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on Macroeconomics |
| By: | Barry Eichengreen (University of California, Berkeley); Poonam Gupta (National Council of Applied Economic Research, Delhi) |
| Abstract: | We assess India’s inflation-targeting regime at the eight-year mark. The Reserve Bank of India continues to be a flexible inflation targeter: it responds to both the output gap and inflation when setting policy rates. It has become neither more hawkish nor more reactive with the transition to inflation-targeting. Evidence points to improved outcomes: inflation is lower and less volatile; inflation expectations are better anchored; and the transmission of monetary policy is more effective. Given this record, radical changes such as broadening the RBI’s monetary mandate, abandoning the target in favor of a more discretionary regime, targeting core instead of headline inflation, or altering the target and tolerance band would be risky and counterproductive. One obvious area for improvement entails updating the weight of food prices in the CPI basket. We estimate the correct weight of food at today’s per capita income to be closer to 40 percent instead of the current 45.8 percent. This would likely fall further to around 30 percent in a decade from now due to the projected increase in per capita incomes. This correction should ameliorate concerns about the design and practice of the current inflation targeting regime. |
| Keywords: | Inflation Targeting, Monetary Policy, India |
| JEL: | E5 E52 |
| Date: | 2024–05–24 |
| URL: | https://d.repec.org/n?u=RePEc:nca:ncaerw:174 |
| By: | Lydia Cox; Jiacheng Feng; Gernot Müller; Ernesto Pastén; Raphael Schoenle; Michael Weber |
| Abstract: | The jointly optimal monetary and fiscal policy mix in a multi-sector New Keynesian model with sectoral government spending and productivity shocks entails a separation of roles: Sectoral government spending optimally adjusts to sectoral output gaps and inflation rates---a policy supported by evidence from sectoral federal procurement data. Monetary policy optimally focuses on aggregate stabilization, but deviates from a zero-inflation target; in a model calibration to the U.S., however, it effectively approximates a zero-inflation target. Because monetary policy is a blunt instrument and government spending trades off stabilization against the optimal-level public good provision, the first best is not achieved. |
| JEL: | E32 E62 |
| Date: | 2024–09 |
| URL: | https://d.repec.org/n?u=RePEc:nbr:nberwo:32914 |
| By: | Shalini Mitra; Gareth Liu-Evans |
| Abstract: | This paper investigates the role of an intangible investment technology shock in driving and propagating business cycles. In a dynamic general equilibrium framework with borrowing constrained entrepreneurs, we show that consumption smoothing by entrepreneurs, which is associated with reallocation of physical investment and hours from final goods to intangible investment, is the key mechanism through which aggregate co-movement arises in the model. The reallocation channel is especially strong in the presence of binding financial constraints. We use firm level intangible capital estimates to discipline the model and show that the entrepreneur’s degree of risk aversion, which determines their preference for consumption smoothing given their constant relative risk aversion (CRRA) utility, plays a key role in quantitatively generating the observed joint aggregate business cycle dynamics of output, consumption, investment and hours. For instance, entrepreneurs can display too little or too much risk aversion, in which case aggregate comovement is negated. |
| Keywords: | Intangible investment shock, reallocation, intangible capital, business cycles, aggregate comovement |
| JEL: | E13 E22 E32 O33 |
| Date: | 2024–09–24 |
| URL: | https://d.repec.org/n?u=RePEc:liv:livedp:202414 |
| By: | Fernando, Gonzalez Laxe; José Francisco, Armesto Pina; Patricio Sanchez, Sanchez Fernandez |
| Abstract: | In today's world, geopolitics is leading the decisions, generating opportunities in a more inclusive globalization for many countries, while at the same time giving rise to a more fragmented economy, with fewer common rules of the game. Therefore, we are witnessing a series of overlapping crises or simultaneous crises, in which issues as disparate as tariff increases on numerous products from all corners of the world; problems arising from the supply of raw materials and food products; the effects of the emergence of artificial intelligence; China's maritime expansion; or the repercussions generated by migratory movements are intertwined. |
| Keywords: | National Accountability, Ukrania, China, international trade. |
| JEL: | E01 E02 H00 J08 |
| Date: | 2024–09–01 |
| URL: | https://d.repec.org/n?u=RePEc:pra:mprapa:122150 |
| By: | Ozili, Peterson K |
