New firm formation and industry growth - does having a market- or bank-based system matter?

The authors find no evidence for the superiority of either market-based or bank-based financial systems for industries dependent on external financing. But they find overwhelming evidence that industries heavily dependent on external finance grow faster in economies with higher levels of financial development, and with better legal protection for outside investors - including strong creditor and shareholder rights and strong contract enforcement mechanisms. Financial development also stimulates the establishment of new firms, which is consistent with the Schumpeterian view of creative destruction. Financial development matters. That the financial system is bank-based on market-based offers little additional information.Fiscal&Monetary Policy,Payment Systems&Infrastructure,Banks&Banking Reform,Economic Theory&Research,Decentralization,Financial Economics,Economic Theory&Research,Achieving Shared Growth,Banks&Banking Reform,Governance Indicators

Industry growth and capital allocation: Does having a market- or bank-based system matter?.

[Dataset available: http://hdl.handle.net/10411/12979]

국제정치적 갈등이 남북한 경제에 미치는 영향: 주식 시장과 무역에 대한 분석

학위논문(박사)--서울대학교 대학원 :사회과학대학 경제학부,2020. 2. 김병연.본 논문은 국제정치적 갈등의 경제적 영향에 대해 남북한의 사례를 중심으로 살펴본다. 특히 북한 관련 리스크가 남한의 주식 시장에 미치는 영향과 경제 제재가 북한의 무역에 미치는 영향에 주목하였다. 전체 논문은 개별적인 소주제를 다루는 세 편의 실증 연구로 구성된다. 첫 번째 장에서는 남한의 기업 주가 수익률이 북한 리스크에 어떻게 반응하는지 분석한다. 이를 위해 남한 언론의 북한 관련 보도 자료를 사용하여 월별 북한 리스크 지수를 작성하였다. 이 지수는 남북 관계의 긴장이 확대되거나 완화되는 경우 언론보도에 등장할 것으로 기대되는 키워드를 포함한 기사의 빈도수를 바탕으로 산출된다. 1999~2018년의 언론 보도자료를 분석한 결과, 북한 발 리스크는 핵/미사일 실험, 군사도발 등 이벤트 시점에 급증하며, 반대로 정상회담, 6자 회담 등 대화의 시기에는 감소하는 것으로 나타났다. 기업 주가 수익률을 종속변수로 한 회귀 분석에서는 국내 투자자의 주식 보유 비율이 높은 기업일수록, 자산 규모가 크고 고정자산의 비중이 높은 기업일수록, 남북경협에 관여한 경험이 있는 기업일수록 북한 관련 리스크에 민감하게 반응하는 것으로 나타났다. 두 번째 장에서는 북한에 부과된 주요 경제 제재가 무역에 준 영향을 무역의 질적 측면을 중심으로 분석한다. 우선 1998~2018년의 북한-중국 간 무역을 외연적 확장 수준(extensive margin), 상대 가격(relative unit price), 물량(quantity)으로 분해하고, 이 중 무역의 질적 측면으로 볼 수 있는 외연적 확장 수준과 상대 가격 지수의 변화에 주목하였다. 이를 통해, 북한의 대중 수출이 지난 20년간 양적으로 성장하였을 뿐 질적으로는 정체되어 있거나 오히려 후퇴했다는 사실을 확인하였다. 회귀분석에서는 북한의 무역을 직접적으로 타격하고자 한 한국과 일본의 독자 제재 및 2017년 UN안보리에서 결의된 다자 제재를 핵심 설명 변수로 설정하였고, 분석 방법으로는 전기 종속 변수가 포함된 동적 패널 모형(dynamic panel model)을 사용하였다. 추정 결과, 2017년 UN의 제재가 북한의 대중 수출에서 품목의 외연적 확장 수준을 축소 시킨 것으로 나타났다. 또한 2003년 일본의 제재는 중국 수입 시장에서 북한 생산품의 상대 가격을 유의하게 하락시킨 것으로 추정되었다. 추가적인 회귀분석에 따르면, 이러한 상대 가격 하락은 북-중 간 가격 협상력의 차이에서 기인한다. 이 연구 결과는 북한에 대한 무역 제재가 다른 주요 교역국과의 거래 관계를 차단하고 중국에 대한 의존도를 지나치게 높이면서 암묵적 비용을 발생시키고 있음을 시사한다. 마지막 장에서는 남한의 5.24 조치를 회피하기 위한 북-중 간의 우회무역 규모를 추정하였다. 이 연구는 중국의 기업-품목 단위의 자료를 사용하여 현재까지 북-중 무역에 대한 연구 중 가장 미시적 수준의 실증분석 결과를 제시한다. 분석 방법은 이중 차분법(difference-in-difference estimation)을 사용하였으며, 대 남한 수출과 대 북한 수입이 동시에 발생한 기업-품목들을 처치그룹으로 설정하여 2010년 전후의 변화를 추정하였다. 분석 결과, 북한의 중국을 경유한 남한으로의 간접 수출은 2010년 5.24 조치 이후 유의하게 증가한 것으로 나타났다. 산업별로 나누어 보면, 이러한 우회 무역은 주로 의류 임가공 부문에 집중되어 있으며 그 규모는 제재 이후 북한의 대남 직접 수출 감소분의 25%에 달하는 것으로 추정되었다.This dissertation investigates the economic impacts of international conflict, focusing on the cases of the two Koreas. Specifically, it examines the effects of North Korea-related risks on the South Korean stock market and economic sanctions on North Korea's foreign trade. It consists of three empirical studies covering subtopics. The first chapter analyzes how South Korean stock returns respond to North Korea-related risk. To do this, a monthly index for geopolitical risk from North Korea is constructed using South Korean media coverage database. The index is based on the frequency of articles containing keywords that are likely to appear in the media when inter-Korean tensions escalate or ease. Analysis of the media coverage from 1999 to 2018 show that the geopolitical risk index sharply increases in the occurrences of nuclear tests, missile launches, and military