In theory, changes in a host country exchange rate can be a cause or consequence of changes in it... more In theory, changes in a host country exchange rate can be a cause or consequence of changes in its level of foreign direct investment (FDI), and recent incidences suggest that government stability may have sizable implications for the interactions between FDI and the exchange rate. This paper uses a semiparametric system of simultaneous equations to empirically characterize the relationship between FDI and the exchange rate, with each country's level of government stability serving as a moderator. The results suggest that across developed and developing economies the most prevalent type of symbiosis between FDI and the exchange rate is a positive effect of FDI on the exchange rate, but no effect of the exchange rate on FDI. This significant FDI effect is heterogeneous, with an interquartile range of 1.241. At the median, a 10 percent increase in FDI inflows relative to GDP causes approximately a 13.29 percent increase in the annual change in the exchange rate. Government stability acts as a moderator variable by strengthening the relationship between FDI and the exchange rate in some countries, but eliminates the relationship in other countries.
The flow of foreign direct investment (FDI) has increased the challenges governments face in carr... more The flow of foreign direct investment (FDI) has increased the challenges governments face in carrying out their fiscal responsibilities. A country's system of law and order enables or constrains the implementation of government policies, and consequently influences whether the size of government responds to changes in FDI inflows and outflows. We test this hypothesis by fitting a semiparametric model of government consumption to a panel of developed and developing countries with within-country variation. Over a short data frequency, the average compensating response of governments in developing countries to an increase in FDI inflows is larger by a factor 5 than that of developed countries. These significant level effects of FDI inflows are driven by law and order and are adjusted for differences in per capita income across countries. The larger is the compensating response of a government, the bigger is the constraining effect of a stronger system of law and order. The efficiency hypothesis seems empirically valid for developing countries with a moderate system of law and order. Over a long data frequency, we find a strong (negative) link between FDI inflows and government consumption, and increases in law and order weaken this link. For both data frequencies, FDI outflows have no effect on government consumption, whereas the empirical regularity of strong and robust inertia in government consumption exists in all countries.
It has been argued that foreign direct investment can exert upward or downward pressure on the do... more It has been argued that foreign direct investment can exert upward or downward pressure on the domestic interest rate depending on foreign investors' relative weights on internal and external finance with respect to the domestic economy. Additionally, a country's level of institutional uncertainty can influence firms' ability to obtain external finance. Using corruption to measure institutional uncertainty, we find that across countries a 1 percent increase in FDI inflows (outflows) is more likely to reduce the domestic interest rate by as much as 0.7 (1) percent. This empirical association between domestic interest rates and FDI flows is non-monotonically uncertainty-contingent.
It has been argued that foreign direct investment can exert upward or downward pressure on the do... more It has been argued that foreign direct investment can exert upward or downward pressure on the domestic interest rate depending on foreign investors' relative weights on internal and external finance with respect to the domestic economy. Additionally, a country's level of institutional uncertainty can influence firms' ability to obtain external finance. Using corruption to measure institutional uncertainty, we find that across countries a 1 percent increase in FDI inflows (outflows) is more likely to reduce the domestic interest rate by as much as 0.7 (1) percent. This empirical association between domestic interest rates and FDI flows is non-monotonically uncertainty-contingent.
Computational Statistics & Data Analysis, Mar 1, 2020
The hat matrix maps the vector of response values in a regression to its predicted counterpart. T... more The hat matrix maps the vector of response values in a regression to its predicted counterpart. The trace of this hat matrix is the workhorse for calculating the effective number of parameters in both parametric and nonparametric regression settings. Drawing on the regression literature, the standard kernel density estimate is transformed to mimic a regression estimate thus allowing extraction of a usable hat matrix for calculating the effective number of parameters of the kernel density estimate. Asymptotic expressions for the trace of this hat matrix are derived under standard regularity conditions for mixed, continuous, and discrete densities. Simulations validate the theoretical contributions. Several empirical examples demonstrate the usefulness of the method suggesting that calculating the effective number of parameters of a kernel density estimator maybe useful in interpreting differences across estimators.
