Cross-country effects of regulatory capital arbitrage

One reason for the recent asset price bubbles in many developed countries could be regulatory capital arbitrage. Regulatory and legal changes can help traditional banks to move their assets off their balance sheets into the lightly regulated shadows and thus enable regulatory arbitrage through the securitized sector. This paper adopts a global vector autoregression (GVAR) methodology to assess the effects of regulatory capital arbitrage on equity prices, house prices and economic activity across 11 OECD countries/ regions. A counterfactual experiment disentangles the effects of regulatory arbitrage following a change in the net capital rule for investment banks in April 2004 and the adoption of the Basel II Accord in June 2004. The results provide evidence for the existence of an international finance multiplier, with about half of the countries overshooting U.S. impulse responses. The counterfactual shows that regulatory arbitrage via the U.S. securitized sector may enhance the cross-country reallocation of capital from housing markets towards equity markets.

Public real estate and the term structure of interest rates: a cross-country study

Using a variation of the Nelson-Siegel term structure model we examine the sensitivity of real estate securities in six key global markets to unexpected changes in the level, slop and curvature of the yield curve. Our results confirm the time-sensitive nature of the exposure and sensitivity to interest rates and highlight the importance of considering the entire term structure of interest rates. One issue that is of particular of interest is that despite the 2007-9 financial crisis the importance of unanticipated interest rate risk weakens post 2003. Although the analysis does examine a range of markets the empirical analysis is unable to provide definitive evidence as to whether REIT and property-company markets display heightened or reduced exposure.

A cross-country study on trade credit supply and financial crisis

O objetivo deste trabalho de pesquisa é investigar a oferta de crédito comercial durante períodos de crise financeira em seis países diferentes: Brasil, França, Alemanha, Itália, Espanha e Reino Unido, foram utilizadas informações de empresas de capital aberto entre 2000 e 2011. A literatura internacional documenta que durante o pico de crises financeiras a oferta de crédito comercial aumenta pois as companhias usam o crédito comercial como substituto e/ou complemento ao crédito bancário, apesar de após o momento de pico esta oferta diminui significantemente porque as empresas enfrentam problemas de liquidez causado por escassez de crédito. Mesmo que somente existam evidências pontuais de que a oferta de crédito comercial aumentou durante a crise financeira global de 2008, o efeito pós-crise é perceptível durante a crise Europeia de 2011, pois as empresas europeias diminuíram a oferta de crédito comercial, também evidenciando que estas companhias estavam confrontando problemas de administração de liquidez. Em relação ao uso de crédito comercial como ferramenta de transmissão de capital, nenhuma evidência foi encontrada para provar sua existência em tempo de crise financeira.

Agricultural incentives, growth and poverty in Latin America and the Caribbean: cross-country evidence for the period 1960-2005. Did trade liberalization increase the incomes of the poorest?

Includes bibliography

Farm tourism: a cross-country empirical study in Germany and Italy

PROBLEM In the last few years farm tourism or agritourism as it is also referred to has enjoyed increasing success because of its generally acknowledged role as a promoter of economic and social development of rural areas. As a consequence, a plethora of studies have been dedicated to this tourist sector, focusing on a variety of issues. Nevertheless, despite the difficulties of many farmers to orient their business towards potential customers, the contribution of the marketing literature has been moderate. PURPOSE This dissertation builds upon studies which advocate the necessity of farm tourism to innovate itself according to the increasingly demanding needs of customers. Henceforth, the purpose of this dissertation is to critically evaluate the level of professionalism reached in the farm tourism market within a marketing approach. METHODOLOGY This dissertation is a cross-country perspective incorporating the marketing of farm tourism studied in Germany and Italy. Hence, the marketing channels of this tourist sector are examined both from the supply and the demand side by means of five exploratory studies. The data collection has been conducted in the timeframe of 2006 to 2009 in manifold ways (online survey, catalogues of industry associations, face-to-face interviews, etc.) according to the purpose of the research of each study project. The data have been analyzed using multivariate statistical analysis. FINDINGS A comprehensive literature review provides the state of the art of the main differences and similarities of farm tourism in the two countries of study. The main findings contained in the empirical chapters provide insights on many aspects of agritourism including how the expectations of farm operators and customers differ, which development scenarios of farm tourism are more likely to meet individuals’ needs, how new technologies can impact the demand for farm tourism, etc. ORIGINALITY/VALUE The value of this study is in the investigation of the process by which farmers’ participation in the development of this sector intersects with consumer consumption patterns. Focusing on this process should allow farm operators and others including related businesses to more efficiently allocate resources.

Determining the effect of regulation on Microfinance Institutions Financial Self-Sustainability. A Cross-Country Comparison

Microfinance is an initiative which seeks to address financial inclusion, micro-entrepreneurship, and poverty reduction without over burdening governments. However, the current sector of microfinance is still heavily dependent on the good will of donors. The over-reliance on donations is a feature which threatens the long term sustainability of microfinance. Much has been written about this reliance, but research to date hasn’t empirically examined the effect of regulation as a mediator. This is a critical area of study because regulation directly affects Microfinance Institutions’ (MFI) innovation, and innovation is what shapes the future of microfinance. This thesis considers the role that regulation plays in affecting MFI’s and their ability to innovate in products, services and long-term sustainability via access to capital. Interviews were undertaken with stakeholders in MFI’s, NGO’s, Self-Regulating Bodies, and Regulators in India, Pakistan, and Bangladesh. This thesis discusses findings from interviews in relation to regulatory measures regarding financial self-sustainability of MFI’s. The conclusions of this thesis have implications for policy and inform the microfinance literature.

