Home About us Contact
|
Home About us Contact | ||
|
|
||
Stylized Facts (stylized + fact)
Selected AbstractsSovereign Wealth Funds: Stylized Facts about their Determinants and Governance,INTERNATIONAL FINANCE, Issue 3 2009Joshua Aizenman Concerns about the implications of foreign investments by sovereign wealth funds (SWFs) stem in large part from apprehensions about the objectives and governance quality of these institutions. This paper contributes to a better understanding of the stylized facts of SWFs by providing a statistical analysis of a range of characteristics of SWFs, including the motivation for their establishment as well as their size, governance and effect on reserve management behaviour. Specifically, it estimates what factors foster the establishment of SWFs as well as affect their size. It also investigates the extent to which the governance and transparency of individual SWFs correlate with domestic and global governance practices. Lastly, it analyses how asset accumulation by SWFs may affect central bank holdings of official reserves. [source] China's Penetration of the Korean Market: Stylized Facts and Welfare EffectCHINA AND WORLD ECONOMY, Issue 5 2010Kichun Kang F10; F14 Abstract China's penetration of the world market has been impressive. This paper uses highly disaggregated Korean import data (from 1992 to 2008) to examine China's penetration of the Korean market in the context of the composition of value (the extensive and intensive margins) and the product type (homogeneous and differentiated) in trade. The increase in Chinese imports has been attributed to the rapid increase in the import of new products (the extensive margin) and of existing products (the intensive margin). However, the growth rate of new products decelerated in the 2000s. The growth in the intensive margin was due to quantity, not price. Chinese imports to Korea did not improve over the period in terms of quality. Although Chinese products became cheaper, they were more differentiated over time. Welfare gains were realized through the expanded introduction of new products from China. However, much of the gains from Korea's Chinese product import boom were realized in earlier years (1992,2000) because even though imported products became more differentiated, the increase in the extensive margin was lower in more recent years (2001,2008). [source] Can Growth Ease Class Conflict?ECONOMICS & POLITICS, Issue 1 2002E. Somanathan This paper proposes a theory that links labor supply to wage growth and economic growth, and the conflict of interest between capital and labor. During the early stages of industrialization of a country, "surplus" labor drawn from the traditional sector of the economy is available to the modern capitalist sector at a constant or only slowly rising wage. As industrialization proceeds, this labor surplus vanishes, leading to wages rising in tandem with the growth of output. As long as there is surplus labor, workers in the modern capitalist sector, who are organized, have little interest in growth as it does not raise wages. The effect of growth is external to them, simply drawing more workers into the capitalist sector and enabling the entrants to receive rents. So capitalist-sector workers would like to redistribute income regardless of the adverse effect on growth. Once the economy grows enough for the subsistence sector to vanish, further growth raises wages. Hence, this change in the structure of the economy leads to a reduction in the intensity of the labor,capital conflict. The dual economy model implies that growth rates rise over time and fall after the exhaustion of the labor surplus which is consistent with the stylized fact of economic growth. [source] Convergence in Structure and Productivity in European Manufacturing?GERMAN ECONOMIC REVIEW, Issue 1 2004Klaus Gugler Structural convergence; productivity convergence; growth of industries; European integration Abstract. We find fast convergence in productivity for 99 three-digit European industries over the 1985,98 period. Half of any productivity gap is closed on average in about 10,15 years. We explicitly formulate the steady-state assumptions for structural convergence to hold. Convergence in industrial structure is much slower than productivity catch-up with a half-life of around 50 years, a stylized fact which cannot easily be explained by the existing models of trade and growth. [source] A SURVEY OF RECENT DEVELOPMENTS IN THE LITERATURE OF FINANCE AND GROWTHJOURNAL OF ECONOMIC SURVEYS, Issue 3 2008James B. Ang Abstract This paper provides a survey of the recent progress in the literature of financial development and economic growth. The survey highlights that most empirical studies focus on either testing the role of financial development in stimulating economic growth or examining the direction of causality between these two variables. Although the positive role of finance on growth has become a stylized fact, there are some methodological reservations about the results from these empirical studies. Several key issues unresolved in the literature are highlighted. The paper also points to several directions for future research. [source] APPROXIMATING VOLATILITIES BY ASYMMETRIC POWER GARCH FUNCTIONSAUSTRALIAN & NEW ZEALAND JOURNAL OF STATISTICS, Issue 2 2009Jeremy Penzer Summary ARCH/GARCH representations of financial series usually attempt to model the serial correlation structure of squared returns. Although it is undoubtedly true that squared returns are correlated, there is increasing empirical evidence of stronger correlation in the absolute returns than in squared returns. Rather than assuming an explicit form for volatility, we adopt an approximation approach; we approximate the ,th