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There is massive and growing volume of literature on human capital and productivity. However, there is little emphasis on the growth channels of human capital, particularly on women’s empowerment, despite its theoretical underpinning and relevance in the Southern African Development Community (SADC). Understanding the effective channels of human capital is essential for policymakers in promoting sustainable growth and improved welfare. Given this, the study examines the effect of women’s empowerment through the ‘factor accumulation channel’ and the ‘productivity channel’ on SADC using cross-sectionally augmented autoregressive distributed lag (CS-ARDL) and the Dumitrescu–Hurlin non-causality test. Evidence from short- and long-run effects using the CS-ARDL shows that the factor accumulation and productivity channels of women’s empowerment have not benefited productivity growth in the SADC, although causality flows from the human capital indicators to productivity growth. The vital way for policy to boost productivity in SADC is to improve investment in female education and ensure that human capital is appropriately distributed and matches the economy’s dynamic demands. Based on the findings, the study suggests developing a framework to ascertain from time to time the marginal benefits of investment in female education compared to the marginal costs, both at the levels of the factor accumulation channel and the productivity channel in SADC.

Timing premia measure how much consumption people are willing to forgo to resolve all consumption uncertainty immediately. We develop a novel experiment that allows to elicit these attitudes directly, in a model-free way. On average subjects forgo around 5% of their total consumption to resolve all uncertainty immediately. Recursive utility models postulate a structural link between timing premia and deep preference parameters. We elicit these preference parameters separately, and estimate corresponding predicted timing premia. Comparing directly elicited and predicted timing premia allows to test this structural link. Surprisingly, we find a negative correlation between predicted and elicited timing premia.

To reduce traffic congestion and air pollution, public policy makers often try to stimulate the use of public transport, as it is a more sustainable alternative to traveling by car. This study therefore investigates the impact of firm-initiated marketing actions and traveler satisfaction on monthly cumulative traveled distance of a Western European railway firm, as well as possible effects of this cumulative traveled distance on satisfaction. Analysis of time-series data on traveled distance, advertising, promotions, and satisfaction using a vector autoregressive model with exogenous variables that accounts for seasonality, trending behavior, and gasoline prices reveals positive effects of advertising and promotions. Advertising elasticities are considerably smaller than meta-analytic values of brand-advertising elasticities. Similarly, promotion elasticities are lower than those frequently reported in marketing. The authors find no effect of satisfaction on traveled distance; however, they do find a negative effect of traveled distance on satisfaction, which could be explained by capacity constraints. The authors conclude that firm-initiated marketing actions are useful and effective in fostering public transport usage.

Households with familiarity bias tilt their portfolios towards a few risky assets. Consequently, household portfolios are underdiversied and excessively volatile. To understand the implications of underdiversicati on for social welfare, we solve in closed form a model of a stochastic, dynamic, general-equilibrium economy with a large number of heterogeneous rms and households, who bias their investments toward a few familiar assets. We nd that the direct mean-variance loss from holding an underdiversied portfolio that is excessively risky is a modest 1.66% per annum, consistent with the estimates in Calvet, Campbell, and Sodini (2007). However, we show that in a more general model with intertemporal consumption, underdiversied portfolios increase consumption-growth volatility, amplifying the mean-variance losses by a factor of four. Moreover, in general equilibrium where growth is endogenous, underdiversied portfolios distort also aggregate investment and growth, so that the overall eect on social welfare is about six times as large as the direct mean-variance loss. We demonstrate that even when forcing the familiarity biases in portfolios to cancel out across households, their implications for consumption and investment choices do not cancel| individual household biases can have signicant aggregate eects. Our results illustrate that nancial markets are not a mere sideshow to the real economy and that nancial literacy, regulation, and innovation that improve the nancial decisions of households can have a signicant positive impact on social welfare.

Malthus believed that rising real wages encouraged earlier marriage, higher fertility and a growing population. But diminishing returns in agriculture meant that an organic economy could not keep pace. Excess labour and rising food prices drove wages down and brought population growth to a halt. Studies testing this hypothesis have focussed on the relationship between population growth and men's wages, typically overlooking women and children's economic activities and influence on demographic outcomes. New daily and annual wage series, including women and children, enable these missing actors to be incorporated into a more complete account of Malthus's hypothesis. New findings emerge: the demographic reaction to wage changes was gendered. Early-modern bachelors responded to rising male wages by marrying earlier, whereas spinsters responded to rising female wages by delaying marriage. Our evidence suggests that women played a key role in England's low-fertility demographic regime and escape from the Malthusian trap. More tentatively, we consider the demographic regime in medieval England. Although marriage was related to earnings, the size of the population was a forceful determinant of economic outcomes. While superficially similar in terms of the prevalence of late marriage and low nuptiality, this regime was consolidated by poverty and social control absent the female agency of the later era.