| Abstract: | This study examines the effect of foreign direct investment (FDI) inflows on economic growth in Nigeria from 2010 to 2019. Using the ordinary least square regression methodology, the findings reveal that foreign direct investment inflows do not have a significant effect on economic growth in Nigeria. The result holds when different measures of economic growth and different measures of foreign direct investment inflows are employed. Meanwhile, population size, real interest rate, domestic private credit and the inflation rate are significant determinants of economic growth in Nigeria while gross capital formation is an insignificant determinant of economic growth in Nigeria. The implication of the findings is that policy makers in Nigeria should focus on other drivers of economic growth other than foreign direct investment inflows when developing policy initiatives to stimulate economic growth in Nigeria. |
| Keywords: | Nigeria, foreign direct investment, economic growth, gross capital formation, GDP, inflation, domestic private credit, population, interest rate, GDP growth |
| JEL: | F13 F18 F31 F38 O47 |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:pra:mprapa:122167 |
| By: | Lara Coulier; Alessio Reghezza |
| Abstract: | We match granular supervisory and credit register data to assess the implications of banks' exposure to interest rate risk on the monetary policy transmission to bank lending supply in the euro area. We exploit the largest and swiftest increase in interest rates since the creation of the euro and find that banks with a higher exposure to interest rate risk, i.e., with a larger duration gap after accounting for hedging, curtailed corporate lending more than their peers. Ceteris paribus, greater interest rate risk entails closer supervisory scrutiny and potential capital surcharges in the short term, and lower expected profitability and capital accumulation in the medium to long term. We then proceed to dissect banks' credit allocation and find that banks with higher net duration reshuffled their loan portfolio away from long-term loans in an attempt to limit the increase in interest rate risk and targeted their lending contraction to small and micro firms. Firms exposed to banks with a larger exposure to interest rate risk were unable to fully rebalance their borrowing needs with other lenders, thus experiencing a relatively larger decrease in total borrowing during the monetary tightening episode. |
| Keywords: | interest rate risk, duration gap, bank lending channel, financial stability |
| JEL: | E51 E52 G21 |
| Date: | 2024–08 |
| URL: | https://d.repec.org/n?u=RePEc:bis:biswps:1202 |
| By: | Bill Martin |
| Abstract: | Ten years ago, Britain’s main statistics agency revised the figures describing the history of the nation’s capital investment with results that, before 1997 and for many decades after the second world war, lack a coherent rationale and look wrong. The impact is still embedded in today’s official national accounts. The effects of the revision can be seen, for example, in an implausible uplift to Britain’s investment and growth record in the 1950s, the shifted scale and timing of the Barber Boom and Bust in the first half of the 1970s and in the improbable erasure of the post-war, thirty-year decline in company profit share. A deep investigation of the official figures is attempted and estimates made, but the task is hampered by incomplete documentation. It is regrettable that the Office for National Statistics decided some time ago not to correct the suspect capital investment figures. Those wishing to draw lessons from Britain’s economic past are advised not to rely on the ‘historic’ national accounts. |
| Keywords: | National accounts, capital investment, UK post-war economic history, R&D |
| JEL: | C82 E01 N1 |
| Date: | 2024–09 |
| URL: | https://d.repec.org/n?u=RePEc:cbr:cbrwps:wp541 |
| By: | Alam, Mahim; Kabir, Janesar; Rajia, Sultana; Sen, Topon |
| Abstract: | This paper conducts an in-depth analysis of the various economic and social determinants that have shaped Bangladesh's developmental journey. It traces the country's evolution, from its pre-independence struggles to its post-independence recovery, resilience, and eventual emergence as a development success story. The study investigates Bangladesh’s transformation from a war-torn, least-developed country into a rapidly growing middle-income economy, emphasizing key elements such as the macroeconomic policy framework, trade and investment environment, agricultural technology adoption, and remittance inflows. The paper also examines demographic shifts, education, healthcare, gender dynamics, and urbanization's effects on social transformation. Additionally, the study highlights ongoing challenges, including poverty, inequality, environmental sustainability, and governance, alongside the need for technological innovation. Through this comprehensive exploration, the paper aims to identify the policies that facilitated Bangladesh's past growth and those necessary to sustain and enhance future progress. |
| Keywords: | Bangladesh; History; Growth; Social Progress |
