and institutions in the space they operate. In this working paper, we present a concise but exhaustive review about complex networks models and methods applied to climate finance. We show where networks can overcome the limitations of standard economic models in both macroprudential regulation and capital allocation. We present the main challenges ahead and we discuss the importance of a renewed research-policy dialogue to advance the discipline.
{"title":"Beyond standard economic approaches: complex networks in climate finance","authors":"F. Larosa, Nadia Ameli, Jamie Rickman, Sumit Kothari","doi":"10.2139/ssrn.3873739","DOIUrl":"https://doi.org/10.2139/ssrn.3873739","url":null,"abstract":"The financial system is a key tool to enable the shift towards a climate-smart economy: by reallocating capital to low-carbon assets, it internalizes the climate externality. However, the financial sector operates as an ecosystem of evolving agents continuously shaping the outcomes they jointly generate. Hence, the consequences of global warming and the climate impacts are potentially amplified by the micro and meso dynamics of agents interacting with each other and with technologies and institutions in the space they operate. In this working paper, we present a concise but exhaustive review about complex networks models and methods applied to climate finance. We show where networks can overcome the limitations of standard economic models in both macroprudential regulation and capital allocation. We present the main challenges ahead and we discuss the importance of a renewed research-policy dialogue to advance the discipline.","PeriodicalId":85755,"journal":{"name":"The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore","volume":"71 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79574802","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}
This paper presents a simulation exercise undertaken with a newly available regional general equilibrium model for the Spanish region of Andalusia. The exercise is intended to assess the structural adjustment processes and impacts on the Andalusian economy directly induced by the dramatic fall in tourism expenditure which occurred in the year 2020, due to the prevention measures implemented because of the COVID-19 pandemic. We also undertake a preliminary evaluation of the impact on some environmental indicators, such as greenhouse gases emissions and air pollutants. The key insight emerging from our analysis is that the COVID crumbling of tourism demand generates very relevant distributional consequences.
{"title":"The COVID Crumbling of Tourism in Andalusia: An Assessment of Economic and Environmental Consequences","authors":"R. Roson, Camille van der Vorst","doi":"10.2139/ssrn.3859133","DOIUrl":"https://doi.org/10.2139/ssrn.3859133","url":null,"abstract":"This paper presents a simulation exercise undertaken with a newly available regional general equilibrium model for the Spanish region of Andalusia. The exercise is intended to assess the structural adjustment processes and impacts on the Andalusian economy directly induced by the dramatic fall in tourism expenditure which occurred in the year 2020, due to the prevention measures implemented because of the COVID-19 pandemic. We also undertake a preliminary evaluation of the impact on some environmental indicators, such as greenhouse gases emissions and air pollutants. The key insight emerging from our analysis is that the COVID crumbling of tourism demand generates very relevant distributional consequences.","PeriodicalId":85755,"journal":{"name":"The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore","volume":"62 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85172497","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}
This paper describes regional touristic supply under the framework of territorial capital to understand which territorial assets are the most important for stimulating economic growth. We used spatial regression models to consider spatial dependencies among regions, and Bayesian Model Averaging to specify our models using only the most relevant territorial assets. We have focused on the Mediterranean coast. The results show that many of the variables considered in our models play an important role in predicting GDP, recognizing them as strategic in economic growth, as well as a variety of strictly tourist assets, such as cultural heritage and landscape.
