Mo.Fi.R. Working Papers (2017)

Mo.Fi.R. Working Papers (>> Mo.Fi.R. website)

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  • Paper nr. 145
Title: A mixture growth model for migrants’ remittances: An application to the German Socio-Economic Panel 
Authors:  Silvia Bacci, Francesco Bartolucci, Giulia Bettin, Claudia Pigini
We propose a bivariate mixture growth model with concomitant variables to study the time pro les of international remittances sent by rst-generation migrants in Germany from 1996 to 2012. The latent class approach allows us to identify homogeneous sub-groups of migrants associated with different trajectories for their remitting behavior, which can be interpreted in the light of the theoretical economic background. In addition, the latent class
model combined with the concomitant variable approach allows us to uncover whether the assignment of migrants to a speci c sub-group can be ascribed to their observable characteristics, namely their return intention, as conjectured by the theoretical models.
JEL Codes:  C33, C38, F22, F24
Keywords:  Bivariate model, Concomitant variables approach, Latent class model, Latent trajectory model, Longitudinal data, Remittances
  • Paper nr. 144
Title:  Funzioni economiche del risparmio per il buon funzionamento dell’economia.
Authors:  Pietro Alessandrini
La Costituzione Italiana, articolo 47, “incoraggia e tutela il risparmio in tutte le sue forme”. Esplicitamente attribuisce al risparmio il ruolo di bene pubblico fondamentale per il sistema economico e sociale. Dobbiamo chiederci perchè il risparmio è così importante da essere considerato nella carta costituzionale.
La risposta a questa domanda può essere articolata riprendendo in esame le caratteristiche generali del risparmio, le sue principali determinanti, le fonti private, pubbliche e internazionali del risparmio, le forme di impiego attraverso il sistema finanziario, gli effetti sullo sviluppo economico.
The Italian Constitution, article 47, “encourage and safeguard saving in all of its forms”. Explicitly the role of fundamental public good for the economic and social system is attributed to saving. The question is to explain why saving is so important to be considered in the Constitution. The answer needs to consider different aspects of saving, like: general characteristics; main determinants; private, public, and international sources; different uses through the financial system, impacts on the economic growth.
JEL Codes:  E21, E22, E44
Keywords:  saving, investment, macroeconomy
  • Paper nr. 143
Title:  Regulation, financial crises, and liberalization traps
Authors:  Francesco Marchionne, Beniamino Pisicoli, Michele Fratianni
To reconcile the mixed results emerging from the empirical literature, we first develop a theoretical model whose main implication is a concave impact of regulation on the probability of a crisis, and then we test this relationship by applying a Probit model of a non-linear specification to annual data from 1999 to 2011 drawn from 132 countries. Our key inference is that the probability of a financial crisis fits an inverted U-shaped curve: it rises as regulation stringency moves from low to medium levels and falls from medium to high levels. Countries located at the intermediate level of regulatory stringency face more financial instability than countries that are either loosely or severely regulated. We identify the latter two groups as falling in “liberalization traps”. Institutional quality interacts significantly with the regulatory environment, implying trade-offs between regulatory stringency and institutional quality.
JEL Codes:  G01, G21, G28
Keywords:  crisis, banks, institutions, liberalization, regulation
  • Paper nr. 142
Title:  Corporate Debt Maturity in Developing Countries: Sources of Long- and Short-Termism
Authors:  Juan J. Cortina,  Tatiana Didier, Sergio L. Schmukler
This paper documents to what extent firms from developing countries borrow short versus long term, using data on corporate bond and syndicated loan markets. Contrary to claims in the literature based on firm balance sheets, firms from developing countries borrow through bonds and syndicated loans at maturities similar to those obtained by developed country firms. The composition and use  of financing matters. Firms from developing countries borrow shorter term in domestic bond markets, but the differences in international issuances (accounting for most of the proceeds) are significantly smaller. Developing country firms borrow longer term in syndicated loan markets, which they partially use for infrastructure projects. However, only large firms from developing countries (similar in size to those from developed ones) issue bonds and syndicated loans. The short-termism in developing countries is partly explained by a lower proportion of firms using these markets, with more firms relying on other shorter-term instruments.
JEL Codes: F34, F65, G0, G10, G15, G21, G3
Keywords:  capital raising, corporate bonds, domestic and international debt markets, developing countries, firm financing, issuance maturity, long-term debt, short-term debt,  syndicated loans
  • Paper nr. 141
Title: International Asset Allocations and Capital Flows: The Benchmark Effect
Authors:  Claudio Raddatz, Sergio L. Schmukler, Tomas Williams
We study different channels through which well-known benchmark indexes impact asset allocations, capital flows, asset prices, and exchange rates across countries, using unique monthly micro-level data of benchmark compositions and mutual fund investments during 1996-2014. We exploit different events and the presence of countries in multiple benchmarks to study the impact of benchmarks. We find that movements in benchmarks appear to have important effects on equity and bond mutual fund portfolios, including passive and active funds. The effects persist even after controlling for other relevant variables, such as time-varying industry-level factors, country-specific effects, and macroeconomic fundamentals. Exogenous, pre-announced changes in benchmarks impact asset allocations, capital flows, and abnormal returns in asset prices and exchange rates. These systemic effects occur not just when the benchmark changes are announced, but also later on when they become effective. By impacting country allocations, benchmarks explain apparently counterintuitive movements in capital flows and aggregate prices.
