This page has only limited features, please log in for full access.
We examine the predictive value of tail risks of oil returns for the realized variance of oil returns using monthly data for the modern oil industry (1859:10-2020:10). The Conditional Autoregressive Value at Risk (CAViaR) framework is employed to generate the tail risks for both 1% and 5% VaRs across four variants of the CAViaR framework. We find evidence of both in-sample and out-of-sample predictability emanating from both 1% and 5% tail risks. Given the importance of real-time oil-price volatility forecasts, our results have important implications for investors and policymakers.
Afees A. Salisu; Christian Pierdzioch; Rangan Gupta. Oil tail risks and the forecastability of the realized variance of oil-price: Evidence from over 150 years of data. Finance Research Letters 2021, 102378 .
AMA StyleAfees A. Salisu, Christian Pierdzioch, Rangan Gupta. Oil tail risks and the forecastability of the realized variance of oil-price: Evidence from over 150 years of data. Finance Research Letters. 2021; ():102378.
Chicago/Turabian StyleAfees A. Salisu; Christian Pierdzioch; Rangan Gupta. 2021. "Oil tail risks and the forecastability of the realized variance of oil-price: Evidence from over 150 years of data." Finance Research Letters , no. : 102378.
We analyse the impact of oil supply, global economic activity, oil-specific consumption demand, and oil-inventory demand shocks on equity-market tail risks of a panel of 48 developed and emerging economies over the monthly period from 1975:01 to 2017:12. We find that, oil supply, global economic activity, and oil-inventory demand shocks reduce tail risks, but oil-specific consumption demand shock increases tail risks, with these effects stronger in oil-exporting economies. Our results have important implications for investors and policymakers.
Rangan Gupta; Xin Sheng; Christian Pierdzioch; Qiang Ji. Disaggregated oil shocks and stock-market tail risks: Evidence from a panel of 48 Economics. Research in International Business and Finance 2021, 101515 .
AMA StyleRangan Gupta, Xin Sheng, Christian Pierdzioch, Qiang Ji. Disaggregated oil shocks and stock-market tail risks: Evidence from a panel of 48 Economics. Research in International Business and Finance. 2021; ():101515.
Chicago/Turabian StyleRangan Gupta; Xin Sheng; Christian Pierdzioch; Qiang Ji. 2021. "Disaggregated oil shocks and stock-market tail risks: Evidence from a panel of 48 Economics." Research in International Business and Finance , no. : 101515.
In this paper, we investigate the time-varying interconnectedness of international Real Estate Investment Trusts (REITs) markets using daily REIT prices in twelve major REIT countries since the Global Financial Crisis. We construct dynamic total, net total and net pairwise return and volatility connectedness measures to better understand systemic risk and the transmission of shocks across REIT markets. Our findings show that that REIT market interdependence is dynamic and increases significantly during times of heightened uncertainty, including the COVID-19 pandemic. We also find that the US REIT market along with major European REITs are generally sources of shocks to Asian-Pacific REIT markets. Furthermore, US REITs appear to dominate European REITs. These findings highlight that portfolio diversification opportunities decline during times of market uncertainty.
Keagile Lesame; Elie Bouri; David Gabauer; Rangan Gupta. On the Dynamics of International Real-Estate-Investment Trust-Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures. Entropy 2021, 23, 1048 .
AMA StyleKeagile Lesame, Elie Bouri, David Gabauer, Rangan Gupta. On the Dynamics of International Real-Estate-Investment Trust-Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures. Entropy. 2021; 23 (8):1048.
Chicago/Turabian StyleKeagile Lesame; Elie Bouri; David Gabauer; Rangan Gupta. 2021. "On the Dynamics of International Real-Estate-Investment Trust-Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures." Entropy 23, no. 8: 1048.
We use an international dataset on 5-minutes interval intraday data covering nine leading markets and regions to construct measures of realized volatility, realized jumps, realized skewness, and realized kurtosis of returns of international Real Estate Investment Trusts (REITs) over the daily period of September, 2008 to August, 2020. We study out-of-sample the predictive value of realized skewness and realized kurtosis for realized volatility over and above realized jumps, where we also differentiate between measures of ``good" realized volatility and ``bad" realized volatility. We find that realized skewness and realized kurtosis significantly improve forecasting performance at a daily, weekly, and monthly forecast horizon, and that their contribution to forecasting performance outweighs in terms of significance the contribution of realized jumps. Our results have important implications for investors and policymakers.
