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Common Agriculture Police in the EU, direct payments, solvency and income

We employ agriculture data for all twenty-eight EU Member States. The data comes from the public Farm Accountancy Data Network (FADN) of the EU. In terms of methodology we employ panel regression and panel Vector Autoregression analysis (panel VAR) to take into account possible endogeneity issues.

The reported panel regressions, impulse response functions (IRFs) and variance decompositions (VDCs) show that agriculture income has been subdued due to negative shocks in direct payments and solvency. Our results do not support the hypothesis that higher direct payments would increase agriculture income. In addition, whilst solvency subdues agriculture income, investment asserts a positive impact on agriculture income.

Further research on the impact of direct payments of CAP on EU agriculture is warranted at a disaggregate level so as to examine whether there is variability in the underlying interlinkages at regional level

As a policy implication, and in light of the ongoing reform of the EU's CAP, we would propose to raise net value added in agriculture using targeted income support to small and medium-sized farms. The European Economic Recovery Plan (EERP) would be also supportive. In addition, further enhancing financial integration across the EU would provide funds for investment in agriculture.

As social implication, one would propose to raise investment in agriculture, that is through the European Economic Recovery Plan (EERP). The EERP is designed as a stimulus package set up to mitigate the consequences of the global financial crisis in the EU. Also, a way to boost agriculture income is through the credit channel of the on-going quantitative easing of the ECB, where unconventional monetary policy is aiming to support the growth prospect of the Euro area.

This study examines the impact of direct payments, which include all subsidies, of the EU's Common Agriculture Policy (CAP) on agriculture income as measured by the net value added. We also control for solvency. Despite the magnitude of CAP on the EU budget, few studies investigate the impact of direct payments on income in the aftermath of the financial crisis. This is surprising given the importance of agriculture for the economic recovery of the EU that remains anaemic more than a decade after the crisis.

This study aims to contribute to the growing literature on the effects of remittances and the determinants of health outcomes by analysing for the first time the effect of remittances on health outcomes in developing countries using a panel vector autoregression (PVAR) model.

This study uses panel data from 107 developing countries over the period from 1990 to 2018 to examine the effect of remittances on health outcome in developing countries.

The main findings from study is that remittances improve health outcomes in developing countries. Another finding of this study is that income, trade, foreign direct investment and financial devlopment improve health outcome.

The contribution of this study is fourfold. Firstly, it adopts the PVAR methodology in a Generalized Method of Moments framework proposed by Abrigo and Love (2016). Secondly, it analyses the implications of remittances on health outcomes by relying on two comprehensive measures of health outcomes commonly used in the literature which are life expectancy at birth and the rate of under-five mortality rates. Thirdly, we identify governance and maternal education as the channels through which remittances improve health outcomes in developing countries. Finally, the current paper covers an extensive time span (29 years) and focuses on a large sample (107 countries).

The current study aims to analyze the linkage among bank competition, liquidity and loan price in an interconnected bank network system.

The study employs the Lerner index to estimate bank power; Granger non-causality for estimating competition, liquidity and loan price network structure; principal component for developing competition network index, liquidity network index and price network index; and panel VAR and LASSO-VAR for analyzing the dynamics of interactive network effect. Current work considers 33 Indian banks, and the duration of the study is from 2010 to 2020.

Network structures are concentrated during the economic upcycle and dispersed during the economic downcycle. A significant interaction among bank competition, liquidity and loan price networks exists in the Indian banking system.

The study meaningfully contributes to the existing literature by adding new insights concerning the interrelationship between bank competition, loan price and bank liquidity networks. While enhancing competition in the banking system, the regulator should also pay attention toward making liquidity provisions. The interactive network framework provides direction to the regulator to formulate appropriate policies for managing competition and liquidity while ensuring the solvency and stability of the banking system.

The study contributes to the limited literature concerning interactive relationship among bank competition, liquidity and loan price in the Indian banks.

The purpose of this paper to examine how global economic policy uncertainty (GEPU) affects export flows of emerging market economies.