Never selling stocks is optimal for investors with a long horizon and a realistic range of preference and market parameters, if relative risk aversion, investment opportunities, proportional transaction costs, and dividend yields are constant. Such investors should buy stocks when their portfolio weight is too low, and otherwise hold them, letting dividends rebalance to cash over time rather than selling. With capital gain taxes, this policy outperforms both static buy-and-hold and dynamic rebalancing strategies that account for transaction costs. Selling stocks becomes optimal if either their target weight is low, or intermediate consumption is substantial.

We propose a production-based general equilibrium model to study the link between timing of cash flows and expected returns, both in the cross-section of stocks and along the aggregate equity term structure. Our model incorporates long-run growth news with time-varying volatility and slow learning about the exposure that firms have with respect to these shocks. Our framework provides a unified explanation of the stylized features of the slope of the term structure of equity returns, its variations over the business cycle, and the negative relationship between cash-flow duration and expected returns in the cross-section of book-to-market-sorted portfolios. Received May 27, 2017; editorial decision October 12, 2017 by Editor Itay Goldstein.

How much does public capital matter for economic growth? How large should it be? This paper attempts to answer these questions, taking the case of Sub-Saharan African (SSA) countries. It develops and estimates a model that posits a non-linear relationship between public investment and growth, to determine the growth-maximising public investment GDP share. It empirically also accounts for the crowding-in and crowding-out effects between public and private investment, with equations estimated separately and simultaneously, using System GMM. The paper further runs a simulation and examines the public investment GDP share that maximises consumption. This is estimated to be between 8.4 percent and 11 percent. The results from estimating the growth model are in the middle of this range, which is larger than the observed value of 7.2 percent at the end of the sample period. These outcomes suggest that, on average, there has been public under-investment in Africa, contrary to previous findings.

The rapid rise in inequality is often seen to go in-hand with resource overuse. Examples include water extraction in Pakistan, land degradation in Bangladesh, forest harvesting in Sub-Saharan Africa and industrial fishing in Lake Victoria. While access to ecosystem services provided by common pool resources mitigates poverty, exclusive access to technology by wealthy individuals may fuel excessive resource extraction and deplete the resource, thus widening the wealth gap. We use a stylised social-ecological model, to illustrate how a positive feedback between wealth and technology may fuel local inequality. The resulting rise in local inequality can lead to resource degradation and critical transitions such as ecological resource collapse and unexpected increase in poverty. Further, we find that societies may evolve towards a stable state of few wealthy and many poor individuals, where the distribution of wealth depends on how access to technology is distributed. Overall, our results illustrate how access to technology may be a mechanism that fuels resource degradation and consequently pushes most vulnerable members of society into a poverty trap.

Establishing the relation between oil price movements and macroeconomic performance is of great importance for firms and policymakers, alike. Prior studies established this relation using the assumption that the long-run relation is intertemporally constant. However, there is much recent evidence demonstrating that this assumption may not hold in practice. To address this issue and go beyond the restrictive time-invariant environment, we employ the use of the time-varying cointegration framework of Bierens and Martins (2010). We present evidence of the long-run oil-economy relation evolving over the 1974–2015 period, with major events such as the Gulf War and the financialisation of commodity markets proving to be driving forces across the U.S., European and G7 economies considered.

Deforestation results from the trade-off between benefits from forest conservation and economic profits associated with land development. However, as net gains are often uncertain, irreversible land development may later be regretted. To better inform conservation policies, we use a real options framework to model irreversible forest conversion under uncertain conservation benefits and determine the associated optimal long-run average rate of deforestation. We then analyze the impact of the demand for agricultural products on the rate of deforestation in the Brazilian Amazon. In a scenario analysis for the nine states of the Brazilian Amazon, we calculate: (i) the expected time for exhaustion of the current forest stock; and (ii) the potential forest coverage for the next 20, 100 and 200 years. Our results suggest that if forest benefits grow over time at a sufficiently high speed, they may significantly slow down deforestation. In contrast, the higher their volatility, the faster deforestation proceeds.

