Measuring the Effect of Government Response on COVID-19 Pandemic: Empirical Evidence from Japan

The basic approach of this research is to use an estimated series of effective reproduction number Rt and multiple series of index from Oxford COVID-19 Government Response Tracker (OxCGRT) to measure the effect of Japanese government’s response on COVID-19 epidemic by running a time-varying regression with flexible least squares method. Then, we use estimated series of time-varying coefficients obtained from the previous step as proxy variables for the government response’s effect and run stepwise regressions with policy indicators of OxCGRT to identify which specific policy can mitigate the spreading of the COVID-19 epidemic in Japan. The main finding is that the response of Japanese government on COVID-19 epidemic is basically effective. However, the effect of Japanese government’ policy is gradually weakening. Under our identification scheme, we find that policies of quarantine and movement restrictions are still most effective, but policies of public health system do not show much effectiveness in the regression analysis. Another important empirical finding is that policies of economic support are effective in reducing the spread of COVID-19. Within the framework of empirical strategy proposed in this paper, the conclusion should be explained in the context of the socio-political and health situation in Japan, but the methodology is assumed to be applicable to other countries and regions in the analysis of government performance of response to COVID-19.

THE INFORMAL ECONOMY AND ECONOMIC GROWTH OF NIGERIA: A TIME-VARYING PARAMETER APPROACH

Studies on the relationship between the informal economy and economic growth have been inconclusive as to whether the positive or negative relationship dominates. These results are partly due to the type of estimation technique such as fixed-parameter techniques. Fixed parameter techniques have been used to observe the relationship between economic growth and the informal economy. A caveat to the fixed-parameter estimation techniques used to observe the relationship between the informal economy and economic growth is the inability to account for annual disruptions. This paper seeks to examine the relationship between the informal economy and economic growth in Nigeria in the period from 1991 to 2015 using the Time-Varying Parameter (TVP) model. The TVP model is estimated in two stages. First, an Ordinary Least Squares (OLS) multiple regression is estimated and the outcome is subjected to the flexible least-squares approach. The results show the dominance of the negative effects of the informal economy on economic growth. The outcomes also reveal that overtime movements of time-varying parameters in the informal economy and economic growth are connected with economic and political events. This paper recommends the absorption of the informal economy into the official economy through government policy.

EXAMINING THE SOURCES OF SOVEREIGN RISK FOR SOUTH AFRICA: A TIME VARYING FLEXIBLE LEAST SQUARES APPROACH

This paper analyzes the determinants of the South African long-term sovereign bond yield spread using 10-year bond yield spread. We employ the Auto-Regressive Distributed Lag and Flexible Least Squares techniques to demonstrate the impact of macroeconomic and financial variables on the yield spread. Our results show that the short-term interest rate is positively related to the bond yield spread both in the short and long run. We also establish a long-run positive influence of government debt on the bond yield spread whilst on the other hand, economic growth, the nominal effective exchange rate, stock market returns and bank credit all have a negative impact on the bond yield spread in the long run. We examine the time varying coefficient of government debt and reveal that the long-run impact of government debt has varied over the period under analysis. Time varying coefficients capture some important periods in the history of the South African economy, indicatingthat underlying economic conditions and exogenous shocks influence the determination of sovereign risk. Our results imply the need for synchronization of fiscal and monetary policy. In addition, economic policy should address economic growth and macroeconomic instability to complement deleveraging efforts aimed at curbing sovereign credit risk.

Instability Of Risk Loadings Of Industrial Stocks

<p class="MsoBodyText" style="text-align: justify; line-height: normal; margin: 0in 0.5in 0pt; mso-pagination: widow-orphan;"><span style="font-style: normal;"><span style="font-size: x-small;"><span style="font-family: Times New Roman;">By using the Flexible Least Squares (FLS) method, this study visibly shows the time variation paths of risk loadings for industrial stocks. Significant structural changes in time variation paths of risk loadings are verified by the OLS results and largely consistent with major economic and political events in the U.S. history.</span></span></span></p>

Testing for variation in the western Oregon softwood log price structure

Timber owners in western Oregon have been concerned about the erosion of price premiums for higher quality grades of Douglas-fir (Pseudotsuga menziesii (Mirb.) Franco) sawlogs over the past decade. Time series tests indicate that the ratio of 3Saw (lower quality) to 2Saw (higher quality) sawlog prices did rise over the 1990–2000 period, suggesting convergence between the prices. To identify causes of this trend, we estimate reduced form equations for Douglas-fir sawlog prices with time-varying coefficients using flexible least squares. Log grade prices were related to prices of lumber by grade, prices of chipped residues, labor wage rates, and volumes of public timber supplied. Changes in the relation of log grade prices are reflected through changes in both reduced form coefficients and levels of the exogenous variables. Changes in the coefficients, in turn, may derive from shifts in the distribution of log qualities within grade categories and from grade-specific changes in sawing and log production technologies. Coefficient trends showed that higher quality lumber grades became more important for 3Saw logs during the sample period, while lower quality lumber grades and chips became more important for 2Saw, moving the log grade prices closer together. Comparison of simulated 2Saw and 3Saw prices with and without historical time patterns in the exogenous variables had little impact on their relationship, suggesting that factors shifting the coefficients may have been the primary drivers of price convergence.