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Brexit: Trade Diversion due to Trade Policy Uncertainty Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2024-03-16 Eduardo Gutiérrez, Aitor Lacuesta, César Martín‐Machuca
The paper quantifies how much of the reduction in Spanish trade flows with the UK after the 2016 Brexit referendum was diverted to other markets. To obtain reliable estimates of trade diversion we regress firm‐level changes in flows with all markets except the UK on changes in flows with the UK. In order to solve the positive correlation of trade flows between different markets we use the Brexit referendum
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Revisiting the Phillips Curve: The Empirical Relationship Yet to be Validated* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2024-03-14 Hoang‐Phuong Do, Aris Spanos
The Phillips curve began life in 1958 as a simple curve‐fitted relationship between the rates of wage inflation and unemployment and went on to play a crucial role in the broader development of macroeconomics, giving rise to several controversies about its interpretation and role in policy‐making. Recently, the traditional narrative about its theoretical underpinnings has been called into question
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Should the Fiscal Authority Avoid Implementation Lag? Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2024-03-04 Masataka Eguchi, Hidekazu Niwa, Takayuki Tsuruga
Implementation lags are a concern of policymakers as they may reduce the efficacy of fiscal policy. Using a standard New Keynesian model with an effective lower bound on the nominal interest rate, we compare the impacts of fiscal stimulus on output across various lengths of implementation lag. We show that despite concerns among policymakers, implementation lags may enhance the efficacy of government
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Multivariate Trend‐Cycle‐Seasonal Decompositions with Correlated Innovations* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2024-02-26 Jing Tian, Jan P.A.M. Jacobs, Denise R. Osborn
Multivariate analysis can help to focus on important phenomena, including trend and cyclical movements, but any economic information in seasonality is typically ignored. The present paper aims to more fully exploit time series information through a multivariate unobserved component model for quarterly data that exhibits seasonality together with cross‐variable component correlations. We show that economic
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Public Healthcare Financing during Counterinsurgency Efforts: Evidence from Colombia* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2024-02-23 Samuel Lordemus, Noemi Kreif, Rodrigo Moreno‐Serra
How do government counterinsurgency efforts affect local public health financing during civil conflicts? We investigate this question in the context of the protracted conflict in Colombia. Using data on antinarcotics operations and health transfers from the central government to municipal governments, we employ both panel estimations and an instrumental variable to address concerns of endogeneity.
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What Drives House Prices in Europe? Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2024-02-19 Federica Ciocchetta, Elisa Guglielminetti, Alessandro Mistretta
Boom‐and‐bust cycles in the housing market pose a threat to macroeconomic and financial stability, thus calling for a timely assessment of imbalances. This work sheds light on the drivers of house price dynamics in some euro area economies, investigating the risks of overheating. We show that an Error‐Correction‐Model (ECM) featuring a long‐run relationship between house prices and income and short‐run
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Effects of Grandmothers' Proximity on Mothers' Labour Force Participation* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2024-02-05 Pelin Akyol, Zeynep Yılmaz
This paper investigates the causal effects of grandmothers' geographical proximity on labour supply decisions of married women with young children by leveraging a novel data set from Turkey. We deal with the reverse causality and endogeneity problems arising from mothers' and grandmothers' joint location and labour supply decisions by implementing a two-stage least squares estimation method using the
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The Paper of How: Estimating Treatment Effects Using the Front-Door Criterion* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2024-01-29 Marc F. Bellemare, Jeffrey R. Bloem, Noah Wexler
We illustrate the use of Pearl's (1995) front-door criterion with observational data with an application in which the assumptions for point identification hold. For identification, the front-door criterion leverages exogenous mediator variables on the causal path. After a preliminary discussion of the identification assumptions behind and the estimation framework used for the front-door criterion,
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A Spatial Sample Selection Model* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2024-01-27 Yong Bao, Gucheng Li, Xiaotian Liu
