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We study the properties of a test that determines whether two time series comove. The test computes a simple nonparametric statistic for “concordance,” which describes the proportion of time that the cycles of two series spend in the same phase. We establish the size and power properties of this test. As an illustration, the procedures are applied to output series from selected major industrial countries. We find limited evidence of widespread concordance for these countries.
Macroeconomics --- Public Finance --- Semiparametric and Nonparametric Methods --- Business Fluctuations --- Cycles --- Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) --- National Government Expenditures and Related Policies: General --- Economic growth --- Public finance & taxation --- Business cycles --- Public expenditure review --- Expenditure --- Expenditures, Public --- United States
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Private foreign banks dominate the banking system although their market share declined in the 1990s while that of private indigenous banks increased. The banking system was not concentrated either within or across countries. Stigler’s survivor test indicated that large banks tended to reduce their scale over time. Private foreign and private indigenous banks exhibited similar distributions with respect to operating expenses but private foreign banks were most profitable. High interest rate spreads appeared attributable to higher average costs related to market size and geographic peculiarities.
Banks and Banking --- Industries: Financial Services --- Semiparametric and Nonparametric Methods --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Interest Rates: Determination, Term Structure, and Effects --- Banking --- Finance --- State-owned banks --- Foreign banks --- Commercial banks --- Loans --- Financial institutions --- Deposit rates --- Financial services --- Banks and banking --- Banks and banking, Foreign --- Interest rates --- United States
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This paper assesses the efficiency of education expenditure in Portugal and delineates a possible agenda for reform. Portugal’s low educational performance has coincided with the highest level of primary and secondary education expenditure to GDP in the Organization for Economic Cooperation and Development (OECD), suggesting considerable inefficiency. Empirical results from the application of a nonparametric technique for production frontier estimation (Free Disposable Hull analysis) support this view. Among the reforms that could be considered to raise educational efficiency are the adoption of a goal-oriented management and incentive system; establishment of minimum student/teacher ratios; and an easing of employment and work rules governing public school teachers.
Public Finance --- Demography --- Semiparametric and Nonparametric Methods --- National Government Expenditures and Education --- Education: General --- Economics of the Elderly --- Economics of the Handicapped --- Non-labor Market Discrimination --- Demographic Economics: General --- National Government Expenditures and Related Policies: General --- Education --- Public finance & taxation --- Population & demography --- Education spending --- Aging --- Population and demographics --- Public expenditure review --- Expenditure --- Expenditures, Public --- Population aging --- Population --- Portugal
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Current estimates of global poverty vary substantially across studies. In this paper we undertake a novel sensitivity analysis to highlight the importance of methodological choices in estimating global poverty. We measure global poverty using different data sources, parametric and nonparametric estimation methods, and multiple poverty lines. Our results indicate that estimates of global poverty vary significantly when they are based alternately on data from household surveys versus national accounts but are relatively consistent across different estimation methods. The decline in poverty over the past decade is found to be robust across methodological choices.
Poverty --- Destitution --- Wealth --- Basic needs --- Begging --- Poor --- Subsistence economy --- Econometric models. --- Econometrics --- Macroeconomics --- Poverty and Homelessness --- Semiparametric and Nonparametric Methods --- Personal Income, Wealth, and Their Distributions --- Global Outlook --- Measurement and Analysis of Poverty --- Economic Development: General --- Welfare, Well-Being, and Poverty: General --- Macroeconomics: Consumption --- Saving --- Aggregate Factor Income Distribution --- Estimation --- Poverty & precarity --- Econometrics & economic statistics --- Personal income --- Consumption --- Income distribution --- Estimation techniques --- National accounts --- Econometric analysis --- Income --- Economics --- Econometric models --- Central African Republic
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Both sides of the institutions and growth debate have resorted largely to microeconometric techniques in testing hypotheses. In this paper, I build a panel structural vector autoregression (SVAR) model for a short panel of 119 countries over 10 years and find support for the institutions hypothesis. Controlling for individual fixed effects, I find that exogenous shocks to a proxy for institutional quality have a positive and statistically significant effect on GDP per capita. On average, a 1 percent shock in institutional quality leads to a peak 1.7 percent increase in GDP per capita after six years. Results are robust to using a different proxy for institutional quality. There are different dynamics for advanced economies and developing countries. This suggests diminishing returns to institutional quality improvements.
Economic development --- Institutions (Philosophy) --- Philosophy --- Econometric models. --- Econometrics --- Macroeconomics --- Institutions and Growth --- Multiple or Simultaneous Equation Models: Models with Panel Data --- Semiparametric and Nonparametric Methods --- Estimation --- Time-Series Models --- Dynamic Quantile Regressions --- Dynamic Treatment Effect Models --- Diffusion Processes --- State Space Models --- Personal Income, Wealth, and Their Distributions --- Econometrics & economic statistics --- Estimation techniques --- Vector autoregression --- Structural vector autoregression --- Personal income --- Econometric analysis --- National accounts --- Econometric models --- Income --- United States
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It is common for IMF-supported adjustment programs with low-income member countries (LICs) to project that they will facilitate FDI inflows. The main objective of this paper is to empirically examine this hypothesis. Using an unbalanced panel dataset for 73 low-income countries over the period 1980–2012, and two different econometric methods that address the selection-bias problem, the empirical results robustly show that participating in IMF-supported program is associated with a significant increase in FDI inflows.