We investigate heterogeneity between foreign direct investment (FDI) and domestic investment indu... more We investigate heterogeneity between foreign direct investment (FDI) and domestic investment induced by corruption and human capital. Controlling for corruption and human capital, inbound FDI has significant, heterogeneous complementarity effects on domestic investment; the effect of outbound FDI on domestic investment is fluid : substitution and complementarity exist, and change direction over time. The fluid effects of outbound FDI oppose the popular dollar-fordollar hypothesis. Lower corruption and higher human capital strengthen, weaken, or do not change the degree of these FDI effects; this role of higher institutional quality appears consistent with the prediction of the General Theory of Second Best.
Given m × n matrices A = [a jk ] and B = [b jk ], their Schur product is the m × n matrix A • B =... more Given m × n matrices A = [a jk ] and B = [b jk ], their Schur product is the m × n matrix A • B = [a jk b jk ]. For any matrix T , define T S = max X =O T • X / X (where • denotes the usual matrix norm). For any complex (2n − 1)-tuple µ = (µ −n+1 , µ −n+2 ,. .. , µ n−1), let T µ be the Hankel matrix [µ −n+j+k−1 ] j,k and define B µ =˘f ∈ L 1 [−π, π] :f (2j) = µ j for − n + 1 ≤ j ≤ n − 1¯. It is known that Tµ S ≤ inf f ∈B µ f 1. When equality holds, we say T µ is distinguished. Suppose now that µj ∈ R for all j and hence that Tµ is hermitian. Then there is a real n × n hermitian unitary X and a real unit vector y such that (Tµ • X)y, y = Tµ S. We call such a pair a norming pair for Tµ. In this paper, we study norming pairs for real Hankel matrices. Specifically, we characterize the pairs that norm some distinguished Schur multiplier Tµ. We do this by giving necessary and sufficient conditions for (X, y) to be a norming pair in the n-dimensional case. We then consider the 2and 3-dimensional cases and obtain further results. These include a new and simpler proof that all real 2 × 2 Hankel matrices are distinguished, and the identification of new classes of 3 × 3 distinguished matrices.
We introduce a class of generally applicable specification tests for constant and dynamic structu... more We introduce a class of generally applicable specification tests for constant and dynamic structures of conditional correlations in multivariate GARCH models. The tests are robust to the presence of time-varying higher-order conditional moments of unknown form and are pure significance tests. The tests can identify linear and nonlinear misspecifications in conditional correlations. Our approach does not necessitate a particular parameter estimation method and distributional assumption on the error process. The asymptotic distribution of the tests is invariant to the uncertainty in parameter estimation. We assess the finite sample performance of our tests using simulated and real data.
Journal of Statistical Planning and Inference, 2021
Abstract The matrix that transforms the response variable in a regression to its predicted value ... more Abstract The matrix that transforms the response variable in a regression to its predicted value is commonly referred to as the hat matrix. The trace of the hat matrix is a standard metric for calculating degrees of freedom. The two prominent theoretical frameworks for studying hat matrices to calculate degrees of freedom in local polynomial regressions – ANOVA and non-ANOVA – abstract from both mixed data and the potential presence of irrelevant covariates, both of which dominate empirical applications. In the multivariate local polynomial setup with a mix of continuous and discrete covariates, which include some irrelevant covariates, we formulate asymptotic expressions for the trace of both the non-ANOVA and ANOVA-based hat matrices from the estimator of the unknown conditional mean. The asymptotic expression of the trace of the non-ANOVA hat matrix associated with the conditional mean estimator is equal up to a linear combination of kernel-dependent constants to that of the ANOVA-based hat matrix. Additionally, we document that the trace of the ANOVA-based hat matrix converges to 0 in any setting where the bandwidths diverge. This attrition outcome can occur in the presence of irrelevant continuous covariates or it can arise when the underlying data generating process is in fact of polynomial order.
