The role of R&D and economic policy uncertainty in Sri Lanka’s economic growth

In this paper,we assess the role of investment in research and development(R&D)and economic policy uncertainty(EPU)in Sri Lanka’s economic growth experience.We do this by first determining which endogenous growth theories best explain the evolution of total factor productivity(TFP)in the country.Using historical time series data(1980–2018),we find that semi-endogenous growth theories best explain the evolution of TFP in Sri Lanka.This evidence suggests that R&D is critical to the country’s TFP expansion.We find that,through R&D,EPU has a crucial detrimental impact on TFP growth,although it is short-lived.Our findings are robust and have important implications for R&D investment and for moderating EPU.

Dynamic connectedness between stock markets in the presence of the COVID‑19 pandemic:does economic policy uncertainty matter?

This study investigates the dynamic connectedness between stock indices and the effect of economic policy uncertainty(EPU)in eight countries where COVID-19 was most widespread(China,Italy,France,Germany,Spain,Russia,the US,and the UK)by implementing the time-varying VAR(TVP-VAR)model for daily data over the period spanning from 01/01/2015 to 05/18/2020.Results showed that stock markets were highly connected during the entire period,but the dynamic spillovers reached unprecedented heights during the COVID-19 pandemic in the first quarter of 2020.Moreover,we found that the European stock markets(except Italy)transmitted more spillovers to all other stock markets than they received,primarily during the COVID-19 outbreak.Further analysis using a nonlinear framework showed that the dynamic connectedness was more pronounced for negative than for positive returns.Also,findings showed that the direction of the EPU effect on net connectedness changed during the pandemic onset,indicating that information spillovers from a given market may signal either good or bad news for other markets,depending on the prevailing economic situation.These results have important implications for individual investors,portfolio managers,policymakers,investment banks,and central banks.

Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH‑MIDAS model

This study investigates the impact of economic policy uncertainty(EPU)on the volatility of European Union(EU)carbon futures prices and whether it has predictive power for the volatility of carbon futures prices.The GARCH-MIDAS model is applied for evaluating the impact of different EPU indexes on the price volatility of European Union Allowance(EUA)futures.We then compare the predictive power for the volatility of the two GARCH-MIDAS models based on different EPU indexes and six GARCH-type models.Our empirical results show that the GARCH-MIDAS models,which exhibit superior out-of-sample predictive ability,outperform GARCH-type models.The results also indicate that EPU has noticeable effect on the volatility of EUA futures.Specifically,the forecast accuracy of the EU EPU index is significantly higher than that of the global EPU index.Robustness checks further confirm that the EPU index(especially the EPU index of the EU)has strong predictive power for EUA futures prices.Additionally,using the volatility forecasting methods that GARCH-MIDAS models combine with the EPU index,investors can construct their portfolios to realize economic returns.

Preventing crash in stock market:The role of economic policy uncertainty during COVID‑19

This paper investigates the impact of economic policy uncertainty(EPU)on the crash risk of US stock market during the COVID-19 pandemic.To this end,we use the GARCHS(GARCH with skewness)model to estimate daily skewness as a proxy for the stock market crash risk.The empirical results show the significantly negative correlation between EPU and stock market crash risk,indicating the aggravation of EPU increase the crash risk.Moreover,the negative correlation gets stronger after the global COVID-19 outbreak,which shows the crash risk of the US stock market will be more affected by EPU during the epidemic.

Raising capital amid economic policy uncertainty:an empirical investigation

This paper investigates how economic policy uncertainty affects firms’frequency and their choice of financial instruments to raise capital.By applying a three-step sequential framework over a sample of 6834 publicly listed US non-financial firms,we find that during periods of high economic uncertainty,firms raise capital more frequently with a preference toward debt financing.The empirical findings suggest that firms prefer debt financing over equity financing to avoid ownership dilution and high equity premia.The rise in leverage during periods of high economic uncertainty highlights the importance of scrutinizing policy tools used to stabilize the economy during such times.

The Influence of Economic Policy Uncertainty and Habit Formation on Rural Residents’ Consumption

Based on the household survey data of rural residents in 30 provinces(cities,districts)of China from 1995 to 2019,this paper constructs an econometric model of farmers’consumption behavior with habit formation and economic policy uncertainty,and makes an empirical analysis of farmers’consumption behavior by using sys-gmm estimation method.The results show that:since the reform and opening up,the changes of Chinese farmers’consumption behavior not only show excessive sensitivity to income changes on the whole,but also show a significant habit forming effect,and the existence of habit effect will reduce the impact of economic policy uncertainty on consumption;there is a large gap between regions,and the consumption in the western region is affected by the uncertainty of economic policy,the impact is greater.Therefore,the government should pay attention to the impact of economic shock on consumption,maintain the systematicness and stability of the policy,enhance the stability,continuity and accuracy of the policy,drive the development of the western region,build a long-term policy mechanism to promote the sustained and rapid increase of farmers’income,and further change farmers’consumption concept.

