Portuguese Economic Journal, 2024, Volume 23, Nº 1, 2024
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- Endogenous time preference and infrastructure‑led growth with an unexpected numerical examplePublication . Hosoya, KeiThis paper shows the construction of a growth model that includes public infrastruc ture and a related externality and investigates the dynamic properties of the model for a specifc endogenous time preference function. After suggesting a saddle-path stability for long-term equilibrium under an endogenous time preference, numerical analysis of the model then reveals an unexpected relation between the strength of the externality, the magnitude of the rate of time preference, and the growth rate of the economy. In addition, it is found that multiple equilibria are unlikely to be supported empirically by the model in this paper
- The asymmetric effect of income and price changes on the consumption expenditures : evidence from G7 countries using nonlinear bounds testing approachPublication . Wang, Xi; Chang, Bisharat Hussain; Uche, Emmanuel; Zhao, QianliPrevious studies mainly focused on linear models to examine the relationship between price changes, income changes, and consumption expenditures. However, the recent literature supports the nonlinear relationship between economic and fnancial varia bles. This study contributes to the existing literature using a novel approach called the nonlinear ARDL model. This model helps to examine the efect of positive and nega tive shocks in income and price changes on consumption expenditures. Based on the nonlinear ARDL model, the fndings indicate that an increase in income signifcantly and positively afects household consumption expenditures in the short and long run. In contrast, a decrease in income does not signifcantly afect consumption. Likewise, price changes are unimportant in explaining the changes in consumption expendi tures in the selected countries. Therefore, our fndings support the use of this novel technique to examine the nonlinear nature of the relationship among the given vari ables. These fndings provide important policy implications concerning the positive and negative shocks of the exogenous variables on the dependent variables implying that devising the same policies during increasing and decreasing income and prices may lead to unfavorable consequences that hamper economic growth.
- Impact of technical change via intermediate consumption exhaustive general equilibrium growth accounting and reassessment applied to USA 1954–1990Publication . Daw, GeorgesShould intermediate consumption (IC), which historically accounts for around 50% of the value of production, be considered in growth accounting? The current growth accounting exercise does not model IC. This means that when IC experiences pro ductivity gains, its capacity to transmit them to the whole economy is currently neglected. The rare current literature on this issue diverges substantially on the importance of the role of the IC as an explanatory factor of growth. We propose a bi-sectoral general equilibrium model that allows for an accounting where each pro ductive sector contributes to growth in proportion to its weight in the economy. Our theoretical framework and the (proportional) growth accounting exercise it allows (i.e., calculating the contribution of technical change conveyed by IC and other usual key factors, such as: Global and sectoral TFP, Global and sectoral Capital deepen ing) are thoroughly presented. The proposed framework is autonomous and cali brated pedagogically. However, to illustrate empirically in a comparative way how it works, we have shown that it can also be reduced to a particular case of the litera ture and calibrated it on the US economy (1954–1990). Although this consistently improves the growth accounting accuracy, our results reveal that the IC has never theless contributed only 2% to US growth. We compared this result to the literature. The key factors influencing its magnitude were also highlighted and discussed.
- The effect of economic policy uncertainty under fractional integrationPublication . Ramirez, Carlos D.One of the most popular measures of economic policy uncertainty (EPU) is an in dex based on newspapers coverage of particular keywords. The constructed index is often then included in vector autoregression (VAR) models to examine the extent to which EPU affects economic activity. Researchers, however, have not investigated how the possibility of fractional integration in this index may affect the results. Under fractional integration, the effects of EPU on output in a standard VAR setting may be biased. After confirming that all EPU series posted in policyuncertainty.com are fractionally integrated processes, I estimate a fractionally cointegrated VAR (FCVAR) model to evaluate the dynamic effects of EPU. Likelihood ratio tests in dicate that fractional cointegration cannot be rejected at low lag orders. In addition, I investigate the effect of EPU on output after applying various filters to remove the long-memory component. While I still find that EPU imparts a negative effect on output, relative to Baker et al. (2016)’s results, the effects tend to be smaller in magnitude. Treating long memory, therefore, is important for accurate estimation of the dynamic effects.
- Evaluating the efficiency and determinants of mass tourism in Spain : a tourist area perspectivePublication . Sánchez‑Sánchez, Francisca J.; Sánchez‑Sánchez, Ana M.Tourism is one of the fastest-growing economic sectors. This has piqued increasing interest in the evaluation of the performance of the sector. This paper joins this line of research by providing a potential framework for measuring efficiency in the con text of a country such as Spain, where sun-and-sand tourism, usually associated with mass tourism, predominates. Tourist areas located on the coast provide the units of reference. Data Envelopment Analysis (DEA) is applied to determine the efficiency score and a Tobit-type model is employed to analyse the factors that determine effi ciency. The results show that the impact of mass tourism on labour efficiency is geographically unequal, with the most efficient of the tourist areas located on the peninsular archipelagos. The analysis of the contribution of each input to the effi ciency score reveals the pre-eminent role of tourism infrastructure as a lure for sun and-sand tourism.
- Does media coverage matter for the performance of technical trading strategies? Evidence from TaiwanPublication . Wu, Yao-Tsung; Liu, Chien-Hung; Lin, Kuo-Hao; Ke, Dun-YaoMotivated by the idea that “coverage by mass media can play a role in alleviating information problems even if it does not break genuine news” (Fang and Peress, 2009: 2050), this study is first to relate media coverage to performing moving av erage (MA) technical trading in the cross-section. Testing a sample of Taiwanese listed stocks over the period 1996 to 2021, we find that the MA strategy’s profitabil ity is high (low) for portfolios grouped by stocks with low (high) media coverage. For the “low-media-coverage” portfolio, the MA strategy earns about 24.75% per annum, adjusting for the Fama–French five risk factors. The MA’s superior perfor mance on the “low-media-coverage” portfolio remains after controlling for market liquidity and market sentiment. We also find that the low media effect on the MA strategy’s profitability is more pronounced during recessionary periods. Our overall results are supported by the hypothesis that a low level of media coverage induces investor inattention and slows information diffusion, which amplifies the investors’ under reaction bias and stronger price continuation, being associated with a higher MA strategy’s profitability
- Stock market reaction to the COVID‑19 pandemic : an event studyPublication . Ji, Xiuping; Bu, Naipeng (Tom); Zheng, Chen; Xiao, Honggen; Liu, Caixia; Chen, Xuesheng; Wang, KangpingThe COVID-19 pandemic created unprecedented challenges for communities and economies around the world. Based on 13 leading global stock indices, the event study method is adopted in this research to explore the impact of the COVID-19 pandemic on the performance of the stock market indices in the short term. Regres sion results show that the global stock markets performed poorly in response to the COVID-19 pandemic. The findings of the event study imply that the stock markets reacted rapidly and negatively to the COVID-19 pandemic when lockdown restric tions were announced to contain the spread of the novel coronavirus. The Asian stock indices experienced more negative abnormal earnings than the stock indices of the countries outside Asia. Moreover, investor sentiments act as a wedge between financial investment decisions, returns, and fear of uncertainty caused by the pan demic. Furthermore, the panic experienced by investors may be an effective trans mission channel through which the COVID-19 outbreak affects the returns on the stock market indices.