European Journal of Political Economy, Dec 1, 2018
The flow of foreign direct investment (FDI) has increased the challenges governments face in carr... more The flow of foreign direct investment (FDI) has increased the challenges governments face in carrying out their fiscal responsibilities. A country's system of law and order enables or constrains the implementation of government policies, and consequently influences whether the size of government responds to changes in FDI inflows and outflows. We test this hypothesis by fitting a semiparametric model of government consumption to a panel of developed and developing countries with within-country variation. Over a short data frequency, the average compensating response of governments in developing countries to an increase in FDI inflows is larger by a factor of five than that of developed countries. These significant level effects of FDI inflows are driven by law and order and are adjusted for differences in per capita income across countries. The larger the compensating response of a government, the bigger is the constraining effect of a stronger system of law and order. The efficiency hypothesis seems empirically valid for developing countries with a moderate system of law and order. Over a long data frequency, we find a strong (negative) link between FDI inflows and government consumption, and increases in law and order weaken this link. For both data frequencies, FDI outflows have no level effect on government consumption, whereas the empirical regularity of strong and robust inertia in government consumption exists in all countries.
In theory, changes in a host country exchange rate can be a cause or consequence of changes in it... more In theory, changes in a host country exchange rate can be a cause or consequence of changes in its level of foreign direct investment (FDI), and recent incidences suggest that government stability may have sizable implications for the interactions between FDI and the exchange rate. This paper uses a semiparametric system of simultaneous equations to empirically characterize the relationship between FDI and the exchange rate, with each country's level of government stability serving as a moderator. The results suggest that across developed and developing economies the most prevalent type of symbiosis between FDI and the exchange rate is a positive effect of FDI on the exchange rate, but no effect of the exchange rate on FDI. This significant FDI effect is heterogeneous, with an interquartile range of 1.241. At the median, a 10 percent increase in FDI inflows relative to GDP causes approximately a 13.29 percent increase in the annual change in the exchange rate. Government stability acts as a moderator variable by strengthening the relationship between FDI and the exchange rate in some countries, but eliminates the relationship in other countries.
It has been argued that foreign direct investment can exert upward or downward pressure on the do... more It has been argued that foreign direct investment can exert upward or downward pressure on the domestic interest rate depending on foreign investors’ relative weights on internal and external finance with respect to the domestic economy. Additionally, a country’s level of institutional uncertainty can influence firms’ ability to obtain external finance. Using corruption to measure institutional uncertainty, we find that across countries a 1 percent increase in FDI inflows (outflows) is more likely to reduce the domestic interest rate by as much as 0.7 (1) percent. This empirical association between domestic interest rates and FDI flows is non-monotonically uncertainty-contingent.<br>
We investigate institutions-induced heterogeneity in the relationships between inbound and outbou... more We investigate institutions-induced heterogeneity in the relationships between inbound and outbound foreign direct investment (FDI) and domestic investment by undertaking a non-neutral fixed-effects semiparametric analysis. We assess the incidence of endogeneity using several techniques, including the use of economic conditions in major trading partners as instrumental variables. We find that across many developed and developing countries, inbound FDI has significant, heterogeneous complementarity effects on domestic investment. The effect of outbound FDI on domestic investment is fluid : substitution and complementarity exist, depend on aspect of institutions, and within some countries these effects change direction over different time horizons. The estimates of the fluid effects of outbound FDI oppose the popular dollar-for-dollar hypothesis. Higher institutional quality strengthens, weakens, or does not change the effects of FDI on domestic investment.
In theory, changes in a host country exchange rate can be a cause or consequence of changes in it... more In theory, changes in a host country exchange rate can be a cause or consequence of changes in its level of foreign direct investment (FDI), and recent incidences suggest that government stability may have sizable implications for the interactions between FDI and the exchange rate. This paper uses a semiparametric system of simultaneous equations to empirically characterize the relationship between FDI and the exchange rate, with each country's level of government stability serving as a moderator. The results suggest that across developed and developing economies the most prevalent type of symbiosis between FDI and the exchange rate is a positive effect of FDI on the exchange rate, but no effect of the exchange rate on FDI. This significant FDI effect is heterogeneous, with an interquartile range of 1.241. At the median, a 10 percent increase in FDI inflows relative to GDP causes approximately a 13.29 percent increase in the annual change in the exchange rate. Government stability acts as a moderator variable by strengthening the relationship between FDI and the exchange rate in some countries, but eliminates the relationship in other countries.