This paper presents a sample selection model with spatial correlation in the selection and outcome variables and studies the maximum likelihood method of estimation. Consistency and asymptotic normality of the maximum likelihood estimator are established by the spatial near-epoch dependent properties of the variables. Monte Carlo simulations show its good finite-sample performance. This model is used
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Does Stress Shorten Your Life? Evidence from Parental Bereavement Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2024-01-17 Bernhard Schmidpeter
I study the impact of stress resulting from the unexpected death of a child on parents' mortality risk. Using a flexible approach and allowing for time-varying treatment effects, I find no impact on the short-run mortality risk. However, I estimate a substantial increase in the long-run, particularly among men. I provide evidence that this group likely resorts to risky health behaviours such as heavy
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A Green Wave in Media: A Change of Tack in Stock Markets* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2024-01-17 Marie Bessec, Julien Fouquau
This paper examines the impact of environmental news coverage in US newspapers on stock markets. Using textual analysis with a dictionary-based approach, we obtain several measures of attention, tonality and uncertainty in the coverage of environmental news in major US newspapers. We consider different weighting schemes to account for the visibility and relevance of the text sources, and several sets
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A Non-parametric Estimation of Productivity with Idiosyncratic and Aggregate Shocks: The Role of Research and Development (R&D) and Corporate Tax Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2024-01-12 Ioannis Bournakis, Mike Tsionas
We develop a non-parametric technique framework for estimating firm-level Total Factor Productivity (TFP). Our paper has two major novelties: first, we propose a modelling of productivity with both firm-idiosyncratic factors and aggregate shocks. Second, we apply the Bayesian Markov Chain Monte Carlo (MCMC) technique that offers a numerical integration of productivity outside the posterior overcoming
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Global Financial Risk, Equity Returns and Economic Activity in Emerging Countries Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2024-01-05 Jaroslav Horvath, Guanyi Yang
International financial integration exposes countries to external shocks. This paper identifies the impact and transmission of global financial risk (GFR) shocks to emerging market economies (EMEs). Heightened GFR significantly raises EME borrowing costs and lowers equity returns, reducing domestic economic activity. We document a novel transmission channel of GFR shocks to EMEs via international capital
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Do Financial Markets Respond to Populist Rhetoric? Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-12-29 CEM ÇAKMAKLI, SELVA DEMİRALP, GÖKHAN ŞAHİN GÜNEŞ
With the global rise in populism over the last decade, there has been an increase in political commentaries (PC) by leaders that criticize their central banks and argue for lower interest rates. We analyse the effects of PCs on exchange rates, bond yields, and the risk premium for six countries that are subject to political pressures. Utilizing a specification with time-varying parameters, we show
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Interpretable Machine Learning Using Partial Linear Models* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-12-28 Emmanuel Flachaire, Sullivan Hué, Sébastien Laurent, Gilles Hacheme
Despite their high predictive performance, random forest and gradient boosting are often considered as black boxes which has raised concerns from practitioners and regulators. As an alternative, we suggest using partial linear models that are inherently interpretable. Specifically, we propose to combine parametric and non-parametric functions to accurately capture linearities and non-linearities prevailing
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Global Demand and Supply Sentiment: Evidence From Earnings Calls* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-12-28 Franz Ulrich Ruch, Temel Taskin
This paper quantifies global demand and supply conditions and compares two major global recessions: the 2009 Great Recession and the COVID-19 pandemic. First, we compute demand and supply sentiment by applying Natural Language Processing techniques on earnings call transcripts. Second, we corroborate our sentiment measure by identifying demand and supply shocks using a structural Bayesian vector autoregression
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Impact of Graduating with Honours on Entry Wages of Economics Majors* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-12-25 Salim Atay, Gunes A. Asik, Semih Tumen
Employers use various proxies to predict the future labour productivity levels of the job applicants. Success in school, especially in high-level coursework, is among the most widely used proxies to screen entry-level candidates. We estimate the causal effect of graduating with honours (i.e. with a grade point average of 3.00 and above out of 4.00) on the starting wages of economics majors in Türkiye
