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  1. Factoring in the micro: a transaction-level dynamic factor approach to the decomposition of export volatility
    Autor*in: Barigozzi, Matteo; Cuzzola, Angelo; Grazzi, Marco; Moschella, Daniele
    Erschienen: [2021]
    Verlag:  LEM, Laboratory of Economics and Management, Institute of Economics, Scuola Superiore Sant'Anna, Pisa, Italy

    This paper analyzes the sources of export volatility estimating a dynamic factor model on transaction-level data. Using an exhaustive dataset covering all French export transactions over the period 1993-2017, we reconstruct the latent factor space... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 203
    Fernleihe:
    keine Fernleihe

     

    This paper analyzes the sources of export volatility estimating a dynamic factor model on transaction-level data. Using an exhaustive dataset covering all French export transactions over the period 1993-2017, we reconstruct the latent factor space associated to global and destination-specific macroeconomic cycles by means of a modified expectation maximization algorithm to accommodate both the sparsity and the high dimensionality of the micro time series. Thus while paving the way for a novel application of dynamic factor models to microeconomic analysis, we provide a decomposition of the volatility of aggregate export and firms growth rates, highlighting structural spatial patterns and drawing attention to the role of geographical diversification for the mitigation of risks related to firms' export activities

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/243518
    Schriftenreihe: LEM working paper series ; 2021, 22 (June 2021)
    Schlagworte: Factor models; trade volatility; diversification
    Umfang: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  2. Stress testing with multi-faceted liquidity
    the central bank collateral framework as a financial stability tool
    Autor*in: Cuzzola, Angelo; Barbieri, Claudio; Bindseil, Ulrich
    Erschienen: [2023]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    The paper studies the central bank collateral framework and its impact on banks' liquidity under an adverse stress test scenario. We construct a stress test model that accounts for a granular and multi-faceted representation of the liquidity of... mehr

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    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 534
    Fernleihe:
    keine Fernleihe

     

    The paper studies the central bank collateral framework and its impact on banks' liquidity under an adverse stress test scenario. We construct a stress test model that accounts for a granular and multi-faceted representation of the liquidity of marketable and non-marketable assets. In particular, the model analyses banks' strategic decisions to mobilise assets through four funding channels: unsecured loans, asset sales, private repurchase agreements, or Central Bank lending. We test three scenarios: the EBA regulatory stress test exercise, a shock to Russia and the Eastern European countries, and a shock to the Southern European countries. Results show that illiquidity can trigger insolvency and that liquidity adjustment can last significantly after the initial shock. We find evidence of a threshold in the benefits of expanding the collateral framework and highlight the heterogeneous effects across different jurisdictions and financial institutions. We find that bank equity losses are reduced in aggregate up to 17% at the tail of the loss distribution and on average by around 5% when financial institutions can rely on the collateral framework channel.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289960779
    Weitere Identifier:
    hdl: 10419/278578
    Schriftenreihe: Working paper series / European Central Bank ; no 2814
    Schlagworte: Central Bank Collateral Framework; Lender-Of-Last Resort; Asset liquidity; Collateral; Stress tes
    Umfang: 1 Online-Ressource (circa 74 Seiten), Illustrationen
  3. The dynamics of automation adoption
    firm-level heterogeneity and aggregate employment effects
    Autor*in: Bisio, Laura; Cuzzola, Angelo; Grazzi, Marco; Moschella, Daniele
    Erschienen: [2023]
    Verlag:  LEM, Laboratory of Economics and Management, Institute of Economics, Scuola Superiore Sant'Anna, Pisa, Italy

    We investigate the impact of investment in automation-related goods on adopting and non-adopting firms in the Italian economy during 2011-2019. We integrate datasets on trade activities, firms', and workers' characteristics for the population of... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 203
    Fernleihe:
    keine Fernleihe

     

    We investigate the impact of investment in automation-related goods on adopting and non-adopting firms in the Italian economy during 2011-2019. We integrate datasets on trade activities, firms', and workers' characteristics for the population of Italian importing firms and estimate the effects on adopters' outcomes within a difference-in-differences design exploiting import lumpiness in product categories linked to automation and AI technologies. We find a positive average adoption effect on the adopters' employment and on the value-added and average wage, whereas sales and productivity increase after an initial drop with a net positive effect five years after adoption. Crucially, the employment effect is heterogeneous across firms: a positive scale effect is predominant among small firms, whereas a negative displacement effect is predominant among medium and large firms. We complete the framework with a 5-digit sector-level analysis showing that adopting automation technologies has an overall negative effect on aggregate employment.

     
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/297145
    Schriftenreihe: LEM working paper series ; 2023, 37 (October 2023)
    Schlagworte: Automation; Employment; Firm heterogeneity; Imports; Technology adoption
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  4. The dynamics of automation adoption
    firm-level heterogeneity and aggregate employment effects
    Autor*in: Bisio, Laura; Cuzzola, Angelo; Grazzi, Marco; Moschella, Daniele
    Erschienen: October 2023
    Verlag:  CESifo, Munich, Germany

    We investigate the impact of investment in automation-related goods on adopting and non-adopting firms in the Italian economy during 2011-2019. We integrate datasets on trade activities, firms', and workers' characteristics for the population of... mehr

    Zugang:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 63
    Fernleihe:
    keine Fernleihe

     

    We investigate the impact of investment in automation-related goods on adopting and non-adopting firms in the Italian economy during 2011-2019. We integrate datasets on trade activities, firms', and workers' characteristics for the population of Italian importing firms and estimate the effects on adopters' outcomes within a difference-indifferences design exploiting import lumpiness in product categories linked to automation and AI technologies. We find a positive average adoption effect on the adopters' employment and on the value-added and average wage, whereas sales and productivity increase after an initial drop with a net positive effect five years after adoption. Crucially, the employment effect is heterogeneous across firms: a positive scale effect is predominant among small firms, whereas a negative displacement effect is predominant among medium and large firms. We complete the framework with a 5-digit sector-level analysis showing that adopting automation technologies has an overall negative effect on aggregate employment.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/282385
    Schriftenreihe: CESifo working papers ; 10697 (2023)
    Schlagworte: automation; employment; firm heterogeneity; imports; technology adoption
    Umfang: 1 Online-Ressource (circa 41 Seiten), Illustrationen