| JEL: | A1 A14 A2 B0 E0 E3 F1 F2 N1 |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:pra:mprapa:121999 |
| By: | Strezhnev, Anton |
| Abstract: | Differences-in-differences designs for estimating causal effects rely on an assumption of ``parallel trends" -- that in the absence of the intervention, treated units would have followed the same outcome trajectory as observed in control units. When parallel trends fails, researchers often turn to alternative strategies that relax this identifying assumption. One popular approach is the inclusion of a group-specific linear time trend in the commonly used two-way fixed effects (TWFE) estimator. In a setting with a single post-treatment and two pre-treatment periods it is well known that this is equivalent to a non-parametric ``triple-differences" estimator which is valid under a ``parallel trends-in-trends" assumption (Egami and Yamauchi, 2023). This paper analyzes the TWFE estimator with group-specific linear time trends in the more general setting with many pre- and post-treatment periods. It shows that this estimator can be interpreted as an average over triple-differences terms involving both pre-treatment and post-treatment observations. As a consequence, this estimator does not identify a convex average of post-treatment ATTs without additional effect homogeneity assumptions even when there is no staggering in treatment adoption. A straightforward solution is to make the TWFE specification fully dynamic with a separate parameter for each relative treatment time. However, identification requires that researchers omit at least two pre-treatment relative treatment time indicators to estimate a group-specific linear trend. The paper shows how to properly extend this estimator to the staggered adoption setting using the approach of Sun and Abraham (2021), correcting a perfect collinearity error in recent implementations of this method in Hassell and Holbein (2024). It concludes with a note of caution for researchers, showing through a replication of Kogan (2021) how inferences from group-specific time trend specifications can be extremely sensitive to arbitrary specification choices when parallel trends violations are present but do not follow an easily observed functional form. |
| Date: | 2024–09–04 |
| URL: | https://d.repec.org/n?u=RePEc:osf:socarx:dg5ps |
| By: | Matilde Bombardini; Francesco Trebbi; Miao Ben Zhang |
| Abstract: | This article discusses recent methodological innovations in the area of cost and benefit assessment of government regulation, in both a prospective and retrospective sense. Much of the extant progress is presented on the front of private costs of compliance. Private benefits, social costs, and social benefits remain much less systematically organized and more arduous to quantitatively assess, mostly due to the difficulty of standardizing partial and general equilibrium counterfactuals. We offer a discussion of potential future methodological improvements in cost-benefit analysis. |
| JEL: | G28 K2 L50 |
| Date: | 2024–09 |
| URL: | https://d.repec.org/n?u=RePEc:nbr:nberwo:32955 |
| By: | Keller, Bryan; Wong, Vivian C (University of Virginia); Park, Sangbaek; Zhang, Jingru; Sheehan, Patrick; Steiner, Peter M. |
| Abstract: | Within-study comparisons (WSCs) use real, rather than simulated, data to compare estimates from observational studies against a benchmark randomized controlled trial (RCT). A primary goal of WSCs is to assess whether well-designed quasi-experimental designs (QEDs) can produce internally valid causal effect estimates comparable to those from RCTs. In this paper, we describe the design and implementation of a new type of WSC. Motivated by Shadish et al. (2008), we examine the impact of a mathematics training intervention and a vocabulary study session on posttest scores for mathematics and vocabulary, respectively. We extend the original design in three ways. First, before random assignment, we ask participants to express a preference for either the mathematics or vocabulary training session, after which they are randomly assigned regardless of preferences. This allows us to experimentally identify and estimate the overall average treatment effect (ATE) and two conditional ATEs: the average treatment effect on the treated (ATT) and the average treatment effect on the untreated (ATU). Second, participant recruitment and sample size (N = 2200) were determined through power analyses for comparing RCT and QED estimates, ensuring sufficient power for methodological comparisons. Finally, the study’s eligibility criteria, recruitment, treatment allocation, and analysis plan were preregistered on the Open Science Foundation platform, and the data are publicly accessible. We believe that this WSC design and the resulting data set will be valuable for researchers seeking to evaluate causal inference methods and test identification assumptions using real-world data. |
| Date: | 2024–09–10 |
| URL: | https://d.repec.org/n?u=RePEc:osf:osfxxx:2gur9 |
| By: | Claude DIEBOLT; Faustine Perrin |