The flow of foreign direct investment (FDI) has increased the challenges governments face in carr... more The flow of foreign direct investment (FDI) has increased the challenges governments face in carrying out their fiscal responsibilities. A country's system of law and order enables or constrains the implementation of government policies, and consequently influences whether the size of government responds to changes in FDI inflows and outflows. We test this hypothesis by fitting a semiparametric model of government consumption to a panel of developed and developing countries with within-country variation. Over a short data frequency, the average compensating response of governments in developing countries to an increase in FDI inflows is larger by a factor 5 than that of developed countries. These significant level effects of FDI inflows are driven by law and order and are adjusted for differences in per capita income across countries. The larger is the compensating response of a government, the bigger is the constraining effect of a stronger system of law and order. The efficiency hypothesis seems empirically valid for developing countries with a moderate system of law and order. Over a long data frequency, we find a strong (negative) link between FDI inflows and government consumption, and increases in law and order weaken this link. For both data frequencies, FDI outflows have no effect on government consumption, whereas the empirical regularity of strong and robust inertia in government consumption exists in all countries.
It has been argued that foreign direct investment can exert upward or downward pressure on the do... more It has been argued that foreign direct investment can exert upward or downward pressure on the domestic interest rate depending on foreign investors' relative weights on internal and external finance with respect to the domestic economy. Additionally, a country's level of institutional uncertainty can influence firms' ability to obtain external finance. Using corruption to measure institutional uncertainty, we find that across countries a 1 percent increase in FDI inflows (outflows) is more likely to reduce the domestic interest rate by as much as 0.7 (1) percent. This empirical association between domestic interest rates and FDI flows is non-monotonically uncertainty-contingent.
It has been argued that foreign direct investment can exert upward or downward pressure on the do... more It has been argued that foreign direct investment can exert upward or downward pressure on the domestic interest rate depending on foreign investors' relative weights on internal and external finance with respect to the domestic economy. Additionally, a country's level of institutional uncertainty can influence firms' ability to obtain external finance. Using corruption to measure institutional uncertainty, we find that across countries a 1 percent increase in FDI inflows (outflows) is more likely to reduce the domestic interest rate by as much as 0.7 (1) percent. This empirical association between domestic interest rates and FDI flows is non-monotonically uncertainty-contingent.
Computational Statistics & Data Analysis, Mar 1, 2020
The hat matrix maps the vector of response values in a regression to its predicted counterpart. T... more The hat matrix maps the vector of response values in a regression to its predicted counterpart. The trace of this hat matrix is the workhorse for calculating the effective number of parameters in both parametric and nonparametric regression settings. Drawing on the regression literature, the standard kernel density estimate is transformed to mimic a regression estimate thus allowing extraction of a usable hat matrix for calculating the effective number of parameters of the kernel density estimate. Asymptotic expressions for the trace of this hat matrix are derived under standard regularity conditions for mixed, continuous, and discrete densities. Simulations validate the theoretical contributions. Several empirical examples demonstrate the usefulness of the method suggesting that calculating the effective number of parameters of a kernel density estimator maybe useful in interpreting differences across estimators.
We investigate heterogeneity between foreign direct investment (FDI) and domestic investment indu... more We investigate heterogeneity between foreign direct investment (FDI) and domestic investment induced by corruption and human capital. Controlling for corruption and human capital, inbound FDI has significant, heterogeneous complementarity effects on domestic investment; the effect of outbound FDI on domestic investment is fluid : substitution and complementarity exist, and change direction over time. The fluid effects of outbound FDI oppose the popular dollar-fordollar hypothesis. Lower corruption and higher human capital strengthen, weaken, or do not change the degree of these FDI effects; this role of higher institutional quality appears consistent with the prediction of the General Theory of Second Best.
