How useful is the genuine savings rate as a sustainability indicator for regions within countries? Australia and Queensland compared

This article shows how macroeconomic indicators of sustainable development can be applied to the Queensland economy. While recognising the complex and contentious theoretical and practical issues in deriving the Genuine Savings Rate (GSR) to serve as such an indicator, we use the World Bank's methodology, which includes only mineral depletion, deforestation and carbon dioxide emissions as environmental terms, to estimate GSRs for Queensland for the period 1989 to 1999, and compare these to World Bank estimates of Australia's GSR for the same period. We find that Queensland has a higher rate of natural resource depletion and a lower GSR than the whole of Australia. We also examine how well the World Bank GSR performs as a 'headline' measure of overall sustainability, review criticisms of the GSR, and compare its implicit policy implications with those of net state savings, and of the GSR plus a suite of other indicators.

Stock price distributions and news:evidence from index options

We estimate the shape of the distribution of stock prices using data from options on the underlying asset, and test whether this distribution is distorted in a systematic manner each time a particular news event occurs. In particular we look at the response of the FTSE100 index to market wide announcements of key macroeconomic indicators and policy variables. We show that the whole distribution of stock prices can be distorted on an event day. The shift in distributional shape happens whether the event is characterized as an announcement occurrence or as a measured surprise. We find that larger surprises have proportionately greater impact, and that higher moments are more sensitive to events however characterised.

Technical efficiency determinants within a dual banking system:a DEA-bootstrap approach

The purpose of this study is to provide a comparative analysis of the efficiency of Islamic and conventional banks in Gulf Cooperation Council (GCC) countries. In this study, we explain inefficiencies obtained by introducing firm-specific as well as macroeconomic variables. Our findings indicate that during the eight years of study, conventional banks largely outperform Islamic banks with an average technical efficiency score of 81% compared to 95.57%. However, it is clear that since 2008, efficiency of conventional banks was in a downward trend while the efficiency of their Islamic counterparts was in an upward trend since 2009. This indicates that Islamic banks have succeeded to maintain a level of efficiency during the subprime crisis period. Finally, for the whole sample, the analysis demonstrates the strong link of macroeconomic indicators with efficiency for GCC banks. Surprisingly, we have not found any significant relationship in the case of Islamic banks.

Konjunktúraingadozások az Egyesült Államokban 1970-2010 - Értelmezési nehézségek = Business cycles and recession patterns in the US economy and in the G7

Lehet-e beszélni a 2011-ig felgyülemlett empirikus tapasztalatok tükrében egy egységes válságlefolyásról, amely a fejlett ipari országok egészére általában jellemző, és a meghatározó országok esetében is megragadható? Megállapíthatók-e olyan univerzális változások a kibocsátás, a munkapiacok, a fogyasztás, valamint a beruházás tekintetében, amelyek jól illeszkednek a korábbi tapasztalatokhoz, nem kevésbé az ismert makromodellek predikcióihoz? A válasz – legalábbis jelen sorok írásakor – nemleges: sem a válság lefolyásának jellegzetességeiben és a makrogazdasági teljesítmények romlásának ütemében, sem a visszacsúszás mértékében és időbeli kiterjedésében sincsenek jól azonosítható közös jegyek, olyanok, amelyek a meglévő elméleti keretekbe jól beilleszthetők. A tanulmány áttekinti a válsággal és a makrogazdasági sokkokkal foglalkozó empirikus irodalom – a pénzügyi globalizáció értelmezései nyomán – relevánsnak tartott munkáit. Ezt követően egy 60 év távlatát átfogó vizsgálatban próbáljuk megítélni a recessziós időszakokban az amerikai gazdaság teljesítményét azzal a célkitűzéssel, hogy az elmúlt válság súlyosságának megítélése kellően objektív lehessen, legalább a fontosabb makrováltozók elmozdulásának nagyságrendje tekintetében. / === / Based on the empirical evidence accumulated until 2011, using official statistics from the OECD data bank and the US Commerce Department, the article addresses the question whether one can, or cannot, speak about generally observable recession/crisis patterns, such that were to be universally recognized in all major industrial countries (the G7). The answer to this question is a firm no. Changes and volatility in most major macroeconomic indicators such as output-gap, labor market distortions and large deviations from trend in consumption and in investment did all, respectively, exhibit wide differences in depth and width across the G7 countries. The large deviations in output-gaps and especially strong distortions in labor market inputs and hours per capita worked over the crisis months can hardly be explained by the existing model classes of DSGE and those of the real business cycle. Especially bothering are the difficulties in fitting the data into any established model whether business cycle or some other types, in which financial distress reduces economic activity. It is argued that standard business cycle models with financial market imperfections have no mechanism for generating deviation from standard theory, thus they do not shed light on the key factors underlying the 2007–2009 recession. That does not imply that the financial crisis is unimportant in understanding the recession, but it does indicate however, that we do not fully understand the channels through which financial distress reduced labor input. Long historical trends on the privately held portion of the federal debt in the US economy indicate that the standard macro proposition of public debt crowding out private investment and thus inhibiting growth, can be strongly challenged in so far as this ratio is neither a direct indicator of growth slowing down, nor for recession.