A longitudinal cross-country study of entrepreneurial orientation

As recent research documents, there has been an impressive effort of studying the entrepreneurial orientation construct and its nomological role. However, most research has been very context specific and based on the analyses of cross-sectional information. We study causal performance effects from entrepreneurial orientation and its key dimensions in two economic contexts–developed and emerging markets. Gathering data on a sample of 94 firms in developed market context and 108 in emerging market context at two time-points we explore our hypotheses. The results suggest that in a developed economy entrepreneurial orientation has a positive impact on firm performance, whereas in the emerging market context this effect is negative. Furthermore, we assess the contribution of each dimension to the aggregate construct and reveal the importance of risk-taking in both contexts. Finally, we highlight the role of environmental dynamism and explain its varying effect

Sex differences in heart rate variability: a longitudinal study in international elite cross-country skiers

PURPOSE: Exercise-related sudden cardiac deaths (SCD) occur with a striking male predominance. A higher sympathetic tone in men has been suggested as risk factor for SCD. Elite athletes have the highest risk for exercise-related SCD. We aimed to analyze the autonomic nervous system of elite cross-country skiers from Norway, Russia and Switzerland in supine position and after orthostatic challenge in various training periods (TP). METHOD: Measurements of heart rate variability (HRV) were performed on a weekly basis over 1 year using an orthostatic challenge test with controlled breathing. Main outcome parameters were the high-frequency power in supine position (HFsupine) as marker of cardiac parasympathetic activity and the low-frequency/high-frequency power ratio after orthostatic challenge (LF/HFstand) as marker of cardiac sympathetic activation. Training intensity and duration were recorded daily and expressed as training strain. The training year was divided into three TPs. An average of weekly HRV measurements was calculated for each TP. RESULT: Female (n = 19, VO2max 62.0 +/- 4.6 ml kg(-1) min(-1), age 25.8 +/- 4.3 years) and male (n = 16, VO2max 74.3 +/- 6.3 ml kg(-1) min(-1), age 24.4 +/- 4.2 years) athletes were included. Training strain was comparable between sexes (all p > 0.05) and changed between TPs (all p < 0.05) while no HRV parameters changed over time. There were no sex differences in HFsupine while the LF/HFstand was significantly higher in male athletes in all TPs. CONCLUSION: For a comparable amount of training, male athletes showed constantly higher markers of sympathetic activity after a provocation maneuver. This may explain part of the male predominance in sports-related SCD.

Cross-Country Evidence on Output Growth Volatility: Nonstationary Variance and GARCH Models

This paper revisits the issue of conditional volatility in real GDP growth rates for Canada, Japan, the United Kingdom, and the United States. Previous studies find high persistence in the volatility. This paper shows that this finding largely reflects a nonstationary variance. Output growth in the four countries became noticeably less volatile over the past few decades. In this paper, we employ the modified ICSS algorithm to detect structural change in the unconditional variance of output growth. One structural break exists in each of the four countries. We then use generalized autoregressive conditional heteroskedasticity (GARCH) specifications modeling output growth and its volatility with and without the break in volatility. The evidence shows that the time-varying variance falls sharply in Canada, Japan, and the U.K. and disappears in the U.S., excess kurtosis vanishes in Canada, Japan, and the U.S. and drops substantially in the U.K., once we incorporate the break in the variance equation of output for the four countries. That is, the integrated GARCH (IGARCH) effect proves spurious and the GARCH model demonstrates misspecification, if researchers neglect a nonstationary unconditional variance.

Do Foreign Currency Deposits Promote or Deter Financial Development in Low-Income Countries? An Empirical Analysis of Cross-Country Data

Foreign currency deposits (FCD) are prevalent in many low-income developing countries, but their impact on bank lending has rarely been examined. An examination of cross-country data indicates that a higher proportion of FCD in total deposits is associated with growth in private credit only in inflationary circumstances (over 24 percent of the annual inflation rate). FCD can lead to a decline in private credit below this threshold level of inflation. Given that FCD exhibit persistence, deregulating them in low-income countries may do more harm than good on financial development in the long term, notably after successful containment of inflation.

Cross-country insurance mechanisms in currency unions. Bruegel Working Paper 2014/04, 27 March 2014

Countries in a monetary union can adjust to shocks either through internal or external mechanisms. We quantitatively assess for the European Union a number of relevant mechanisms suggested by Mundell’s optimal currency area theory, and compare them to the United States. For this purpose, we update a number of empirical analyses in the economic literature that identify (1) the size of asymmetries across countries and (2) the magnitude of insurance mechanisms relative to similar mechanisms and compare results for the European Monetary Union (EMU) with those obtained for the US. To study the level of synchronization between EMU countries we follow Alesina et al. (2002) and Barro and Tenreyro (2007). To measure the effect of an employment shock on employment levels, unemployment rates and participation rates we perform an analysis based on Blanchard and Katz (1992) and Decressin and Fatas (1995). We measure consumption smoothing through capital markets, fiscal transfers and savings, using the approach by Asdrubali et al. (1996) and Afonso and Furceri (2007). To analyze risk sharing through a common safety net for banks we perform a rudimentary simulation analysis. |