power of volatility by an asymmetric GARCH function with the power index , chosen so that the approximation is optimum. Asymptotic normality is established for both the quasi-maximum likelihood estimator (qMLE) and the least absolute deviations estimator (LADE) in our approximation setting. A consequence of our approach is a relaxation of the usual stationarity condition for GARCH models. In an application to real financial datasets, the estimated values for , are found to be close to one, consistent with the stylized fact that the strongest autocorrelation is found in the absolute returns. A simulation study illustrates that the qMLE is inefficient for models with heavy-tailed errors, whereas the LADE is more robust. [source] Multivariate Markov Switching Common Factor Models for the UKBULLETIN OF ECONOMIC RESEARCH, Issue 2 2003Terence C. Mills We estimate a model that incorporates two key features of business cycles, comovement among economic variables and switching between regimes of boom and slump, to quarterly UK data for the last four decades. A common factor, interpreted as a composite indicator of coincident variables, and estimates of turning points from one regime to the other, are extracted from the data by using the Kalman filter and maximum likelihood estimation. Both comovement and regime switching are found to be important features of the UK business cycle. The composite indicator produces a sensible representation of the cycle and the estimated turning points agree fairly well with independently determined chronologies. These estimates are sharper than those produced by a univariate Markov switching model of GDP alone. A fairly typical stylized fact of business cycles is confirmed by this model , recessions are steeper and shorter than recoveries. [source] On the Effects of Wage Pressure on the Unemployment Rate and Capital ShareGERMAN ECONOMIC REVIEW, Issue 4 2006Takashi Ohno Wage pressure; increasing returns to scale; unemployment; capital share Abstract. The purpose of this paper is to understand the behaviour of the capital share and the unemployment rate in Europe over the past quarter of a century. We consider a model with monopolistic competition, increasing returns and an imperfect labour market, assuming that the elasticity between capital and labour is less than unity. Previous works have generally assumed constant returns to scale. Our results offer an important conclusion, namely that increased wage pressure will increase the unemployment rate and the capital share even though the latter initially decreases, which fits the stylized facts about the studied economies. [source] Gender Wage Differences in West Germany: A Cohort AnalysisGERMAN ECONOMIC REVIEW, Issue 4 2002Bernd Fitzenberger A comprehensive descriptive analysis of gender wage differences over a long time period does not exist for West Germany. Using an empirical approach which explicitly takes into account changes of wage distributions for both males and females as well as life,cycle and birth cohort effects, we go beyond conventional decomposition techniques of the average gender wage gap. The paper provides stylized facts of the level and dynamics of the gender wage gap from 1975,95. The empirical analysis is based upon the IAB employment subsample. Our findings confirm the importance of distributional effects relating to skill level and employment status. While life,cycle wage growth is in general much lower for females compared to males, comparing their estimated time trends implies that the gender wage gap has narrowed substantially in the lower part of the wage distribution especially for low, and medium,skilled females but much less so in the upper part of the wage distribution. Surprisingly, we do not find any cohort effects for wages of female employees. [source] Sovereign Wealth Funds: Stylized Facts about their Determinants and Governance,INTERNATIONAL FINANCE, Issue 3 2009Joshua Aizenman Concerns about the implications of foreign investments by sovereign wealth funds (SWFs) stem in large part from apprehensions about the objectives and governance quality of these institutions. This paper contributes to a better understanding of the stylized facts of SWFs by providing a statistical analysis of a range of characteristics of SWFs, including the motivation for their establishment as well as their size, governance and effect on reserve management behaviour. Specifically, it estimates what factors foster the establishment of SWFs as well as affect their size. It also investigates the extent to which the governance and transparency of individual SWFs correlate with domestic and global governance practices. Lastly, it analyses how asset accumulation by SWFs may affect central bank holdings of official reserves. [source] Do EMU Members Share the Same Business Cycle?,JCMS: JOURNAL OF COMMON MARKET STUDIES, Issue 5 2004CARLO ALTAVILLA The article analyses alternative approaches for dating the business cycles of a set of European monetary union (EMU) member states. First, the framework for analysing cyclical behaviour in economic activity is presented. Second, the dating algorithm is applied to both the classical cycle and the growth cycle in order to recover stylized facts of the business cycle in Europe. Third, the article utilizes different econometric techniques to evaluate the synchronicity of national cycles and the euro area aggregate cycle, and compare the results with that of the USA. A convergence analysis is also employed. Finally, a multivariate extension of the Hamilton-Markov switching model is constructed to analyse the euro area business cycle. The results suggest that, although during the main recessionary periods the euro area economies shared a similar output