Economic Policy Uncertainty,Heterogeneity of Executives and Enterprise Innovation

This study analyzes how economic policy uncertainty affects corporate innovation,and the moderating effects of executive heterogeneity.A threephase dynamic investment and financing model is first built to analyze the mechanism.Empirical analysis confirms that the increase in the degree of economic policy uncertainty promotes enterprise innovation.Further results show that this promotion effect is more significant in enterprises with male executives,low educational level,no financial experience and political background.Moreover,the positive impact is only found in enterprises with moderate executive ability,and the overconfidence of senior executives plays a positive regulating role in it.

Global Risk Appetite,US Economic Policy Uncertainties and Cross-Border Capital Flow

Based on the global asset portfolio model,this paper created a panel threshold model using EPFR fund data to empirically test the non-linear spillover effects of US economic policy uncertainties on cross-border capital flow for emerging economies.Our study led to the following findings:(1)When the level of global investor risk tolerance is high,rising US EPU will induce a capital inflow into emerging economies,as manifested in the“portfolio rebalancing effect.”When the level of global investor risk tolerance is below a critical threshold,this gives rise to risk aversion and emerging economies will experience net capital outflow,i.e.the“flight to quality effect”.(2)Equity fund investors have a lower risk tolerance threshold than bond fund investors.(3)According to our heterogeneity analysis,more attention should be paid to monitoring capital flow through actively managed funds,ETF funds,and retail investor funds.The economy should increase financial efficiency and economic resiliency to mitigate capital outflow pressures from the external environment.

经济政策不确定性、投资者情绪与银行系统性风险传染

面对经济政策不确定性和投资者情绪,银行业需承担应对经济衰退、化解银行风险和实现经济高质量稳定增长的责任。本文利用MVMQ-CAViaR模型测度了2008—2021年所有上市银行的系统性风险,构建面板门限回归模型和面板平滑转换模型,研究在投资者情绪转换作用下经济政策不确定性影响银行系统性风险多重传染的边际效应结构变化。研究表明:投资者情绪具有显著的区制转换效应,使经济不确定性影响银行系统性风险多重传染的净边际效应,以指数转换模式发生结构变化。据此提出正确处理经济政策不确定性与银行系统性风险的关系,投资者要保持理性情绪以及监管部门要加强监管的建议。

文化与经济双重情境作用下管理者声誉对长期主义的影响研究

运用机器学习与文本分析方法构建管理者长期主义变量,以中国A股上市公司为样本,基于跨期选择理论,探究管理者声誉对长期主义的塑造作用以及儒家文化与经济政策不确定性的调节效应。研究表明:管理者声誉与其长期主义导向显著正相关;在受儒家文化影响更加深远以及外部经济政策不确定性更强的企业中,管理者声誉对于长期主义的影响更为显著;管理者声誉能够通过塑造长期主义者,优化企业在减少违规行为、提升内控质量、提高信息透明度、促进社会责任承担等价值分配方面,以及促进技术创新、绿色创新、数字化转型、高质量发展等价值创造方面的表现。

经济政策不确定性与企业“漂绿”行为

近年来企业“漂绿”现象屡见不鲜,已成为经济可持续发展的绊脚石。文章基于2010—2021年A股上市公司数据,分析经济政策不确定性如何影响企业“漂绿”行为。研究发现:经济政策不确定性与企业“漂绿”行为之间呈现“U”型关系,且样本期间经济政策不确定性大多处于“U”型左侧,发挥抑制企业“漂绿”行为的作用;调节效应分析表明,环境规制、环境认证、媒体关注和高管环保认知可以弱化经济政策不确定性与企业“漂绿”行为之间的“U”型关系。研究结论不仅深化了对企业“漂绿”行为影响因素的认识,也从外部宏观波动的角度为规范企业行为提供了新的见解。