Capital movements -- Developing countries -- Econometric models. --- Economic assistance -- Developing countries -- Econometric models. --- International monetary fund. --- Investments, Foreign -- Developing countries -- Econometric models. --- Exports and Imports --- Macroeconomics --- International Investment --- Long-term Capital Movements --- International Monetary Arrangements and Institutions --- Estimation --- Semiparametric and Nonparametric Methods --- Single Equation Models --- Single Variables: Cross-Sectional Models --- Spatial Models --- Treatment Effect Models --- Comparison of Public and Private Enterprises and Nonprofit Institutions --- Privatization --- Contracting Out --- Finance --- Foreign direct investment --- Balance of payments --- Economic sectors --- Investments, Foreign --- United States
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We propose a framework to link empirical models of systemic risk to theoretical network/ general equilibrium models used to understand the channels of transmission of systemic risk. The theoretical model allows for systemic risk due to interbank counterparty risk, common asset exposures/fire sales, and a “Minsky" cycle of optimism. The empirical model uses stock market and CDS spreads data to estimate a multivariate density of equity returns and to compute the expected equity return for each bank, conditional on a bad macro-outcome. Theses “cross-sectional" moments are used to re-calibrate the theoretical model and estimate the importance of the Minsky cycle of optimism in driving systemic risk.
Banks and Banking --- Finance: General --- Industries: Financial Services --- Semiparametric and Nonparametric Methods --- Financial Forecasting and Simulation --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Financing Policy --- Financial Risk and Risk Management --- Capital and Ownership Structure --- Value of Firms --- Goodwill --- General Financial Markets: Government Policy and Regulation --- General Financial Markets: General (includes Measurement and Data) --- Banking --- Finance --- Systemic risk --- Interbank markets --- Consumer loans --- Loans --- Banks and banking --- Financial risk management --- International finance
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We propose a framework to link empirical models of systemic risk to theoretical network/ general equilibrium models used to understand the channels of transmission of systemic risk. The theoretical model allows for systemic risk due to interbank counterparty risk, common asset exposures/fire sales, and a “Minsky" cycle of optimism. The empirical model uses stock market and CDS spreads data to estimate a multivariate density of equity returns and to compute the expected equity return for each bank, conditional on a bad macro-outcome. Theses “cross-sectional" moments are used to re-calibrate the theoretical model and estimate the importance of the Minsky cycle of optimism in driving systemic risk.
Banks and Banking --- Finance: General --- Industries: Financial Services --- Semiparametric and Nonparametric Methods --- Financial Forecasting and Simulation --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Financing Policy --- Financial Risk and Risk Management --- Capital and Ownership Structure --- Value of Firms --- Goodwill --- General Financial Markets: Government Policy and Regulation --- General Financial Markets: General (includes Measurement and Data) --- Banking --- Finance --- Systemic risk --- Interbank markets --- Consumer loans --- Loans --- Banks and banking --- Financial risk management --- International finance
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This paper examines dynamic patterns of investment in Cameroon, Ghana, Kenya, Zambia and Zimbabwe, assessing the consistency of those patterns with different adjustment cost structures. Using survey data on manufactured firms, we document the importance of zero investment episodes and lumpy investment. The proportion of firms experiencing large investment spikes is significant in explaining aggregate manufacturing investment. Taken together, evidence from descriptive statistics, average investment regressions modeling the response to capital imbalance, and transition data analysis indicate that irreversibility is an important factor considered by firms when making investment plans. The picture is not unanimous however, and some explanations for the mixed results are proposed.
Econometrics --- Investments: Stocks --- Labor --- Agribusiness --- Industries: Manufacturing --- Investment --- Capital --- Intangible Capital --- Capacity --- Microeconomic Analyses of Economic Development --- Semiparametric and Nonparametric Methods --- Pension Funds --- Non-bank Financial Institutions --- Financial Instruments --- Institutional Investors --- Industry Studies: Manufacturing: General --- Agricultural Markets and Marketing --- Cooperatives --- Employment --- Unemployment --- Wages --- Intergenerational Income Distribution --- Aggregate Human Capital --- Aggregate Labor Productivity --- Discrete Regression and Qualitative Choice Models --- Discrete Regressors --- Proportions --- Investment & securities --- Manufacturing industries --- Agriculture, agribusiness & food production industries --- Labour --- income economics --- Econometrics & economic statistics --- Stocks --- Manufacturing --- Agroindustries --- Logit models --- Financial institutions --- Economic sectors --- Econometric analysis --- Agricultural industries --- Economic theory --- Econometric models --- Zimbabwe
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