dynamic, some differences still remain in the size and timing of the business cycle features. The results also suggest that adhesion to the new currency area is likely to lead to stronger synchronization of EMU members' business cycles. [source] New frontiers for arch modelsJOURNAL OF APPLIED ECONOMETRICS, Issue 5 2002Robert Engle In the 20 years following the publication of the ARCH model, there has been a vast quantity of research uncovering the properties of competing volatility models. Wide-ranging applications to financial data have discovered important stylized facts and illustrated both the strengths and weaknesses of the models. There are now many surveys of this literature. This paper looks forward to identify promising areas of new research. The paper lists five new frontiers. It briefly discusses three,high-frequency volatility models, large-scale multivariate ARCH models, and derivatives pricing models. Two further frontiers are examined in more detail,application of ARCH models to the broad class of non-negative processes, and use of Least Squares Monte Carlo to examine non-linear properties of any model that can be simulated. Using this methodology, the paper analyses more general types of ARCH models, stochastic volatility models, long-memory models and breaking volatility models. The volatility of volatility is defined, estimated and compared with option-implied volatilities. Copyright © 2002 John Wiley & Sons, Ltd. [source] What have We Learnt from the Convergence Debate?JOURNAL OF ECONOMIC SURVEYS, Issue 3 2003Nazrul Islam This paper surveys the convergence literature. It begins by laying out different definitions of convergence and by showing the link between the convergence issue and the growth theory debate. The paper then follows the convergence research conducted along four different approaches, namely the cross-section, panel, time-series, and distribution approaches. The paper shows the association of these methodological approaches with various definitions of convergence and highlights the connections among the convergence results. It shows that, despite some impressions to the contrary, there is considerable agreement among the results. Although the convergence research might not have solved the growth debate entirely, it has helped both the neoclassical and the new growth theories to adapt and evolve. The research on convergence has established new stylized facts regarding cross-country growth regularities. It has brought to fore the existence of large technological and institutional differences across countries and has given rise to new methodologies for quantifying and analyzing these differences. This is providing a new information base for analysis of technological and institutional diffusion and for further development of growth theory in general. [source] Open Source Software: Private Provision of a Public GoodJOURNAL OF ECONOMICS & MANAGEMENT STRATEGY, Issue 4 2002Justin Pappas Johnson A simple model of open source software (as typified by the GNU-Linux operating system) is presented. Individual user-programmers decide whether to invest their own effort to develop a software enhancement that will become a public good if so developed. The effect of changing the population size of user-programmers is considered; finite and asymptotic results are given. Welfare results are presented. It is shown that whether development will increase when applications have a modular structure depends on whether the developer base exceeds a critical size. Potential explanations of several stylized facts are given, including why certain useful programs don't get written. [source] Anatomy of a crisis: the causes and consequences of surging food pricesAGRICULTURAL ECONOMICS, Issue 2008Derek Headey Agricultural policy; Commodity markets; Biofuels Abstract Although the potential causes and consequences of recent rising international food prices have attracted widespread attention, many existing appraisals are superficial and/or piecemeal. This article attempts to provide a more comprehensive review of these issues based on the best and most recent research, as well as on fresh theoretical and empirical analysis. We first analyze the causes of the current crisis by considering how well standard explanations hold up against relevant economic theory and important stylized facts. Some explanations turn out to hold up much better than others, especially rising oil prices, the depreciation of the U.S. dollar, biofuels demand, and some commodity-specific explanations. We then provide an appraisal of the likely macro- and microeconomic impacts of the crisis on developing countries. We observe a large gap between macro and micro factors, which, when identifying the most vulnerable countries, often point in different directions. We conclude with a brief discussion of what ought to be learned from this crisis. [source] STOCK PRICE VOLATILITY, NEGATIVE AUTOCORRELATION AND THE CONSUMPTION,WEALTH RATIO: THE CASE OF CONSTANT FUNDAMENTALSPACIFIC ECONOMIC REVIEW, Issue 2 2010Charles Ka Yui Leung Based on infinite horizon models, previous theoretical works show that the empirical stock price movement is not justified by the changes in dividends. The present paper provides a simple overlapping generations model with constant fundamentals in which the stock price displays volatility and negative autocorrelation even without changes in dividend. The horizon of the agents matters. In addition, as in recent empirical works, the aggregate consumption,wealth ratio ,predicts' the asset return. Thus, this framework may be useful in understanding different stylized facts in asset pricing. Directions for future research are also discussed. [source] Exponential Growth Bias and Household FinanceTHE