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Value-at-Risk under Measurement Error Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-12-11 Mohamed Doukali, Xiaojun Song, Abderrahim Taamouti
We propose a method for estimating Value-at-Risk that corrects for the effect of measurement errors in stock prices. We show that the presence of measurement errors might pose serious problems for estimating risk measures. In particular, when stock prices are contaminated, existing estimators of Value-at-Risk are inconsistent and might lead to an underestimation of risk, which can result in extreme
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Peer Migration in China Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-12-11 Yuyu Chen, Ginger Zhe Jin, Yang Yue
With over 290 million rural labourers transitioning to urban areas in 2019, China is experiencing an unparalleled scale of internal migration, the largest in human history. Employing instrumental variables (IVs) gleaned from the 2006 China Agricultural Census (CAC), we find that a 10 percentage point increase in the migration rate among co-villagers amplifies an individual's probability of migrating
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Solving the Forecast Combination Puzzle Using Double Shrinkages* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-12-09 Li Liu, Xianfeng Hao, Yudong Wang
This study develops a new approach that shrinks the forecast combination weights towards equal weights by using weighted least squares and towards zero weight by using regularization constraints. We reveal the significant predictability of excess returns to the S&P500 index that can be achieved by using this double shrinkage combination (DSC). Furthermore, our DSC approach significantly outperforms
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Fence off Black Swans: The Economics of Insurance for Vaccine Injury* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-12-08 Ze Chen, Bingzheng Chen, Yu Mao
Being injured during vaccination, although infrequent, can occur, and this necessitates understanding the consequences of vaccine injuries. In this study, we analyse the impact of the risk of vaccine injuries, particularly the economic importance of vaccine injury compensation insurance (VICI) programmes for the injured, which few studies have investigated. Specifically, we examine the role of VICI
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Opium Price Shocks and Prescription Opioids in the USA* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-12-06 Claudio Deiana, Ludovica Giua, Roberto Nisticò
We investigate the effect of international opium price shocks on the per capita dispensation of prescription opioids in the USA. Using quarterly county-level data for 2002q4–2016q4, three main results emerge. First, reductions in opium prices significantly increase the quantity of opioids prescribed, and more so in counties with a larger pre-existing market for pain relief, as captured by the incidence
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Partial Identification of Marginal Treatment Effects with Discrete Instruments and Misreported Treatment* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-12-06 Santiago Acerenza
This paper provides partial identification results for the marginal treatment effect (MTE) when the binary treatment variable is potentially misreported and the instrumental variable is discrete. Identification results are derived under smoothness assumptions. Bounds for both the case of misreported treatment and the case of no misreported treatment are derived. The identification results are illustrated
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Identifying Politically Connected Firms: A Machine Learning Approach* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-11-30 Vitezslav Titl, Deni Mazrekaj, Fritz Schiltz
This article introduces machine learning techniques to identify politically connected firms. By assembling information from publicly available sources and the Orbis company database, we constructed a novel firm population dataset from Czechia in which various forms of political connections can be determined. The data about firms' connections are unique and comprehensive. They include political donations
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The Macroprudential Toolkit: Effectiveness and Interactions Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-11-30 Stephen Millard, Margarita Rubio, Alexandra Varadi
We use a DSGE model with financial frictions and with macroprudential limits on both banks and mortgage borrowers, in the form of capital requirements and maximum debt-service ratios. We then examine: (i) the impact of different combinations of macroprudential limits on key macroeconomic aggregates; (ii) their interaction with each other and with monetary policy; and (iii) their effects on the volatility
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Why Transform Y? The Pitfalls of Transformed Regressions with a Mass at Zero* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-11-14 John Mullahy, Edward C. Norton