We proxy the uncertainty in the stock, oil and gold markets with the variance risk premia, extracted from futures and option contracts traded on each of these asset classes. We observe that an independent increase in the stock, oil or gold markets uncertainty coincides with negative returns for a large portion of stocks. However, only the stock market uncertainty is a systematic priced factor in the entire cross section of stock expected returns. The oil price uncertainty is a sector-specific factor, and due to the industry segmentation of the market, it is only priced within oil-relevant industries. Finally, the gold price uncertainty is an asset-specific factor that is neither priced across nor within industries.

This paper proposes an original procedure which allows for testing of Granger-causality for multiple risk levels across tail distributions, hence extending the procedure proposed by Hong et al. (2009). Asymptotic and finite sample properties of the test are considered. This new Granger-causality framework is applied for a set of regional oil markets series. It helps to tackle two main questions 1) Whether oil markets are more or less integrated during periods of extreme energetic prices movements and 2) Whether price-setter markets change during such periods. Our findings indicate that the integration level between crude oil markets tends to decrease during extreme periods and that price-setter markets also change. Such results have policy implication and stress the importance of an active energetic policy during episode of extreme movements. (C) 2012 Elsevier B.V. All rights reserved.

This study combines quantitative and qualitative research methods to contribute to the understanding of the dynamics of superior performance among the largest firms in the global oil industry during the 1954--2008 period by identifying new stylized facts. The combination of parametric and non-parametric analysis displays cyclical patterns of the different aspects of performance dynamics. Appreciative theorizing through qualitative historical analysis uncovers causal explanations that are based on an interplay of corporate, industrial, and institutional change, that leads to a succession of four competitive regimes. Copyright 2011 The Author 2011. Published by Oxford University Press on behalf of Associazione ICC. All rights reserved., Oxford University Press.

In this paper we study the implications of population ageing in an economy with a sizeable non-traded goods sector. To this effect a highly stylized micro-founded macro model is constructed in which the age structure of the population plays a non-trivial role. The model distinguishes separate birth and death probabilities (thus allowing for net population change), allows for age-dependent labour productivity (thus mimicing life-cycle saving), and includes a rudimentary pension system (thus allowing for intergenerational redistribution). The model is used to analytically study demographic and pension shocks. (c) 2005 Elsevier B.V. All rights reserved.

We solve for optimal consumption and portfolio choice in a life-cycle model with short-sales and borrowing constraints; undiversifiable labor income risk; and a predictable, time-varying, equity premium and show that the investor pursues aggressive market timing strategies. Importantly, in the presence of stock market predictability, the model suggests that the conventional financial advice of reducing stock market exposure as retirement approaches is correct on average, but ignoring changing market information can lead to substantial welfare losses. Therefore, enhanced target-date funds (ETDFs) that condition on expected equity premia increase welfare relative to target-date funds (TDFs). Out-of-sample analysis supports these conclusions.

This paper estimates the determinants of Italian consumer confidence indicator (CCI) using time series methods. We find there exists a long-run relationship between CCI and its determinants when an important political event ‘operation clean hands’, captured by a dummy, is considered. Using the asymmetric error correction model (Enders & Siklos, 2001), we find that consumers respond asymmetrically to different types of disequilibrium error under threshold autoregressive (TAR) adjustment specification. These findings are consistent with the psychological bias approach (Bovi, 2009).

Previous time-series studies have shown evidence of mean-reversion in real exchange rates. Deviations from purchasing power parity (PPP) appear to have half-lives of approximately four years. However, the long samples required for statistical significance are unavailable for most currencies, and are potentially inappropriate because of regime changes. In this study, we re-examine deviations from PPP using a panel of 150 countries and 45 annual post WWII observations. Our panel shows strong evidence of mean-reversion that is similar to that from long time-series. PPP deviations are eroded at a rate of approximately 15% annually, i.e., their half-life is around four years. Such findings can be masked in time-series data, but are relatively easy to find in cross-sections.

We use several popular tests to test the validity of the Purchasing Power Parity (PPP) hypothesis. In particular, we analyze four classes of tests-standard univariate unit root tests, co-integration, panel unit root tests, and unit root tests for nonlinear frameworks-for a dataset consisting of 20 bilateral exchange rates. Through this approach, we ascertain the effectiveness of each methodology in assessing the validity of PPP. Overall, our results suggest little evidence to support PPP. Among the conducted tests, the Panel Analysis of Nonstationarity in the Idiosyncratic and Common components (PANIC) provides the richest insights by disentangling the possible sources of non-stationarity of real exchange rates. The relevance of using price indices with different characteristics is also pinpointed.

