Browsing by Subject "C23"

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  • Rahn, Jörg (2003)
    BOFIT Discussion Papers 11/2003
    We apply BEER and PEER approaches to calculate real equilibrium exchange rates for five EU accession countries in central and east Europe.Bilateral nominal equilibrium exchange rates against the euro are obtained through algebraic transformation of the results. Panel cointegration techniques are used to check the adequacy of the empirical model.The results reveal substantial overvaluations of the real exchange rate in several EU accession countries. Overvaluation is even higher when these exchange rates are expressed in nominal terms against the euro. Keywords: real exchange rates, equilibrium exchange rates, transition economies, panel cointegration JEL Classification: F31, F41, C23
  • Comunale, Mariarosaria (2015)
    BOFIT Discussion Papers 28/2015
    Using the IMF CGER methodology, we make an assessment of the current account and price competitiveness of the Central Eastern European Countries (CEEC) that joined the EU between 2004 and 2014. We present results for the “Macroeconomic Balance (MB)” approach, which provides a measure of current account equilibrium based on its determinants together with mis-alignments in real effective exchange rates. We believe that a more refined analysis of the mis-alignments may useful for the Macroeconomic Imbalance Procedure (MIP). This is especially the case for these countries, which have gone through a transition phase and boom/bust periods since their independence. Because such a history may have influenced a country’s performance, any evaluation must take account of each country’s particular characteristics. We use a panel setup of 11 EU new member states (incl. Croatia) for the period 1994-2012 in static and dynamic frameworks, also controlling for the presence of cross-sectional dependence and checking specifically for the role of exchange rate regimes, capital flows and global factors. We find that the estimated coefficients of the determinants meet with expectations. Moreover, the foreign capital flows, the oil balance, and relative output growth seem to play a crucial role in explaining the current account balance. Some global factors such as shocks in oil prices or supply might have played a role in worsening the current account balances of the CEECs. Having a pegged exchange rate regime (or being part of the euro zone) affects the current account positively. The real effective exchange rates behave in accord with the current account gaps, which clearly display cyclical behaviour. The CAs and REERs come close to equilibria in 2012 in most of the countries and the rebalancing is completed for some countries that were less misaligned in the past, such as Poland and Czech Republic, but also for Lithuania. When Foreign Direct Investment (FDI) is introduced as a determinant for these countries, the misalignments are larger in the boom periods (positive misalignments) whereas the negative misalignments are smaller in magnitude.
  • Wang, Jiao; Ji, Andy G. (2006)
    BOFIT Discussion Papers 19/2006
    Traditional assessments of the impact of exchange rate depreciation or appreciation on trade have involved estimating the elasticity of trade volume to relative prices.Such studies relied heavily on aggregated trade data.More recent studies employ bilateral trade data and methodologies such as ECM and gravity models.This study uses a generalized gravity model with data panel analysis in assessing the impact of currency depreciation or appreciation on bilateral trade flows between China and its top trading partners. The empirical evidence suggests exchange rates (both real and nominal) do not exert a significant influence on the overall exports from China.Thus, a devaluation or revaluation of the yuan should be expected to have only limited impact on China's trade balance.Moreover, previous studies provide limited evidence of a negative relation between exchange rate volatility and trade flows. Given the current revaluation expectations, we find China's anticipated shift toward a more flexible exchange rate regime fails to address China's trade surplus issues, and thus will merely lead to a revaluation of the nominal exchange rate and increased exchange rate volatility.It appears a major overhaul of the country's heavily subsidized export regime must first occur for the exchange rate to assume a larger role in China's international trade. Keywords: Exchange Rate, Trade, China, Competition, Gravity Model, Panel JEL Classification: C22, C23, F14, F31
  • Bask, Mikael; Fidrmuc, Jarko (2006)
    Bank of Finland Research Discussion Papers 10/2006
    Published in Open Economies Review, Volume 20, Issue 5, November 2009, Pages 589-605
    We present a model of exchange rates, which incorporates the monetary approach and technical trading, and we present the reduced form based on the minimal state variable solution, where both fundamentals and backward-looking term determine the spot exchange rates.Finally, we estimate the impact of the monetary fundamentals for a panel of Central and Eastern European countries (Czech Republic, Poland, Romania and Slovakia) in the second half of the 1990s as well as the complete model of exchange rate determination for daily data over the more recent free-floating period.Key words: foreign exchange market, fundamental analysis, panel cointegration, technical analysis JEL classification numbers: C23, F31, F36
  • Babecký, Jan; Komárek, Lubos; Komárková, Zlatuse (2012)
    BOFIT Discussion Papers 4/2012
    Published in National Institute Economic Review, Volume 223, Issue 1, 2013, Pages R16-R34 as Convergence of Returns on Chinese and Russian Stock Markets with World Markets: National and Sectoral Perspectives.
