Stylized Facts Research Articles

The international empirics of management

A country's national income broadly depends on the quantity and quality of workers and capital. But how well these factors are managed within and between firms may be a key determinant of a country's productivity and its GDP. Although social scientists have long studied the role of management practices in shaping business performance, their primary tool has been individual case studies. While useful for theory-building, such qualitative work is hard to scale and quantify. We present a large, scalable dataset measuring structured management practices at the business level across multiple countries. We measure practices related to performance monitoring, target-setting, and human resources. We document a set of key stylized facts, which we label "the international empirics of management". In all countries, firms with more structured practices tend to also have superior economic performance: they are larger in scale, are more profitable, have higher labor productivity and are more likely to export. This consistency was not obvious ex-ante, and being able to quantify these relationships is valuable. We also document significant variation in practices across and within countries, which is important in explaining differences in the wealth of nations. The positive relationship between firm size and structured management practices is stronger in countries with more open and free markets, suggesting that stronger competition may allow firms with more structured management practices to grow larger, thereby potentially raising aggregate national income.

Inside the Boardroom: Evidence from the Board Structure and Meeting Minutes of Community Banks

Community banks are critical for local economies, yet research on their corporate governance has been scarce due to limited data availability. We explore a unique, proprietary dataset of board membership and meeting minutes of failed community banks to present several stylized facts regarding their board structure and meetings. Community bank boards have fewer members and a higher percentage of insiders than larger publicly traded banks, and experience little turnover during normal times. Their meetings are held monthly and span about two hours. During times of distress, community bank boards convene less often in regularly scheduled meetings in lieu of impromptu meetings, experience higher turnover, particularly among their independent directors, and their meeting tone switches from neutral to significantly negative. Board attention during distressed times shifts towards discussion of capital and examination oversight, and away from lending activities and meeting formalities.

Public comment and public policy

AbstractIs public policy responsive to demographically and ideologically unrepresentative comments given at public meetings? I investigate this possibility using a novel data set of over 40,000 comments made at the San Francisco Planning Commission between 1998 and 2021, matched to information about proposed developments discussed in hearings and administrative data on commenters. I document four stylized facts: First, commenters at public meetings are unrepresentative of the public along racial, gender, age, and homeownership lines; second, distance to the proposed development predicts commenting behavior, but only among those in opposition; third, commission votes are correlated with commenters’ preferences; finally, the alignment of White commenters (vs. other racial groups) and neighborhood group representatives and the general public (vs. other interest groups) better predict project approvals.

Population Aging in Japan: Stylized Facts, Causes, and Consequences

Population Aging in Japan: Stylized Facts, Causes, and Consequences

Treasury Richness

ABSTRACTWe provide estimates of Treasury convenience premia across the entire term structure of Treasury bills, notes, and bonds over more than a quarter of a century and document a variety of key stylized facts about their time‐series and cross‐sectional patterns. These results raise concerns about the evolving nature of Treasury markets and suggest that investors may now place less weight on the traditional role of Treasury securities as liquid trading vehicles. These stylized facts provide empirical benchmarks that could help guide future theoretical and empirical work about the economics of safe assets in financial markets.

Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail: Further evidence from equity market

The properties of clustering, long memory, switching regime, leverage effect and heavy tail in volatility dynamic behavior are induced by important stylized facts in financial markets. There is still a controversy whether incorporating these properties could improve the modelling and forecasting performance of volatility. We construct hybrid volatility models via three perspectives including short memory, long memory and Markov switching GARCH with leverage effect and heavy tail, and empirically compare their performance of in-sample estimation, out-of-sample forecast and risk measurement based on trading data of Chinese equity market index. The out-of-sample forecast results indicate that the FIEGARCH model with innovation distribution of GED outperforms the competing models, and the backtesting results of VaR and ES confirm that this model performs well in the application of risk measurement.