{"title":"Tourism and economic growth: an application to coastal regions in the Mediterranean area","authors":"Nicola Camatti, L. Salmasi, Jan van der Borg","doi":"10.2139/ssrn.3841951","DOIUrl":"https://doi.org/10.2139/ssrn.3841951","url":null,"abstract":"This paper describes regional touristic supply under the framework of territorial capital to understand which territorial assets are the most important for stimulating economic growth. We used spatial regression models to consider spatial dependencies among regions, and Bayesian Model Averaging to specify our models using only the most relevant territorial assets. We have focused on the Mediterranean coast. The results show that many of the variables considered in our models play an important role in predicting GDP, recognizing them as strategic in economic growth, as well as a variety of strictly tourist assets, such as cultural heritage and landscape.","PeriodicalId":85755,"journal":{"name":"The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore","volume":"217 5131 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83532413","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}
This paper focuses on the changes in care provision at the time of the COVID-19 outbreak by exploiting variation in lockdown policies across Europe. We use the SHARE-COVID-19 survey, which involves about 50000 respondents of age 50 and over in 26 countries, to investigate how the stringency of the policy measures have affected care provision. Our study is based on the linkage of the SHARE-COVID-19 data with an individual specific “stringency index” which measures the intensity of the restriction policies and the degree of individual’s exposure. We find that older individuals, low-income individuals and people affected by limitations in everyday life faced a higher probability of receiving help because of the lockdown policies. Women and people in the age group 50-65 were more likely to provide help/care, but we also uncover a complex interaction with the labour market condition of caregivers. Lockdown policies hit hard individuals who were already receiving care as they experienced a form of rationing, both due to higher financial costs and travelling restrictions. Since these individuals are already among the most fragile.
{"title":"Care Provision at the Time of the Covid-19: Who Suffers Most?","authors":"E. Bassoli, A. Brugiavini, Irene Ferrari","doi":"10.2139/ssrn.3807762","DOIUrl":"https://doi.org/10.2139/ssrn.3807762","url":null,"abstract":"This paper focuses on the changes in care provision at the time of the COVID-19 outbreak by exploiting variation in lockdown policies across Europe. We use the SHARE-COVID-19 survey, which involves about 50000 respondents of age 50 and over in 26 countries, to investigate how the stringency of the policy measures have affected care provision. Our study is based on the linkage of the SHARE-COVID-19 data with an individual specific “stringency index” which measures the intensity of the restriction policies and the degree of individual’s exposure. We find that older individuals, low-income individuals and people affected by limitations in everyday life faced a higher probability of receiving help because of the lockdown policies. Women and people in the age group 50-65 were more likely to provide help/care, but we also uncover a complex interaction with the labour market condition of caregivers. Lockdown policies hit hard individuals who were already receiving care as they experienced a form of rationing, both due to higher financial costs and travelling restrictions. Since these individuals are already among the most fragile.","PeriodicalId":85755,"journal":{"name":"The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore","volume":"129 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87583861","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}
The aim of this paper is to analyze how the heterogeneous structure of the European regions has affected their patterns of convergence or divergence. We analyse data collected by Eurostat, from a balanced panel of 191 regions and 55 economic branches over the period 2003–2015. In this way, we are able to describe and capture technological proximity across the regions and analyse how it has evolved over space and time. Limiting the analysis to the manufacturing activities, we are also able to measure the degree of economic complexity of the regional production systems and assess how this affects their patterns of growth.
{"title":"Relatedness, Economic Complexity, and Convergence Across European Regions","authors":"T. Buccellato, Giancarlo Corò","doi":"10.2139/ssrn.3395199","DOIUrl":"https://doi.org/10.2139/ssrn.3395199","url":null,"abstract":"The aim of this paper is to analyze how the heterogeneous structure of the European regions has affected their patterns of convergence or divergence. We analyse data collected by Eurostat, from a balanced panel of 191 regions and 55 economic branches over the period 2003–2015. In this way, we are able to describe and capture technological proximity across the regions and analyse how it has evolved over space and time. Limiting the analysis to the manufacturing activities, we are also able to measure the degree of economic complexity of the regional production systems and assess how this affects their patterns of growth.","PeriodicalId":85755,"journal":{"name":"The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore","volume":"11 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77119406","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}
The condition of Risk Aversion implies that the Utility Function must be concave. We take into account the dependence of the Utility Function on the return that has any type of two-parameter distribution; it is possible to define Risk and Target, the former may be the Standard Deviation of the return, and the latter is usually the Expected value of the return, as a generic function of these two parameters. Considering the 3D space of Risk, Target and Expected Utility, this paper determines the Differential Conditions for these three functions so that the Expected Utility Function depends decreasingly on Risk and increasingly on Target, that means the iso-utility curves have positive slope in the plane of Risk and Target. As a specific case, we discuss these conditions in the case of the CRRA Utility Function and the Truncated Normal distribution. Furthermore, different measures of Risk are chosen, such as Value at Risk (VaR) and Expected Shortfall (ES), to verify if these measures maintain a positive slope of the iso-utility curves in the Risk-Target plane.