Matteo Bonato; Oğuzhan Çepni; Rangan Gupta; Christian Pierdzioch. Forecasting Realized Volatility of International REITs:The Role of Realized Skewness and Realized Kurtosis †. Journal of Forecasting 2021, 1 .
AMA StyleMatteo Bonato, Oğuzhan Çepni, Rangan Gupta, Christian Pierdzioch. Forecasting Realized Volatility of International REITs:The Role of Realized Skewness and Realized Kurtosis †. Journal of Forecasting. 2021; ():1.
Chicago/Turabian StyleMatteo Bonato; Oğuzhan Çepni; Rangan Gupta; Christian Pierdzioch. 2021. "Forecasting Realized Volatility of International REITs:The Role of Realized Skewness and Realized Kurtosis †." Journal of Forecasting , no. : 1.
We use the heterogenous autoregressive (HAR) model to compute out-of-sample forecasts of the monthly realized variance (RV) of movements of the spot and futures price of heating oil. We extend the HAR–RV model to include the role of El Niño and La Niña episodes, as captured by the Equatorial Southern Oscillation Index (EQSOI). Using data from June 1986 to April 2021, we show evidence for several model configurations that both El Niño and La Niña phases contain information useful for forecasting subsequent to the realized variance of price movements beyond the predictive value already captured by the HAR–RV model. The predictive value of La Niña phases, however, seems to be somewhat stronger than the predictive value of El Niño phases. Our results have important implications for investors, as well as from the perspective of sustainable decisions involving the environment.
Mehmet Balcilar; Elie Bouri; Rangan Gupta; Christian Pierdzioch. El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements. Sustainability 2021, 13, 7987 .
AMA StyleMehmet Balcilar, Elie Bouri, Rangan Gupta, Christian Pierdzioch. El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements. Sustainability. 2021; 13 (14):7987.
Chicago/Turabian StyleMehmet Balcilar; Elie Bouri; Rangan Gupta; Christian Pierdzioch. 2021. "El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements." Sustainability 13, no. 14: 7987.
We use a dataset for the group of G7 countries and China to study the out-of-sample predictive value of uncertainty and its international spillovers for the realized variance of crude oil (West Texas Intermediate and Brent) over the sample period from 1996Q1 to 2020Q4. Using the Lasso estimator, we found evidence that uncertainty and international spillovers had predictive value for the realized variance at intermediate (two quarters) and long (one year) forecasting horizons in several of the forecasting models that we studied. This result holds also for upside (good) and downside (bad) variance, and irrespective of whether we used a recursive or a rolling estimation window. Our results have important implications for investors and policymakers.
Rangan Gupta; Christian Pierdzioch. Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers. Energies 2021, 14, 4173 .
AMA StyleRangan Gupta, Christian Pierdzioch. Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers. Energies. 2021; 14 (14):4173.
Chicago/Turabian StyleRangan Gupta; Christian Pierdzioch. 2021. "Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers." Energies 14, no. 14: 4173.
Using a machine-learning technique known as random forests, we analyze the role of investor confidence in forecasting monthly aggregate realized stock-market volatility of the United States (US), over and above a wide-array of macroeconomic and financial variables. We estimate random forests on data for a period from 2001 to 2020, and study horizons up to one year by computing forecasts for recursive and a rolling estimation window. We find that investor confidence, and especially investor confidence uncertainty has out-of-sample predictive value for overall realized volatility, as well as its “good” and “bad” variants. Our results have important implications for investors and policymakers.
Rangan Gupta; Jacobus Nel; Christian Pierdzioch. Investor Confidence and Forecastability of US Stock Market Realized Volatility: Evidence from Machine Learning. Journal of Behavioral Finance 2021, 1 -12.
AMA StyleRangan Gupta, Jacobus Nel, Christian Pierdzioch. Investor Confidence and Forecastability of US Stock Market Realized Volatility: Evidence from Machine Learning. Journal of Behavioral Finance. 2021; ():1-12.
Chicago/Turabian StyleRangan Gupta; Jacobus Nel; Christian Pierdzioch. 2021. "Investor Confidence and Forecastability of US Stock Market Realized Volatility: Evidence from Machine Learning." Journal of Behavioral Finance , no. : 1-12.
