May 23rd, 2019

Discussion Paper 2019/4 is now available: El-Shagi, M. / Jiang, L.: Efficient Dynamic Yield Curve Estimation in Emerging Financial Markets


The current state-of-the-art estimation of yield curves relies on the dynamic state space version of the Nelson and Siegel (1987) model proposed in the seminal paper by Diebold et al. (2006). However, things become difficult when applying their approach to emerging economies with less frequently bond issuance and more sparse maturity available. Therefore, the traditional state space representation, which requires dense and fixed grids of maturities, may not be possible. One remedy is to use the traditional Nelson and Siegel (1987) OLS estimation instead, though it sacrifices efficiency by ignoring the time dimension. We propose a simple augmentation of the Diebold et al. (2006) framework, which is more efficient than OLS estimation as it allows exploiting information from all available bonds and the time dependency of yields. We demonstrate the efficiency gains generated by our method in five case studies for major emerging economies including four of the BRICS.


May 13th, 2019

Discussion Paper 2019/3 is now available: El-Shagi, M. / Sawyer, W.C. / Tochkov, K.: The Income Elasticity of Import Demand - A Meta Survey


Import demand has been a major research topic in international economics for the past 80 years because of its importance for analyzing trade and evaluating trade policies. The goal of this paper is to survey the literature and conduct a meta-analysis of empirical studies on import demand with the intention of clarifying the e ffect of economic development on income elasticity. In particular, we test the hypothesis that higher income levels are associated with a more elastic import demand. We apply a combination of parametric and non-parametric methods on estimates from a sample of 152 papers published over the period 1975-2014 and fi nd that this relationship is signi cant and robust. Speci fically, kernel densities of income elasticity estimates for high-income countries in North America and Europe are shown to exceed those for poorer parts of the world. The results from quartile regressions confi rm this pattern and establish its robustness when controlling for the e ffect of model speci fications.



April 24th, 2019

Discussion Paper 2019/2 is now available: El-Shagi, M. / Muhammad, B.: Institutional Similarity and Bilateral FDI


In this paper we assess the effect of institutional similarity on foreign direct investment. In a large panel of bilateral FDI stocks that covers roughly 190 countries both as host and source country of FDI we demonstrate that it is not similarity in general, but similarity with respect to government involvement in markets and with respect to corruption that matters. Our finding is robust to a large set of different panel estimators and specifications of the gravity model that is underlying our estimation.


April 12th, 2019

Discussion Paper 2019/1 is now available: Marsiglio, S. / Masoudi, N.: Transboundary Pollution Control and Competitiveness Concerns in a Two-Country Differential Game


We analyze a transboundary pollution control problem in a heterogeneous two-country differential game in which each country’s regulator cares for the implications of environmental policy on its compet-
itiveness. We characterize and compare the noncooperative and the cooperative solutions, showing that under both scenarios, the heterogeneous countries impose different tax rates despite such competitiveness
concerns. This may suggest that, while implementing some kind of mitigation policy is necessary to combat climate change, a universally homogeneous environmental tax may not be either desirable or optimal.


Chinese Divisia M3, M4 monthly growth rate

March 22nd, 2019

As of this week the CFDS also hosts the data on Divisia monetary aggregates for China. More data will be added in the near future in our pursuit to become the primary datasource for monetary data in China.

Chinese Divisia Data



December 3rd, 2018

We are excited to announce that the CFDS jointly with the Beijing Normal University Business School (BNUBS), and the School of Economics at the University of Cape Town (UCT) are organizing an Open Access Special Issue on “Poverty and Inequality: Evidence from the BRICS and Beyond” to be published in the journal Economic Modelling as part of their cooperation under the umbrella of the BRICS Network University (BRICS NU).

Call for Papers

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