Applied economists often transform a dependent variable that is non-negative and skewed with the natural log transformation, the inverse hyperbolic sine transformation, or power function. We show that these transformations separate the zeros from the positives such that the estimated parameters are related to those from a scaled linear probability model. The retransformed marginal effects and elasticities
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A Brief History of General-to-specific Modelling* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-11-06 David F. Hendry
We review key stages in the development of general-to-specific modelling (Gets). Selecting a simplified model from a more general specification was initially implemented manually, then through computer programs to its present automated machine learning role to discover a viable empirical model. Throughout, Gets applications faced many criticisms, especially from accusations of ‘data mining’—no longer
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Foetal Exposure to Air Pollution and Students' Cognitive Performance: Evidence from Agricultural Fires in Brazil* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-10-25 Juliana Carneiro, Matthew A. Cole, Eric Strobl
This paper examines the impact of foetal exposure to air pollution from agricultural fires on Brazilian students' cognitive performance later in life. We rely on comparisons across children who were upwind and downwind of the fires while in utero to address concerns around sorting and temporary income shocks. Our findings show that agricultural fires increase PM 2 . 5 $$ {\mathrm{PM}}_{2.5} $$ , resulting
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Looking Beyond the Trap: Fiscal Legacy and Central Bank Independence* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-10-16 Charles de Beauffort
I model a stochastic non-cooperative game between an independent central bank and a treasury and study optimal time-consistent policy in the context of demand-driven recessions and an occasionally binding zero lower bound constraint. Departing from coordination leads to contractionary fiscal policy in the liquidity trap. The persistent decline in short-term government debt improves price stability
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Non-parametric Estimator for Conditional Mode with Parametric Features* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-10-14 Tao Wang
We in this paper propose a new approach for estimating conditional mode non-parametrically to capture the ‘most likely’ effect built on local linear approximation, in which a parametric pilot modal regression is locally adjusted through a kernel smoothing fit to potentially reduce the bias asymptotically without affecting the variance of the estimator. Specifically, we first estimate a parametric modal
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Smooth and Abrupt Dynamics in Financial Volatility: The MS-MEM-MIDAS* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-10-05 Luca Scaffidi Domianello, Giampiero M. Gallo, Edoardo Otranto
In this paper, we maintain that the evolution of the realized volatility is characterized by a combination of high-frequency dynamics and smoother, yet persistent, dynamics evolving at a lower frequency. We suggest a new Multiplicative Error Model which combines the mixed frequency features of a MIDAS at the monthly level with Markovian dynamics at the daily level. When estimated in-sample on the realized
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Are Economics Conferences Gender-Neutral? Evidence from Ireland* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-09-13 Margaret Samahita, Kevin Devereux
We study gender inequality in conference acceptance using data from the Irish Economic Association annual conference from 2016 to 2022, exploiting the introduction of anonymized submission in 2021 to study the effect of blinding. While no gender gap is observed in organizers' acceptance decisions, there is an indication of gender difference favouring the in-group at the reviewer stage. In particular
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The impact of import competition from China on firm-level productivity growth in the European Union* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-08-31 Klaus S. Friesenbichler, Agnes Kügler, Andreas Reinstaller
We re-examined the impact of rising imports from China on intra-firm productivity growth in the European Union during the period 2005–16. In contrast to previous studies, we found that an increasing share of Chinese imports in total imports has slowed productivity growth over the observation period. This unfolded especially after the 2008/09 financial crisis and was more pronounced for firms with lower
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Sequencing the COVID-19 Recession in the USA: What Were the Macroeconomic Drivers? Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-07-28 Max Breitenlechner, Martin Geiger, Daniel Gründler, Johann Scharler
We apply a structural vectorautoregressive analysis to decompose fluctuations in the growth rate of industrial production and inflation precipitated by the COVID-19 pandemic in the USA into aggregate demand, aggregate supply, and uncertainty shocks. While all three types of shocks contributed to output and inflation dynamics, the surge in economic uncertainty contributed to the decline in output more