We examine the forecasting power of a daily newspaper-based index of uncertainty associated with infectious diseases (EMVID) for real estate investment trusts (REITs) realized market variance of the United States (US) via the heterogeneous autoregressive realized volatility (HAR-RV) model. Our results show that the EMVID index improves the forecast accuracy of realized variance of REITs at short-, medium-, and long-run horizons in a statistically significant manner, with the result being robust to the inclusion of additional controls (leverage, realized jumps, skewness, and kurtosis) capturing extreme market movements, and also carries over to 10 sub-sectors of the US REITs market. Our results have important portfolio implications for investors during the current period of unprecedented levels of uncertainty resulting from the outbreak of COVID-19.
Matteo Bonato; Oğuzhan Çepni; Rangan Gupta; Christian Pierdzioch. Uncertainty due to infectious diseases and forecastability of the realized variance of United States real estate investment trusts: A note. International Review of Finance 2021, 1 .
AMA StyleMatteo Bonato, Oğuzhan Çepni, Rangan Gupta, Christian Pierdzioch. Uncertainty due to infectious diseases and forecastability of the realized variance of United States real estate investment trusts: A note. International Review of Finance. 2021; ():1.
Chicago/Turabian StyleMatteo Bonato; Oğuzhan Çepni; Rangan Gupta; Christian Pierdzioch. 2021. "Uncertainty due to infectious diseases and forecastability of the realized variance of United States real estate investment trusts: A note." International Review of Finance , no. : 1.
Riza Demirer; Konstantinos Gkillas; Rangan Gupta; Christian Pierdzioch. Risk aversion and the predictability of crude oil market volatility: A forecasting experiment with random forests. Journal of the Operational Research Society 2021, 1 -13.
AMA StyleRiza Demirer, Konstantinos Gkillas, Rangan Gupta, Christian Pierdzioch. Risk aversion and the predictability of crude oil market volatility: A forecasting experiment with random forests. Journal of the Operational Research Society. 2021; ():1-13.
Chicago/Turabian StyleRiza Demirer; Konstantinos Gkillas; Rangan Gupta; Christian Pierdzioch. 2021. "Risk aversion and the predictability of crude oil market volatility: A forecasting experiment with random forests." Journal of the Operational Research Society , no. : 1-13.
Using data for the group of G7 countries and China for the sample period 1996Q1 to 2020Q4, we study the role of uncertainty and spillovers for the out-of-sample forecasting of the realized variance of gold returns and its upside (good) and downside (bad) counterparts. We go beyond earlier research in that we do not focus exclusively on U.S.-based measures of uncertainty, and in that we account for international spillovers of uncertainty. Our results, based on the Lasso estimator, show that, across the various model configurations that we study, uncertainty has a more systematic effect on out-of-sample forecast accuracy than spillovers. Our results have important implications for investors in terms of, for example, pricing of related derivative securities and the development of portfolio-allocation strategies.
Rangan Gupta; Christian Pierdzioch. Uncertainty, Spillovers, and Forecasts of the Realized Variance of Gold Returns. Mathematical and Computational Applications 2021, 26, 49 .
AMA StyleRangan Gupta, Christian Pierdzioch. Uncertainty, Spillovers, and Forecasts of the Realized Variance of Gold Returns. Mathematical and Computational Applications. 2021; 26 (3):49.
Chicago/Turabian StyleRangan Gupta; Christian Pierdzioch. 2021. "Uncertainty, Spillovers, and Forecasts of the Realized Variance of Gold Returns." Mathematical and Computational Applications 26, no. 3: 49.
Using monthly data for the period from 1916 to 2020, we report that geopolitical risk, when decomposed into threats and actual risk, has predictive value for tail risk in the oil market. When we study the full sample of data, we find that threats increase tail risk in the oil market, while actual acts related risk reduces tail risk at longer forecast horizons. While the findings of the full-sample analysis show that the effect of threats and acts on tail risk in the oil market is quantitatively small, results of an out-of-sample analysis show that, for several model configurations, geopolitical risks associated with threats are statistically significant predictors of tail risk in the oil market, even after controlling for a factor capturing global equity-market tail-risk spillovers. Our results have important investment implications.
