Search results for "Panel data"

Unemployment Hysteresis in Transition Countries: Evidence using Stationarity Panel Tests with Breaks

2008

The authors test hysteresis versus the natural rate hypothesis in unemployment using panel data for transition countries covering the period 1991:1–2003:11.The advantages of the stationarity tests applied is that they exploit the cross-section variations of the series and, additionally, allow for a different number of endogenous breakpoints in the unemployment series. They do not impose independence on the panel members, so that the critical values are simulated based on their specific panel sizes and time periods. The findings stress the importance of accounting for exogenous shocks in the series and give support to the shifting natural-rate hypothesis of unemployment for all the countries…

Policy uncertainty and foreign direct investment

2020

While foreign direct investment (FDI) is known to be the most stable type of international capital flows, it may be particularly susceptible to heightened uncertainty because of its high fixed costs. We investigate the effect of domestic policy uncertainty on FDI inflows into 16 host countries using the OECD bilateral FDI panel data set and the economic policy uncertainty index from 1985 to 2013. The bilateral structure of the data enables us to disentangle pull factors of FDI from its push factors, thereby obtaining a cleaner causal identification of the higher domestic policy uncertainty effect. To alleviate remaining endogeneity concerns, we use the timing of “exogenous” elections as an …

Inflation anchoring and growth: The role of credit constraints

2022

Abstract Can inflation anchoring foster growth? To answer this question, we use panel data on sectoral growth for 22 manufacturing industries from 39 advanced and emerging market economies over 1990–2014 and employ a difference-in-differences strategy based on the theoretical prediction that higher inflation uncertainty particularly depresses investment in industries that are more credit constrained. Industries characterized by high external financial dependence, liquidity needs, and R&D intensity, and low asset tangibility, tend to grow faster in countries with well-anchored inflation expectations. The results, based on an IV approach—using indicators of monetary policy transparency and ce…

Interest rate co-movements, global factors and the long end of the term spread

2012

The disconnect between rising short and low long interest rates has been a distinctive feature of the 2000s. Both research and policy circles have argued that international forces, such as global monetary policy (e.g. Rogoff, 2006); international business cycles (e.g. Borio and Filardo, 2007); or a global savings glut (e.g Bernanke, 2005) may be responsible. In this paper, we employ recent advances in panel data econometrics to document the disconnect and link it explicitly to the existence of a global latent factor that dominates the long end of the term spread for the recent period; the saving glut story emerges as the most likely contender for the global factor.

Using store level scanner data to improve category management decisions: Developing positioning maps

2009

This paper provides evidence of the usefulness of aggregated point-of-sale scanner data to infer the positioning of competing brands, providing valuable information for category management and hence facilitating decision making. Specifically, the authors propose a methodology to study the internal market structure based on market share models with latent heterogeneity when only macro-level time series data (not individual choices) are available. The proposed approach assumes a multidimensional decomposition, latent in the preference structure that is implicit to these types of models. By empirically applying this approach, the authors (1) simultaneously identify both latent dimensions of co…

Interest rate co-movements, global factors and the long end of the term spread

2010

Price Convergence in the European Union

2004

This study investigates the relationship between market integration and price convergence in international markets. Using a panel data set of consumer price indices (general and by groups and classes), it examines how European market integration has affected cross-country dispersion in the European Union.

How Does Investor Sentiment Affect StockMarket Crises? Evidence from Panel Data

2011

Microfinance beyond self-employment: Evidence for firms in Bulgaria

2017

This paper provides new evidence on the impact of microfinance on job creation beyond self-employment. We examine wage-employment effects for a typical program in Eastern Europe with average loan sizes that are considerably above what has been studied so far. We apply propensity score matching extended by a difference-in-differences estimator to panel data from an individual-lending program to firms in Bulgaria. Our results indicate that microcredit has very positive effects on job creation. Participating firms have on average 2.5 (or 33 percent) more employees two years after receiving a microcredit than matched non-participants. This strong effect seems to be related to a certain loan siz…

On the relationship between knowledge creation and economic performance

2015

An empirical two-equation dynamic panel-data model system with fixed effects is proposed to analyze the relationship between knowledge creation and economic performance across regions over time. Estimates of the model for Spanish regions show that (i) knowledge creation depends on local R&D effort, on the amount of knowledge in use, and on knowledge creation in neighboring regions; and (ii) assimilation of new knowledge depends on local knowledge creation and on assimilation of knowledge in neighboring regions. Both processes include region-specific context fixed effects and region-specific time effects, representing region-specific dynamic influences. The results imply that (a) efficie…