From GARCH to Neural Network for Volatility Forecast

Volatility, as a measure of uncertainty, plays a crucial role in numerous financial activities such as risk management. The Econometrics and Machine Learning communities have developed two distinct approaches for financial volatility forecasting: the stochastic approach and the neural network (NN) approach. Despite their individual strengths, these methodologies have conventionally evolved in separate research trajectories with little interaction between them. This study endeavors to bridge this gap by establishing an equivalence relationship between models of the GARCH family and their corresponding NN counterparts. With the equivalence relationship established, we introduce an innovative approach, named GARCH-NN, for constructing NN-based volatility models. It obtains the NN counterparts of GARCH models and integrates them as components into an established NN architecture, thereby seamlessly infusing volatility stylized facts (SFs) inherent in the GARCH models into the neural network. We develop the GARCH-LSTM model to showcase the power of GARCH-NN approach. Experiment results validate that amalgamating the NN counterparts of the GARCH family models into established NN models leads to enhanced outcomes compared to employing the stochastic and NN models in isolation.

Modern Analyses of Macroeconomic Indices for Medium and Long Term Plans in Georgia

This paper analyzes the economic growth of Georgia through the lens of two key indicators: income/GDP per worker (representing productivity) and income/GDP per capita (representing prosperity). It emphasizes the importance of using Purchasing Power Parity (PPP) adjusted data to avoid misleading comparisons between countries with different price levels. The paper highlights three key stylized facts about Georgia's economy: Transformational Shock: Georgia's GDP per capita fell dramatically by 468% in less than ten years due to the collapse of the Soviet economic system. This is a unique event in modern economic history, with no other country experiencing such a sharp decline; Unstable Growth Rates: Unlike the U.S. which shows a relatively stable 2% annual growth rate over 150 years, Georgia's economic growth rates lack a clear trend and fluctuate significantly; Negative Correlation Between Cyclical Unemployment and GDP Gap: The cyclical unemployment rate and the GDP gap in Georgia are inversely correlated. As the unemployment rate falls below the natural rate of unemployment, the GDP gap widens, indicating potential overheating in the economy. The paper argues that existing models of economic growth, often based on developed economies with different macroeconomic realities, may not be suitable for analyzing Georgia's situation. It calls for the development of models that explicitly consider the unique features of Georgia's economy, including the transformational shock, unstable growth rates, and the relationship between unemployment and GDP. Overall, the paper raises important questions about the nature of economic growth in Georgia and the need for tailored models to understand its specific dynamics.

Is accounting a matter for bookkeepers only? The effects of IFRS adoption on the financialisation of economy

Abstract The process of financialisation has been extensively studied and several stylised facts identified. Short-termism is one of these. This article analyses the role that changes in accounting rules have played in increasing short-termism in company management. Our study considers the adoption of the International Financial Reporting Standards in the European Union (EU), showing that the new accounting standards have altered companies’ sensitivity to investment opportunities, leading to underinvestment in the real economy. In doing so, our article highlights the public-policy profile of accounting standards setting and possible tensions with EU societal objectives. To the best of our knowledge, this is the first study empirically analysing the role of accounting rules in the financialisation of economy.

Explaining the Stylized Facts of Foreign Exchange Markets with a Simple Agent-based Version of Paul de Grauwe’s Chaotic Exchange Rate Model

AbstractWe propose a simple agent-based version of Paul de Grauwe’s chaotic exchange rate model. In particular, we assume that each speculator follows his own technical and fundamental trading rule. Moreover, a speculator’s choice between these two trading philosophies depends on his individual assessment of current market circumstances. Our agent-based model setup is able to explain a number of important stylized facts of foreign exchange markets, including bubbles and crashes, excess volatility, fat-tailed return distributions, serially uncorrelated returns and volatility clustering. A stability and bifurcation analysis of its deterministic skeleton provides us with useful insights that foster our understanding of exchange rate dynamics.

Modelling the industrial production of electric and gas utilities through the CIR3\\documentclass[12pt]{minimal} \\usepackage{amsmath} \\usepackage{wasysym} \\usepackage{amsfonts} \\usepackage{amssymb} \\usepackage{amsbsy} \\usepackage{mathrsfs} \\usepackage{upgreek} \\setlength{\\oddsidemargin}{-69pt} \\begin{document}$$CIR^3$$\\end{document} model