Kiigazítás recesszió nélkül. Esettanulmány a magyar stabilizációról = Adjustment without recession: A Case Study of Hungarian Stabilization

1995. március 12-én a magyar kormány és a központi bank szigorú kiigazítási és stabilizációs programot hirdetett meg. A cikk az első eredmények számbavételére tesz kísérletet. A program meghirdetése előtt Magyarország két egymást követő év- ben hatalmas fizetésimérleg-hiányt mutatott fel, és nemzetközi megítélése romlani kezdett. A program radikális intézkedései nyomán elkerülhetővé vált a mexikói vál- sághoz hasonló pénzügyi katasztrófa. Sok makrogazdasági mutató jól érzékelhető javulást jelez: lényegesen csökkent a kereskedelmi mérleg és a folyó fizetési mérleg hiánya, a költségvetés elsődleges egyenlege pozitív lett. Az ilyesféle stabilizációs programokat rendszerint súlyos visszaesés és a munkanélküliség nagy növekedése kíséri. Magyarország elkerülte ezeket a mellékhatásokat: a GDP drasztikus vissza- esés helyett valamelyest tovább növekedett, és a munkanélküliség változatlan ma- radt. A javulásnak nagy ára volt: az életszínvonal erőteljes csökkenése, az infláció felgyorsulása, bár a magyarországi infláció még mindig a kézben tartott, mérsékelt infláció sávjában maradt. A cikk ismerteti a program heterodox módszereit: 1. nagy leértékelés, az előre meghirdetett csúszó árfolyam rezsimjének bevezetése, valamint ideiglenes import- vámpótlék kivetése; 2. határozott jövedelempolitika, amely 12 százalékos reálbércsök- kenést kényszerített ki; 3. fiskális intézkedések, köztük jóléti jogosultságok csök- kentése (a program meghirdetése előtt ezek a jogosultságok tabuk voltak); 4. a hitel- kínálat átcsoportosítása a vállalati szektor javára, a jövedelmezőség növekedése; 5. feszített (bár nem mértéktelenül feszített) monetáris politika, amely lehetővé tette a sikeres vállalatok expanzióját; 6. a privatizáció felgyorsítása, nagy és sikeres lépé- sek egyes kulcsszektorok (energia, telekommunikáció) privatizációjában. Végezetül a tanulmány óva int a túlzott magabiztosságtól és felhívja a figyelmet a potenciális veszélyekre. A makrogazdasági javulás még törékeny. A magyar fejlődés legbiztatóbb sajátossága a termelékenység erőteljes és folyamatos növekedése. / === / On March 12, 1995 Hungary s government and central bank announced a tough program of adjustment and stabilization. This study is an attempt to asses the first results. Before the announcement of the program Hungary had a huge current account deficit for two consecutive years, and her international reputation started to decline. The program s radical measures made it possible to avoid a Mexico-style financial catastrophe. Many macroeconomic indicators show tangible improvement: the trade deficit and the deficit on the current account have been reduced significantly, the primary budget shifted to surplus. These kinds of adjustment programs are usually associated with deep recession and a large increase of unemployment. Hungary avoided these adverse side-effects: GDP instead of a drastic decline, continued to grow somewhat, and unemployment remained unchanged. There was a high price for the improvement: a sharp decline in the standard of living, and an acceleration of inflation, although Hungary is still in the range of controlled, moderate inflation. The paper describes the heterodox instruments of the program: (1) large devaluation, followed by a new exchange rate regime of pre-announced crawling peg, and a temporary import surcharge, (2) energetic income policy, enforcing a 12% cut in real wages; (3) fiscal measures, including cuts in welfare entitlements. That happened for the first time: before the program entitlements had been regarded as taboo ; (4) reallocation of credit supply in favor of the enterprise sector; increase of profitability; (5) tight (but not excessively tight) monetary policy, allowing the expansion of successful private busi- ness; (6) acceleration of privatisation, including large and successful steps in the privatisation of some key sectors (energy, telecommunication). Finally the paper warns against excessive self- confidence and draws the attention to potential dangers. The macroeconomic improvement is still fragile. The most reassuring feature of Hungary s development is the impressive and persistent improvement of productivity.