Given m × n matrices A = [a jk ] and B = [b jk ], their Schur product is the m × n matrix A • B =... more Given m × n matrices A = [a jk ] and B = [b jk ], their Schur product is the m × n matrix A • B = [a jk b jk ]. For any matrix T , define T S = max X =O T • X / X (where • denotes the usual matrix norm). For any complex (2n − 1)-tuple µ = (µ −n+1 , µ −n+2 ,. .. , µ n−1), let T µ be the Hankel matrix [µ −n+j+k−1 ] j,k and define B µ =˘f ∈ L 1 [−π, π] :f (2j) = µ j for − n + 1 ≤ j ≤ n − 1¯. It is known that Tµ S ≤ inf f ∈B µ f 1. When equality holds, we say T µ is distinguished. Suppose now that µj ∈ R for all j and hence that Tµ is hermitian. Then there is a real n × n hermitian unitary X and a real unit vector y such that (Tµ • X)y, y = Tµ S. We call such a pair a norming pair for Tµ. In this paper, we study norming pairs for real Hankel matrices. Specifically, we characterize the pairs that norm some distinguished Schur multiplier Tµ. We do this by giving necessary and sufficient conditions for (X, y) to be a norming pair in the n-dimensional case. We then consider the 2and 3-dimensional cases and obtain further results. These include a new and simpler proof that all real 2 × 2 Hankel matrices are distinguished, and the identification of new classes of 3 × 3 distinguished matrices.
We introduce a class of generally applicable specification tests for constant and dynamic structu... more We introduce a class of generally applicable specification tests for constant and dynamic structures of conditional correlations in multivariate GARCH models. The tests are robust to the presence of time-varying higher-order conditional moments of unknown form and are pure significance tests. The tests can identify linear and nonlinear misspecifications in conditional correlations. Our approach does not necessitate a particular parameter estimation method and distributional assumption on the error process. The asymptotic distribution of the tests is invariant to the uncertainty in parameter estimation. We assess the finite sample performance of our tests using simulated and real data.
Journal of Statistical Planning and Inference, 2021
Abstract The matrix that transforms the response variable in a regression to its predicted value ... more Abstract The matrix that transforms the response variable in a regression to its predicted value is commonly referred to as the hat matrix. The trace of the hat matrix is a standard metric for calculating degrees of freedom. The two prominent theoretical frameworks for studying hat matrices to calculate degrees of freedom in local polynomial regressions – ANOVA and non-ANOVA – abstract from both mixed data and the potential presence of irrelevant covariates, both of which dominate empirical applications. In the multivariate local polynomial setup with a mix of continuous and discrete covariates, which include some irrelevant covariates, we formulate asymptotic expressions for the trace of both the non-ANOVA and ANOVA-based hat matrices from the estimator of the unknown conditional mean. The asymptotic expression of the trace of the non-ANOVA hat matrix associated with the conditional mean estimator is equal up to a linear combination of kernel-dependent constants to that of the ANOVA-based hat matrix. Additionally, we document that the trace of the ANOVA-based hat matrix converges to 0 in any setting where the bandwidths diverge. This attrition outcome can occur in the presence of irrelevant continuous covariates or it can arise when the underlying data generating process is in fact of polynomial order.
European Journal of Political Economy, Dec 1, 2018
The flow of foreign direct investment (FDI) has increased the challenges governments face in carr... more The flow of foreign direct investment (FDI) has increased the challenges governments face in carrying out their fiscal responsibilities. A country's system of law and order enables or constrains the implementation of government policies, and consequently influences whether the size of government responds to changes in FDI inflows and outflows. We test this hypothesis by fitting a semiparametric model of government consumption to a panel of developed and developing countries with within-country variation. Over a short data frequency, the average compensating response of governments in developing countries to an increase in FDI inflows is larger by a factor of five than that of developed countries. These significant level effects of FDI inflows are driven by law and order and are adjusted for differences in per capita income across countries. The larger the compensating response of a government, the bigger is the constraining effect of a stronger system of law and order. The efficiency hypothesis seems empirically valid for developing countries with a moderate system of law and order. Over a long data frequency, we find a strong (negative) link between FDI inflows and government consumption, and increases in law and order weaken this link. For both data frequencies, FDI outflows have no level effect on government consumption, whereas the empirical regularity of strong and robust inertia in government consumption exists in all countries.