    Interest in examining the financial linkages of economies has increased in the wake of the 2008/2009 global financial crisis. Applying the concepts of beta- and sigma-convergence of stock market returns, we assess changes over time in the degree of stock market integration between Russia and China as well as between them and the United States, the euro area and Japan. Our analysis is based on national and sectoral data spanning the period September 1995 to October 2010. Overall, we find evidence for gradually increasing stock market integration after the 1997 Asian financial crisis and the 1998 Russian financial cri-sis. Following a major disruption caused by the 2008/2009 global financial crisis, the process of stock market integration resumes between Russia and China, and with world markets. Notably, the episode of sigma-divergence from the 2008/2009 crisis is stronger for China than Russia. We also find that the process of stock market integration and the impact of the recent crisis have not been uniform at the sectoral level, suggesting potential for d-versification of risk across sectors. JEL classification: C23, G15, G12. Keywords: Stock market integration, beta-convergence, sigma-convergence, China, Russia, sectoral and national analysis
  • Granziera, Eleonora; Bauer, Gregory H. (2017)
    International Journal of Central Banking 3 ; September
    Can monetary policy be used to promote financial stability? We answer this question by estimating the impact of a monetary policy shock on private-sector leverage and the likelihood of a financial crisis. Impulse responses obtained from a panel VAR model of eighteen advanced countries suggest that the debt-to-GDP ratio rises in the short run following an unexpected tightening in monetary policy. As a consequence, the likelihood of a financial crisis increases, as estimated from a panel logit regression. However, in the long run, output recovers and higher borrowing costs discourage new lending, leading to a deleveraging of the private sector. A lower debt-to-GDP ratio in turn reduces the likelihood of a financial crisis. These results suggest that monetary policy can achieve a less risky financial system in the long run but could fuel financial instability in the short run. We also find that the ultimate effects of a monetary policy tightening on the probability of a financial crisis depend on the leverage of the private sector: the higher the initial value of the debt-to-GDP ratio, the more beneficial the monetary policy intervention in the long run, but the more destabilizing in the short run.
  • Siklos, Pierre L. (2012)
    BOFIT Discussion Papers 17/2012
    Even before the events of the past few years, economists and policy makers were musing about the apparent contradiction between globalization, as it is generally understood, and the seemingly different paths in overall economic activity taken by the emerging and more mature economies of the world. The present paper reconsiders whether it is, in fact, useful to think of correlations in business cycle movements as reflecting some form of coupling or decoupling and, instead, suggests that, even if business cycles may well have become more synchronous for a time, it is more useful to think of international business cycle co-movements as reflecting their mutual dependence that can be subjected to short-run interruptions or affected by a variety of other economic factors. I report evidence based on factor-augmented quantile regressions for a panel of annual data since 1980 from 9 regions of the world. A panel is used to estimate the common factors which are then applied to the quantile regression model to determine the sources of business cycle co-movements across countries and regions of the world. JEL Classification numbers: E32, C21, C22, C23 Keywords: business cycles, quantile regression, panel estimation, factor model, coupling, decoupling
  • Fungáčová, Zuzana; Klein, Paul-Olivier; Weill, Laurent (2020)
    China Economic Review February ; 2020
    Published in BOFIT Discussion Paper 16/2018.
    A vast literature shows that China's five largest state-owned banks (the Big Five) suffer from low cost efficiency. We offer a new explanation of this situation, by decomposing overall efficiency of Chinese banks into two parts: persistent and transient efficiency. Using the model of Kumbhakar, Lien, and Hardaker (2014) based on the stochastic frontier approach, we measure persistent and transient efficiency for a large sample of 166 Chinese banks over the period 2008–2015. We show that the lower efficiency of China's Big Five banks is almost entirely due to low persistent cost efficiency, indicating structural problems. On the contrary, the Big Five banks transient efficiency is similar to other Chinese banks, reflecting a good aptitude to minimize their costs in the short-term. Our findings support the view that major structural reforms are needed to enhance the efficiency of China's Big Five banks. © 2019 Elsevier Inc.