{"title":"Risk Aversion: Differential Conditions for the Iso-Utility Curves with Positive Slope in Transformed Two Parameter Distributions","authors":"Fausto Corradin, D. Sartore","doi":"10.2139/ssrn.3290445","DOIUrl":"https://doi.org/10.2139/ssrn.3290445","url":null,"abstract":"The condition of Risk Aversion implies that the Utility Function must be concave. We take into account the dependence of the Utility Function on the return that has any type of two-parameter distribution; it is possible to define Risk and Target, the former may be the Standard Deviation of the return, and the latter is usually the Expected value of the return, as a generic function of these two parameters. Considering the 3D space of Risk, Target and Expected Utility, this paper determines the Differential Conditions for these three functions so that the Expected Utility Function depends decreasingly on Risk and increasingly on Target, that means the iso-utility curves have positive slope in the plane of Risk and Target. As a specific case, we discuss these conditions in the case of the CRRA Utility Function and the Truncated Normal distribution. Furthermore, different measures of Risk are chosen, such as Value at Risk (VaR) and Expected Shortfall (ES), to verify if these measures maintain a positive slope of the iso-utility curves in the Risk-Target plane.","PeriodicalId":85755,"journal":{"name":"The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore","volume":"16 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-11-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85326547","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}
I study a merger between producers of complement inputs facing entry of superior inputs, with investment by the incumbents in deterministic cost reduction and by the entrants in probabilistic innovation, and competition in prices. The merger is profitable by solving Cournot complementarity problems in investment and pricing, and has positive (negative) effects on R&D by the incumbents (entrants). With inelastic demand the merger harms consumers if the incumbents are efficient enough even without bundling, and always when a commitment to bundling is adopted. Instead, with a demand elastic enough, the merger increases consumer surplus even when a commitment to pure bundling is feasible.
{"title":"Conglomerate Mergers and Entry in Innovative Industries","authors":"Federico Etro","doi":"10.2139/ssrn.3219722","DOIUrl":"https://doi.org/10.2139/ssrn.3219722","url":null,"abstract":"I study a merger between producers of complement inputs facing entry of superior inputs, with investment by the incumbents in deterministic cost reduction and by the entrants in probabilistic innovation, and competition in prices. The merger is profitable by solving Cournot complementarity problems in investment and pricing, and has positive (negative) effects on R&D by the incumbents (entrants). With inelastic demand the merger harms consumers if the incumbents are efficient enough even without bundling, and always when a commitment to bundling is adopted. Instead, with a demand elastic enough, the merger increases consumer surplus even when a commitment to pure bundling is feasible.","PeriodicalId":85755,"journal":{"name":"The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore","volume":"4 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84062431","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}
We motivate and detail the new GTAP-based recursive dynamic economic model (G-RDEM), a computable general equilibrium tool for long-term counterfactual analysis and baseline generation from given gross domestic product (GDP) and population projections. It encompasses an implicitly directly additive demand system (AIDADS) demand system with non-linear Engel curves, debt accumulation from foreign saving and introduces sector specific productivity changes, endogenous aggregate saving rates, as well as time-varying cost shares for value added and individual intermediates. Parameters for these relationships are econometrically estimated or taken from published work. The core of the model is derived from the Global Trade Anaylsis Project (GTAP) standard model and seamlessly incorporated into the modular and flexible CGEBox modelling platform, allowing for combined applications with various other extensions, such as GTAP-agro-ecological zones (AEZ) or GTAP-Water. G-RDEM maintains the flexible aggregation from the GTAP Data Base. It is open source, encoded in General Algebraic Modelling System (GAMS) and can be steered by a Graphical User Interface, which also encompasses a tool to analyse results with tables, graphs and maps. Existing GDP and population projections from the Socio-Economic Pathways (SSP) 1-5 can be directly incorporated for baseline construction. A comparison of the generated long-term structural composition of the economy against a simple recursive-dynamic variant, derived from the standard GTAP model, shows that G-RDEM brings about much more plausible results, as well as a more realistic, internally consistent representation of the economic structure in a hypothetical future.
