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on Transition Economics |
| By: | Mihaela Sandu |
| Abstract: | We investigate the presence of long memory in emerging CEE stock markets using the nonparametric, semiparametric and parametric approaches. We consider the methodology of Bai and Peron to test for structural breaks in the return series and we perform tests of fractionally integrated process on subsamples in order to identify potential evidence of spurious long memory. We test for long memory in both conditional mean and conditional variance by combining a fractionally integrated regression function and a fractionally integrated skedastic function.We estimate ARFIMA-GARCH and ARFIMA-FIGARCH models under two proposed distributions. The skewed Student-t distribution is found to better describe the data comparing to Gaussian distribution. We conclude that the Romanian, Hungarian and Czech Republic capital markets show evidence of dual long memory in returns and volatility, while the Bulgarian and Poland markets show strong features of long memory in volatility, but no long memory in the return series. |
| Keywords: | long memory, stock market, ARFIMA, FIGARCH |
| Date: | 2009–11 |
| URL: | http://d.repec.org/n?u=RePEc:cab:wpaefr:40&r=tra |
| By: | Lavinia Cristescu |
| Abstract: | The last 20 years have witnessed the financial liberalization of equity markets across the world which have opened the international financing path and resulted in risk diversification, capital cost decreases and investment growth. However, liberalization may have negative effects as well. It often played an important role in the incidence of banking and currency crises by increasing macroeconomic volatility to external shocks. The connection between financial fragility and economic growth can be associated with capital market liberalization. The main aim of this paper is to analyze the effect of financial liberalization in thirteen of Eastern Europe countries, by bringing these two views together. Many of the countries analyzed are post-communist economies that have been in transition in the selected period 1995 – 2007. |
| Keywords: | capital market liberalization, economic growth |
| Date: | 2009–10 |
| URL: | http://d.repec.org/n?u=RePEc:cab:wpaefr:30&r=tra |
| By: | Ma, Debin |
| Abstract: | This article offers a critical review of recent literature on Chinese legal tradition and argues that some subtle but fundamental differences between the Western and Chinese legal traditions are highly relevant to our explanation of the economic divergence in the modern era. By elucidating the fundamental feature of traditional Chinese legal system within the framework of a disciplinary mode of administrative justice, this article highlights the contrasting growth patterns of legal professions and legal knowledge in China and Western Europe that would ultimately affect property rights, contract enforcement and ultimately long-term growth trajectories. The paper concludes with some preliminary analysis on the inter-linkages between the historical evolution of political institution and legal regimes. |
| Date: | 2009–09 |
| URL: | http://d.repec.org/n?u=RePEc:hit:hitcei:2009-02&r=tra |
| By: | Lerman, Zvi; Sedik, David |
| Abstract: | The paper examines agricultural production and productivity growth in two Central Asian countries â Tajikistan and Uzbekistan. Both countries are characterized by a significant shift of resources from the traditional Soviet model of collective agriculture to more market-compliant individual and family farming. In both countries, the beginning of the policy-driven switch to family farming around 1997 coincided with the beginning of recovery in agriculture, namely resumption of agricultural growth after a phase of transition decline since 1991. In addition to growth in total agricultural production, we also observe significant increases in productivity of both land and labor since 1997. These observations suggest that productivity growth may be attributable to the changes in farming structure in Central Asia. To check this conjecture we assess the sources of growth by applying the standard Solow growth accounting methodology. Using time series of country statistics for farms of different organizational forms, we decompose the growth in output into growth in the resource base (extensive growth) and growth in productivity (intensive growth). Solow growth accounting clearly shows that, first, much of the growth at the country level is attributable to increases in productivity rather than increases in resources and, second, the increases in productivity in family farms (especially household plots) outstrip the increases in productivity in former collective and state farms. These findings confirm that the recovery of agricultural production in Central Asia has been driven largely by productivity increases, and it is the individual farms that are the main source of agricultural productivity increases. |
| Keywords: | agricultural productivity, agricultural growth, family farms, corporate farms, comparative performance, agrarian reforms, transition countries, Central Asia, Tajikistan, Uzbekistan, Agricultural and Food Policy, Community/Rural/Urban Development, Food Security and Poverty, International Development, Land Economics/Use, Productivity Analysis, P27, P31, P32, Q15, R14, |
| Date: | 2009–09 |
| URL: | http://d.repec.org/n?u=RePEc:ags:huaedp:54713&r=tra |
| By: | Soohyung Lee; Benjamin A. Malin |
