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on Transition Economics |
| By: | Daniel Baksa (Institute for Capacity Development, International Monetary Fund and Central European University); Istvan Konya (Institute of Economics, Centre for Economic and Regional Studies, and University of Pécs and Central European University) |
| Abstract: | We study the role of productivity convergence and financial conditions in the recent growth experience of Hungary. We build a stochastic, small-open economy growth model with productivity convergence, capital accumulation and external borrowing. Using empirically identified processes for productivity and the external interest premium, we simulate the effects of two unexpected, permanent changes on Hungarian growth. The first change is the sharp productivity slowdown starting in 2006, and the second is the tightening of external financial conditions starting in 2009. Simulating our model, we show that the empirically identified productivity and interest premium processes - along with the two unexpected permanent changes and regular i.i.d. productivity and interest premium innovations – capture the main medium-run dynamics of the Hungarian economy both before and after the global financial crisis. Running counterfactuals, we also find that the observed slowdown in GDP per capita growth was mostly driven by productivity, while the tightening of external financing conditions is important to understand investment behavior and the net foreign asset position. |
| Keywords: | economic growth, convergence, productivity, interest premium, Hungary |
| JEL: | E13 E22 F43 O47 |
| Date: | 2019 |
| URL: | http://d.repec.org/n?u=RePEc:has:discpr:1916&r=all |
| By: | Gao, Ya; Han, Xing; Li, Youwei; Xiong, Xiong |
| Abstract: | Based on high-frequency firm-level data, this paper uncovers new empirical patterns on intraday momentum in China. First, there exists a strong intraday momentum effect at the firm level. Second, the intraday predictability stems mainly from the overnight component rather than the opening half-hour component, which is consistent with the microstructure features of the Chinese market. Third, the intraday predictability attenuates (strengthens) following large positive (negative) informational shocks, implying a striking asymmetric reaction by market participants. Finally, we document that late-informed traders are relatively less experienced or skilful. Overall, the empirical results lend support to the model of late-informed trading. |
| Keywords: | intraday momentum; overnight return; price jump; late-informed trading |
| JEL: | G12 G14 G15 G17 |
| Date: | 2019–09–16 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:96784&r=all |
| By: | Fernald, John G. (Federal Reserve Bank of San Francisco); Hsu, Eric (University of California, Berkeley); Spiegel, Mark M. (Federal Reserve Bank of San Francisco) |
| Abstract: | We propose using imports, measured as reported exports of trading partners, as an alternative benchmark to gauge the accuracy of alternative Chinese indicators (including GDP) of fluctuations in economic activity. Externally-reported imports are likely to be relatively well measured, as well as free from domestic manipulation. Using principal components, we derive activity indices from a wide range of indicators and examine their fit to (trading-partner reported) imports. We choose a preferred index of eight non-GDP indicators (which we call the China Cyclical Activity Tracker, or C-CAT). Comparison with that index and others indicate that Chinese statistics have broadly become more reliable in measuring cyclical fluctuations over time. However, GDP adds little information relative to combinations of other indicators. Moreover, since 2013, Chinese GDP growth has shown little volatility around a gradually slowing trend. Other measures, including the C-CAT and imports, do not show this reduction in volatility. Since 2017, the C-CAT slowed from well above trend to close to trend. As of mid- 2019, it was giving the same cyclical signal as GDP. |
| JEL: | C53 C82 E20 F17 |
| Date: | 2019–09–04 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedfwp:2019-19&r=all |
| By: | Agata Lozinskaia (National Research University Higher School of Economics); Anastasiia Saltykova (National Research University Higher School of Economics) |