Essays in economic growth, political economy and institutions

This dissertation analyzes the effects of political and economic institutions on economic development and growth.^ The first essay develops an overlapping-generations political economy model to analyze the incentives of various social groups to finance human capital accumulation through public education expenditures. The contribution of this study to the literature is that it helps explain the observed differences in the economic growth performance of natural resource-abundant countries. The results suggest that the preferred tax rates of the manufacturers on one hand and the political coalition of manufacturers and landowners, on the other hand, are equal to the socially optimal tax rate. However, we show that owners of natural resources prefer an excessively high tax rate, which suppresses aggregate output to a suboptimal level.^ The second essay examines the relationship between the political influence of different social classes and public education spending in panel data estimation. The novel contribution of this paper to the literature is that I proxy the political power and influence of the natural resource owners, manufacturers, and landowners with macroeconomic indicators. The motivation behind this modeling choice is to substantiate the definition of the political power of social classes with economic fundamentals. I use different governance indicators in the estimations to find out how different institutions mediate the overall impact of the political influence of various social classes on public education spending. The results suggest that political stability and absence of violence and rule of law are the important governance indicators.^ The third essay develops a counter argument to Acemoglu et al. (2010) where the thesis is that French institutions and economic reforms fostered economic progress in those German regions invaded by the Napoleonic armies. By providing historical data on urbanization rates used as proxies for economic growth, I demonstrate that similar different rates of economic growth were observed in the regions of France in the post-Napoleonic period as well. The existence of different economic growth rates makes it hard to argue that the differences in economic performance in the German regions that were invaded by the French and those that were spared a similar fate follow from regional differences in economic institutions.^

This Time is Different: Causes and Consequences of British Banking Instability over the Long Run

This paper addresses three questions: (1) How severe were the episodes of banking instability
experienced by the UK over the past two centuries? (2) What have been the macroeconomic
indicators of UK banking instability? and (3) What have been the consequences of UK banking
instability for the cost of credit? Using a unique dataset of bank share prices from 1830 to 2010
to assess the stability of the UK banking system, we find that banking instability has grown more
severe since the 1970s. We also find that interest rates, inflation, lending growth, and equity
prices are consistent macroeconomic indicators of UK banking instability over the long run.
Furthermore, utilising a unique dataset of corporate-bond yields for the period 1860 to 2010, we
find that there is a significant long-run relationship between banking instability and the creditrisk
premium faced by businesses.