Afees A. Salisu; Christian Pierdzioch; Rangan Gupta. Geopolitical risk and forecastability of tail risk in the oil market: Evidence from over a century of monthly data. Energy 2021, 235, 121333 .
AMA StyleAfees A. Salisu, Christian Pierdzioch, Rangan Gupta. Geopolitical risk and forecastability of tail risk in the oil market: Evidence from over a century of monthly data. Energy. 2021; 235 ():121333.
Chicago/Turabian StyleAfees A. Salisu; Christian Pierdzioch; Rangan Gupta. 2021. "Geopolitical risk and forecastability of tail risk in the oil market: Evidence from over a century of monthly data." Energy 235, no. : 121333.
This paper investigates the impact of uncertainty shocks on REITs returns over a monthly period from 1972:01 to 2015:12, and sub-samples from 1972:01 to 2009:06, and 2009:07 to 2015:12, to accommodate for the possible effects of the Global Financial Crisis (GFC) and unconventional monetary policy decisions. We use the recently-proposed variations in the price of gold, around events associated with unexpected changes in uncertainty as an instrument to identify uncertainty shocks in a proxy Structural Vector Autoregressive (SVAR) model. Moreover, to control for news-related effects associated with these events, uncertainty and news shocks are jointly identified based on a set-identified proxy SVAR, as recently suggested in the VAR literature. Our results show that the uncertainty shock generates a larger negative impact on REITs returns over the post-GFC period to the extent that it also outweighs the impact of the otherwise dominant news (productivity) shocks. In addition, the impulse response dynamics related to the recursively identified uncertainty shock, as is standard in the literature, resembles the effects of a news shock, and somewhat contrary to intuition suggests that the impact of the uncertainty shock on REITs returns were higher during the pre-GFC era.
Oguzhan Cepni; Wiehan Dul; Rangan Gupta; Mark E. Wohar. The dynamics of U.S. REITs returns to uncertainty shocks: A proxy SVAR approach. Research in International Business and Finance 2021, 58, 101433 .
AMA StyleOguzhan Cepni, Wiehan Dul, Rangan Gupta, Mark E. Wohar. The dynamics of U.S. REITs returns to uncertainty shocks: A proxy SVAR approach. Research in International Business and Finance. 2021; 58 ():101433.
Chicago/Turabian StyleOguzhan Cepni; Wiehan Dul; Rangan Gupta; Mark E. Wohar. 2021. "The dynamics of U.S. REITs returns to uncertainty shocks: A proxy SVAR approach." Research in International Business and Finance 58, no. : 101433.
Relying on the uncovered equity parity (UEP), we formulate a predictive model that links movements in exchange rate to stock return differential between the domestic market and the foreign (US) market. We also test for any probable asymmetric relationship between the two variables while also accounting for the role of observed common (global) factor such as oil price. We find a positive relationship between stock return differential and exchange rate return for three of the BRICS countries namely Brazil, India and South Africa, thus validating the UEP hypothesis, whereas a contrasting evidence is observed for China and Russia. We further establish the out-of-sample predictability of stock return differential for exchange rates of the BRICS while accounting for the role of observed common (global) factor, and asymmetry may further improve the forecast accuracy. The implications of our findings for portfolio diversification and foreign exchange management are highlighted.
Afees A. Salisu; Juncal Cuñado; Kazeem Isah; Rangan Gupta. Stock markets and exchange rate behavior of the BRICS. Journal of Forecasting 2021, 1 .
AMA StyleAfees A. Salisu, Juncal Cuñado, Kazeem Isah, Rangan Gupta. Stock markets and exchange rate behavior of the BRICS. Journal of Forecasting. 2021; ():1.
Chicago/Turabian StyleAfees A. Salisu; Juncal Cuñado; Kazeem Isah; Rangan Gupta. 2021. "Stock markets and exchange rate behavior of the BRICS." Journal of Forecasting , no. : 1.
Existing empirical evidence on the effect of inflation-targeting on inflation volatility is, at best, mixed. However, comparing inflation volatility across alternative monetary policy regimes, i.e., pre- and post-inflation-targeting, begs the question. The question is not whether the volatility of inflation has changed, but instead whether the volatility is different than it otherwise would have been. Given this, our paper uses the cosine-squared cepstrum to provide overwhelming international evidence that inflation targeting has indeed reduced inflation volatility in 22 out of the 24 countries considered in our sample of established inflation-targeters, than it would have been the case if the central banks in these countries did not decide to set a target for inflation.