This study examines the effect of GEPU on 28 emerging markets' export performance. GEPU variable used in the authors’ empirical analysis is measured by partial least square (PLS) factor loading model with the help of 24 countries' economic policy uncertainty index. A panel vector autoregression (VAR) model is employed for the estimations and monthly data over the 2006:01–2019:12 period are used.

The empirical findings show that while the real external income is the main factor that affects export flows, the real exchange rate is the least effective variable with regard to the variance decomposition, which is not expected by the related economic theory. Panel VAR estimations results confirm the previous studies and find that GEPU affects export flows negatively and significantly.

To the best of the authors’ knowledge, this is the sole study in terms of focusing on the impacts of GEPU on the export volume of emerging markets. The contribution of this paper is twofold. Firstly, a large set of countries with monthly frequented data that assist to capture uncertainties better is used. Secondly, the global economic policy index is obtained by employing the PLS method, which provides more robust results that are calculated with respect to the dependent variable.

The purpose of this paper is to re-examine the relationship between a country’s aggregate stock market and general economic development for 14 emerging economies for the period from 1995 to 2014.

The methodological approach of the paper is multifold. First, the authors use cointegration analysis to determine the simple dynamics among the variables. Second, the authors utilize vector autoregression analysis to study the dynamics among the variables for the 14 countries. Third, the authors employ panel analysis to determine common variations among the variables and across countries.

When examining the linkage between the stock market and economic development, proxied by gross domestic product growth or with gross fixed capital formation growth, the authors did not find a meaningful relationship between them. However, when the authors included additional control variables strong, dynamic interactions between the two magnitudes surfaced. Specifically, it was found that the stock market is positively and robustly correlated with contemporaneous and future real economic development and, thus, it directly contributed to a country’s economic development either through the production of goods and services or the accumulation of real capital. Thus, it can be inferred that the stock market alone is not capable of boosting economic development in these countries unless being part of a comprehensive financial system (which includes banks) as well as investment in real capital.

The policy implications are clear. Government authorities must recognize that the stock market alone is not a driver of economic development and that a sound, efficient financial system (which includes banks) must be present in order to contribute and foster economic development.

The study is original in the sense that it examines various financial and economic variables to determine the degree of (or dynamic interactions among) the stock market and the real economy for each and all emerging markets in the sample.

This paper examines the impact of macroeconomic and risk factors on the profitability and volatility of professional momentum portfolios for the US, the UK, Japan and Germany, for the period 1998–2018. Many of the factors employed, such as energy price changes and economic policy uncertainty, have been largely neglected in the relevant literature.

Regression analysis, VECTOR AUTOREGRESSION (VAR), Panel-VAR, Variance Decomposition Analysis

The results indicate that, since the financial crises in the US and the EU, energy prices and economic-policy uncertainty have become important return determinants, along with market-related uncertainty that seems to have a stable impact over time, especially for the U.S. and U.K. portfolios.

Economic policy uncertainty significantly affects contemporaneous momentum returns in the US, UK and Japan, mainly between 2007 and 2018, while market-related uncertainty affects all markets during all subperiods. In addition, the variance of market-related uncertainty (VIX) explains a large percentage of the variance in the momentum returns for the US, UK and Germany.

The main implication of the findings for portfolio managers is that a manager may increase (decrease) exposure to the momentum factor during optimistic (pessimistic) periods and during periods of rising energy prices (high economic policy and market-related uncertainty).

The paper examines the impact of factors, such as energy prices and economic policy uncertainty, which have been largely neglected in the relevant literature on the possible drivers of the momentum strategies. It employs professional portfolios that are often used in practice as benchmark indexes.

Despite prior studies, little has been done to understand the advertising carry-over effect. The purpose of this study is to investigate the heterogeneous attributes of the carry-over effect by focusing on the differences between franchise and non-franchise firms.

The data were retrieved from the Compustat database and annual corporate financial reports (10-K) for five representative franchise industries from 1980 to 2009. Ultimately, 185 firms were included and 1,592 firm-year observations were analysed. This study used a Panel VAR (Vector Autoregression) to examine the effects of advertising on firm performance. We can control endogenous effects using Panel VAR, which also allows us to control unobserved firm-specific heterogeneity.