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The Effect of Immigration on Occupational Injuries: Evidence from Administrative Data* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-07-24 Caterina Alacevich, Catia Nicodemo
The task specialization literature suggests that migrant workers concentrate on physically intensive occupations, pushing natives towards less-risky jobs. What is the effect of immigration on the severity of work-related injuries? By matching administrative data on work-related injuries and residence registries in Italy, this paper shows that migrant inflows lead to a reduction of physical impairment
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Firm-specific Human Capital Accumulation: Evidence from Brazil* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-07-13 Tiago Pires, Arek Szydłowski, Shuai Zhao
We introduce firm-specific returns to experience and tenure into a standard two-way fixed effects model, show that they are separately identified under the standard exogenous mobility assumption and with sufficient between firm mobility, and provide a new evidence on heterogeneity of returns to experience and tenure across firms using the administrative data from Brazil over the years 1999–2014. We
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Revisiting the Great Ratios Hypothesis* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-07-11 Alexander Chudik, M. Hashem Pesaran, Ron P. Smith
Kaldor called the constancy of certain ratios stylized facts, Klein and Kosobud called them great ratios. While they often appear in theoretical models, the empirical literature finds little evidence for them, perhaps because the procedures used cannot deal with lack of co-integration, two-way causality, and cross-country error dependence. We propose a new system pooled mean group estimator that can
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Information Equivalence among Transformations of Semi-parametric Nonlinear Panel Data Models* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-05-22 Nicholas Brown
This paper considers transformations of nonlinear semi-parametric mean functions that yield moment conditions for estimation. Such transformations are said to be information equivalent if they yield the same asymptotic efficiency bound. I derive a unified theory of algebraic equivalence for moment conditions created by a given linear transformation. The main equivalence result states that under standard
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Projection Estimators for Structural Impulse Responses* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-05-15 Jörg Breitung, Ralf Brüggemann
In this paper we provide a general two-step framework for linear projection estimators of impulse responses in structural vector autoregressions (SVARs). This framework is particularly useful for situations when structural shocks are identified from information outside the VAR (e.g. narrative shocks). We provide asymptotic results for statistical inference and discuss situations when standard inference
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Early Years Multi-grade Classes and Pupil Attainment* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-05-09 Daniel Borbely, Markus Gehrsitz, Stuart McIntyre, Gennaro Rossi, Graeme Roy
We study the effect of exposure to older, more experienced, classroom peers resulting from the widespread use of multi-grade classes in Scottish primary schools. For identification, we exploit that a class-planning algorithm quasi-randomly assigns groups of pupils to multi-grade classes. We find that school-starters benefit from exposure to second-graders in measures of numeracy and literacy. We do
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Drought-Reliefs and Partisanship Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-05-04 Federico Boffa, Francisco Cavalcanti, Christian Fons-Rosen, Amedeo Piolatto
We combine a model of symmetric information with selfish and office-motivated politicians and a Regression Discontinuity Design analysis based on close municipal elections to study partisan bias in the allocation of drought aid relief in Brazil. We identify a novel pattern of distributive politics whereby partisan bias materialises only before municipal elections, while it disappears before presidential
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Medium-Run Impacts of Iron-Fortified School Lunch on Anaemia, Cognition, and Learning Outcomes in India* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-04-28 Liza von Grafenstein, Abhijeet Kumar, Santosh Kumar, Sebastian Vollmer
Using a phase-in research design, we provide experimental evidence on the impacts of early versus late initiation of iron fortification in school lunch programmes on children's health and cognitive outcomes in India. We find higher haemoglobin levels and a lower likelihood of anaemia in the early treatment group that experienced 4 years of treatment, compared to the late treatment group that was exposed
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Furlough and Household Financial Distress during the COVID-19 Pandemic* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-04-25 Christoph Görtz, Danny McGowan, Mallory Yeromonahos