| Abstract: | En octobre 2023, Claudia Goldin, professeure à l’Université de Harvard, a été récompensée par l’attribution du Prix Nobel de Sciences Économiques, en reconnaissance de ses contributions pionnières à l’économie, notamment pour son analyse approfondie de la place des femmes sur le marché du travail. Goldin a, en effet, exploré l’évolution du revenu et la participation des femmes au marché du travail dans la longue durée, mettant en évidence les causes de ces changements et les raisons de la persistance des inégalités entre hommes et femmes. Première femme titularisée au Département d’économie de Harvard et désormais première femme à remporter seule le Prix Nobel d’économie, son parcours illustre le franchissement des barrières académiques et l’élargissement des horizons. Ses recherches ont joué un rôle clé dans la reconnaissance et la valorisation du rôle des femmes dans le domaine économique, motivant ainsi une nouvelle génération de chercheurs à intégrer les dynamiques de genre et les perspectives à long terme dans leurs travaux. |
| Keywords: | Claudia Goldin, Nobel, inégalités de genre, cliométrie. |
| JEL: | J16 N3 J2 J7 |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:ulp:sbbeta:2024-36 |
| By: | Yu Zhang; Claudio Tessone |
| Abstract: | When analyzing Bitcoin users' balance distribution, we observed that it follows a log-normal pattern. Drawing parallels from the successful application of Gibrat's law of proportional growth in explaining city size and word frequency distributions, we tested whether the same principle could account for the log-normal distribution in Bitcoin balances. However, our calculations revealed that the exponent parameters in both the drift and variance terms deviate slightly from one. This suggests that Gibrat's proportional growth rule alone does not fully explain the log-normal distribution observed in Bitcoin users' balances. During our exploration, we discovered an intriguing phenomenon: Bitcoin users tend to fall into two distinct categories based on their behavior, which we refer to as ``poor" and ``wealthy" users. Poor users, who initially purchase only a small amount of Bitcoin, tend to buy more bitcoins first and then sell out all their holdings gradually over time. The certainty of selling all their coins is higher and higher with time. In contrast, wealthy users, who acquire a large amount of Bitcoin from the start, tend to sell off their holdings over time. The speed at which they sell their bitcoins is lower and lower over time and they will hold at least a small part of their initial holdings at last. Interestingly, the wealthier the user, the larger the proportion of their balance and the higher the certainty they tend to sell. This research provided an interesting perspective to explore bitcoin users' behaviors which may apply to other finance markets. |
| Date: | 2024–09 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2409.10407 |
| By: | Wei Zhang |
| Abstract: | High-dimensional matrix-valued time series are of significant interest in economics and finance, with prominent examples including cross region macroeconomic panels and firms' financial data panels. We introduce a class of Bayesian matrix dynamic factor models that utilize matrix structures to identify more interpretable factor patterns and factor impacts. Our model accommodates time-varying volatility, adjusts for outliers, and allows cross-sectional correlations in the idiosyncratic components. To determine the dimension of the factor matrix, we employ an importance-sampling estimator based on the cross-entropy method to estimate marginal likelihoods. Through a series of Monte Carlo experiments, we show the properties of the factor estimators and the performance of the marginal likelihood estimator in correctly identifying the true dimensions of the factor matrices. Applying our model to a macroeconomic dataset and a financial dataset, we demonstrate its ability in unveiling interesting features within matrix-valued time series. |
| Date: | 2024–09 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2409.08354 |
| By: | Benjamín García; Mario Giarda; Carlos Lizama; Ignacio Rojas |
| Abstract: | Households in emerging economies are subject to significant income risk and have low access to financial markets. Leveraging multiple administrative microdata sources, this paper documents significant heterogeneity in asset holdings, income, and income cyclicality across the distribution of Chilean households, as well as considerable income risk. Considering this evidence, we compare the transmission mechanisms between Heterogeneous-Agent New-Keynesian models with search and matching (SAM) and sticky wage frictions (SW), and between one-liquid-asset (OA) and two-asset (TA) specifications. We propose a decomposition of consumption responses into direct, indirect, average, and cross-sectional effects. We show that the transmission mechanisms depend on the labor market setup: in SAM-OA the transmission operates through average and direct effects, while in SW-OA it is through cross-sectional effects. Assets also matter, the transmission in the SW-TA has stronger direct and average effects than SW-OA. |