Nikolaos Antonakakis; Christina Christou; Luis A. Gil-Alana; Rangan Gupta. Inflation-targeting and inflation volatility: International evidence from the cosine-squared cepstrum. International Economics 2021, 167, 29 -38.
AMA StyleNikolaos Antonakakis, Christina Christou, Luis A. Gil-Alana, Rangan Gupta. Inflation-targeting and inflation volatility: International evidence from the cosine-squared cepstrum. International Economics. 2021; 167 ():29-38.
Chicago/Turabian StyleNikolaos Antonakakis; Christina Christou; Luis A. Gil-Alana; Rangan Gupta. 2021. "Inflation-targeting and inflation volatility: International evidence from the cosine-squared cepstrum." International Economics 167, no. : 29-38.
We consider whether a newspaper article count index related to the Organization of the Petroleum Exporting Countries (OPEC), which rises in response to important OPEC meetings and events connected with OPEC production levels, contains predictive power for the foreign exchange rates of G10 countries. The applied Bayesian inference methodology synthesizes a wide array of established approaches to modelling exchange rate dynamics, whereby various vector-autoregressive models are considered. Monthly data from 1996:01 to 2020:08 (given an in-sample of 1986:02 to 1995:12), shows that incorporating the OPEC news-related index into the proposed methodology leads to statistical gains in out-of-sample forecasts.
Xin Sheng; Rangan Gupta; Afees A. Salisu; Elie Bouri. OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning. Finance Research Letters 2021, 102125 .
AMA StyleXin Sheng, Rangan Gupta, Afees A. Salisu, Elie Bouri. OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning. Finance Research Letters. 2021; ():102125.
Chicago/Turabian StyleXin Sheng; Rangan Gupta; Afees A. Salisu; Elie Bouri. 2021. "OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning." Finance Research Letters , no. : 102125.
This paper establishes a direct link between (anti) herding behavior in currency markets and investor sentiment, proxied by a social media based investor happiness index built on Twitter feed data. Our analysis of daily data for nine developed market currencies suggests that the foreign exchange market is generally characterized by strong anti-herding behavior. Utilizing the quantile-on-quantile (QQ) approach, developed by Sim and Zhou (2015 Sim, N., and H. Zhou. 2015. “Oil Prices, US Stock Return, and the Dependence between Their Quantiles.” Journal of Banking & Finance 55:1–8. doi:10.1016/j.jbankfin.2015.01.013[Crossref], [Web of Science ®] , [Google Scholar]), we show that the relationship between investor sentiment and anti-herding is in fact regime specific, with anti-herding behavior particularly prominent during states of extreme investor sentiment. The effect of sentiment on anti-herding is generally stronger in extreme bullish sentiment states, while average sentiment is associated with less severe anti-herding. The findings lend support to the behavioral factors for asset pricing models and suggest that real time investor sentiment signals can be utilized to monitor potential speculative activities in the currency market.
Xolani Sibande; Rangan Gupta; Riza Demirer; Elie Bouri. Investor Sentiment and (Anti) Herding in the Currency Market: Evidence from Twitter Feed Data. Journal of Behavioral Finance 2021, 1 -17.
AMA StyleXolani Sibande, Rangan Gupta, Riza Demirer, Elie Bouri. Investor Sentiment and (Anti) Herding in the Currency Market: Evidence from Twitter Feed Data. Journal of Behavioral Finance. 2021; ():1-17.
Chicago/Turabian StyleXolani Sibande; Rangan Gupta; Riza Demirer; Elie Bouri. 2021. "Investor Sentiment and (Anti) Herding in the Currency Market: Evidence from Twitter Feed Data." Journal of Behavioral Finance , no. : 1-17.
We examine the relationship between investor sentiment and connectedness patterns across global stock markets within a quantile-on-quantile framework. Our findings show that investor happiness has a significant effect on both the return and volatility spillovers across global stock markets. While the sentiment effect is found to be relatively strong on volatility spillovers, we observe that the relationship between sentiment and connectedness is asymmetric for return and volatility connectedness. The findings suggest that both investors and policy makers should be particularly vigilant against sentiment shocks, in either direction, as these shocks can have significant risk effects, contributing to volatility spillovers globally.