This work aims to extend previous research on how a trifactorial stochastic model, which we call CIR3\\documentclass[12pt]{minimal} \\usepackage{amsmath} \\usepackage{wasysym} \\usepackage{amsfonts} \\usepackage{amssymb} \\usepackage{amsbsy} \\usepackage{mathrsfs} \\usepackage{upgreek} \\setlength{\\oddsidemargin}{-69pt} \\begin{document}$$CIR^3$$\\end{document}, can be turned into a forecasting tool for energy time series. In particular, in this work, we intend to predict changes in the industrial production of electric and gas utilities. The model accounts for several stylized facts such as the mean reversion of both the process and its volatility to a short-run mean, non-normality, autocorrelation, cluster volatility and fat tails. In addition to that, we provide two theoretical results which are of particular importance in modelling and simulations. The first is the proof of existence and uniqueness of the solution to the SDEs system that describes the model. The second theoretical result is to convert, by the means of Lamperti transformations, the correlated system into an uncorrelated one. The forecasting performance is tested against an ARIMA-GARCH and a nonlinear regression model (NRM).

Does the Value-Added Tax Add Value? Lessons Using Administrative Data from a Diverse Set of Countries

The value-added tax (VAT) is a cornerstone of the modern tax system. It has many desirable properties in theory: it does not distort firms' production decisions, it is difficult to evade, and it generates a substantial amount of revenue. Yet, in many countries there are discrepancies between the textbook model of the VAT and its practical implementation. Where the VAT implementation diverges from its textbook model, the tax may lose its desirable properties. We draw on firm-level administrative VAT records from 11 countries at different income levels to examine the functioning of real-world VAT systems. We document four stylized facts that capture departures from the textbook VAT model which are particularly pronounced in lower-income countries. We discuss the effects on VAT performance and simulate a counterfactual retail sales tax and a turnover tax. Despite its shortcomings, we conclude that the real-world VAT is superior to the alternatives.

Multi-product Exporters: Verifying Stylized Facts

Multi-product Exporters: Verifying Stylized Facts

Flood and Food Security in the Benue Valley: Stylized Facts

The scientific consensus is that global climatic change is caused by human activities. Global climate variation has altered the pattern of annual rainfall in most parts of the world, resulting in annual flooding with devastating effects on humanity. With many rivers that crisscross the Nigerian landscape, the country has experienced a number of flood incidents along the river basins (valleys) with varying degrees of devastation. This paper, thus, focuses on the effects of flood on food security in the Benue Valley. The specific objectives of the study include: to examine the effects of flood on food supply; prices of agricultural output; and the level of public and private aids to flood victims within the study area. A sample of households and market leaders were interviewed for the purpose of data collection. Data was equally sourced from Non-governmental Organizations, State Emergency Management Agencies, and other written sources. The data was analyzed and presented using simple bar charts. Findings revealed that there is always a gross inadequacy of food supply during the years of devastating floods compared to years of normal annual rainfall. Prices of agricultural products increased by almost 200% and household income declined significantly during the flood disaster years. Findings also revealed that private organizations sometimes render more aids to flood victims than the public sector. To arrest the danger of annual devastating floods in the Benue Valley, the paper recommends better water infrastructure management strategies like the construction of more dams and dredging of River Benue.

Measures of firm performance and concentration: Stylized facts and a dilemma of data reproduction

Economists and policymakers have used the increase in the concentration of return on invested capital (ROIC) in publicly traded US firms over the last decades as evidence for the decline of competitiveness in the broader economy. Principle support for this claim is a graph presented by the Council of Economic Advisors (CEA, 2016) that reproduces data from the McKinsey and Company’s book on Corporate Valuation. We demonstrate that the key findings associated with the evolution of the ROIC cannot be broadly reproduced using Compustat data and established accounting measures and calculations. Further, we find the recommended data filtering strategies can result in discarding more than 75% of the available data. We show that using the full information dataset can lead to significant changes in economic conclusions. We advocate for transparency in calculations and rationalization of data pre-processing.

Developing strategy for rural transformation to alleviate poverty in Pakistan: Stylized facts from panel analysis