经济政策不确定性、经济金融化与企业影子银行

经济政策不确定性对企业影子银行的影响是否一成不变?考虑到2008年后快速发展的经济金融化,本文基于2000—2019年中国沪深A股上市非金融企业的财务数据对此进行实证检验。结果表明:第一,经济过度金融化形成前,经济政策不确定性上升会抑制企业影子银行;经济过度金融化形成后,经济政策不确定性会促进企业影子银行。这种阶段性差异形成的原因在于经济过度金融化造成了企业影子银行与实体经营活动之间关系的转变,并主要通过运营资产传导。第二,经济金融化程度具有正向调节作用,其强化了经济政策不确定性对企业影子银行的差异性影响。第三,经济过度金融化形成后,具备融资优势或处于经营弱势的企业更易从事影子银行活动,且两者对于企业影子银行的扩张效应具有叠加影响。本文对于从根本上解决影子银行风险问题有一定的政策启示。

董事网络位置对企业风险承担的影响研究——来自中国上市公司的经验证据

风险承担是企业实现持续发展的重要因素。基于社会网络视角,本文运用中国A股上市公司2011~2022年的样本数据,实证研究了董事网络位置对企业风险承担的影响及其作用机理。结果表明:董事网络中心度显著提升了企业风险承担水平,结构洞对企业风险承担起到显著的抑制作用。知识溢出在董事网络中心度以及结构洞对企业风险承担的影响中均发挥遮掩效应;进一步研究发现,经济政策不确定性正向调节董事网络位置对企业风险承担水平的影响。基于研究结论,企业应该合理构建董事网络关系;优化董事网络结构,适度获取外部知识,提升决策质量。

不确定性感知与企业绿色技术创新——基于区域与企业异质性视角的分析

实现碳达峰碳中和是推动高质量发展的内在要求,企业积极开展绿色技术创新有利于实现经济的绿色可持续发展。在面对宏观环境的经济政策不确定时,企业对不确定性的感知能力能否帮助企业发挥抵抗风险作用?能否将外部经济政策不确定性转化为企业的内在发展动力实现绿色技术创新?文章探究企业经济政策不确定性的感知程度对其绿色技术创新的影响,并分析了其中的作用机制。在此基础上使用2007—2020年中国沪深A股上市公司数据和企业层面经济政策不确定性指标等数据进行实证检验,并提出政策建议。研究发现,企业经济政策不确定性感知程度的增加能够促进企业绿色技术创新水平的提高。机制分析表明,从外部融资视角看,经济政策不确定性感知的增加可以通过缩小信息不对称与减小企业融资约束提高企业的绿色技术创新能力;从企业内部管理视角看,经济政策不确定性感知的增加能够通过增强企业战略积极性和提升绿色认知能力来提高企业的绿色技术创新能力。通过企业外部地区特征与内部自身特征异质性分析发现,企业所在地区经济发展水平、数字经济发展程度与地区创新活力越高,越有利于企业经济政策不确定性感知促进绿色技术创新,对于非重污染、社会责任表现较差、自身风险承担水平较低的企业这一促进作用更为明显。进一步分析政企互动关系发挥的作用发现,国有企业与政府环境规制水平较高地区的企业拥有更强的绿色创新能力,而政府环保补贴在这一过程中发挥的作用并不充分。研究结论对我国企业实现绿色技术创新具有重要的启示:企业需要充分把握市场信息与市场机遇,树立可持续发展目标;政府需要积极缩小企业与市场、企业与政府间的信息不对称,强化地区创新活力,针对不同地区与类型企业实施经济政策;政府应当完善经济政策平稳机制,积极引导企业正确认知经济政策不确定性带给企业的机会与风险,发挥好政府调节作用,加快实现企业的绿色技术创新与绿色转型发展。

经济政策不确定性与企业现金持有价值——有调节的中介效应

随着宏观环境波动,企业受经济政策不确定性影响较大,其对现金持有价值的影响以及渠道机制值得关注。基于沪深A股2013—2021年上市公司面板经验证据,对经济政策不确定性与企业现金持有价值的关系进行探讨,分析发现:经济政策不确定性对企业现金持有价值具有积极效应,经济政策不确定性通过加剧融资约束程度进而提高企业现金持有价值,在投资者保护度较低、非国有企业以及企业成长性较高时该正向促进作用更强,客户集中度在“经济政策不确定性—融资约束—企业现金持有价值”的整个路径和前半路径具有显著调节作用。由此,提出政府应考虑企业的风险承受能力、引导企业建立风险应对机制、促进资本市场改革、完善资金信用机制等政策建议。

