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on Transition Economics |
| By: | Evzen Kocenda (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague; Institute of Information Theory and Automation of the CAS, Prague; CESifo Munich; IOS Regensburg.); Shivendra Rai (Institute of Economic Studies, Charles University, Prague, Czech Republic) |
| Abstract: | We investigate the key macroeconomic and institutional determinants of fundraising and investment activities and compare them across Europe, covering 13 Central and Eastern European (CEE) and 16 Western European (WE) countries. Five macroeconomic variables and nineteen institutional variables are selected. These variables are studied using panel data analysis with fixed effects and random effects models over an eleven-year observation period (2010-2020). Bayesian Model Averaging (BMA) is applied to select the key variables. Our results suggest that macroeconomic variables have no significant impact on fundraising and investment activity in either region. Investment activity is a significant driver of fundraising across Europe. Similarly, fundraising and divestment activity are significant drivers of investments across Europe. Institutional variables, however, affect fundraising and investment activity differently. While investment freedom has a significant effect on funds raised in the WE and CEE countries, government integrity and trade freedom are both significant determinants of investments in both European regions. In addition, the results demonstrate that, in contrast to the WE region, fundraising in the CEE region is not country specific. |
| Keywords: | Private equity (PE), Fundraising, Investment, Central and Eastern Europe (CEE), Western Europe (WE), Bayesian Model Averaging (BMA) |
| JEL: | C11 C23 C52 E22 G15 G24 G28 O16 |
| Date: | 2023–05 |
| URL: | http://d.repec.org/n?u=RePEc:fau:wpaper:wp2023_14&r=tra |
| By: | Vladimir Hlasny |
| Abstract: | Following Russia’s February invasion of Ukraine and the imposition of sanctions by countries worldwide, Russian population faces a crisis with deep but differentiated consequences across socioeconomic groups. We examine the evolution of earnings and societal earnings gaps throughout Vladimir Putin’s presidency, including the 2014 oil bust and trade war spurred by Russia’s annexation of Crimea. Unconditional quantile regressions are applied to 2000–2016 surveys to estimate the distributional changes across urban/rural, farming/non-farming and gender divides at all earnings quantiles, and growth incidence curves for the respective groups are derived using consistent survey waves around the crisis years of 2014–2015. Urban-rural gaps are found to be pervasive, particularly at lower earnings quantiles, while gender gaps declined over time. Rural and female-headed households receive lower returns on their endowments because they lack employment opportunities. The 2014 shocks affected all groups, particularly the rural poor, export-oriented farmers, and urban rich, not only immediately but over several years. |
| JEL: | F16 J31 D31 D63 N34 C21 |
| Date: | 2022–09 |
| URL: | http://d.repec.org/n?u=RePEc:lis:liswps:847&r=tra |
| By: | Stefano Federico; Giuseppe Marinelli; Francesco Palazzo |
| Abstract: | We study how a demand shock in an export market propagates to the exporting country’s banking system. Using the dual shocks of sanctions and falling oil prices suffered by Russia in 2014, we investigate the effects on Italian firms and banks more exposed to the Russian market. This event implied a sharp decline in sales for firms with a significant share of sales to Russia, but it did not affect the overall amount of credit available to them. Banks relatively more exposed to Italian exporters to Russia cut their overall credit supply, especially vis-à-vis ex ante risky borrowers, but continued to provide credit towards firms moderately hit by the trade shock, in an attempt to let them cope with the liquidity shortfall. Our results suggest that banks mitigate trade shocks for certain hit firms, while at the same time propagate them to other firms not directly affected by the shock. |
| JEL: | F10 G21 |
| Date: | 2023–04 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:31171&r=tra |
| By: | Bampinas, Georgios; Panagiotidis, Theodore |
| Abstract: | This paper studies the cross-market linkages between six international stock markets and the two major cryptocurrency markets during the Covid-19 pandemic and the Russian invasion of Ukraine. By employing the local (partial) Gaussian correlation approach, we find that during the Covid-19 pandemic period both cryptocurrency markets possess limited diversification and safe haven properties, which further diminish during the war. Bootstrap tests for contagion suggest that during the Covid-19 pandemic the East Asian markets lead the transmission of contagion towards the two cryptocurrency markets. During the Russian invasion, the US stock market emerges as the principal transmitter of contagion. Uncovering the role of pandemic (Infectious Disease EMV Index) and geopolitical risk (GPR index) induced uncertainties, we find that under conditions of high uncertainty and financial distress the dependency between the US and UK stock markets with both cryptocurrency markets increases considerably. The latter is more profound during the Russian-Ukrainian conflict. |
| Keywords: | Bitcoin, Ethereum, cryptocurrency, stock market, tail dependence, local Gaussian partial correlation, pandemic uncertainty, geopolitical risk uncertainty |
| JEL: | C51 C58 G1 |
| Date: | 2023–01 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:117094&r=tra |
| By: | Mondher Bouattour (Excelia Group | La Rochelle Business School); Amine Ben Amar (Faculté des sciences [Rabat] - UM5 - Université Mohammed V de Rabat [Agdal]); Stéphane Goutte (UMI SOURCEE - Université Paris-Saclay); Makram Bellalah (LEFMI - Laboratoire d’Économie, Finance, Management et Innovation - UR UPJV 4286 - UPJV - Université de Picardie Jules Verne) |