Sustainable income growth and poverty reduction remain critical challenges at the forefront of research in Pakistan, particularly in rural areas. To overcome these challenges, the role of rural transformation (RT) has emerged and gained importance in recent years. The present study is based on district-level data and covers the period from 1981 to 2019. The study attempts to quantify the role of rural transformation in boosting rural per capita income and alleviating rural poverty in the country. The study also aims to explore the impact of stages of rural transformation on rural per capita income and rural poverty alleviation. The empirical findings reveal that rural transformation (RT1 and RT2) is essential in enhancing rural per capita income and alleviating rural poverty. The role of the share of high-value crops (RT1) is more pronounced than the share of non-farm employment (RT2) in boosting rural per capita income and poverty alleviation. The trend of larger contribution of RT1 to enhance rural per capita income also continued at 2nd stage of rural transformation. In the case of poverty reduction, at 3rd stage of rural transformation, the role of RT2 is dominant. Our results indicate that districts at higher stages of rural transformation (both RT1 and RT2) tend to correlate positively with increased rural per capita income and reduced poverty rates, suggesting that progress in rural transformation is associated with improved economic conditions. However, it is important to note that this correlation does not necessarily imply a direct causal relationship between rural transformation and these economic outcomes; other factors may have influenced this relationship. In addition, the welfare impacts are more noticeable among the districts where a simultaneous shift from grain crops to cash crops and from farm employment to non-farm employment is observed. The study provides baseline information to learn experiences from fast-growing districts and to replicate the strategies in other districts, which boosts the RT process that may increase rural per capita income and enhance poverty reduction efforts.

Fiscal policy: post- or New Keynesian?

This paper asks whether the post-Keynesian or New Keynesian paradigm provides a more realistic description of the effects of fiscal policy on output and consumption. I establish some macro and microeconomic stylized facts on fiscal multipliers and marginal propensities to consume based on the extensive empirical literature. I compare them to basic and extended modelling approaches within the two traditions. The picture is mixed and points to shortcomings in both paradigms. I outline the elements they could learn from each other as well as from some other strands in the literature to create a coherent and convincing Keynesian macro-micro framework of fiscal policy modelling.

Analysis of Meituans Merger of Dianping: Stylized Facts, Challenges and Outlook

Facing external and internal challenges, Meituan merged with Dianping in 2015 and Meituan has grown to be the leading company among online to offline (O2O) lifestyle service platforms. The paper selects the case of Meituans merger of Dianping and studies the motivation and effectiveness of the deal through analyzing the statistics and public information. The paper concentrates on the analysis of disclosed financial reports and includes challenges and objective statement, analysis of advantages and disadvantages and also future prospects. In brief, it is found that Meituan succeeded in increasing revenue after the merger according to the paper. Nevertheless, Meituan still had difficult in making profit as it conducted low-price strategy. The paper also analyzes the stylized facts and gives out future prospects of Meituan. Moreover, this case can bring enlightenment and inspiration to decision-makers whose companies are facing similar challenges. However, for investors, the paper can serve as reference if they plan to invest in the stock of Meituan.

Covid-19 Pandemic, China and Global Economy: Stylized Facts and Prospect

This article studies the huge impact on the global economy due to the spread and development of the novel coronavirus. As the first country affected by the pandemic, China has reflected the impact of the epidemic on the global economy through its policy analysis and investigation during the epidemic, which is reflected in the disruption of international trade, the turmoil of the stock market, and the increase in unemployment. COVID-19 virus appears for the first time in China. The extremely high infection rate and extremely fast transmission speed have made China's political economy turbulent. The Chinese government has implemented a closed policy to control the spread of the epidemic. After the epidemic was brought under control, the Chinese government revived the economy by subsidizing enterprises and the unemployed. It is found that the government must respond quickly, and each country can help each other to restore the economy and better reflect the global economic integration.

The Development of Elderly Services: Stylized Facts and Prospect in China

Population aging has emerged as one of China's major concerns due to the country's ongoing economic development and population increase. In order to predict the future growth of China's aged service industry and to suggest appropriate change-management techniques, this article examines the existing status of China's aging population. First, in this essay, the current situation with China's aging population is examined, including the sharp rise in the proportion of the old and the progression of aging., and the existence of urban-rural aging differences. Secondly, this paper analyzes the causes of population aging and the combined effects of various factors such as aging family knots. Then, the paper discusses how to improve China's elderly service industry and proposes corresponding policy recommendations and changes in wording. Finally, the paper points out that to meet the challenges posed by population aging, and to ensure the senior population's health, longevity, and happiness, a sound aged service system must be established. and aggressively pursue the education and training of elderly service employees to enhance their knowledge, abilities, and employment possibilities for the elderly population's involvement and fulfillment. Aside from that, the government should strengthen cooperation with enterprises and social organizations to improve the elderly service industry.