Economic Regime Research Articles

Parametric measures of variability induced by risk measures

We present a general framework for a comparative theory of variability measures, with a particular focus on the recently introduced one-parameter families of inter-Expected Shortfall differences and inter-expectile differences, that are explored in detail and compared with the widely known and applied inter-quantile differences.From the mathematical point of view, our main result is a characterization of symmetric and comonotonic variability measures as mixtures of inter-Expected Shortfall differences, under a few additional technical conditions. Further, we study the stochastic orders induced by the pointwise comparison of inter-Expected Shortfall and inter-expectile differences, and discuss their relationship with the dilation order. From the statistical point of view, we establish asymptotic consistency and normality of the natural estimators and provide a rule of the thumb for cross-comparisons.Finally, we study the empirical behavior of the considered classes of variability measures on the S&P 500 Index under various economic regimes, and explore the comparability of different time series according to the introduced stochastic orders.

Оценка современного состояния инновационного развития северных и Арктических территорий

In the modern realities of the global change in the technological order and the emergence of a post-industrial society, innovative activity strengthens its significance as the most important resource for socio-economic development. Territorial differences in the potential for innovative development, which impede the effective integration of the northern regions into a single innovation system of the country, predetermine the need for a deep study of the problems of their development and the study of the main factors and prospects in the field of innovation. The study focuses on the northern regions of the European part of Russia, since they concentrate more than half of the human potential of the North and determine the strategic prospects for the development and strengthening of national security in the Arctic zone of the Russian Federation in the face of existing risks and challenges: environmental, social, economic and geopolitical. The purpose of this work is to identify prospects and to assess the current state of innovative development of the northern regions of the European part of Russia. In order to achieve the goal, the methods of statistical and comparative analysis, the dialectical method were used. The informational basis of the study was made up of data from Rosstat and the departmental civil service at the regional level. The analysis demonstrates the differentiation of the regions of the northern European part of Russia at the level of innovation and regional economic systems that include it. The most important prospect of overcoming the weaknesses of regional innovation systems is their integration and mutual complementarity, which is sometimes achievable with new systemic tools for the spatial organization of the economy, in particular, the special economic regime of the Arctic zone of Russia. The study was conducted on the example of five regions of the European North of Russia: the Arkhangelsk Oblast, the Murmansk Oblast, the Republic of Karelia, the Komi Republic and the Nenets Autonomous Okrug.

Dynamic Factor Rotation Strategy: A Business Cycle Approach

This study developed an investment framework to implement dynamic factor rotation strategies according to changes in economic conditions. I constructed a useful macro indicator that tracked real-time business cycles of the US economy and applied a trend-filtering method to the indicator to identify economic regimes based on the level and momentum change. I found that historical performance of individual equity factors greatly differed across economic regimes, and this heterogeneity can be exploited to build dynamic factor rotation strategies by shifting exposures toward effective factors according to the different regimes. The out-of-sample analysis showed that the regime-based dynamic approach outperformed the static benchmark in terms of absolute and risk-adjusted returns after accounting for transaction costs. The results have important implications for many pension funds and for institutional investors interested in factor investing and seeking to improve the long-term portfolio performance.

Of votes and viruses: the UK economy and economic policy uncertainty

ABSTRACT This paper examines the relation between GDP growth, Divisia money growth, CPI inflation, financial stress, and the UK's economic policy uncertainty in the context of its departure from the European Union. We employ two Bayesian VAR models which account for the extreme observations in macroeconomic and financial time series resulting from the COVID-19 pandemic outbreak. We document a contractionary effect of an economic policy uncertainty shock on GDP growth, which is not present in a model which does not account for the COVID-19-related outliers. Additionally, we find that GDP growth is enhanced by Divisia monetary stimulus but hampered by increases in financial stress. The results from a stochastic volatility in the mean threshold model also uncover different dynamics of transmission of shocks between economic uncertainty and the indicators we study across high and low economic policy uncertainty regimes.