This study found that advertising had no effect on sales growth or brand equity in the long run for non-franchise firms and further confirmed that non-franchise firms incur agency costs. In contrast, the effect of advertising on sales growth and brand equity was significant for franchise firms. A carry-over effect of advertising on brand equity was detected for franchise firms, but sales growth rapidly decreased after two years.

Even though franchise firms retain the carry-over effect of advertising on brand equity, franchisors should carefully monitor market trends and their sales growth because sales growth rapidly decreased after two years.

This study incorporated the concepts of the delayed response effect and the customer holdover effect to better understand the advertising carry-over effect. From the results, this study proposed a more detailed concept of carry-over effects for further studies. From this perspective, this study makes both academic and industrial contributions.

Liquidity is an important aspect of market efficiency. The purpose of this paper is threefold: first, this paper aims to discuss indicators that provide information about liquidity in agricultural land markets. Second, this paper aims to reflect on determinants of market liquidity and analyze the relationship with land prices. Third, this paper aims to conduct an empirical analysis for Germany that illustrates these concepts and allows hypothesis testing.

This study reviews liquidity dimensions and measurement in financial markets and derives indicators applicable to farmland markets. In an empirical analysis, this study exhibits the spatial and temporal variability of land market liquidity in Lower Saxony, a German federal state with the highest agricultural production value. This study uses a rich dataset that includes 72,547 sale transactions of arable land between 1990 and 2018. The research focuses on volume-based (number of transactions, volume and turnover) and time-based (trading frequency and durations) measures. A panel vector autoregression and Granger causality tests are applied to investigate the relation between land turnover and land prices.

The paper confirms the thinness of farmland markets but also reveals regional and temporal heterogeneity of land market liquidity. This study finds that the relation between market liquidity and prices is ambiguous. This study concludes that a high demand from expanding farms absorbs supply shocks regardless of the current price level in agricultural land markets.

Even though the relevance of agricultural land markets’ thinness is widely acknowledged in the literature, this paper is one of the first attempts to measure liquidity in agricultural land markets and to explain its relationship with land prices.

The purpose of this paper is to examine the role of value-at-risk (VaR) in the cross-section of stock returns in the Indian stock market during the period 1999-2014.

The paper follows the methodology of Bali and Cakici (2004) to investigate the relationship between VaR and stock returns and employs Fama and French’s (1993) and Fama and Macbeth’s (1973) methods to find out the predictive power of VaR in time-series and cross-section settings. Further, it follows Fama and French (2008) to estimate separate cross-section regressions for small, medium and big stocks to verify the pervasiveness of the anomaly.

This study finds positive risk premium associated with VaR in the Indian stock market during 2001-2008, the period of short selling constraint for institutional investors. This premium is confined to small stocks and low institutional holdings. The positive premium can be attributed to short selling constraints.

The risk-return tradeoff can be utilized by investors and fund managers. As it is confined to small stocks, transaction costs may affect the profitability of the investment strategy.

The study contributes to the scanty empirical literature on the role of VaR in the cross-section of expected stock returns. Moreover, this is the first study that explores the relationship between VaR and stock returns in the asset pricing context for the Indian stock market.

Managers face the challenge of balancing resources needed to support value creation and value appropriation. In this study the authors analyze the impacts of innovation investments (i.e. value creation: VC) on advertising expenditures (i.e. value appropriation: VA), and vice versa, and verify the effects of these options on short- and long-term performance.

The effects of these two activities on short- and long-term performance were analyzed observing a panel of 4,090 companies of Standard and Poor's Compustat database from a 40-year period. The authors adopted the panel vector autoregressive (VAR) approach, using the generalized method of moments (GMM).

Although there is a trade-off between the strategic emphases on creating and appropriating value, there is also a synergy between them. The results from the impulse response functions support the argument for a virtuous business circle: companies that choose to intensify their investments in R&D tend to increase advertising expenditures, and vice versa.

Managers, rather than having to deal with a trade-off between allocating resources either on VC or VA activities, can capitalize on synergetic benefits resulting from the interaction among them.

The relationship between the VC and VA activities transcends the trade-off imposed by resource restrictions, since the interaction between them creates additional benefits afforded by the synergy of these activities.