According to Gibrat’s Law of Proportionate Effect, the growth rate of a given firm is independent of its size at the beginning of the period examined. While earlier studies tended to confirm the Law, more recent research generally rejects it. This article reconciles these two streams of literature, taking into account the role of market selection and learning in reshaping a given population of firms through time. Consistently with previous studies, we find that Gibrat’s Law has to be rejected ex ante, since smaller firms tend to grow faster than their larger counterparts. However, a significant convergence toward Gibrat-like behavior can be detected ex post. This finding is an indication that market selection ‘‘cleans’’ the original population of firms, so that the resulting industrial ‘‘core’’ does not depart from a Gibrat-like pattern of growth. From a theoretical point of view, this result is consistent with those models based on passive and active learning, and can be seen as a defense of the validity of the Law in the long-run.

According to conventional wisdom, annualized volatility of stock returns is lower when computed over long horizons than over short horizons, due to mean reversion induced by return predictability. In contrast, we find that stocks are substantially more volatile over long horizons from an investor's perspective. This perspective recognizes that parameters are uncertain, even with two centuries of data, and that observable predictors imperfectly deliver the conditional expected return. Mean reversion contributes strongly to reducing long-horizon variance, but it is more than offset by various uncertainties faced by the investor, especially uncertainty about the expected return. The same uncertainties also make target-date funds undesirable to a class of investors who would otherwise find them appealing.

International audience; Using a new series of capital stock and frequency domain analysis, this paper provides new empirical evidence on the relative importance of capital and labor in the determination of output in the short and long-run. Contrary to the common practice in the traditional growth accounting literature of assigning weights of 0.3 and 0.7 to capital and labor inputs respectively, the evidence presented here suggests that capital is a far more important factor than labor for determination of output at and near the zero frequency band. Furthermore, I show that the zero-frequency labor elasticity of output may well be close to zero, or even zero. Additional findings reported here support the traditional accelerator model of investment as a good description of the long-run investment process.

This paper makes three contributions. First, I construct annual time series of gross domestic investment and national saving in the United States for the 1897–1949 period using historical component series. I compare the qualitative and quantitative properties of the newly constructed series with the properties of four existing alternative series constructed by the Bureau of Economic Analysis, the Commerce Department, Kuznets, and Kendrick. Second, I combine the newly constructed data with the Bureau of Economic Analysis' 1929–1989 period data, and the resulting time series are used to reexamine and document the long-run bivariate relationship between the time series of investment and saving. Third, I also examine the short-run as well as the cyclical relationships between the time series of investment and saving. The results reported in this paper indicate that there is a strong long-run and cyclical relationship between investment and saving, and this relationship seems to be independent of the time period considered. Furthermore, I find that during the postwar period the investment–saving comovement is strong and significant also in the short run. However, this is not true during the prewar period. Quantitatively, I find that the investment–saving relationship is stronger during the postwar period than during the prewar period. Feldstein and his coauthors have argued that the high investment-saving correlation reflects imperfect capital mobility. This view, however, is hard to reconcile with the finding that the correlation increased during a period in which it is largely believed that capital markets have become more open and integrated. I conclude, therefore, that long-term capital mobility tests based on investment–saving correlation analysis are not likely to provide an accurate measure of capital mobility. Journal of Economic Literature Classification Numbers: F21, F32, F41, E21, E22.

This article atialyzes the lotig-run relationships linking long- and short-run interest tates for the Euro-wide aggregated variables. To this end. we extend the set of variables traditionally involved in the Campbell and Shiller (1987) framework for the term structure to add external macro variables (the exchange rate. U.S. inflation, and U.S. short-run interest rates). Our results support the expectations hypothesis and also stress ihe importance of accounting for foreign economy inlluences on European monetary policy, namely, the real exchang.,' rate of the American dollar as well as real interest rates.

This study explores the long-run dynamics of economic growth, with particular reference to The Netherlands. The time span covered extends backwards to the mid-nineteenth century, using new time series on disaggregated physical and human capital stocks for the period 1850-1913. Economic growth in the nineteenth century is shown to have had a strong physical capital-using bias, initially concentrated in buildings and infrastructure. The close relationship between investment in machinery and economic growth did not begin to take shape until the end of the nineteenth century, to increase in strength in the course of the twentieth century.