JEL Codes: F32, F36, G11, G15, G23
Keywords:  benchmark  indexes,  contagion,  coordination  mechanism,  ETFs, international  asset prices, international portfolio flows, mutual funds
  • Paper nr. 140
Title: Firm age and the probability of product innovation. Do CEO tenure and product tenure matter?
Authors:  Marco Cucculelli
This paper examines the influence that the age of a firm has on the probability of product innovation by taking into account two factors: the role of the CEO’s tenure and the lifecycle of the last product introduced. In a sample of Italian manufacturing firms (n = 2,163), analysis reveals that the new entrants’ high innovative activity is mainly driven by the new CEO’s innovation propensity, which is strictly dependent on his tenure. Likewise, the lower innovation activity observed in mature firms is mostly explained by the dynamics of the product’s lifecycle and the CEO’s tenure. More generally, the existence of a negative relationship between innovation and firm age is questioned, as controlling for time-related variables that overlap during the company’s lifecycle – product age and CEO’s tenure — turns the relationship positive. Finally, the innovative behaviour of incumbent companies turns out to be dependent on the renewal abilities of newly appointed external CEOs, whereas, CEOs from within the family play a minor role.
JEL Codes: D22, G34, L25, O32
Keywords:  Product innovation, firm age, CEO tenure, product tenure, product lifecycle, industry lifecycle
  • Paper nr. 139
Title: International Financial Integration of East Asia and Pacific
Authors:  Tatiana Didier,  Ruth Llovet Montanes, Sergio Luis Schmukler
This paper provides a comprehensive analysis of how economies in the East Asia and Pacific (EAP) region have been integrating financially with the rest of the world since the 1990s, using bilateral data on portfolio investments, syndicated bank loans, mergers and acquisitions (M&As), and greenfield investments. Four main messages emerge from the analysis. First, the region is increasingly more connected with itself and with the rest of the world, even relative to GDP. Second, although economies in the North capture the bulk of the region’s inward and outward investments, EAP’s connectivity with the South has grown relatively faster. Third, EAP is relatively more connected through arm’s length financing (portfolio investments and syndicated loans) with the more financially developed North, and through FDI (M&A and greenfield investments) with itself and the South. Fourth, more developed EAP economies have a larger role in EAP’s arm’s length investments than in the region’s FDI.
JEL Codes: F14, F21, F23, G15
Keywords:  cross-border capital flows; foreign direct investment; international financial integration; portfolio investments; syndicated loans; trade flows
  • Paper nr. 138
Title: It is time to separate money banks from credit banks in Italy
Authors: Michele Fratianni
This paper argues that the Italian banking system would benefit from a profound restructuring achieved by separating safe banks, or money banks, from credit banks. The former would accept demandable deposits to be fully collateralized by a combination of monetary base and interestrate and-credit-risk-free assets. The latter would fund illiquid loans with equities and long-dated debt obligations. The money bank would fulfill the objective of fully protecting savings in the form of money without the necessity of heavy regulation. The risky bank, the credit bank, wouldnot be exposed to liquidity crises because one cannot run against long-dated bonds and equity. The credit bank, which is subject to insolvency risk, would bear a more intense regulatory andsupervision structure than the money bank.
JEL Codes: E41, E51, E52
Keywords: Chicago Plan; money bank; credit bank; regulation; too big to fail;
  • Paper nr. 137
Title: Credit Constraints and Firm Productivity: Evidence from Italy
Authors: Francesco Manaresi, Nicola Pierri
This paper studies the impact of credit constraints on manufacturers’ production. We exploit a matched rm-bank panel data covering
all Italian companies over the period 1998-2012 to derive a measure of supply-side shock to rm speci c credit constraints, and study how it affects input accumulation and value added productivity. We show that an expansion in the credit supply faced by a rm increases both input accumulation (size effect) and its ability to generate value added for a given level of inputs (productivity effect). Results are robust to various productivity estimation techniques, and to an alternative measure of credit supply shock that uses the 2007-2008 interbank market freeze to control for assortative matching between rms and banks. We discuss different potential channels for the estimated e ect and explore their empirical implications.
  • Paper nr. 136
Title:Banks, Firms, and Jobs
Authors: Fabio Berton, Sauro Mocetti, Andrea F. Presbitero, Matteo Richiardi
We analyze the employment effects of financial shocks using a rich data set of job contracts, matched with the universe of firms and their lending banks in one Italian region. To isolate the effect of the financial shock we construct a firm-specific time-varying measure of credit supply. The contraction in credit supply explains one fourth of the reduction in employment. This result is concentrated in more levered and less productive firms. Also, the relatively less educated and less skilled workers with temporary contracts are the most affected. Our results are consistent with the cleansing role of financial shocks.
JEL Codes: G01; G21; J23; J63
Keywords: Bank lending channel; Job contracts; Employment; Financing constraints; Cleansing effect.
  • Paper nr. 135
Title: Bank lending technologies and credit availability in Europe. What can we learn from the crisis?
Authors: Giovanni Ferri, Pierluigi Murro, Valentina Peruzzi, Zeno Rotondi
Using a unique sample of European manufacturing firms, we empirically investigate how differences in main banks’ lending technology and use of soft information affected firms’ credit availability during the 2007-2009 crisis. We find that the probability of credit rationing was higher for firms matching with transactional – i.e., using transactional lending technologies – banks. However, we show that soft information marginally reduced that probability in those firm-bank matches. Soft information would benefit most the small and medium enterprises and firms relating with large banks. Thus, reducing credit exclusion during crises requires either relationship lending or enticing transactional banks to use soft information.
JEL Codes: G21, D82, G30, O16
Keywords: Lending technologies, Credit rationing, Financial crisis, Soft information