This research investigates labor market dynamics in Belgium and the specific role played by labor mobility in the adjustment process following a labor demand shock. It first analyzes the time series characteristics of the Belgian labor market based on a panel of 11 provinces from 2003 to 2015. This analysis allows the building and estimation of a PVAR model to obtain the response of employment, employment rate, and labor force participation rate to a shock in labor demand. The results suggest a minor role played by migration in the first years of the adjustment process, highlighting the difficulties for the EU to be considered an OCA.
Purpose – Investments in intellectual capital (IC) are often linked to competitive advantages that improve economic profit and increase the value of a company. However, this effect is reciprocal: companies that generate higher cash flow can invest more in IC. The purpose of this paper is to analyze a dynamic relationship between IC components and economic profit, with a special emphasis on industry specific effects in pharmaceutical, retail, steel, telecommunications, and service sectors.
Design/methodology/approach – Panel vector autoregression was used to deal with the mutual influence of IC components, the lag effect, and heterogeneity. The data were taken from Compustat database and covers the period from 2001 to 2010.
Findings – The paper proves that there is interaction between investments in the IC components and company performance. However, there are sectoral differences: there is a positive impact of economic profit on human capital in retail; in the steel industry a mutual influence is revealed. Moreover, interaction between different IC components is detected in telecommunication and steel industries.
Originality/value – This is the first study to present clear evidence of the effects of performance on IC investment decisions. The time lag in the effects of IC investments was estimated and compared for different industries. On the methodological side, the paper presents a rather simple method capable of yielding results consistent with other studies and yet rich enough to be applied to an analysis of sectoral differences in dynamic IC investment decisions.
Cilj istraživanja je, empirijskom konfirmacijom, utvrditi postojanje međuzavisnosti rentabilnosti i likvidnosti. Uzorak obuhvaća dvadeset nefinancijskih društava uvrštenih u barem jedan od dioničkih agregatnih ili sektorskih indeksa Zagrebačke burze. Panel podatci obuhvaćaju vremensko razdoblje od devet godina, počevši od 2009. godine do zaključno s obuhvatom 2017. godine. Istraživanje međusobnog kauzaliteta provedeno je Granger-ovim testom uzročnosti prilagođenog panel formulaciji podataka. U radu se koristi model panel vektorske autoregresije u sklopu koje je obrađena analiza strukture modela: ortogonalna dekompozicija varijanci prognostičkih pogrešaka i analiza ortogonalne funkcije impulsnih odziva. Rezultati pokazuju značajnu uzročnost varijabli rentabilnosti (prinos na ukupnu imovinu i prinos na vlastiti kapital) na koeficijente tekuće i ubrzane likvidnosti. S druge strane, nije utvrđena značajna uzročnost koeficijenata likvidnosti na varijable rentabilnosti. Rezultati su u skladu s očekivanjima iz financijske teorije prema kojoj postojanje značajne likvidnosti u društvu per se ne znači i značajan utjecaj na varijable rentabilnosti. Istraživanje je provedeno na ograničenom uzorku burzovno kotiranih društva na Zagrebačkoj burzi, što s obzirom na rezultate ovog istraživanja, sugerira provedbu sličnih istraživanja na širem uzorku društava uvrštenih na inozemnim burzama radi daljnje verifikacije rezultata. Originalnost istraživanja leži u sveobuhvatnoj sistematizaciji radova koji su istraživali kauzalnost profitabilnosti (i rentabilnosti) i likvidnosti, te izvornom pristupu testiranju međusobnih uzročnosti varijabli likvidnosti i rentabilnosti koristeći kompleksnije alate statističke analize.
We aim to improve upon the existing empirical literature on international risk sharing under three dimensions. First, we generalize dynamic multi-equation approaches to the estimation of risk sharing channels, by adopting a Heterogeneous Panel VAR model. Within this framework, the coefficients representing the extent of risk sharing achieved through the different mechanisms are allowed to vary across countries. Second, we introduce two new risk sharing channels – namely, government consumption and the real exchange rate (that we further decompose into relative prices and the nominal exchange rate) – which allow us to investigate the role of fiscal policy and international price adjustments in the absorption of macroeconomic shocks. Third, we establish a better link between the "channels" empirical model and a theoretical formulation of the risk sharing condition which allows for PPP violations. Our empirical analysis, for a set of 21 OECD countries over 1960-2016, contributes to identifying the geographical structure and dynamics of risk sharing channels and to describing their evolution in the latest half-century. For the OECD sample as a whole, we confirm through 2016 the strong smoothing role played by credit markets and the small degree of risk sharing achieved through factor incomes. Interestingly, government consumption tends to have a dis-smoothing effect, due to its counter-cyclical movements. Another noteworthy result is the negative risk sharing effect of the real exchange rate, driven by the dis-smoothing role played by the movements of the nominal exchange rate, only partially offset by relative price adjustments. The evolution of these risk sharing mechanisms is diverse, but the most important channels – namely credit markets and real exchange rate adjustments – exhibit slightly positive trends for the first half of the period, negative trends afterwards, and a recovery in more recent years. Our results demonstrate that the extent of risk sharing is strikingly different across countries, especially if we take into account valuation effects through the real exchange rate. Even considering only traditional risk sharing channels, the country-specific magnitude of risk sharing on impact ranges from around 15% to over 80%. In addition, dynamics are also quite diverse across countries; for example, risk sharing through credit markets, while quite effective on impact, provokes dis-smoothing for about two thirds of the countries from the second year onwards. Our approach is of particular interest for policy makers, as it allows identifying the strengths and the weaknesses of the institutional and behavioral risk sharing mechanisms at work in different countries.
This paper studies the relationships between inflation, economic activity, credit, monetary policy, and residential property and equity prices in 17 OECD countries, using quarterly data for 1986-2006. Using a panel VAR, we find plausible and significant responses to a monetary policy shock. Shocks to asset prices have a positive, significant effect on GDP and credit after three to four quarters, whereas prices start to increase much later. We also consider the transmission of US shocks from the US to the other economies. While monetary policy shocks are transmitted internationally, other shocks are not, perhaps because of the form of coefficient restrictions used.