| Abstract: | This paper studies how the influence of the fundamental factors on the Russian stock market changes retrospectively. We empirically test the impact of daily values of fundamental factors (indexes of foreign stock markets, oil price, exchange rate and interest rates in Russia and the USA) on the MOEX Russia Index over long time interval from 2003 to 2018. The analysis of the ARIMA-GARCH (1,1) model with a rolling window reveals the changes in the power and direction of the influence of the fundamental factors which are probably caused by the structural instability revealed earlier in Russia and other stock markets. The Quandt-Andrews breakpoint test and Bai-Perron test identify the number and likely location of the structural breaks. We find multiple breaks probably associated with dramatic falls in the stock market index, for example with the significant falls of the then MICEX index in the spring of 2006 and the global financial crisis of 2008-2009. The results of the regression models over the different regimes, defined by the structural breaks, can vary markedly over time. |
| Keywords: | Russian stock market, the MOEX Russian index, fundamental factors, structural breaks, long-term time series, rolling regression, breakpoint tests |
| JEL: | C22 G14 G15 |
| Date: | 2019 |
| URL: | http://d.repec.org/n?u=RePEc:hig:wpaper:77/fe/2019&r=all |
| By: | Tokunaga, Masahiro |
| Abstract: | In Central and Eastern Europe (CEE) after the fall of communism, it has been an important agenda to construct an effective policy framework with the aim of solving environmental issues (environmental reform), along with the transition to market economies (economic reform) and the democratization of politics (political reform). Taking that fact into consideration, this paper attempts to draw a big picture of the tower of research through a systematic review of the relevant literature that has discussed the issue of environmental reform in CEE countries. It reveals that research specifications such as targeted regions/countries, research topics, authors’ affiliations and disciplines, and academic fields of the literature have an impact on the overall evaluation of environmental reform by each researcher. Also, it suggests that authors’ understanding of market principles and their subjective appraisal of performance of the European Union as a leading supporter of CEE countries have a significant influence on their perceptions of effectiveness of CEE’s environmental policies. |
| Keywords: | Central and Eastern Europe (CEE), environmental reform, regime change, EU accession, systematic review |
| JEL: | O13 O57 P28 P52 |
| Date: | 2019–10 |
| URL: | http://d.repec.org/n?u=RePEc:hit:hitcei:2019-10&r=all |
| By: | Natalia Zdanowska |
| Abstract: | The fall of the Berlin Wall in 1989, modified the relations between cities of the former communist bloc. The European and worldwide reorientation of interactions that followed raises the question of the actual state of historical relationships between Central Eastern European cities, but also with ex-USSR and ex-Yugoslavian ones. Do Central and Eastern European cities reproduce trajectories from the past in a new economic context? This paper will examine their evolution in terms of trade exchanges and air traffic connexions since 1989. They are confronted with transnational firm networks for the recent years. The main contribution is to show a progressive formation of several economic regions in Central and Eastern Europe as a result of integration into Braudel's \'economie-monde. |
| Date: | 2019–10 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1911.00033&r=all |
| By: | Yinghui Chen (School of Accounting, Zhongnan University of Economics and Law); Lunan Jiang (Center for Financial Development and Stability at Henan University, and School of Economics at Henan University, Kaifeng, Henan) |
| Abstract: | This paper investigates the contribution of liquidity risk to Chinese corporate bond spreads. We calculate corporate bond spreads based on the full treasury yield curve and establish a set of liquidity measures of the Chinese corporate bonds. Our empirical study shows that liquidity premium accounts for a relatively smaller portion of corporate bond spread in China, although the market liquidity is low and corporate bond issuers are strictly pre-screened. These findings are interesting, as the developed markets have better liquidity and less pre-issuance restriction, and liquidity premium still explains a relatively larger portion of corporate bond spread. Besides, we also explore the determinants of Chinese corporate bond liquidity and default premiums. |
| Keywords: | Yield spread, Liquidity risk, Default risk |
| JEL: | C23 G12 |
| Date: | 2019–11 |
| URL: | http://d.repec.org/n?u=RePEc:fds:dpaper:201909&r=all |
| By: | Irina-Sinziana OPINCARU (University of Bucharest, Doctoral School of Sociology, Bucharest (Romania)); Doina CRANGASU (CONCORDIA Humanitarian Organisation, Bucharest (Romania)) |