  • Fungáčová, Zuzana; Klein, Paul-Olivier; Weill, Laurent (2018)
    BOFIT Discussion Papers 16/2018
    Published in China Economic Review 2020 ; 59 ; February.
    Considering the evidence that China’s five largest state-owned banks (the Big Five) suffer from low cost efficiency, this paper decomposes overall efficiency of Chinese banks into: persistent efficiency and transient efficiency components. Low persistent efficiency reflects structural problems, while low transient efficiency is associated with short-term problems. Using the model of Kumbhakar, Lien and Hardaker (2014) based on the stochastic frontier approach, we measure persistent efficiency and transient efficiency for a large sample of 166 Chinese banks over the period 2008–2015. In line with existing evidence, we find a lower average cost efficiency of Big Five banks compared to other Chinese banks. It is almost entirely due to low persistent cost efficiency. Big Five transient efficiency is similar to other Chinese banks. Our findings support the view that major structural reforms are needed to enhance the efficiency of China’s Big Five banks.
  • Hasan, Iftekhar; Malkamäki, Markku; Schmiedel, Heiko (2002)
    Suomen Pankin keskustelualoitteita; Bank of Finland. Discussion papers 4/2002
    Published in Journal of Banking and Finance, Vol. 27, No. 9, 2003: 1743-1773
    The paper stresses on the importance of understanding the operational choices, strategies, and performances of stock exchanges as regular operating firms (Arnold et al (1999), and Pirrong (1999)) Using unbalanced panel data on 49 stock exchanges over the period 1989 1998, the paper traces the productivity of stock exchanges over time and across different types and groups of exchanges.We find significant variability in respect of the productivity revenue and cost efficiency across these exchanges.On average, North American exchanges are found to be most cost and revenue efficient.However, our findings also indicate that European exchanges have improved the most, in respect of cost efficiency, while exchanges in South America and Asia-Pacific regions are found to be lagging as regards both cost and revenue estimations.The evidence also indicates that investment in technology-related developments effectively influenced cost and revenue efficiency.Moreover, organisational structure and market competition are found to be significantly associated with both cost and revenue efficiency for the exchanges studied, whereas market size and quality are related only to revenue efficiency. Key words: stock exchanges, technological progress, technical efficiency JEL classification numbers: C23, G2, L2, O50
  • Chen, Hongyi; Funke, Michael; Tsang, Andrew (2016)
    BOFIT Discussion Papers 11/2016
    ​Persistent producer price deflation in China and other Asian economies has become a genuine concern for policymakers. In June 2016, China’s producer prices were down 12.7 percent from their peak in 2011, following a 52-month stretch of consecutive negative producer price readings (March 2012 to June 2016). Given problems with overcapacity and heavy corporate debt burdens, the incessant decline in producer prices has eroded corporate profitability, dampened fixed in-vestment and depressed growth overall. This paper analyzes the determinants of producer price declines across eleven Asian economies, finding that the recent synchronous and protracted pro-ducer price deflation has been driven by weak production growth, low commodity prices, spill-over effects from China, and, to a lesser extent, exchange rate pass-through. With China at the heart of the region’s producer price deflation challenge, we consider the structural adjustments needed in China to cope with the decline and head off deflationary threats.
  • Shen, Chung-Hua; Hasan, Iftekhar; Lin, Chih-Yung (2013)
    Bank of Finland Research Discussion Papers 15/2013
    Abstract In this study, we reinvestigate the question of whether government banks are inferior to private banks. We use cross country data from 1993 to 2007 to trace the different types of government banks. These types comprise banks that acquire distressed banks, normal banks, or no banks at all. Contrary to common belief, the evidence shows that unless government banks are required to purchase a distressed bank because of political factors (the government's role), their performances are at par with that of private banks. This fact particularly holds true in countries with poor records on political rights and governance. Keywords: Government banks, Political factor, Government role, Merger, Distressed bank, Institutional factor JEL C23, G21, G28, G34
  • Hasan, Iftekhar; Khalil, Fahad; Sun, Xian (2017)
    Bank of Finland Research Discussion Papers 17/2017
    We investigate the impacts of improved intellectual property rights (IPR) protection on cross-border M&A performance. Using multiple measures of IPR protection and based on generalized difference-in-differences estimates, we find that countries with better IPR protection attract significantly more hi-tech cross-border M&A activity, particularly in developing economies. Moreover, acquirers pay higher premiums for companies in countries with better IPR protection, and there is a significantly higher acquirer announcement effect associated with these hi-tech transactions.