| Date: | 2024–05 |
| URL: | https://d.repec.org/n?u=RePEc:chb:bcchwp:1013 |
| By: | Bernard Deschamps; Philippe Gachon; Michel Leclerc; Mathieu Boudreault (University of Toronto) |
| Abstract: | In Québec, flood damage costs have risen sharply over the past 40 years, partly due to population and property growth in flood-prone areas. This phenomenon is exacerbated by extreme weather events, such as torrential rains, some of which are on the rise in southern Québec in spring. Today, these costs are primarily covered by provincial and federal financial assistance programs and, to a lesser extent, by private insurance. These cost-sharing mechanisms give rise to moral hazard because they do not encourage municipalities or disaster victims to reduce risk. Municipalities need to be included in cost sharing because of their crucial role in land use planning and risk management. Similarly, disaster victims need to be included because they also have a role to play in reducing risk. This paper proposes and analyzes an economic contribution mechanism for municipalities that distributes the cost of damage to residential buildings more equitably. (Equity refers to a fair and just distribution of the financial burden based on the relative level of exposure to risk and the ability to reduce the risk for all parties involved.) The contribution is calculated for three medium-sized municipalities in Québec based on the sum of the average annual damage to each of the residential buildings located in their jurisdictions, and on property values. Three observations are drawn from this analysis: 1) a municipality's level of exposure is not correlated with its property value; 2) the low damage rate of a majority of buildings located in flood-prone areas justifies maintaining these buildings in these zones, provided that mitigation measures are implemented; and 3) relocating a minimum number of buildings would considerably reduce the municipality's economic contribution to damage costs. Implementing an economic contribution mechanism for municipalities and exposed citizens is intended to reduce the moral hazard and inequity generated by the current approach and encourage municipalities to implement mitigation and risk reduction measures. All stakeholders could equitably finance these measures. |
| Keywords: | flood damage, flood risk sharing, moral hazard, economic equity, municipal contribution |
| JEL: | H76 H84 Q51 Q54 |
| Date: | 2024–09 |
| URL: | https://d.repec.org/n?u=RePEc:mfg:wpaper:69 |
| By: | Souryabrata Mohapatra (National Council of Applied Economic Research); Sanjib Pohit (National Council of Applied Economic Research) |
| Abstract: | How can India leverage its potential and implement effective strategies to become a developed nation by 2047? In his 2022 Independence Day speech, the Prime Minister (PM) outlined an ambitious vision for transforming the nation into a developed country by 2047—‘Viksit Bharat (VB)’. It aims to reshape India into a technologically advanced, economically strong and socially inclusive nation. This paper delves into the various aspects of VB, examining the critical strategies and policies required to achieve this transformation. It highlights significant progress in green energy, infrastructure development and socio-economic programmes and discusses the necessary reforms to achieve Viksit Bharat and a $30 trillion economy. The goal of achieving a $30 trillion economy by 2047 is a cornerstone of the VB vision, encompassing a broad vision for holistic development, renovating India into a prosperous, inclusive and sustainable nation. The study explores India’s unique opportunities in the context of its demographic dividend, technological advancements and socioeconomic initiatives. By drawing insights from historical transformations, the paper presents a strategic roadmap for India, emphasising the importance of coordinated efforts across energy, infrastructure, agriculture, services and governance sectors. It underscores the interlinked nature of these initiatives and the vital role of governance, technology and economic growth in realising ‘India@2047’—India’s future on the occasion of its 100th anniversary of independence. This paper provides a comprehensive guide for policymakers, outlining the path to a prosperous and developed India. |
| Keywords: | : Viksit Bharat; Energy efficiency; Sustainable agriculture; Enhanced infrastructure; Inclusive service and governance |
| JEL: | O10 O22 R11 Q01 |
| Date: | 2024–05–24 |
| URL: | https://d.repec.org/n?u=RePEc:nca:ncaerw:167 |
| By: | Ratna Sahay (National Council of Applied Economic Research, Delhi); Navya Srivastava (National Council of Applied Economic Research, Delhi); Mahima Vasishth (National Council of Applied Economic Research, Delhi) |