Elie Bouri; Riza Demirer; David Gabauer; Rangan Gupta. Financial market connectedness: The role of investors’ happiness. Finance Research Letters 2021, 102075 .
AMA StyleElie Bouri, Riza Demirer, David Gabauer, Rangan Gupta. Financial market connectedness: The role of investors’ happiness. Finance Research Letters. 2021; ():102075.
Chicago/Turabian StyleElie Bouri; Riza Demirer; David Gabauer; Rangan Gupta. 2021. "Financial market connectedness: The role of investors’ happiness." Finance Research Letters , no. : 102075.
We use the Taylor curve to gauge deviations of monetary policy from an efficiency locus for the United Kingdom (UK) and the four largest economies of the Eurozone (Germany, France, Italy, Spain) for the period 2000–2018. For this purpose, we use shadow interest rates, which is a common metric for both conventional and unconventional monetary policies, and the newly proposed Hamilton-filter to measure output gap, which improves upon the drawbacks of the traditionally used Hodrick–Prescott filter. Our findings suggest that deviations in the UK mostly occurred amid the global financial crisis and the post-Brexit period, whereas Eurozone members experienced more volatile deviations around 2001, during the global financial crisis and the Eurozone sovereign debt crisis.
Semih Emre Çekin; Rangan Gupta; Eric Olson. The Taylor curve: international evidence. Applied Economics 2021, 53, 4680 -4691.
AMA StyleSemih Emre Çekin, Rangan Gupta, Eric Olson. The Taylor curve: international evidence. Applied Economics. 2021; 53 (40):4680-4691.
Chicago/Turabian StyleSemih Emre Çekin; Rangan Gupta; Eric Olson. 2021. "The Taylor curve: international evidence." Applied Economics 53, no. 40: 4680-4691.
We use intraday data to construct measures of the realized volatility of bitcoin returns. We then construct measures that focus exclusively on relatively large realizations of returns to assess the tail shape of the return distribution, and use the heterogeneous autoregressive realized volatility (HAR-RV) model to study whether these measures help to forecast subsequent realized volatility. We find that mainly forecasters suffering a higher loss in case of an underprediction of realized volatility (than in case of an overprediction of the same absolute size) benefit from using the tail measures as predictors of realized volatility, especially at a short and intermediate forecast horizon. This result is robust controlling for jumps and realized skewness and kurtosis, and it also applies to downside (bad) and upside (good) realized volatility.
Konstantinos Gkillas; Rangan Gupta; Christian Pierdzioch. Forecasting realized volatility of bitcoin returns: tail events and asymmetric loss. The European Journal of Finance 2021, 1 -19.
AMA StyleKonstantinos Gkillas, Rangan Gupta, Christian Pierdzioch. Forecasting realized volatility of bitcoin returns: tail events and asymmetric loss. The European Journal of Finance. 2021; ():1-19.
Chicago/Turabian StyleKonstantinos Gkillas; Rangan Gupta; Christian Pierdzioch. 2021. "Forecasting realized volatility of bitcoin returns: tail events and asymmetric loss." The European Journal of Finance , no. : 1-19.
In this paper, we analyse the effects of public expenditures and their structure on productivity growth in industry and services in the European Union (EU) countries (1996–2017). We also control for the share of expenditures made by central governments. We find that productivity growth in industry decreases with government expenditures on environmental protection. As for services, productivity growth declines with military expenditures and increases with the centralisation of expenditures on public order and safety. These effects are mainly noted in Eastern European countries, and are less pronounced in Western Europe. Lower corruption increases productivity growth. Furthermore, our estimates suggest that there is a convergence in productivities across EU member states, with convergence faster in the service sector than in the industrial sector. These findings carry important policy implications.
Igor Fedotenkov; Rangan Gupta. The effects of public expenditures on labour productivity in Europe. Empirica 2021, 1 -30.
AMA StyleIgor Fedotenkov, Rangan Gupta. The effects of public expenditures on labour productivity in Europe. Empirica. 2021; ():1-30.
Chicago/Turabian StyleIgor Fedotenkov; Rangan Gupta. 2021. "The effects of public expenditures on labour productivity in Europe." Empirica , no. : 1-30.