We study how being furloughed affects household financial distress during the COVID-19 pandemic in the United Kingdom. Furlough increases the probability of late housing and bill payments by 30% and 19%, respectively. At the aggregate level, furlough increases the incidence of financial distress by 3.38 percentage points. To offset furlough-induced income reductions, individuals significantly reduce
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Job Protection and Mortgage Conditions: Evidence from Italian Administrative Data* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-04-19 Paolo Emilio Mistrulli, Tommaso Oliviero, Zeno Rotondi, Alberto Zazzaro
This paper combines administrative data from the Italian social security administration and proprietary data from a major Italian commercial bank to analyse the impact of job protection legislation on mortgage conditions. An exogenous change in the degree of job protection against individual dismissals of workers with open-ended contracts is identified by exploiting the labour market reform of 2015
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A Mixed Frequency BVAR for the Euro Area Labour Market* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-04-17 Agostino Consolo, Claudia Foroni, Catalina Martínez Hernández
We introduce a Bayesian mixed frequency VAR model for the aggregate euro area labour market that features a structural identification via sign restrictions. The purpose of this paper is twofold: we aim at (i) providing reliable and timely forecasts of key labour market variables and (ii) enhancing the economic interpretation of the main movements in the labour market. We find satisfactory results in
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Job Polarization and the Declining Wages of Young Female Workers in the United Kingdom* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-04-16 Era Dabla-Norris, Carlo Pizzinelli, Jay Rappaport
We examine whether the decline of routine occupations contributed to rising wage inequality between young and prime-age non-college educated women in the UK over 2001-2019. We estimate age, period, and cohort effects for the likelihood of employment in different occupations and the wages earned therein. For recent generations, cohort effects indicate a higher likelihood of employment in low-paying
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Seemingly Unrelated Regression Estimation for VAR Models with Explosive Roots* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-04-11 Ye Chen, Jian Li, Qiyuan Li
For VAR models with common explosive root, the OLS estimator of the autoregressive coefficient matrix is inconsistent (refer to Nielsen, 2009 and Phillips and Magdalinos, 2013). Although Phillips & Magdalinos (2013) proposed using the future observations as the instrumental variable for removing the endogeneity from VAR models, type I error occurs when testing for a common explosive root from the distinct
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Heteroskedasticity-Robust Standard Errors for Dynamic Panel Data Models with Fixed Effects* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-04-11 Chirok Han, Hyoungjong Kim
For linear panel data models with fixed effects, cluster-robust covariance estimation does not use variability over time. The extant heteroskedasticity-robust methods available under strict exogeneity do not generalize to dynamic models. We propose novel robust covariance estimators under a strong version of serial uncorrelatedness, where serial uncorrelatedness is required to identify dynamic panel
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Testing R&D-Based Endogenous Growth Models* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-04-10 Peter K. Kruse-Andersen
This study examines US productivity growth through the lens of R&D-based growth models. A general R&D-based model, nesting different model varieties, is developed. These varieties are tested using a novel cointegrating relationship and US data for the period 1953–2018. The results provide evidence against the widely used fully endogenous variety and support for other varieties including the semi-endogenous
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Cross-sectional Gravity Models, PPML Estimation, and the Bias Correction of the Two-Way Cluster-Robust Standard Errors* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-04-07 Michael Pfaffermayr
In cross-section gravity models the two-way cluster-robust standard errors of the Poisson pseudo maximum likelihood (PPML) estimates tend to be considerably downward biased. However, two-way clustering can be avoided if intra-cluster correlation is induced by country-specific trade shocks with uniform pass through (equi-correlation) and the gravity model includes exporter and importer country fixed
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Early Life Exposure to Above Average Rainfall and Adult Mental Health* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-04-04 Mochamad Pasha, Marc Rockmore, Chih Ming Tan, Dhanushka Thamarapani