| Abstract: | We explore education's role in improving the allocation of labor between China's agricultural and nonagricultural sectors and measure the portion of China's recent growth attributable to this channel. Building from micro-level estimates, we find that education's impact on labor reallocation between sectors accounts for about 9 percent of Chinese growth, whereas its impact on within-sector human capital growth explains only 2 percent. Our findings suggest that, when frictions cause large productivity gaps across sectors and returns to education are greater in higher-productivity sectors, education policy may be a useful tool for increasing efficiency. |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgfe:2009-41&r=tra |
| By: | Jan Fałkowski (Faculty of Economic Sciences, University of Warsaw); Pavel Ciaian (European Commission - Joint Research Centre (IPTS); Catholic University of Leuven (LICOS); Economics and Econometrics Research Institute (EERI)); d'Artis Kancs (European Commission - Joint Research Centre (IPTS); Catholic University of Leuven (LICOS); Economics and Econometrics Research Institute (EERI)) |
| Abstract: | This paper analyses how farm access to credit affects farm input allocation and farm efficiency in the CEE transition countries. Drawing on a unique farm level panel data with 37,409 observations and employing a matching estimator we are able to control for the key source of endogeneity – unoberserved heterogeneity. We find that farms are credit constrained both in the short-run as well as in the long-run, but that credit constraint is asymmetric between inputs. Our estimates suggest that farm access to credit increases TFP up to 1.9% per 1000 EUR of additional credit. The use of variable inputs and capital investment increases up to 2.3% and 29%, respectively, per 1000 EUR of additional credit. Due to credit-financed investment in labour-saving farm equipment, labour use reduces for low level of credit. Farms are found not to be credit constrained with respect to land. |
| Keywords: | access to credit, investment, factor allocation, productivity, transition countries |
| JEL: | Q12 P14 |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:war:wpaper:2009-12&r=tra |
| By: | Bernd Görzig; Martin Gornig; Ramona Voshage; Axel Werwatz |
| Abstract: | After 20 years of transition from an economy integrated in an exchange scheme of planned economies towards an open market economy based on the ideas of competition, we ask whether East German firms succeeded in finding their place in the international division of labour. We concentrate on the question, to what extent they have caught up with the productivity level of their Western counterparts of similar size and sector and how this productivity difference is related to changes in their product policy. We analyse these questions with a unique data set provided by Statistics Germany that contains both product policy and productivity information for individual manufacturers from both parts of the country. Using a decomposition approach suggested by Nopo (2008) as a nonparametric extension of the widely-used Oaxaca-Blinder methodology (Blinder 1973; Oaxaca 1973) we find that the time span from 1995 - 2004 has two component periods: a period of adaptation from 1995 to 2001and a period of branding from 2002 to 2004. The initial period is characterized by a smaller share of Eastern firms that modify their product range and by a large productivity gap of Eastern Non-Modifiers if compared to Western Non-Modifiers of comparable size and sector. The evidence for the second period, however, points to a more active and established role of East German manufacturers: more of them alter their product range and step up their productivity performance. |
| Keywords: | Productivity, product policy, decomposition, transition economies |
| JEL: | L25 D24 P23 C14 |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:diw:diwwpp:dp945&r=tra |
| By: | Sylvie Démurger (University of Lyon; CNRS, UMR 5824, GATE, France); Martin Fournier (University of Lyon; CNRS, UMR 5824, GATE, France); Weiyong Yang (University of International Business & Economics, Beijing, China) |
| Abstract: | Economic reforms in rural China have brought opportunities to diversify both within-farm activities and off-farm activities. Participation in these activities plays an important role in increasing rural households’ income. This paper analyzes the factors that drive rural households and individuals in their income-source diversification choices for ten villages in Northern China. At the household level, we distinguish three types of diversification as opposed to grain production only : within farm (non- grain production) activities, local off-farm activities, and migration. At the individual level, we analyze the determinants of participation in three different types of jobs as compared to agricultural work : local off-farm employment, local self-employment and migration. At the household level, we find that land and labor availability stimulates on-farm diversification. Local off-farm activities are mostly driven by household wealth and credit constraints, while migration decisions strongly depend on the household age and composition. At the individual level, we find a clear gender and age bias in access to off-farm activities that are mostly undertaken by male and by young people. More surprisingly, education is found to play a role for accessing local wage employment but not in migration decision. As at the household level, the household assets position is found to strongly affect participation in any off-farm activity. |