confrontations, while decreases significantly at around the times of summit meetings and multilateral talks. In the regression analysis, it is found that geopolitical risk related to North Korea has more negative effects on stock returns of firms with a higher share of domestic investors, larger assets and a higher proportion of fixed assets. It is also found that stock prices of companies involved in inter-Korean economic cooperation exhibit a more sensitive response to the North Korea risk. Chapter Ⅱ explores the impact of economic sanctions on North Koreas foreign trade, focusing on the quality of trade. It decomposes the trade between North Korea and China into the extensive margin, relative unit price and quantity, over the periods 1998-2018. Then it estimates sanction-induced changes in the former two elements of North Koreas export to China. The decomposition results show that the growth of North Koreas export to China is mostly attributed to the growth in quantity rather than quality. In the regression analysis, sanctions imposed by South Korea, Japan and the United Nations Security Council (UNSC) are used as key treatments. It is found that the UN sanctions in 2017 reduce the extensive margin in North Korean exports, and Japanese sanctions in 2003 have lowered the relative prices of North Korean products in the Chinese import market. The price impacts of sanctions are found to be associated with the bargaining power of China over North Korea. The findings suggest that trade sanctions against North Korea have created implicit costs by preventing North Korea from trading with alternative partners and increasing reliance on China. The last chapter estimates the size of the transit trade between North Korea and China to circumvent the sanctions imposed by South Korea. It exploits firm-product level variations in Chinese trade data to present micro evidence of the sanction-bypassing trade. Specifically, the transit trade is identified only when a firm import a product from North Korea and export the same product to South Korea in the same period. The difference-in-difference estimation results show that indirect exports from North Korea to South Korea via China are increased significantly by the 5.24 measures in 2010. The increase in North Koreas indirect export of apparels, in particular, accounts for a 25% of the decrease in North Korea's direct exports to South Korea.Introduction 1 Chapter Ⅰ. Geopolitical Risk from North Korea and Stock Market Reaction 4 1. Introduction 4 2. Related Literature 6 2.1. News-based Uncertainty Index 6 2.2. The Effects of Geopolitical Risk from North Korea 7 3. Measuring Geopolitical Risk from North Korea 7 3.1. Definition and Scope of Geopolitical Risk 7 3.2. Data and Methodology 9 3.3. Evaluating the GPRNK Index 12 4. Geopolitical Risk and Firm-level Stock Returns 20 4.1. Empirical Framework 20 4.2. Data and Descriptive Statistics 23 4.3. Baseline Results 26 4.4. Robustness Check 32 5. Conclusion 40 Chapter Ⅱ. Decomposing North Koreas Trade with China and Revisiting Sanction Effects 41 1. Introduction 41 2. Decomposing North Koreas Trade with China 46 2.1. Data 47 2.2. Methodology 50 2.3. Decomposition Results 52 3. Panel Regression Analysis 59 3.1. Empirical Framework 59 3.2. Baseline Results 63 3.3. Possible Channels 66 3.4. Robustness Check 71 4. Conclusion 73 Chapter Ⅲ. The Role of Chinese firms in Bypassing Sanctions on North Korea 75 1. Introduction 75 2. Data 78 2.1. Chinese Custom Trade Data 78 2.2. Stylized Facts 81 3. Empirical Strategy 83 4. Regression Results 86 4.1. North Koreas Indirect Exports via China 86 4.2. The Effects of Sanctions on the Indirect Exports 90 5. Conclusion 93 Concluding Remarks 95 References 98 Appendices 107 A1. Supplementary Materials for Chapter 1 107 A2. Supplementary Materials for Chapter Ⅱ 117 A3. Supplementary Materials for Chapter Ⅲ 121Docto