Challenging the entrepreneurial discourse around women home-based workers’ empowerment

AbstractThis article explores dominant entrepreneurship discourse and practice surrounding informal women home-based workers, and their relationship to goals of individual empowerment. We argue that conventional neoliberal entrepreneurship discourse conflates empowerment and performativity, linking the capacity of women to develop greater agency with their incorporation into an economic regime with predetermined roles, labelled ‘empowerment’. Applying a critical lens, we analyse the development discourse on entrepreneurship and economic performativity in these terms – looking to understand the characteristics of empowerment concerning home-based workers in Bangladesh working for a fair-trade organisation and a domestic garment supply chain. We argue that the conflation of empowerment and performativity serves the convenience of neoliberal ideology rather than the empowerment needs of those to whom such discourses are applied. To complement our critique, based on the empowerment literature, we develop a conceptual framework of empowerment and agency encompassing individual and collective agency, considering these in light of the relationship between performativity and social reproduction. Coupling a more nuanced understanding of empowerment to the critique of the entrepreneurial discourse, as applied to women home-based workers, provides a theoretical contribution to the empowerment and entrepreneurial discourse literature.

Beyond Morality: The Moral Economy Framework and the Fisheries in Mumbai

The notion of the moral economy has shifted widely in interpretation over the years. Beginning as a concept to understand shifts in political economy, it has increasingly focused on the role that morality and values play in non-capitalist economies. Resource-dependent communities are viewed as exemplifying moral economies, embodying morals that are based on notions of equality and reciprocity and thus seen to be the anti-thesis of modern capitalist societies. Such a formulation shifts the focus from social change—the foundation of the earlier moral economy framework—to a focus on morality and participants in ‘moral’ economies. This article argues for a return to the older conceptualization of the ‘moral economy’ where class remains an important determinant of action such that different political economic regimes represent different kinds of moral economies. Based on a study of the Koli caste community of fishers in Mumbai, this article explores the messy ways in which community and class identities intersect in response to a capitalist transformation. A return to the older moral economy framework offers an opportunity to critically analyse community values and class politics and the role they play in shaping collective action without reducing capitalism as the ‘amoral’ other to older livelihood practices.

National Families and Private Companies: Narrative Structure and Economies of Exchange in Jane Smiley’s the Last Hundred Years Trilogy

ABSTRACT This essay argues that the formal structure of Jane Smiley’s The Last Hundred Years Trilogy (2014–2015) integrates interpersonal modes of exchange with modes of exchange constitutive of free market capitalism. Meshing the intimate conventions of the “family saga” with mechanisms associated with neoliberal financial systems, Smiley implicates relationships often perceived as natural and uniquely personal in the large-scale economic regimes driving catastrophic climate change and exploitive income disparities. Drawing on the work of Gilles Deleuze and Félix Guattari, Frederic Jameson, Hayden White, and Wendy Brown, I argue that by coupling a quick-paced one chapter/one year format with a circulating third-person narrative perspective, The Last Hundred Years reiterates the conflicts expressed in national discourses that define the U.S. as both a democracy dedicated to shared egalitarian ideals and the world’s primary arena of self-interested striving. If the form of a literary work mediates the contradictions of its age, the unique narrative structure Smiley devises for the Trilogy both reproduces and repudiates capitalist modes of exchange – emotional and material, economic and intimate – expressing her critique of the economic and political systems she holds responsible for bringing humanity to the brink of its “last” hundred years.

Inhabiting Dispossession in the Post-Socialist City: Race, Class, and the Plan, in Bucharest, Romania.

The paper explores the racialised geography of a series of socialist blocs located in the southern periphery of Bucharest, labelled as a contemporary Romanian “ghetto”. Through extensive ethnographic and archival work, it expands on contemporary Western race‐aware urban scholarship, advancing an expansive reading of the “plan” as a key element to account for the endurance of foundational dispossession in the context of Bucharest. The goal is to trace how the social segmentations of “class” and “race” have been diagrammed through discontinuous city‐making in the last hundred years, refuting a reading of these complex processes as a matter of evolutionary stages between economic regimes, which ends up reproducing a stereotypical representation of the Eastern “other”. The paper contributes to a situated approach to racial urbanism, offering the basis for a trans‐Atlantic dialogue around the makings and unmakings of urban dispossession.

Optimal carry trade portfolio choice under regime shifts

This paper studies optimal currency allocation of the carry trade in foreign exchange (FX). A number of empirical studies have documented a phenomenon referred to as the ‘forward premium puzzle’, which states that the carry trade is profitable on average. However, the carry reversal during the 2008 global crisis periods wiped out the profits earned by the trade. To account for the regime shifts in the joint distribution of returns on the carry trade with FX market portfolios, we adopt a Markov regime switching model. We find evidence of two economic regimes: one state captures periods of the forward premium puzzle and UIP being violated, whilst the other reports high FX volatility and negative return of carry trade portfolio. Furthermore, to quantify the economic significance of regimes in returns on currency portfolios, we consider their importance in investors’ optimal portfolio allocation problem. We find strong evidence that optimal currency portfolio holdings vary significantly across regimes and across short and long investment horizons, as investors anticipate a shift out of the current state. Our results also show that the regimes partially anticipate peso events as well as the changes of funding liquidity measured by the TED spreads. A strategy that accounts for regimes, thus, generates overall stronger performance than the single-state Gaussian IID model, a carry trade procedure as well as a buy-and-hold strategy.