| Abstract: | Using the TYDL causality test, this paper attempts (i) to investigate the existence of shift contagion among a large spectrum of financial markets during recent stress and stress-free periods and (ii) to propose a new approach of portfolio management based on the minimization of the causal intensity. During the COVID-19 crisis period, the shift contagion analysis not only reveal a tripling of the causal links between the markets studied, but also a change in the causal structure. Beyond the initial impact of the COVID-19 crisis on financial markets, policy interventions seem to have helped in reassuring market participants that the further spread of financial stress would be mitigated. However, the Russian-Ukrainian, and the high degree of uncertainty it entailed, has again exacerbated the interdependencies between financial markets. In terms of portfolio analysis, our minimum-causalintensity approach records a lower (respectively higher) reward-to-volatility ratio than the Markowitz (1952 & 1959) minimum-variance traditional approach during the pre-COVID-19 (respectively prewar) period. On the other hand, both approaches, the one we propose in this paper and the minimum-variance approach, record negative reward-to-volatility ratios during crisis periods. |
| Keywords: | Shift contagion, diversification, minimum-causal intensity portfolio, clean energy, financial market, cryptocurrencies, socially responsible investment |
| Date: | 2023–04–10 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:halshs-04064084&r=tra |
| By: | Marina Diakonova (Banco de España); Corinna Ghirelli (Banco de España); Javier J. Pérez (Banco de España); Luis Molina (Banco de España) |
| Abstract: | We show how policy uncertainty and conflict-related shocks impact the dynamics of economic activity (GDP) in Russia. We use alternative indicators of “conflict”, relating to specific aspects of this general concept: geopolitical risk, social unrest, outbreaks of political violence and escalations into internal armed conflict. For policy uncertainty we employ the workhorse economic policy uncertainty (EPU) indicator. We use two distinct but complementary empirical approaches. The first is based on a time series mixed-frequency forecasting model. We show that the indicators provide useful information for forecasting GDP in the short run, even when controlling for a comprehensive set of standard high-frequency macro-financial variables. The second approach, is a SVAR model. We show that negative shocks to the selected indicators lead to economic slowdown, with a persistent drop in GDP growth and a short-lived but large increase in country risk. |
| Keywords: | GDP forecasting, natural language processing, social unrest, social conflict, policy uncertainty, geopolitical risk |
| JEL: | E37 D74 N16 |
| Date: | 2022–11 |
| URL: | http://d.repec.org/n?u=RePEc:bde:wpaper:2242&r=tra |
| By: | Bucksteeg, Michael; Voswinkel, Simon; Blumberg, Gerald |
| Abstract: | Power markets have been gradually integrated to achieve the target of a single European market. A major step was the introduction of the flow-based market coupling (FBMC) in Central Western and Eastern Europe (Core region). FBMC reflects the physical constraints of the underlying transmission grid in detail. However, the European Commission and regulators imposed minimum margins to increase cross-border trade and to foster price convergence between the different bidding zones, neglecting physical constraints and increasing redispatch volumes. Integrating redispatch poten-tials into FBMC allows for moving closer to physical reality while maintaining a high level of cross-border trade. In this study, we develop a multi-stage model covering capacity calculation, market coupling, and redispatch stages. This study is the first to evaluate different options for integrating FBMC and redispatch potentials based on a large-scale numerical analysis of Central Europe. The results reveal that minimum margins effectively increase cross-border trade. However, this comes at a high cost due to additional redispatch needs, which reduce overall welfare. Integrating redis-patch potentials in the market-clearing stage leads to a more efficient increase in cross-border ca-pacities and elevates welfare. In the case of combining both approaches, the analysis indicates improved welfare of roughly 80 M€ per year. |
| Keywords: | Flow-based market coupling, European electricity market, cross-border trade, congestion management, redispatch, market modeling |
| JEL: | Q4 |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:esprep:270878&r=tra |
| By: | Georgy Egorov; Konstantin Sonin |
| Abstract: | Many, if not most, personalistic dictatorships end up with a disastrous decision such as Hitler’s attack on the Soviet Union, Hirohito’s government launching a war against the United States, or Putin’s invasion of Ukraine in February 2022. Even if the decision is not ultimately fatal for the regime, such as Mao’s Big Leap Forward or the Pol Pot’s collectivization drive, they typically involve both a monumental miscalculation and an institutional environment in which better-informed subordinates have no chance to prevent the decision from being implemented. We offer a dynamic model of non-democratic politics, in which repression and bad decision-making are self-reinforcing. Repressions reduce the threat, yet raise the stakes for the incumbent; with higher stakes, the incumbent puts more emphasis on loyalty than competence. Our theory sheds light on the mechanism of disastrous individual decisions in highly institutionalized authoritarian regimes. |
| JEL: | C73 D72 D83 P16 |
| Date: | 2023–04 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:31187&r=tra |