{"title":"G-RDEM: A GTAP-Based Recursive Dynamic CGE Model for Long-Term Baseline Generation and Analysis","authors":"W. Britz, R. Roson","doi":"10.2139/ssrn.3167781","DOIUrl":"https://doi.org/10.2139/ssrn.3167781","url":null,"abstract":"We motivate and detail the new GTAP-based recursive dynamic economic model (G-RDEM), a computable general equilibrium tool for long-term counterfactual analysis and baseline generation from given gross domestic product (GDP) and population projections. It encompasses an implicitly directly additive demand system (AIDADS) demand system with non-linear Engel curves, debt accumulation from foreign saving and introduces sector specific productivity changes, endogenous aggregate saving rates, as well as time-varying cost shares for value added and individual intermediates. Parameters for these relationships are econometrically estimated or taken from published work. The core of the model is derived from the Global Trade Anaylsis Project (GTAP) standard model and seamlessly incorporated into the modular and flexible CGEBox modelling platform, allowing for combined applications with various other extensions, such as GTAP-agro-ecological zones (AEZ) or GTAP-Water. G-RDEM maintains the flexible aggregation from the GTAP Data Base. It is open source, encoded in General Algebraic Modelling System (GAMS) and can be steered by a Graphical User Interface, which also encompasses a tool to analyse results with tables, graphs and maps. Existing GDP and population projections from the Socio-Economic Pathways (SSP) 1-5 can be directly incorporated for baseline construction. A comparison of the generated long-term structural composition of the economy against a simple recursive-dynamic variant, derived from the standard GTAP model, shows that G-RDEM brings about much more plausible results, as well as a more realistic, internally consistent representation of the economic structure in a hypothetical future.","PeriodicalId":85755,"journal":{"name":"The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore","volume":"5 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89295922","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}
We present a common-source infection model for explaining the formation of expectations by households. Starting from the framework of "Macroeconomic expectations of household and professional forecasters" (C.D. Carroll, The Quarterly Journal of Economics, 2003), we augment the original model assuming that also uninformed individuals are able to update expectations according to a naive econometric process. In this novel framework, a key role is played by the parameter measuring the probability of being informed: the dynamics of this factor over time capture the level of uncertainty perceived by households. This new framework is applied to study unemployment expectations for a selected group of European countries (France, Germany, Italy and the UK). Our results show that: (i) the novel framework is supported by data on unemployment expectations; and (ii) the probability of being informed is (negatively) correlated with the level of uncertainty spread by newspapers and conveyed by Internet.