In theory, changes in a host country exchange rate can be a cause or consequence of changes in it... more In theory, changes in a host country exchange rate can be a cause or consequence of changes in its level of foreign direct investment (FDI), and recent incidences suggest that government stability may have sizable implications for the interactions between FDI and the exchange rate. This paper uses a semiparametric system of simultaneous equations to empirically characterize the relationship between FDI and the exchange rate, with each country's level of government stability serving as a moderator. The results suggest that across developed and developing economies the most prevalent type of symbiosis between FDI and the exchange rate is a positive effect of FDI on the exchange rate, but no effect of the exchange rate on FDI. This significant FDI effect is heterogeneous, with an interquartile range of 1.241. At the median, a 10 percent increase in FDI inflows relative to GDP causes approximately a 13.29 percent increase in the annual change in the exchange rate. Government stability acts as a moderator variable by strengthening the relationship between FDI and the exchange rate in some countries, but eliminates the relationship in other countries.
It has been argued that foreign direct investment can exert upward or downward pressure on the do... more It has been argued that foreign direct investment can exert upward or downward pressure on the domestic interest rate depending on foreign investors’ relative weights on internal and external finance with respect to the domestic economy. Additionally, a country’s level of institutional uncertainty can influence firms’ ability to obtain external finance. Using corruption to measure institutional uncertainty, we find that across countries a 1 percent increase in FDI inflows (outflows) is more likely to reduce the domestic interest rate by as much as 0.7 (1) percent. This empirical association between domestic interest rates and FDI flows is non-monotonically uncertainty-contingent.<br>
We investigate institutions-induced heterogeneity in the relationships between inbound and outbou... more We investigate institutions-induced heterogeneity in the relationships between inbound and outbound foreign direct investment (FDI) and domestic investment by undertaking a non-neutral fixed-effects semiparametric analysis. We assess the incidence of endogeneity using several techniques, including the use of economic conditions in major trading partners as instrumental variables. We find that across many developed and developing countries, inbound FDI has significant, heterogeneous complementarity effects on domestic investment. The effect of outbound FDI on domestic investment is fluid : substitution and complementarity exist, depend on aspect of institutions, and within some countries these effects change direction over different time horizons. The estimates of the fluid effects of outbound FDI oppose the popular dollar-for-dollar hypothesis. Higher institutional quality strengthens, weakens, or does not change the effects of FDI on domestic investment.
En 1964, la construcción de la presa hidroeléctrica El Novillo, en el estado de Sonora, provocó l... more En 1964, la construcción de la presa hidroeléctrica El Novillo, en el estado de Sonora, provocó la inundación de tres pueblos. Ante esto, los afectados iniciaron acciones para constituir nuevos centros de población que les permitieran continuar con sus actividades sociales y productivas, opción que surgió como rechazo a las propuestas de reubicación e indemnización ofrecidas por las autoridades involucradas en la obra. Los lugares fundados guardan una particularidad en común: se formaron a partir de solicitudes de tierras ejidales realizadas entre 1960 y los primeros años de 1990. Esto significa que en la formación de los poblados se empleó una forma de regularización de la tierra que históricamente ayudó a los pobladores a dirimir conflictos sociales, y permitió la permanencia de grupos subordinados que hicieron de ese mecanismo una forma de resistencia. Así, a través de propuestas como la de resistencias sociales y otros abordajes sobre los reasentamientos como puntos de 271 SECCIÓN GENERAL Resistencias poR debajo del agua: los Reasentamientos como foRma de lucha de los desplazados poR la pResa el novillo, 1960-1990
The flow of foreign direct investment (FDI) has increased the challenges governments face in carr... more The flow of foreign direct investment (FDI) has increased the challenges governments face in carrying out their fiscal responsibilities. A country's system of law and order enables or constrains the implementation of government policies, and consequently influences whether the size of government responds to changes in FDI inflows and outflows. We test this hypothesis by fitting a semiparametric model of government consumption to a panel of developed and developing countries with within-country variation. Over a short data frequency, the average compensating response of governments in developing countries to an increase in FDI inflows is larger by a factor of five than that of developed countries. These significant level effects of FDI inflows are driven by law and order and are adjusted for differences in per capita income across countries. The larger the compensating response of a government, the bigger is the constraining effect of a stronger system of law and order. The efficiency hypothesis seems empirically valid for developing countries with a moderate system of law and order. Over a long data frequency, we find a strong (negative) link between FDI inflows and government consumption, and increases in law and order weaken this link. For both data frequencies, FDI outflows have no level effect on government consumption, whereas the empirical regularity of strong and robust inertia in government consumption exists in all countries.
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