Essays on mixed-frequency data : forecasting and unit root testing

Doutoramento em Economia

La cultura y el liderazgo en la estrategia de crecimiento por exportaciones del modelo de desarrollo japonés (1960-1980)

Normalmente el desarrollo de un país se ha explicado desde una perspectiva tradicional en términos de su crecimiento económico, teniendo en cuenta indicadores macroeconómicos como el PIB, la inflación y el desempleo. Poca atención se le ha puesto a la importancia que para el desarrollo de un país representan el capital humano y el proceso de liderazgo. Debido a lo anterior, mediante este estudio de caso, se pretende entender el éxito de la estrategia de crecimiento por exportaciones de Japón entre los años 1960-1980 teniendo en cuenta estos aspectos. Así, se busca sustentar que la incorporación de un tipo de liderazgo transformacional- transaccional y los elementos propios de su cultura como el confucianismo y el budismo, le imprimieron una perspectiva no economicista al éxito del modelo de desarrollo como parte de la triada empresa-estado-universidad. Lo anterior se realizará partiendo de un análisis cualitativo y con un enfoque en la economía política internacional y en el liderazgo. Este último estudiado desde las disciplinas de la administración, la sociología y la psicología

Integrating gender into macroeconomic policy and The use of gender indicators in public policy-making.

This issue of the Gender Dialogue focuses on two programmatic areas of ECLAC’s work over recent years, namely (i) integrating gender into macroeconomic policy and (ii) the use of gender indicators in public policy-making. In its work on integrating gender into macroeconomic policy, the ECLAC Subregional Headquarters for the Caribbean conducted a study to determine the capacity of economic planning units in selected countries of the subregion to integrate gender into the macreconomic planning process and the findings are highlighted below. The study is intended to assist in the development of a training agenda for Caribbean economic planners and others involved in the formulation of macroeconomic policy. Further, as part of a wider ECLAC project on the use of gender indicators in public policy–making, a database of gender indicators for the Caribbean has been created and the broad elements of the database are also presented in this issue.

Business micro-location: factors, preferences and indicators to assess the influence factors

The paper presents a study on business micro-location behaviour as well as corresponding factors of influence, conducted in two metropolitan areas, Bucharest-Ilfov (Romania) and Greater Porto (Portugal). By business micro-location we refer to a specific site such as a building or facility, accommodating a business within a small, compact geographical area (e.g. metropolitan area). At this geographical scale, the macroeconomic layer factors were excluded, applicable when discern between regions or countries. The factors derived from location theory and previous empirical studies were surveyed, completing a cross-sectional analysis in order to find out the specific weights of the location factors and preferences, by region and by industry. Based on already established firms’ feedback on location, the specific weights were granted by each industry to the main location factors, types of areas, and types of accommodation facilities. The authors also suggested a model to integrate these results into a Geographical Information System (GIS).

Microstructural changes befor macroeconomic announcements: Predictability of economic surprises in the U.S. market

Flow of new information is what produces price changes, understanding if the market is unbalanced is fundamental to know how much inventory market makers should keep during an important economic release. After identifying which economic indicators impact the S&P and 10 year Treasuries. The Volume Synchronized Probability of Information-Based Trading (VPIN) will be used as a predictability measure. The results point to some predictability power over economic surprises of the VPIN metric, mainly when calculated using the S&P. This finding appears to be supported when analysing depth imbalance before economic releases. Inferior results were achieved when using treasuries. The final aim of this study is to fill the gap between microstructural changes and macroeconomic events.

Macroeconomic risk in commodities market

The thesis studies the presence of macroeconomic risk in the commodities futures market. I present strong evidence that there is a strong relationship between macroeconomic risk and individual commodities future returns. Furthermore, long-only trading strategies seem to be strongly exposed to systematic risk, while long-short trading strategies (based on basis, momentum and basis-momentum) are found to present no such risk. Instead, I found a strong sentiment exposure in the portfolio returns of these long-short strategies, mainly during recessions. The advantages of following long-short strategies become even clearer when analyzing different macroeconomic regimes.

Economic Survey of Latin America and the Caribbean 2007-2008: Macroeconomic policy and volatility

Includes bibliography

Economic Survey of Latin America and the Caribbean 2010-2011: Internacional integration and macroeconomic policy challenges amid global economic turmoil

Includes bibliography