| Keywords: | income-source diversification, agricultural households, off-farm employment, China |
| JEL: | J2 R2 Q1 O53 |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:gat:wpaper:0923&r=tra |
| By: | Haizheng Li; Barbara M. Fraumeni; Zhiqiang Liu; Xiaojun Wang |
| Abstract: | In this paper we estimate China’s human capital stock from 1985 to 2007 based on the Jorgenson-Fraumeni lifetime income approach. An individual’s human capital stock is equal to the discounted present value of all future incomes he or she can generate. In our model, human capital accumulates through formal education as well as on-the-job training. The value of human capital is assumed to be zero upon reaching the mandatory retirement ages. China’s total real human capital increased from 26.98 billion yuan in 1985 (i.e., the base year) to 118.75 billion yuan in 2007, implying an average annual growth rate of 6.78%. The annual growth rate increased from 5.11% during 1985-1994 to 7.86% during 1995-2007. Per capita real human capital increased from 28,044 yuan in 1985 to 106,462 yuan in 2007, implying an average annual growth rate of 6.25%. The annual growth rate also increased from 3.9% during 1985-1994 to 7.5% during 1995-2007. Therefore, although population growth contributed significantly to the total human capital accumulation before 1994, per capita human capital growth was primary driving force after 1995. The substantial increase in educational attainment during 1985-2007 contributed significantly to the growth in total and per capita real human capital. |
| JEL: | J24 |
| Date: | 2009–11 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:15500&r=tra |
| By: | Lerman, Zvi; Sedik, David |
| Keywords: | Agricultural Finance, International Development, |
| Date: | 2009–08 |
| URL: | http://d.repec.org/n?u=RePEc:ags:huaedp:54712&r=tra |
| By: | Maria Popa |
| Abstract: | Is inflation persistence in the New Member States comparable to that in the Euro Area? We argue that persistence may not be as different between the two groups as one might expect. The paper provides a structural measure for the inflation persistence in the New Member States: New Hybrid Phillips Curve. The data set used includes samples for five new member of the EU. We describe the dynamics of inflation using the New Hybrid Phillips Curve as framework. Structural measures show that backward-looking behavior may be a more important component in explaining inflation persistence in the New Member States than in the Euro Area. |
| Keywords: | inflation persistence, Hybrid Phillips Curve |
| Date: | 2009–10 |
| URL: | http://d.repec.org/n?u=RePEc:cab:wpaefr:31&r=tra |
| By: | Junji Kageyama (Max Planck Institute for Demographic Research, Rostock, Germany) |
| Abstract: | This paper investigates the causes of the positive correlation between happiness and the sex gap in happiness between women and men observed in Europe. Departing from a variety of hypotheses that are based on the sex differences at the individual level, this paper tests whether the positive correlation can be explained by the sex difference in life expectancy. The mechanisms working behind are as follows. First, national average happiness affects the sex gap in life expectancy negatively because men are more fragile to stress (unhappiness). Second, the sex difference in life expectancy influences the sex gap in happiness negatively because it affects the chance of being a widow for women. Using a 3SLS approach, it found that both effects are significant and that the direct effects between happiness and the happiness gap are insignificant. These results indicate that the positive correlation between happiness and the happiness gap is an artifact of the demographic compositional effect resulted from the sex gap in life expectancy. |
| Keywords: | Europe, economic and social development, life expectancy |
| JEL: | J1 Z0 |
| Date: | 2009–11 |
| URL: | http://d.repec.org/n?u=RePEc:dem:wpaper:wp-2009-032&r=tra |
| By: | Davide Furceri (OCDE - Organisation de coopération et de développement économiques - OCDE); Aleksandra Zdzienicka-Durand (GATE - Groupe d'analyse et de théorie économique - CNRS : UMR5824 - Université Lumière - Lyon II - Ecole Normale Supérieure Lettres et Sciences Humaines) |
| Abstract: | The aim of this work is to assess the impact of financial crises on output for 11 European transition economies (CEECs). The results suggest that financial crises have a significant and permanent effect, lowering long-term output by about 17 percent. The effect is more important in smaller countries, with relative higher dependence on external financing, and in which the banking sector noticed more important financial disequilibria. We also found that fiscal policy measures have been the most efficient tools in dealing with the crises, while the role of monetary policy instruments has been rather blinded. Exchange rate resulted to be more a propagator than a crises absorber, while the IMF credit has been found to have positive (but not significant) impact on growth performance. Finally, the effect for the CEECs is much bigger than in the EU advanced economies, for which we found that financial crises lowers long-term output only by 2 percent. |
| Keywords: | Output Growth ; Financial Crisis ; CEECs |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:halshs-00431044_v1&r=tra |
| By: | Brzoza-Brzezina, Michal; Makarski, Krzysztof |