Predicting credit rating changes conditional on economic strength

This paper develops a new structural model for predicting credit rating changes using firms’ accounting data in a regime-switching multinomial logistic regression analysis. The empirical analysis indicates that the probabilities of upgrade, downgrade, or no-change, are asymmetric across economic regimes. The asymmetry of credit rating changes between the high and low credit-rated firms appears to be significantly different. While high credit-rated firms’ upgrade probabilities do not differ in expansions and contractions, low credit-rated firms’ upgrade probabilities are significantly asymmetric in expansions and contractions. Furthermore, the probabilities of downgrade appear to be asymmetric in expansions and contractions for most of the credit rating levels.

Rethinking the China-U.S. Bilateral Air Services Agreement from China’s Perspective: Approaches to Fair Competition

Bilateral relations between the People’s Republic of China (PRC) and the United States (U.S.) have never attracted the world’s attention more than today. This article analyses how two countries that are totally different in societies, economic systems, cultures, and values compete in the China-U.S. bilateral air services. With the trend of the liberalization as well as privatization of international air transport, the U.S. and China show two development models that influence their aviation sectors: complete liberalization vs. Socialist Market Economy (SME). The article focuses on the competition issues embodied in the China-U.S. bilateral air services and provides approaches to fair competition between the U.S. airlines and three major Chinese airlines impacted by China’s SME and the ‘Reform and Opening-up’ policy. The article further discusses the opportunity for deeper cooperation through a China-U.S. Open Skies agreement with convergent legal, economic, and institutional regimes. China, Fair Competition, Air Services Agreement, Open Skies

How to Deal with a Bully: Debility, Non-Production, and Radical Care

This article examines how resistance toward capitalism's temporal bullying is performed in contemporary art and activism. It addresses the relationship between creativity, institutions, and empowerment. Building on the conceptual work of Croatian artist Mladen Stilinović (1947–2016), the article explores several aesthetic presentations of resistive temporalities we identify as non-production. The case studies of non-production herein marshaled affirm a performance of resistance that centers discussion of radicality in self-consciously interdependent care networks, ostensibly available to all disabled and nondisabled individuals. This care ethic claps back at the idea of self-optimization and fiduciary endurance amidst economic regimes of exploitation as virtuous. In the place of 'wellness,' this article affirms new directions in care and mutual aid, as premised on queer, crip, and feminist portrayals of disability praxis and pedagogy.

Valuation of Annuity Guarantees Under a Self-Exciting Switching Jump Model

This article investigates the valuation of annuity guarantees under a regime-switching model when the dynamics of the underlying stock price follow a self-exciting switching jump-diffusion process. In this framework, we add a jump component to a regime-switching geometric Brownian for large shocks on the stock price. The intensity of shock arrivals is a Hawkes process modulated by a continuous time hidden Markov chain with a finite number of states. The interest rate used for discounting is stochastic and correlated to the stock market. In an incomplete market, we define an equivalent martingale measure to price a variable annuity contract that guarantees a minimum living or death benefit. Under this equivalent martingale measure, we propose closed-form approximation formulas using the inverse Fourier transform technique. A numerical implementation highlights the impact of self-exciting jumps and economic regimes on the valuation of guarantees.

Forecasting US Equity and Bond Correlation—A Machine Learning Approach

The stock–bond correlation is a cornerstone of every asset allocation decision, but estimating it reliably can prove to be challenging given the potential for co-movements to fluctuate significantly based on economic conditions. Using supervised machine learning techniques, this article presents a new approach for identifying key determinants of the correlation between US equity and bond returns, ultimately finding that inflation, alongside real yields, equity volatility, economic growth, and inflation uncertainty, predict changes in correlation dynamics overtime. Relative to the existing literature, the authors’ approach allows for the systematic detection of the main drivers of stock–bond correlation and uncovers the time variation in importance of each determinant across economic regimes. Upon conducting an out-of-sample portfolio evaluation, the authors show that the five factors with gradient boosting regression approach outperforms all other existing factor-based models in estimating both the trend and level of correlation, thereby offering an alternative robust solution for forecasting time-varying equity and bond co-movements that can be further applied to asset allocation decisions and risk management.