| Abstract: | This paper presents the first impact study of a social enterprise in Romania, conducted on behalf of CONCORDIA Humanitarian Organization (Romania) to measure the effects and impact of the social enterprise CONCORDIA Bakery (developed by CHO) in Romania and to evaluate its contribution to social change. We aim to give accounts on how the interventions of a social enterprise can be assessed and put to use for the benefit of the organization in particular and of the larger environment in general. The purpose of the study was to develop and assess CONCORDIA Bakery’s program and activities, using the theory-based evaluation approach in order to better understand its contribution to improving the lives of its beneficiaries, customers, donors and its shareholder, by 1) showing insights of the main intended and unintended impacts achieved by CONCORDIA Bakery, 2) identifying what makes CONCORDIA Bakery work (or not work) and how it might be replicated, improved, adapted or up-scaled elsewhere, 3) exploring and analysing the changes in the external environment of CONCORDIA Bakery that have influenced its results and impact over time and 4) helping set realistic future objectives for CONCORDIA Bakery. The study covers the period 2011-2017 and it was carried out from 1st of August to 15th of December 2018 by the authors, as external evaluators. The evaluation had a strong exploratory component, since it has been the first time for the enterprise and for a Romanian social enterprise to go through such a process. A mix of quantitative and qualitative methods were used, in order to ensure the triangulation of the data obtained and the consistency of our results and conclusions, taking into account all the relevant perspectives. The methods included: documents analysis, in-depth interviews with relevant stakeholders and participative observation. Findings confirmed that CONCORDIA’s Social Businesses Model focuses on the impact it creates for beneficiaries rather than creating profits. CONCORDIA Bakery’s goal is in line with the agreed social business definition as it targets explicitly an increase of the employability rate of vulnerable young people and provides on-the-job professional training. In addition to the impact created by increasing the employability of vulnerable young people is also considered a therapeutic intervention in order to build responsibility by helping them to gain self-confidence and improve the abilities for an autonomous life. |
| Keywords: | Social enterprise, social economy, social impact, theory-based evaluation, theory of change |
| JEL: | A13 L30 L31 L39 O35 |
| Date: | 2019 |
| URL: | http://d.repec.org/n?u=RePEc:crc:wpaper:1915&r=all |
| By: | Pham, Thai-Binh; Sala, Hector |
| Abstract: | This paper studies the macroeconomic effects of oil price shocks in Vietnam. It expands Kilian’s (2009) framework to simultaneously consider risk-premium shocks and comprehensively assess their consequences on international competitiveness and the State Bank management of the monetary policy. Methodologically, this implies dealing with an over-identified structural vector autoregression (SVAR) model. Data wise, the analysis is performed on a unique dataset with variables defined at a monthly frequency running from 1998:01 to 2018:12. Demand-side, global-, and specific-oil price shocks determine inflation and international competitiveness, and play an essential role in explaining the long-run variations of several Vietnamese macroeconomic indicators (mainly the trade balance, three-month interest rates, and the inflation rate). Vietnam’s Dong pegging to the US Dollar results in a stronger impact of these shocks when real exchange rates and the rate of exports are modelled, than when real effective exchange rates and the trade balance are modelled. In the latter case, shock absorption is quicker given the multilateral trade context in which no single pegging holds. In association to the strong tie between Vietnam’s Dong and the U.S. dollar, we also uncover remarkable effects of risk-premium (or U.S. Federal Fund rate) shocks. Supply-side oil price shocks have little impact on inflation and international competitiveness but condition the monetary policy. Neglecting such influence in the past may have resulted in an excessively conservative monetary policy. |
| Keywords: | Oil price shocks; risk-premium shocks; SVAR; international trade; Vietnam |
| JEL: | F41 F62 Q41 Q43 |
| Date: | 2019–05–12 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:96873&r=all |