| Abstract: | We construct an open-economy DSGE model with a banking sector to analyse the impact of the recent credit crunch on a small open economy. In our model the banking sector operates under monopolistic competition, collects deposits and grants collateralized loans. Collateral effects amplify monetary policy actions, interest rate stickiness dampens the transmission of interest rates, and financial shocks generate non-negligible real and nominal effects. As an application we estimate the model for Poland - a typical small open economy. According to the results, financial shocks had a substantial, though not overwhelming, impact on the Polish economy during the 2008/09 crisis, lowering GDP by a little over one percent. |
| Keywords: | credit crunch; monetary policy; DSGE with banking sector |
| JEL: | E32 E52 E44 |
| Date: | 2009–11 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:18595&r=tra |
| By: | Radu Muntean |
| Abstract: | In this paper we propose an early warning system for the Romanian banking sector, as an addition to the standardized CAAMPL rating system used by the National Bank of Romania for assessing the local credit institutions. We aim to find the determinants for downgrades as well as for a bank to have a weak overall position, to estimate the respective probabilities and to be able to perform rating predictions. Having this purpose, we build two models with binary dependent variables and one ordered logistic model that accounts for all possible future ratings. One result is that indicators for current position, market share, profitability and assets quality determine rating downgrades, whereas capital adequacy, liquidity and macroeconomic environment are not represented in the model. Banks that will have a weak overall position in one year can be predicted using also indicators for current position, market share, profitability and assets quality, as well as, in this case, capital adequacy and macroeconomic environment, the latter only for the binary dependent variable model, leaving liquidity indicators out again. Based on the ordered logistic model’s capacity for rating prediction, we estimated one year horizon scores and ratings for each bank and we aggregated these results for predicting a measure of assessing the local banking sector as a whole. |
| Keywords: | early warning system, CAAMPL rating system |
| Date: | 2009–11 |
| URL: | http://d.repec.org/n?u=RePEc:cab:wpaefr:39&r=tra |
| By: | Cristina Belciuganu |
| Abstract: | In this paper we focus our attention on the tail risk and how different capital markets are influencing each other. Previous studies have detected return and volatility across countries during crises periods. Using the well-know Value at Risk (VaR) measure for heavy tailed financial returns, our objective is to detect if the information for a negative shock in a foreign market helps the forecast of the behavior of another market. We calculate 1 day, 95% and 99% Value at Risk for major US stock indices- S&P 500, NASDAQ 100, DJ INDUSTRIALS, major European stock indices – CAC 40, FTSE100, DAX30 and for Romanian stock index-BET. The VaR for each index is calculated the following techniques: Historical Simulation, Variance Approach and Extreme Value Theory. Spillover effects being the influence of one market on others, is examined using the Granger causality, for daily changes of the VAR series. |
| Keywords: | spillover effects, capital market |
| Date: | 2009–10 |
| URL: | http://d.repec.org/n?u=RePEc:cab:wpaefr:29&r=tra |
| By: | Florentina Manea |
| Abstract: | This paper investigates the exchange rate pass-through (ERPT) into import prices, producer prices and several different measures of consumer prices indices for Romanian economy. In order to determine the size, describe the dynamics and identify the asymmetries in ERPT the paper employs an array of econometric methods belonging to the VAR family. The methods range from RVARS (on different price indices and/or on a rolling window), Sign-restriction VARs (also using different consumer inflation measures), MS-VAR, TAR and SETAR, the last three methods being naturally equipped to capture various types of asymmetries. The results point to an almost complete pass-through into import prices and incomplete passthrough into producer and consumer prices. In all cases except import prices the ERPT displays a decline in magnitude over the analysed time interval. The paper also finds important asymmetries with respect to sign and size of the exchange rate, size of inflation and time period. |
| Keywords: | exchange rate pass-through, MS-VAR, TAR, SETAR |
| Date: | 2009–11 |
| URL: | http://d.repec.org/n?u=RePEc:cab:wpaefr:34&r=tra |
| By: | Florin Stanciu |
| Abstract: | Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to test the hypothesis under which the the conditional variance of stock returns is an asymmetric function of past information. This paper investigates the volatility of the Romanian Stock Market using daily observations from BETC Index for the period from 1998 to 2008. The empirical analysis supports the hypothesis of asymmetric volatility; hence, good and bad news of the same magnitude have different impacts on the volatility level. In order to assess asymmetric volatility we use autoregressive conditional heteroskedasticity specifications known as TARCH and EGARCH. Our results show that the conditional variance is an asymmetric function of past innovations raising proportionately more during market declines, a phenomenon known as the leverage effect. |
| Keywords: | asymmetric conditional volatility, stock market |
| Date: | 2009–10 |
| URL: | http://d.repec.org/n?u=RePEc:cab:wpaefr:32&r=tra |