| Abstract: | TGlobally, women’s share in corporate leadership has been steadily rising, including in India. The female director mandate under The Companies Act (2013) in India marked a significant step toward gender-inclusive corporate leadership, requiring listed firms to have at least one woman on their board. Within a year, the percentage of listed firms without women on board plummeted from 53 percent to less than 10 percent. Despite this progress, India still lags in the share of women in middle and senior management roles at only 17 percent, compared to nearly 33 percent for the world. This paper documents the status of gender-inclusive corporate leadership and uses the woman director mandate in the Act to study its relationship with firm outcomes, including financial performance and corporate culture in India. Interestingly we find that firms, on average, were appointing more women than mandated by the Act, suggesting the favorable impact of the current government’s signal to foster women-led development and the positive experience gained by firms. At the same time, newly appointed women were younger and more educated than their male counterparts and their average directorship “stretch factor†increased significantly compared to men. Combining personnel-level data from NSE-listed firms with firm performance data and employing a reverse difference-in-difference econometric strategy, we find that having at least one woman on board is associated with higher economic performance, financial stability, and lower financial risk. Additionally, using almost 400, 000 employee reviews scraped from a company review platform, we find that higher shares of women in board positions correlate positively with employee ratings and sentiment scores only when firms also hire women in top management positions. This analysis highlights the business case of appointing more women at the top. |
| Keywords: | Women’s Leadership, Firm Performance, Firm Culture |
| JEL: | J16 L25 M59 |
| Date: | 2024–05–24 |
| URL: | https://d.repec.org/n?u=RePEc:nca:ncaerw:170 |
| By: | Saloua Zgoulli-Swalhi (MRM - Montpellier Research in Management - UM1 - Université Montpellier 1 - UPVM - Université Paul-Valéry - Montpellier 3 - UM2 - Université Montpellier 2 - Sciences et Techniques - UPVD - Université de Perpignan Via Domitia - Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School); Florence Rodhain (MRM - Montpellier Research in Management - UM1 - Université Montpellier 1 - UPVM - Université Paul-Valéry - Montpellier 3 - UM2 - Université Montpellier 2 - Sciences et Techniques - UPVD - Université de Perpignan Via Domitia - Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School); Bernard Fallery (MRM - Montpellier Research in Management - UM1 - Université Montpellier 1 - UPVM - Université Paul-Valéry - Montpellier 3 - UM2 - Université Montpellier 2 - Sciences et Techniques - UPVD - Université de Perpignan Via Domitia - Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School) |
| Abstract: | Pour montrer ce que nous peut apporter ce travail de médiation scientifique, nous proposons - après une courte introduction sur le cadre théorique de la médiation scientifique - de mettre en scène en guise de communication à M'2023 deux des scènes de la pièce de théâtre écrite par un groupe d'enseignants-chercheurs. Quant à l'ensemble de la pièce « Le Bourgeois Numérique, de Molière 3.0 », il sera joué tout au cours de l'année 2023-2024 et chaque représentation donnera lieu à une discussion avec le public. |
| Keywords: | médiation scientifque; intelligence artifcielle; théâtre |
| Date: | 2023–11 |
| URL: | https://d.repec.org/n?u=RePEc:hal:journl:hal-04680934 |
| By: | Pablo D. Azar; Adrian Casillas; Maryam Farboodi |
| Abstract: | This paper considers the “DeFi intermediation chain”—the market structure that underlies the creation and distribution of ETH, the native cryptocurrency of Ethereum—to examine how information asymmetry shapes intermediation rents. We argue that using proof-of-stake blockchain technology in DeFi leads to a novel limit to arbitrage, arising from the tension between arbitrageurs' privacy needs and blockchain transparency. Using a new dataset which distinguishes private and public transactions in Ethereum, we find that a 1% increase in private information advantage leads to a 1.4% increase in intermediaries' profit share. We develop a dynamic bargaining model that predicts information market power stems exclusively from participants' private information advantage. Our analysis illustrates how blockchain technology can sustain arbitrage opportunities despite low entry barriers. |
| JEL: | C83 D82 D86 G23 G29 L86 |
| Date: | 2024–09 |
| URL: | https://d.repec.org/n?u=RePEc:nbr:nberwo:32949 |
| By: | Jinyang Li |