The Effects of the Exchange Rate on Investment: Evidence from Canadian Manufacturing Industries

Using industry-level data for 22 Canadian manufacturing industries, the authors examine the relationship between exchange rates and investment during the period 1981-97. Their empirical results show that the overall effect of exchange rates on total investment is statistically insignificant. Further investigation reveals the non-uniform investment response to exchange rate movements in three channels. First, it is important to distinguish between environments that have low and high exchange rate volatilities. Through changes in output demands, depreciations would have a positive effect on total investment when the exchange rate volatility is low. Yet, this stimulative effect becomes considerably smaller as the volatility increases. Second, these results for total investment are mainly due to movements in other machinery and equipment, and not to investment in information technology and structures. Third, investment in industries with low markup ratios are more likely to be affected by exchange rate movements.Exchange rates; Domestic demand and components

Asymmetric cross-sectional dispersion in stock returns: evidence and implications

This paper documents that daily stock returns of both firms and industries are more dispersed when the overall stock market rises than when it falls. This positive relation is conceptually distinct from - and appears unrelated to - asymmetric return correlations. I argue that the source of the relation is positive skewness in sector-specific return shocks. I use this asymmetric behavior to explain a previously-observed puzzle: aggregate trading volume tends to be higher on days when the stock market rises than when it falls. The idea proposed here is that trading is more active on days when the market rises because on those days there is more non-market news on which to trade. I find that empirically, the bulk of the relation between volume and the signed market return is explained by variations in non-market volatility.Stock market ; Econometric models

THE OIL INDUSTRY\u27S STOCK PRICE RESPONSES TO EVENTS SURROUNDING THE DEEPWATER HORIZON EXPLOSION

The Deepwater Horizon explosion had considerable environmental, economic, and regulatory impacts. We examine oil companies\u27 cumulative abnormal returns related to the date of the rig explosion, as well as announcements regarding insurance liability, insurance premiums for offshore drilling, and deepwater drilling moratorium events. We find no statistically significant stock response to the rig explosion itself – mostly likely given the incompleteness of information at the spill\u27s beginning. We do find firms directly involved with the Deepwater Horizon show negative responses to the moratorium on drilling in the Gulf of Mexico along with evidence that firms emphasizing drilling and service to existing oil wells also react negatively. Our results further show negative impacts from the possibility of increased financial assurance and insurance costs for firms involved in the pipeline and bulk station and terminal areas. Finally, firms with a weaker financial position (higher leverage) tend to have lower returns. In all, results support contagion more than competitive effects

Recent developments in business lending by commercial banks

After growing rapidly during much of the 1990s, the real value of commercial and industrial (C&I) loans at domestic commercial banks and at U.S. branches and agencies of foreign banks has fallen 19 percent since the beginning of 2001. The recent contraction in business loans has been concentrated at large banking institutions and appears to stem from the combined effects of weak demand for credit and a tightening of lending standards and terms. The move toward a more-stringent lending posture, although partly cyclical, also reflects a reassessment of the risks and returns of C&I lending. This reassessment, in turn, is due partly to structural changes in the market, including the increased participation of nonbank financial institutions, the growth of the secondary loan market, and the greater use of credit derivatives by some banks.Commercial loans ; Bank loans

INFLUENCE OF FRAUD AND CORRUPTION ON STOCK VALUE TRADED IN THE CAPITAL MARKET: NIGERIA EXPERIENCE

The study examined the influence of fraud and corruption on stock value traded in the Nigeria capital market. The social learning theory forms the basis of this research. The fundamental assumption of the theory is that deviance and conformity can result from the same learning process. Definitions, differential association, modelling, and reinforcement are the four factors that affect social behaviour. One is predisposed to either conforming or deviant behaviour depending on how these elements interact. The Nigerian Stock Exchange served as the source of secondary data. Descriptive and inferential statistics were applied for the analysis in this study. The results demonstrate that stock value traded on Nigeria's capital market is not significantly impacted by fraud or corruption. The study recommended that more room should be given to stock value trade as one of the capital market performance indicators in the market which will help investors to explore.JEL: D40; D53; D63  Article visualizations

Financial market imperfections and the impact of exchange rate movements

This paper analyses empirically the role of financial market imperfections in the way countries' exports react to a currency depreciation. Using quarterly data for 27 developed and developing countries over the period 1990-2005, we find that the impact of a depreciation on exports will be less positive - or even negative - for a country if : (i) firms borrow in foreign currency ; (ii) they are credit constrained ; (iii) they are specialized in industries that require more external capital ; (iv) the magnitude of depreciation or devaluation is large. This last result emphasizes the existence of a non-linear relationship between an exchange rate depreciation and the reaction of a country's exports when financial imperfections are observed. This offers a new explanation for the consequences of recent currency crises in middle income countries.International trade, exchange rate movements, balance-sheets effects, financial market imperfections.