We study the effects of early life exposure to above average levels of rainfall on adult mental health. While we find no effect from prenatal exposure, postnatal positive rainfall shocks decrease average Center for Epidemiological Studies Depression (CESD) mental health scores by 13% and increase the likelihood of depression by 6%, a more than 26% increase relative to the mean. These effects are limited
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Using Machine Learning to Create an Early Warning System for Welfare Recipients* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-04-02 Dario Sansone, Anna Zhu
Using high-quality nationwide social security data combined with machine learning tools, we develop predictive models of income support receipt intensities for any payment enrolee in the Australian social security system between 2014 and 2018. We show that machine learning algorithms can significantly improve predictive accuracy compared to simpler heuristic models or early warning systems currently
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Understanding Monetary Spillovers in Highly Integrated Regions: The Case of Europe* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-03-29 Martin Feldkircher, Helene Schuberth
We analyse why conventional monetary policy tightening in the euro area leads to a deterioration of output in Central-, East and Southeastern Europe (CESEE). Our findings show that negative spillovers mainly arise through a decline in CESEE imports and exports, induced by a decrease in euro area demand. Negative spillovers are amplified through knock-on effects through third-countries and cannot be
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The Nexus between Public Debt and the Government Spending Multiplier: Fiscal Adjustments Matter* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-03-10 Yasuharu Iwata, Hirokuni IIboshi
This paper studies the evolution of government spending multipliers in the post-war USA using a time-varying parameter VAR model. We achieve identification by imposing sign and zero restrictions on the systematic component of policy rules and impulse responses. Our results show that the US multipliers in the post-OBRA93 period are smaller than those in the 1970s. The multipliers are found to be more
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Asymptotic Behavior of Temporal Aggregation in Mixed-Frequency Datasets Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-02-28 Cleiton Guollo Taufemback
Here, we present an unexplored issue regarding temporal aggregation. When a model contains frequency-dependent coefficients, such as a distinct long- and short-term coefficient, temporal aggregation leads to inconsistent least squares estimates. Because the sub-sampled variable's spectrum is equal to its folded original spectrum, the low-frequency variable may exhibit a mixture of distinct linear relations
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How Do People Respond When They Know That Robots Will Take Their Jobs? Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-02-17 Christian Gunadi, Hanbyul Ryu
In recent years, the USA observed a substantial increase in the adoption of robotic technology. The use of industrial robots in the US economy increased rapidly from about 1 robot per 1,000 workers in 2005 to 1.7 robots per 1,000 workers in 2017, a 70% increase. At the same time, there is a concern that the rapid adoption of robots will transform our society in a way that we have never seen before
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Haste Makes No Waste: Positive Peer Effects of Classroom Speed Competition on Learning Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-02-16 Hikaru Kawarazaki, Minhaj Mahmud, Yasuyuki Sawada, Mai Seki
This study investigates the effects of speed competition in classrooms on young pupils' learning outcomes. To examine how faster peers' speed affects slower pupils' speed and learning, we employ students' daily progress data in a self-learning programme at BRAC primary schools in Bangladesh. The programme's unique setting allows us to address the reflection problem reasonably well. While speed competition
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Sectoral Shocks and Monetary Policy in the United Kingdom* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-02-10 Huw Dixon, Jeremy Franklin, Stephen Millard
We examine the extent to which monetary policy should respond to movements in sectoral inflation rates using a Generalized Taylor model that takes specific account of the sectoral make-up of the consumer price index. We calibrate the model for each sector using the UK consumer price microdata. We find that a policy rule allowing for different responses to inflation in different sectors outperforms
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Quantitative Easing and Wealth Inequality: The Asset Price Channel* Oxford Bull. Econ. Statistics (IF 2.5) Pub Date : 2023-02-08 Clara De Luigi, Martin Feldkircher, Philipp Poyntner, Helene Schuberth
We assess the impact of the ECB's unconventional monetary policy, specifically of quantitative easing (QE), on the distribution of household wealth in nine euro area countries. For this purpose, we estimate the effects of a QE shock on housing and risky financial asset prices by means of local projections. We then use these estimates to carry out micro-simulations based on data from the Household Finance