| By: | Phuong Le (Paris-Sud University); Cuong Le Van (IPAG Business School, PSE, CNRS, TIMAS (Vietnam)); Anh Ngoc Nguyen (Development and Policies Research Center (DEPOCEN), Hanoi, Vietnam); Ngoc Minh Nguyen (University of Nantes, DEPOCEN (Vietnam)); Phu Nguyen Van (BETA, CNRS & University of Strasbourg, TIMAS (Vietnam)); Dinh-Tri Vo (IPAG Business School, University of Economics Hochiminh City) |
| Abstract: | We first consider the question of the productivity of the economy of Vietnam at the macro level. With theoretical models and empirical data, we find out the Leontief production function, and its associated TFP (Total Factor Productivity). We show that the TFP is one of the main engines of Vietnam economic growth. However when we move to the micro level with the capital productivity of 2,835 State Owned Enterprises (SOEs), we discover there exists an over utilization of the physical capital and more importantly, diversion of the capital stock. This diversion may be due to a waste of capital stocks or to a special form of bribery we call "hidden overhead". To summarize, economic growth in Vietnam my be enhanced by investing in the founding components of TFP such as new technology, Human Capital, better organisational system, but also by fighting the bribery and the over utilization of the physical capital |
| Keywords: | Productivity; Production Function; TFP; Hidden Overhead. |
| JEL: | E60 O11 P21 |
| Date: | 2019–01 |
| URL: | http://d.repec.org/n?u=RePEc:dpc:wpaper:0119&r=all |
| By: | Mihaela LAMBRU (University of Bucharest, Faculty of Sociology and Social Work (Romania)); Claudia PETRESCU (Romanian Academy, Research Institute for Quality of Life, Bucharest (Romania)) |
| Abstract: | Within a socio-economic and political context dominated by both the economic crisis and the pressure to find ways to reform and upgrade general interest services and develop sustainable work integration solutions for disadvantaged groups, Romanian decision makers showed interest towards social economy and social enterprise solutions. Starting with 2007 in Romania the key factor that pushed associations and foundations towards the institutionalization as social enterprises has been the progressive need and interest towards the development of income generating activities to enhance their social mission. This paper aims to analyze the role of social enterprises in Romanian welfare system. For this, we identify the challenges and opportunities for SE in the social service system, analyze legislative and fiscal framework impacting on social enterprises development within the welfare service delivery. The paper brings structured information regarding the size, dynamic and profile of social enterprises active in the social sector area in Romania, specific challenges and development perspectives. For each type of social enterprise, the paper identifies its role in the Romanian welfare system. |
| Keywords: | social economy, social enterprises, welfare systems |
| JEL: | L3 L31 L33 I3 I30 I31 |
| Date: | 2019 |
| URL: | http://d.repec.org/n?u=RePEc:crc:wpaper:1917&r=all |
| By: | Igor Sheiman (National Research University Higher School of Economics) |
| Abstract: | The objective of the paper is to explore the role of maximum waiting times targets in improving access to health care in the context of the country with limited financial resources. The study indicates that most of targets in Russia are unrealistically low, while institutional and operational arrangements for their implementation have not been built. Some regions of the country have started waiting times monitoring, but its coverage of providers is still limited. The estimates of actual waiting times are fragmented and unreliable. The lack of waiting time regulation and monitoring encourages the opportunistic behavior of health providers to meet the targets. Uncertainty of patients regarding actual waits is growing. Thus a waiting times guarantee is not a remedy to avoid excessive waiting times. To make it really work, we recommend: 1) to develop realistic targets of waiting times that are based on a careful evaluation of the actual indicators for each type of care, as well as the capacity to meet them; 2) to strengthen waiting time monitoring, including pooling waiting lists/waiting times information in centralized information systems, introducing a unified pattern of waiting data reporting with the clarity on the initial point of waiting times, measuring both completed and on-going waits; 3) to build accountability procedures with the involvement of all actors of health care system. |
| Keywords: | waiting times targets, health care guarantee, health policy, health policy implementation |
| JEL: | Z |
| Date: | 2019 |
| URL: | http://d.repec.org/n?u=RePEc:hig:wpaper:23/psp/2019&r=all |