American Option Pricing and Filtering with a Hidden Regime-Switching Jump Diffusion

The valuation of an American-style contingent claim is discussed in a hidden Markov regime-switching jump-diffusion market, where the evolution of a hidden economic state process over time is described by a continuous-time, finite-state, hidden Markov chain. Filtering theory is applied to introduce a filtered market where the valuation problem is discussed. A probabilistic approach to American option pricing is considered, where a decomposition formula for the price of an American put option is given as the sum of its European counterpart and an early exercise premium. Then the valuation of a perpetual American put option is considered. A (semi-)analytical approximation to the perpetual American put price is obtained. Numerical results for the perpetual American put prices and critical values are provided to illustrate the approximation and to examine the impacts of probability beliefs on hidden economic regimes and jumps on the put prices and critical values.

On the Role and Place of Perestroika in the Cycle of Russian — Soviet Reforms in XX Century: A Political Aspect

The article analyzes the reforms of the political system of Russia, starting with the revolution of 1905 and ending with the reforms of Boris Yeltsin in the 90s of the twentieth century. The author shows t that the political model that had developed in tsarist Russia by the beginning of the last century did not meet the needs and realities of that time and did not allow the country to develop dynamically. The inconsistency of the reforms proposed by Nicholas II, against the background of Russia’s unsuccessful participation in the First World War, led the country in 1917, first to the February and then the October revolutions, which ended the monarchy, proclaimed a republic, first bourgeois, and then Soviet. But even these reforms did not allow us to abandon the authoritarian form of government that reigned in the Soviet Union for more than 70 years. The reform initiatives of the 60s by N. Khrushchev and A. Kosygin, aimed at softening the current political and economic regime, also had little success. The most decisive attempt to transform this regime towards its greater effectiveness and sustainability were the reforms of Mikhail Gorbachev, known as “perestroika”. They assumed a radical transformation of the existing political and economic slowness by giving it real competitiveness, more active involvement of citizens in public and business activity, rejection of the ideological and political monopolism of the Communist Party. But the initiators of perestroika failed to implement all these ideas in a short five-year period. Many of their ideas were embodied in the reforms of Boris Yeltsin, the results of which were enshrined in the Constitution of the Russian Federation in 1993. But their practical implementation in the last decade of the twentieth century showed that so far Russia has not been able to completely abandon the ideas and principles of political monopolism, which do not allow the people to put into practice their socio-economic potential and ensure the country’s sustainable and progressive development.

REGULATORY CONSTITUTIONAL COMPETENCES IN TAXATION: THE CANARY ISLANDS’ECONOMIC AND FISCAL REGIME IN SPAIN

This research work is based on the study of the transition process of the integration of the Canary Islands in the European Economic Community, also including the historical principles of the Economic and Fiscal Regime and its evolution, with the main objective of analyzing and identifying the modifications in the main law that regulates it and check its evolution and identify the areas that have been most affected, determining the effectiveness and contribution of current tax incentives in achieving the objectives for which they were designed within the powers regulated by the Spanish Constitution . The consolidation of its special economic situation within the Spanish internal order facilitated by community recognition in the evolution of the special economic situation of the Canary Islands will be highlighted, and that for its development it is necessary to study the economic situation of the Canary archipelago and to know the essential needs of trade with other regions. Additionally, indirect taxes such as the IGIC and the AIEM, subject to imports of goods in the Canary archipelago, will be analyzed.