JOURNAL OF FINANCE, Issue 6 2009VICTOR STANGO ABSTRACT Exponential growth bias is the pervasive tendency to linearize exponential functions when assessing them intuitively. We show that exponential growth bias can explain two stylized facts in household finance: the tendency to underestimate an interest rate given other loan terms, and the tendency to underestimate a future value given other investment terms. Bias matters empirically: More-biased households borrow more, save less, favor shorter maturities, and use and benefit more from financial advice, conditional on a rich set of household characteristics. There is little evidence that our measure of exponential growth bias merely proxies for broader financial sophistication. [source] The Distributional Heterogeneity of Growth Effects: Some EvidenceTHE MANCHESTER SCHOOL, Issue 4 2003Brendan M. Cunningham This paper applies quantile regression and non-parametric density estimation techniques to international data on long-run economic growth. The approach reveals that previously identified drivers of growth vary in their impact across the conditional distribution of international growth. Specifically, these factors display disparate effects in conditional low-growth and high-growth contexts. The results suggest that there is a general bias underlying prior research. The incumbent drivers of growth exhibit relatively larger coefficients, in absolute value, on the upper tail of the conditional growth distribution. This set of stylized facts identifies factors that might alter the international distribution of growth. [source] Empirical modelling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implicationsAPPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, Issue 1 2002Helmut Herwartz Abstract We analyse daily changes of two log foreign exchange (FX) rates involving the Deutsche Mark (DEM) for the period 1975,1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). To account for volatility clustering we fit a GARCH(1,1)-model with leptokurtic innovations. Its parameters are not stable over the sample period and two separate variance regimes are selected for both exchange rate series. The identified points of structural change are close to a change of the monetary policies in the US and Japan, the latter of which is followed by a long period of decreasing asset prices. Having identified subperiods of homogeneous volatility dynamics we concentrate on stylized facts to distinguish these volatility regimes. The bottom level of estimated volatility turns out be considerably higher during the second part of the sample period for both exchange rates. A similar result holds for the average level of volatility and for implied volatility of heavily traded at the money options. Copyright © 2002 John Wiley & Sons, Ltd. [source] Advanced Statistics: Developing a Formal Model of Emergency Department Census and Defining Operational EfficiencyACADEMIC EMERGENCY MEDICINE, Issue 9 2007Thomas J. Flottemesch PhD Background: Emergency department (ED) crowding has been a frequent topic of investigation, but it is a concept without an objective definition. This has limited the scope of research and progress toward the development of consistent and meaningful operational responses. Objectives: To develop a straightforward model of ED census that incorporates concepts of ED crowding, daily patient surge, throughput time, and operational efficiency. Methods: Using 2005,2006 patient encounter data at a Level 1 urban trauma center, a set of three stylized facts describing daily patterns of ED census was observed. These facts guided the development of a formal, mathematical model of ED census. Using this model, a metric of ED operational efficiency and a forecast of ED census were developed. Results: The three stylized facts of daily ED census were 1) ED census is cyclical, 2) ED census exhibits an input-output relationship, and 3) unexpected shocks have long-lasting effects. These were represented by a three-equation system. This system was solved for the following expression, Censust = A(·) + B(·) cos(vT +,) + a(et), that captured the time path of ED census. Using nonlinear estimation, the parameters of this expression were estimated and a forecasting tool was developed. Conclusions: The basic pattern of ED census can be represented by a straightforward expression. This expression can be quickly adapted to a variety of inquiries regarding ED crowding, daily surge, and operational efficiency. [source] Returns to Schooling and Bayesian Model Averaging: A Union of Two LiteraturesJOURNAL OF ECONOMIC SURVEYS, Issue 2 2004Justin L. Tobias Abstract., In this paper, we review and unite the literatures on returns to schooling and Bayesian model averaging. We observe that most studies seeking to estimate the returns to education have done so using particular (and often different across researchers) model specifications. Given this, we review Bayesian methods which formally account for uncertainty in the specification of the model itself, and apply these techniques to estimate the economic return to a college education. The approach described in this paper enables us to determine those model specifications which are most favored by the given data, and also enables us to use the predictions obtained from all of the competing regression models to estimate the returns to schooling. The reported precision of such estimates also account for the uncertainty inherent in the model specification. Using U.S. data from the National Longitudinal Survey of Youth (NLSY), we also revisit several ,stylized facts' in the returns to education literature and examine if they continue to hold after formally accounting for model uncertainty. [source] | ||||||||||||||||