我们提出了一个共同源感染模型来解释家庭期望的形成。从“家庭和专业预测者的宏观经济预期”(C.D. Carroll, the Quarterly Journal of Economics, 2003)的框架出发，我们扩大了原始模型，假设不知情的个人也能够根据幼稚的计量经济学过程更新预期。在这个新颖的框架中，衡量被告知概率的参数发挥了关键作用:该因素随时间的动态变化反映了家庭所感知的不确定性水平。这个新框架被用于研究选定的一组欧洲国家(法国、德国、意大利和英国)的失业预期。研究结果表明:(1)新框架得到了失业预期数据的支持;(ii)被告知的概率与报纸传播和互联网传达的不确定性水平呈(负)相关。
{"title":"Expectations and Uncertainty: A Common-Source Infection Model for Selected European Countries","authors":"Luca Gerotto, A. Paradiso","doi":"10.2139/ssrn.3085835","DOIUrl":"https://doi.org/10.2139/ssrn.3085835","url":null,"abstract":"We present a common-source infection model for explaining the formation of expectations by households. Starting from the framework of \"Macroeconomic expectations of household and professional forecasters\" (C.D. Carroll, The Quarterly Journal of Economics, 2003), we augment the original model assuming that also uninformed individuals are able to update expectations according to a naive econometric process. In this novel framework, a key role is played by the parameter measuring the probability of being informed: the dynamics of this factor over time capture the level of uncertainty perceived by households. This new framework is applied to study unemployment expectations for a selected group of European countries (France, Germany, Italy and the UK). Our results show that: (i) the novel framework is supported by data on unemployment expectations; and (ii) the probability of being informed is (negatively) correlated with the level of uncertainty spread by newspapers and conveyed by Internet.","PeriodicalId":85755,"journal":{"name":"The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore","volume":"144 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2017-12-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77474305","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}
We adopt the Dynamical Influence model from computer science and transform it to study the interaction between business and financial cycles. For this purpose, we merge it with Markov-Switching Dynamic Factor Model (MS-DFM) which is frequently used in economic cycle analysis. The model suggested in this paper, the Dynamical Influence Markov-Switching Dynamic Factor Model (DI-MS-FM), allows to reveal the pattern of interaction between business and financial cycles in addition to their individual characteristics. More specifically, this model allows to describe quantitatively the existing regimes of interaction in a given economy and to identify their timing, as well as to evaluate the effect of the government policy on the duration of each of the regimes. We are also able to determine the direction of causality between the two cycles for each of the regimes. The model estimated on the US data demonstrates reasonable results, identifying the periods of higher interaction between the cycles in the beginning of 1980s and during the Great Recession, while in-between the cycles evolve almost independently. The output of the model can be useful for policymakers since it provides a timely estimate of the current interaction regime, which allows to adjust the timing and the composition of the policy mix.
{"title":"Dynamical Interaction between Financial and Business Cycles","authors":"Monica Billio, Anna V. Petronevich","doi":"10.2139/ssrn.3054438","DOIUrl":"https://doi.org/10.2139/ssrn.3054438","url":null,"abstract":"We adopt the Dynamical Influence model from computer science and transform it to study the interaction between business and financial cycles. For this purpose, we merge it with Markov-Switching Dynamic Factor Model (MS-DFM) which is frequently used in economic cycle analysis. The model suggested in this paper, the Dynamical Influence Markov-Switching Dynamic Factor Model (DI-MS-FM), allows to reveal the pattern of interaction between business and financial cycles in addition to their individual characteristics. More specifically, this model allows to describe quantitatively the existing regimes of interaction in a given economy and to identify their timing, as well as to evaluate the effect of the government policy on the duration of each of the regimes. We are also able to determine the direction of causality between the two cycles for each of the regimes. The model estimated on the US data demonstrates reasonable results, identifying the periods of higher interaction between the cycles in the beginning of 1980s and during the Great Recession, while in-between the cycles evolve almost independently. The output of the model can be useful for policymakers since it provides a timely estimate of the current interaction regime, which allows to adjust the timing and the composition of the policy mix.","PeriodicalId":85755,"journal":{"name":"The Malayan economic review : the journal of the Economic Society of Singapore, the Department of Economics and Statistics and the Economic Research Centre of the University of Singapore","volume":"12 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2017-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77740596","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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