Theorizing Asia: An Introduction

Theorizing Asia:An Introduction Alex Taek-Gwang Lee (bio) In The Age of Extremes, Eric Hobsbawm suggested the term "short twentieth century" to consider the extreme experiences of the century. The period refers to seventy-eight years between 1914 to 1991, beginning with the First World War and ending with the collapse of the Soviet Union. The fall of the German, Ottoman, Austro-Hungarian, and Russian empires during the First World War paved the way for the Second. When the United States dropped two atomic bombs on Japan in 1941, it appeared that the war had come to an end, with the Allies' "justice league" destroying the Fascist alliance. Contrary to common belief, Hobsbawm emphasized that "the Second World War had barely ended when humanity plunged into what can reasonably be regarded as a Third World War" (1994, 226). After the fall of the Japanese Empire, the United States' most pressing mission in Asia was to build an anti-communist defense line rather than decolonize the countries. In Japan, the US enjoyed establishing "a completely unilateral occupation that excluded the USSR and any other co-belligerent" (227). While Europe settled into postwar conditions, the war did not end in Asia. Ironically, the end of World War II meant the beginning of civil wars in the area. As Hobsbawm pointed out, Asia was "the zone in which the two superpowers continued, throughout the Cold War, to compete for support and influence, and hence the major zone of friction between them, and indeed the one where armed conflict was most likely, and actually broke out" (227). This geopolitical confrontation resulted in widespread violence in the region. For Asians, the end of World War II did not signal the end of the conflict but rather the beginning of a new one. It all started with the people's yearning for nation-building following Japan's defeat in World War II. For example, the Korean people wanted to build a nation-state at the time, but the situation forced them to separate into two regimes—North and South Korea. The US policy to "roll back" communism introduced the cruel division of people, divided into the inclusive group and the exclusive group by the rule of anti-communism. This violent operation rolled out in many places in the Global South. The United States' overseas policy did not aim to build a democratic regime in the areas but prioritized [End Page 1] more efficient governance to manage the anti-communist defense line. Accordingly, it helped local power elites build despotic authority. What must be stressed here is that the revival of despotism in Asia revealed the realpolitik of the anti-communist strategy, which betrayed its political cause of anti-fascism and went against people's desire for liberation. This trickery always lurks in the shadow of so-called freedom propaganda. The right of independence was not equal and was a concept used to divide people into those included in and those excluded from the nation. During the Cold War, the US supported military despotism with the pretext of protecting the "Free World" against communism in Asia, Africa, and Latin America. In those areas, the Cold War had a profound impact on postcolonial nation-building. Almost all Southern Cone countries were dominated by military autocracies from the 1950s through the 1970s, an experience that continues to affect political and economic regimes to this day. The paradox is that, despite the dictatorships' breaches of human rights, the United States defended its assistance. This coalition between the US and those authoritarian regimes was called the "Condor Operation" and was seen to repress people's demand for democracy. These dictatorships caused traumatic experiences in Latin America, and those countries in the region share the crippled history of the republic. In this sense, the postwar authoritarianism in Asia is the regional occasion of the state violence and the structural consequences of the United States' geopolitical plan. Asia's experiences are not an erasable memory buried in the abyss of the past; they returns again and again to the surface of cultural consciousness. Rather than disappear, trauma constructs its origins with the eternal return of the moment. The experience is not bearable...

MODERNIZATION OF STATE ECONOMIC POLICY BY IMPLEMENTATION OF THE SPECIAL ECONOMIC ACTIVITY REGIME

The article summarizes the legal content regarding introduction of the special economic activity regimes in the context of the economic policy of Ukraine in war and post-war times. The range of tasks of the special economic regime is very wide but it will always be limited by the resources and capabilities of the state, regions, and territorial communities. It is emphasized that the special economic activity regime is an institute of economic legislation and is modern instrument of the state's economic policy. The special economic activity must be considered as an economic and legal mechanism of the economic policy of the state in the context of economic simplification activities, conducting business, etc. in the territories (regions) of our state. It especially applies to territories located along the borders with Russia and Belarus. It is argued that economic and legal mechanisms are in close interaction with the exogenous and endogenous environment, which can affect the reduction of the special economic activity regime functioning effectiveness. It is established that the economic state policy modernization by introducing the special economic activity regime requires the adjustment of existing legal norms regarding management in local territories. Coherence is defined the components of the modernization of the economic policy of the state through the introduction special economic activity regime in war and post-war times. The functioning of the special economic activity regime involves the implementation of constant monitoring and control of the obtained economic results activity. The advantages and reasons for the negative result are determined introduction of the special legal regime of economic activity in the context modernization of the economic policy of the state is determined. It is also determined that if it is more clearly the connection between the goals of the business entity and the interests of the state it will more likely that a special economic activity regime will promote development local territory.

Нормативное формирование экономических преимуществ организации труда на федеральной территории

In this study, on the basis of a systematic analysis of the regulatory regulation of the features of the organization of public power in the federal territory, in cooperation with special legal regimes of certain types of economic activity, the foundations for the formation of economic advantages of labor organization in certain sectors of the economy are revealed. Accordingly, the very features of the organization of public power determine the regimes of economic activity that allow the rational organization of labor activity, which in itself becomes a distinctive feature of the federal territory, distinguishing it from other special economic regimes (territories of advanced development, special economic zones, etc.).