Search results for " Economic Growth"
showing 10 items of 302 documents
Pricing and hedging GDP-linked bonds in incomplete markets
2018
Abstract We model the super-replication of payoffs linked to a country’s GDP as a stochastic linear program on a discrete time and state-space scenario tree to price GDP-linked bonds. As a byproduct of the model we obtain a hedging portfolio. Using linear programming duality we compute also the risk premium. The model applies to coupon-indexed and principal-indexed bonds, and allows the analysis of bonds with different design parameters (coupon, target GDP growth rate, and maturity). We calibrate for UK and US instruments, and carry out sensitivity analysis of prices and risk premia to the risk factors and bond design parameters. We also compare coupon-indexed and principal-indexed bonds. F…
The impact of globalization on regional development and competitiveness: cases of selected regions
2019
International audience; The objective of this study is to conduct an analysis of regional development and competitiveness in the EU and Latvia under current conditions of economic globalization. This paper makes an attempt to evaluate a theory of regional development and regional competitiveness concept in relation to regional competitiveness in the light of current global economic changes. The authors emphasise that the regional development is based on competitive advantages, which has been a subject of fundamental research by Michal Porter and that serves as a basis for the current scientific methodology to assess competitiveness of regions and countries. The authors support a view of man…
World Interest Rates, Inequality and Growth: an Empirical Analysis of the Galor-Zeira Model
2014
Following Galor and Zeira (1993), we study the effect of the world interest rate on inequality and growth for the period 1985-2005, characterized by falling world interest rates and cross-country income polarization. We argue that the two phenomena are related on th e basis of the following findings, which are in accordance with the predictions of the Galor and Zeira model: 1) a reduction of the world inter est rates increases inequality in rich countries and decreases inequ ality in poor countries; 2) inequality has a negative (and significant) eff ect on human capital accumulation in rich countries and a positive (b ut mostly not significant) effect in poor countries; 3) human capital po …
The impact of cultural and creative industries on the wealth of countries, regions and municipalities
2021
[EN] This paper compares the total impact of cultural and creative industries (CCIs) on per capita income of countries, regions and municipalities. We estimate the total effects of CCIs in 78 developed and developing countries in 5 continents, in 275 European regions and in 518 municipalities in the European region of Valencia, using data obtained from multiple databases and nonparametric local linear least squares. The average effects of CCIs are positive in the three territorial scales, in both low- and high-income locations, and increase in conjunction with increases in development, with high and very high developed places showing greater impacts. CCIs are, thus, a powerful resource for …
Socio-economic inequalities and organized crime: An empirical analysis
2020
In this chapter we contribute to the recent literature (e.g., Istat, 2010, Acciari et al., 2016, Guell et al., 2017) that provides evidence that inequality is high and social mobility is low in the Italian regions and prov-inces where organized crime is widespread such as those of Southern Italy. We complement this line of work in two respects. First, using a novel pan-el dataset at the regional level for the period 1985-2014 we investigate the relationship between inequality and organized crime at the regional level, exploiting both time and cross-sectional variation. Second, we assess the role of social mobility in organized crime. Our main finding is that higher inequality leads to highe…
Economic crisis and educational crisis : looking ahead
1986
The worldwide economic crisis has now been with us for a good ten years and, for many countries, the end of the tunnel is not yet in sight and is probably a long way off. So what kind of crisis is this, that can continue for so long, given the fact that, etymologically, the term denotes a brief, crucial moment when the outcome of a troubled situation is decided, for better or for worse? Infelicitous as the term commonly used to describe the present state of the world economy may be, it is none the less true that what is designated as a crisis encompasses a historical phase in which economic growth is lower than in the preceding phase and the problems bound up with certain economic trends (i…
Global factors, uncertainty, weather conditions and energy prices: On the drivers of the duration of commodity price cycle phases
2020
We investigate the role of global factors in explaining the length of commodity price cycle phases, using a continuous-time Weibull duration model and data for a panel of 33 countries over the period 1980Q1-2015Q4. We find evidence of increasing (constant) positive duration dependence for commodity price booms and busts (normal time spells). Global macroeconomic conditions - in particular, inflation, economic policy uncertainty and monetary policy actions - significantly affect the duration of all commodity price cycle phases. Global environmental conditions also impact the duration of commodity price booms, with a rise in average temperature (rainfall) increasing (reducing) their length. A…
Unconventional monetary policy reaction functions: evidence from the US
2020
Abstract We specify unconventional monetary policy reaction functions for the Fed using linear and nonlinear econometric frameworks. We find that nonstandard policy measures are largely driven by the dynamics of inflation and the output gap, with the effect being particularly strong during QE rounds. Moreover, we uncover the presence of asymmetry and regime dependence in central bank’s actions since the global financial crisis, especially concerning the response of the term spread and the shadow short rate to the growth rate of central bank reserves. From a policy perspective and given the lack of a systematic response of monetary policy to asset price growth in nonstandard times, our findi…
How does monetary policy respond to the dynamics of the shadow banking sector?
2020
We investigate the response of the central bank to the change in size of non-bank financial intermediaries. Using quarterly data for the U.S. over the period 1946:Q1-2016Q4, we find that when faced with an increase in the asset growth of the securities' brokers and dealers and the shadow banking sector, the monetary authority reacts by raising the short-term nominal interest rate. This response is stronger in the case of sharp variation in the size of the balance sheet of nonbank financial intermediaries. From a policy perspective, our study suggests that an extended version of the original Taylor rule - embedding both price stability and financial stability concerns – provides a good chara…
On the duration of sovereign ratings cycle phases
2021
Abstract Using long-term sovereign ratings data for a panel of 130 countries over the last three decades, we investigate the duration and determinants of sovereign rating phases through the lens of discrete-time Weibull models. We find that the likelihood of the end of the ‘speculative-grade’ phase increases as time goes by (i.e. there is positive duration dependence), but the ‘investment-grade’ phase is not duration dependent. Thus, for sovereigns rated as speculative, the build-up of reputation as good borrowers is a gradual process, whereas the reputation of investment-grade sovereigns solidifies and remains unchanged as time passes. However, the length of both phases significantly depen…