数字化转型、服务化融合与制造业企业绩效提升——兼论经济政策不确定性的调节效应

引入经济政策不确定性作为调节变量,从嵌入式服务化和混入式服务化的双重融合视角,研究数字化转型提升制造业企业绩效的理论机制和作用路径。在此基础上,采用2008—2020年制造业A股上市公司数据对理论机制进行实证检验。研究结果显示:数字化转型能够提升企业绩效,嵌入式服务化发挥了正向中介作用,但在区域分布、所有制结构和技术水平等方面具有明显的异质性;数字化转型能够抑制混入式服务化中制造业企业的“脱实向虚”行为;经济政策的不确定性会增强数字化转型对嵌入式服务化的推动作用和对混入式服务化的抑制作用。

全球经济政策不确定性、人民币汇率与中国经济波动——基于非对称视角的理论与实证分析

随着全球经济一体化的加深,全球经济政策不确定性和人民币汇率对中国经济波动产生越来越大的影响。基于非对称影响的视角,构建一个融入全球经济政策不确定性、人民币汇率和经济波动的Mundell-Fleming模型,从理论上分析各要素的非对称影响机制。实证结果表明:短期内人民币升值对物价水平的抑制效应大于贬值对物价水平的促进效应,长期内人民币升值对经济增长的抑制效应大于贬值对经济增长的促进效应;此外,无论在短期还是长期,全球经济政策不确定性降低对物价水平和经济增长的促进作用都大于经济政策不确定性上升的抑制效应。以上结果均通过稳健性检验。因此,央行需要加强对汇率与全球经济政策不确定性对物价水平和经济增长的非对称效应的关注,以实现中国经济的平稳运行。

基于近端策略优化算法含碳捕集的综合能源系统低碳经济调度

为了实现园区综合能源系统(PIES)的低碳化经济运行和多能源互补,解决碳捕集装置耗电与捕碳需求之间的矛盾,以及不确定性源荷实时响应的问题,提出了基于近端策略优化算法含碳捕集的综合能源系统低碳经济调度方法。该方法通过在PIES中添加碳捕集装置,解决了碳捕集装置耗电和捕碳需求之间的矛盾,进而实现了PIES的低碳化运行;通过采用近端策略优化算法对PIES进行动态调度,解决了源荷的不确定性,平衡了各种能源的供给需求,进而降低了系统的运行成本。实验结果表明:该方法实现了不确定性源荷的实时响应,并相比于DDPG(deep deterministic policy gradient)和DQN(deep Q network)方法在低碳化经济运行方面具有有效性及先进性。

经济政策不确定性对亚太价值链重构的影响

基于亚洲开发银行多区域投入产出(ADB-MRIO)数据库,本文构建了2008~2020年的亚太价值链重构指标,考察经济政策不确定性对亚太价值链重构的影响效应及其作用机制,并进一步探究了互联网发展影响经济政策不确定性对亚太价值链重构的作用效果。结果表明:经济政策不确定性上升总体上推动了价值链参与度由全球向亚太区域重构,该影响通过外商直接投资的渠道起作用,且上述影响在制造业中尤其显著。互联网发展强化了经济政策不确定性对亚太价值链重构的促进效果。鉴于此,中国应稳定经济政策更新频率,加大产业体系安全保护,加强互联网建设,深化亚太区域经贸合作。

全球经济政策不确定性对国际资本异常流动的影响

全球经济政策不确定性上升会提高国际投资的风险和成本,加上“外国劣势”的影响,投资者会减少对外投资,从而使国际资本出现本土化倾向的异常流动。采用24个发达经济体、25个新兴和发展中经济体2005年第三季度至2022年第四季度的跨国面板数据,将国际资本异常流动分为外逃、撤回、激增、中断4种类型,运用Probit模型分析发现:在样本期间,发达经济体的资本异常流动少于新兴和发展中经济体;全球经济政策不确定性上升会降低资本外逃和激增的概率,并增加资本撤回和中断的概率;全球经济政策不确定性对发达经济体4种异常流动的影响都显著,而对新兴和发展中经济体只显著影响了资本外逃和激增;全球经济政策不确定性会显著影响其他投资的4种异常流动,并显著影响直接投资的外逃和激增、证券投资的外逃和撤回;金融开放水平较低时,金融开放会强化全球经济政策不确定性对国际资本异常流动的影响,但当金融开放水平较高时,全球经济政策不确定性的影响不再显著。因此,应建立国际资本异常流动监测平台,完善国际投资监管机制,并积极推进高水平金融开放。