| Abstract: | In this research paper, we investigate into a paper named "A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem" [arXiv:1706.10059]. It is a portfolio management problem which is solved by deep learning techniques. The original paper proposes a financial-model-free reinforcement learning framework, which consists of the Ensemble of Identical Independent Evaluators (EIIE) topology, a Portfolio-Vector Memory (PVM), an Online Stochastic Batch Learning (OSBL) scheme, and a fully exploiting and explicit reward function. Three different instants are used to realize this framework, namely a Convolutional Neural Network (CNN), a basic Recurrent Neural Network (RNN), and a Long Short-Term Memory (LSTM). The performance is then examined by comparing to a number of recently reviewed or published portfolio-selection strategies. We have successfully replicated their implementations and evaluations. Besides, we further apply this framework in the stock market, instead of the cryptocurrency market that the original paper uses. The experiment in the cryptocurrency market is consistent with the original paper, which achieve superior returns. But it doesn't perform as well when applied in the stock market. |
| Date: | 2024–09 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2409.08426 |
| By: | Moleka, Pitshou Basikabio |
| Abstract: | In an era of rapid technological advancements, complex global challenges, and intense market competition, the ability to generate and scale innovative solutions has become a critical imperative for organizations, policymakers, and societies worldwide. However, the existing academic landscape has lacked a cohesive, multidisciplinary framework for comprehensively understanding the multifaceted nature of innovation. Innovationology, a newly established scientific discipline, aims to address this gap by providing a unifying, transdisciplinary approach to the study and practice of transformative innovation. This comprehensive article introduces Innovationology as a cutting-edge science that integrates insights from diverse fields, including management, psychology, sociology, economics, and technology studies. Innovationology posits that innovation is a multilayered, context-dependent phenomenon, shaped by the intricate interplay of individual, team, organizational, and ecosystem-level factors. By synthesizing the latest theoretical advancements and empirical evidence, this article presents a holistic model of Innovationology that illuminates the key determinants of radical, game-changing innovations capable of disrupting existing industries and creating new market spaces. The article delves deep into the individual cognitive, behavioral, and motivational drivers of innovativeness, the team dynamics and organizational structures that foster collaborative innovation, and the ecosystem-level characteristics that catalyze the emergence and scaling of transformative innovations. Importantly, the article explores the crucial role of contextual factors, such as socio-cultural norms, institutional support, and resource availability, in shaping innovation outcomes. This article also establishes the epistemological foundations of Innovationology, grounding it in a transdisciplinary, holistic, and pragmatic approach to knowledge generation. Innovationology embraces a pluralistic epistemology that acknowledges the complexity and context-dependence of innovation, drawing on diverse methodological approaches to capture the multifaceted nature of this phenomenon. Furthermore, the article outlines the object of Innovationology, which is to provide a comprehensive, evidence-based understanding of the drivers, processes, and outcomes of transformative innovation. Innovationology seeks to elucidate the multilevel determinants of innovation, the dynamic interplay between various factors, and the contextual influences that shape innovation trajectories. By establishing a unifying, transdisciplinary framework, Innovationology aims to bridge the gap between innovation theory and practice, empowering a wide range of stakeholders to unlock the transformative potential of innovation. Importantly, this article outlines the practical applications of Innovationology, providing comprehensive strategies and evidence-based interventions for cultivating innovative mindsets, designing innovation-conducive organizational systems, and navigating the challenges of innovative ecosystems. The implications of Innovationology for entrepreneurs, corporate leaders, policymakers, and innovation scholars are discussed in detail. By establishing Innovationology as a distinct, authoritative scientific discipline, this article sets the foundation for a more holistic, context-sensitive understanding of innovation and its multifaceted drivers. The insights generated by this new science can empower global organizations, institutions, and policymakers to address the complex, interconnected challenges of the 21st century through the strategic deployment of transformative innovations. |
| Date: | 2024–09–10 |
| URL: | https://d.repec.org/n?u=RePEc:osf:osfxxx:f3scj |
| By: | Ackah, Charles; Hanley, Aoife; Hecker, Lars; Kodom, Michael |