  • Hasan, Iftekhar; Khalil, Fahad; Sun, Xian (2017)
    Quarterly Journal of Finance 3
    BoF DP 17/2017
    We investigate the impacts of improved intellectual property rights (IPR) protection on cross-border M&A performance. Using multiple measures of IPR protection and based on generalized difference-in-differences estimates, we find that countries with better IPR protection attract significantly more hi-tech cross-border M&A activity, particularly in developing economies. Moreover, acquirers pay higher premiums for companies in countries with better IPR protection, and there is a significantly higher acquirer announcement effect associated with these hi-tech transactions.
  • Anandarajan, Asokan; Hasan, Iftekhar; McCarthy, Cornelia (2006)
    Bank of Finland Research Discussion Papers 23/2006
    The objective of this study is to examine whether and to what extent Australian banks use loan loss provisions (LLPs) for capital management, earnings management and signalling.We examine if there were changes in the use of LLPs due to the implementation of banking regulations consistent with the Basel Accord of 1988 which made loan loss reserves no longer part of Tier I capital in the numerator of the capital adequacy ratio.We find some evidence to indicate that Australian banks use LLPs for capital management, but no evidence of a change in this behaviour after the implementation of the Basel Accord.Our results indicate that banks in Australia use LLPs to manage earnings.Further, listed commercial banks engage more aggressively in earnings management using LLPs than unlisted commercial banks.We also find that earnings management behaviour is more pronounced in the post-Basel period.Overall, we find a significant understating of LLPs in the post-Basel period relative to the pre-Basel period.This indicates that reported earnings may not reflect the true economic reality underlying those numbers.Finally, Australian banks do not appear to use LLPs for signalling future intentions of higher earnings to investors. Keywords: capital management, earnings management, signalling, Australian banks JEL classification numbers: C23, G14, M41
  • Schmiedel, Heiko (2002)
    Suomen Pankin keskustelualoitteita; Bank of Finland. Discussion papers 11/2002
    This paper examines progressive changes in productivity of the European stock exchange industry using non-parametric frontier techniques.Within the framework of Malmquist indices, total factor productivity growth is decomposed into technological progress and technical efficiency change for a balanced panel of all major European stock exchanges over the period 1993-1999.The principal findings indicate an overall rise in productivity over the sample period, which is driven more by technological innovation than by efficiency improvements.According to organisational setup, technological innovation is more pronounced for exchanges with the following characteristics: automation, equity and derivatives trading, for-profit governance structure, large or medium-size capitalised markets.Technological progress can be interpreted as a sign of the dynamic nature of the whole exchange industry, in which stock exchanges take advantage of intense diffusion of new cost-effective technologies and information systems to leverage themselves onto a higher production frontier.Key words: stock exchanges, productivity, technological progress, Europe JEL classification numbers: D24, G29, C23, O52
  • You, Kefei (2015)
    BOFIT Discussion Papers 16/2015
    Published in The Journal of Developing Areas, Volume 51, Number 2, Spring 2017: 239-253
    Our study examines home drivers of China’s regional outward FDI. We propose a theoretical framework that incorporates an extended Investment Development Path (IDP) theory, home locational constraints, policy incentives and geographic factors. Empirically, we employ the Bayesian Averaging Maximum Likelihood Estimates method to address model uncertainty. All proposed theories (except for geographic aspects) are found to provide important perspectives explaining China’s regional outward FDI. Our results highlight the importance of government policies but do not support the original IDP hypothesis that outward investment is automatically generated as income grows. Our findings have implications for both regional and central-government policy.
  • Chen, Yu-Fu; Funke, Michael; Mehrotra, Aaron (2011)
    BOFIT Discussion Papers 13/2011
    Published in Pacific Economic Review, Volume 22, Issue 3, August 2017: 383–409
    This paper adds to the literature on wealth effects on consumption by disentangling house price effects on consumption for mainland China. In a stochastic modelling framework, the riskiness, rate of increase and persistence of house price movements have different implications for the consumption/housing ratio. We exploit the geographical variation in property prices by using a quarterly city-level panel dataset for the pe-riod 1998Q1 2009Q4 and rely on a panel error correction model. Overall, the results suggest a significant long run impact of property prices on consumption. They also broadly confirm the predictions from the theo-retical model. Keywords: Consumption, house prices, China, panel data JEL-Classification: E21, R31, C23, O53.