| Abstract: | Our analysis of over 500 Ghanaian firms sheds light, for the first time, on how certain firms managed to extract value from mobile money. Our regressions point to the usefulness of this form of cashless payments in stabilizing sales during the COVID pandemic. Perhaps the most important message from our analysis is the recognition that the benefits from mobile money extend beyond its purpose as a tool for transacting cashless payments. We reveal that firms using these additional tools supported by MoMo (e.g. for planning or saving purposes) report higher sales resilience, all things equal. Our findings appear to echo the literature on private householders (e.g. Jack and Suri, 2014). However, while the latter report a positive effect due to remittances, our finding is more likely driven by enhanced ability of businesses to streamline their planning and sales. |
| Keywords: | Mobile Money, Africa, Firm, Urbanization |
| JEL: | G23 G21 L25 O14 O18 O33 |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:zbw:kcgwps:303046 |
| By: | Francisco Jos\'e Zamudio S\'anchez; Javier Jim\'enez Machorro; Roxana Arana Ovalle; Hildegardo Mart\'inez Silverio |
| Abstract: | This paper introduces the Relative Inequality Index at the Maximum (IDRM), a novel and intuitive measure designed to capture inequality within a population, such as income inequality. The index is based on the idea that individuals experience varying levels of inequality depending on their position within the distribution, particularly with respect to those at the top. The key assumption is that for individuals in lower positions, inequalities referenced to the top positions have greater impact on their well-being and the inequality relative to maximum is the most critical. The IDRM fulfills desirable theoretical properties which were used for its evaluation and comparison against widely accepted measures in inequality literature. From this perspective, the IDRM is shown to be as robust as traditional measures and outperforms the Gini and Dalton indices by satisfying eight out of nine key properties, including decomposability across population subgroups. In a comparative analysis using income data from 58 countries and microdata from Mexico, with the Gini, Theil, and Atkinson indices as benchmarks, the IDRM demonstrates superior consistency, sensitivity to inequality, reduced bias in grouped data, and enhanced precision. This index reflects the varying forms of income distribution, showing heightened sensitivity to the magnitude of inequality. |
| Date: | 2024–09 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2409.07538 |
| By: | Fredy Gamboa-Estrada; José Vicente Romero |
| Abstract: | This study examines the determinants of sovereign risk, focusing on the impact of geopolitical risk in emerging market economies (EMEs) sovereign risk metrics. Using local projection techniques, we evaluate the effects of geopolitical risk on credit default swaps (CDS) and EMBI indices in EMEs, including the recent war between Ukraine and Russia. Our findings highlight the significance of considering geopolitical risk when analyzing risk premiums for emerging markets. Notably, we find that the impact of geopolitical risk shocks on CDS is higher than the effect on EMBI spread dynamics. Furthermore, using recursive estimations, we show that the effect of geopolitical risk on sovereign CDS and EMBI spreads has been relatively stable. On the other hand, we find an important degree of heterogeneity across countries by analyzing evidence from individual countries. Some countries in our sample seem statistically unaffected by geopolitical risk, particularly when examining EMBI dynamics. **** RESUMEN: Este estudio examina los determinantes del riesgo soberano, centrándose en el impacto del riesgo geopolítico en las métricas para una muestra de mercados emergentes (EMEs). Utilizando técnicas de proyección local, evaluamos los efectos del riesgo geopolítico en los swaps de incumplimiento crediticio (CDS) y en los índices EMBI, incluyendo la reciente guerra entre Ucrania y Rusia. Nuestros hallazgos resaltan la importancia de considerar el riesgo geopolítico al analizar las primas de riesgo para los mercados emergentes. En particular, encontramos que el impacto de los choques de riesgo geopolítico en los CDS es mayor que el efecto en la dinámica del EMBI. Además, utilizando estimaciones recursivas, mostramos que el efecto del riesgo geopolítico en los CDS soberanos y en el EMBI ha sido relativamente estable. Por otro lado, presentamos evidencia de un importante grado de heterogeneidad entre los países al examinar las estimaciones de países individuales. Algunos países de nuestra muestra parecen no estar afectados por el riesgo geopolítico, particularmente al examinar la dinámica del EMBI. |
| Keywords: | Sovereign risk, credit default swaps, EMBI, emerging markets, geopolitical risk, local projection, riesgo soberano, swaps de incumplimiento crediticio, EMBI, mercados emergentes, riesgo geopolítico, proyecciones locales. |
| JEL: | C22 F37 G15 G17 |
| Date: | 2024–09 |
| URL: | https://d.repec.org/n?u=RePEc:bdr:borrec:1282 |