Stephen G. Hall

Stephen G. Hall
University of Leicester | LE · Department of Economics

BSc, MSc, PhD, DComm

About

319
Publications
36,509
Reads
How we measure 'reads'
A 'read' is counted each time someone views a publication summary (such as the title, abstract, and list of authors), clicks on a figure, or views or downloads the full-text. Learn more
6,109
Citations
Citations since 2016
69 Research Items
2102 Citations
2016201720182019202020212022050100150200250300
2016201720182019202020212022050100150200250300
2016201720182019202020212022050100150200250300
2016201720182019202020212022050100150200250300
Additional affiliations
January 2005 - present
University of Leicester
Position
  • Professor, Deputy Pro vice Chancellor
June 2000 - August 2005
Imperial College London
Position
  • Professor and director of research
January 1996 - present
University of Pretoria
Position
  • Professor

Publications

Publications (319)
Article
We investigate the drivers of the recent inflation in three currency areas: the United States, the euro area, and the United Kingdom. To do so, we use a VAR set-up to examine the nature of the shocks that underpinned the recent inflation. We apply two methods to calculate shocks -- the standard Cholesky decomposition and a new method that captures...
Article
Full-text available
This paper first proposes a theoretical framework outlining the links from the deep determinants of modern-day institutional environment towards the countries' economic performance, and second tests these links to find the evidence of the spatial spill over effects of institutional proximity on economic growth. Utilizing spatial fixed effects estim...
Article
We examine (1) spillover effects between euro-area sovereigns and banking systems within national jurisdictions and (2) cross-country spillovers among ten countries during the euro-area crisis. We find that cross-country spillovers substantially amplify the doom loops between the sovereign and banking sectors. We also provide a test that supports t...
Article
Full-text available
Introduction Climate change is exacerbating a pre-existing child rights crisis. Lower- (low- and lower-middle-) income countries have borne 99% of the disease burden from the crisis, of which children under five carry 90%. In response, much of the recent global policy efforts focus on climate action. However, unsustainable levels of debt and tax ab...
Preprint
Full-text available
This paper proposes a fast two-stage variational Bayesian algorithm to estimating panel spatial autoregressive models with unknown spatial weights matrices. Using Dirichlet-Laplace global-local shrinkage priors, we are able to uncover the spatial impacts between cross-sectional units without imposing any a priori restrictions. Monte Carlo experimen...
Preprint
Full-text available
Background: We are not on track to reach many of the Sustainable Development Goal (SDG) targets for 2030. The under-5 mortality and maternal mortality rates are well below the target, and if progress continues in the same way it has in recent years, we will not meet our goal by 2030. The decline in child and maternal mortality since 1990 has mainly...
Article
Full-text available
The United Nations General Assembly established the Sustainable Development Goals in 2015 to achieve an equitable and sustainable future for all by 2030. This study aims to model the relationship between government revenue per capita, quality of governance and the targets of several of these goals, including the coverage of the critical determinant...
Article
Social and economic factors, acting via communities and households, impact child health. These are the social determinants of health. An array of international forces can affect the availability of these health determinants; this is especially important in lower-income countries. Government revenue is critical to funding the public services which p...
Article
Full-text available
We investigate spillover effects between sovereign ratings and sovereign spreads for five euro-area countries—Greece, Ireland, Italy, Portugal, and Spain—using monthly data over the period of January 2000 through June 2019. We extend previous work in two ways. First, using spatial estimation, we model and quantify the spillover effects on ratings a...
Article
Full-text available
This paper considers the effect of government revenue and the quality of governance on the under-five and maternal survival rates. A non-linear panel data study was undertaken using annual data for every country in the world. The study’s broad conclusion is that while government resources, measured as total revenue received by a country’s governmen...
Article
Full-text available
Most maternal and child deaths result from inadequate access to the critical determinants of health: clean water, sanitation, education and healthcare, which are also among the Sustainable Development Goals. Reasons for poor access include insufficient government revenue for essential public services. In this paper, we predict the reductions in mor...
Article
Full-text available
We provide a new way of deriving a number of dynamic unobserved factors from a set of variables. We show how standard principal components may be expressed in state space form and estimated using the Kalman filter. To illustrate our procedure, we perform two exercises. First, we use it to estimate a measure of the current account imbalances among n...
Article
Full-text available
This paper presents estimates of the New Keynesian Phillips Curve (NKPC) for the agriculture, manufacturing and services sectors of Pakistan’s economy. The real marginal cost—derived from dynamic translog cost function—labour share of income and output gap are the indicators of economic activity along with past and expected inflation to determine i...
Article
Full-text available
A number of recent papers have proposed a time-varying-coefficient (TVC) procedure that, in theory, yields consistent parameter estimates in the presence of measurement errors, omitted variables, incorrect functional forms, and simultaneity. The key element of the procedure is the selection of a set of driver variables. With an ideal driver set the...
Article
Full-text available
As governments around the world respond to the COVID-19 pandemic with a range of policies aimed at mitigating the economic fallout, we argue that low- and middle-income countries (LMICs) should prioritize public money creation over foreign borrowing. Experience shows that the cost of servicing foreign debt diverts resources from public services and...
Article
We examine the impact of emergency liquidity assistance (ELA) on bank lending in eleven euro area countries during the financial crisis. With the intensification of the crisis, ELA took on a pivotal role in some countries. However, assessments of the quantitative impact of ELA in the literature are non-existent. We estimate a structural panel model...
Article
The euro-area financial crisis that erupted in 2009 was marked by negative confidence effects that had significant ramifications for euro area banking systems. As a result, bank lending declined sharply. We investigate the effects of ECB policies on banks’ lending, taking account of national and regional spillovers. The results suggest that those p...
Article
Should donors keep scaling up foreign aid or should they be more cautious because of the recipient country's limited absorptive capacity? This paper investigates the non-linearity hypothesis between foreign aid and economic growth for 25 developing countries during the period from 1984 to 2008. By using state space system equations, we provide a ne...
Article
Full-text available
This paper charts the evolution of mainly empirical research at the NIESR over the 1970s and 80s. As was all too evident there were very large discrete technical improvements in data handling and manipulation over this period. Less well appreciated were the effects on the economy of major supply-side shocks coming from the World economy leading to...
Article
The forecasting literature shows that when a number of different forecasters produce forecasts of the same variable it is almost always possible to produce a better forecast by linearly combining the individual forecasts. Moreover, it is often argued that a simple average of the forecasts will outperform more complex combination methods. This paper...
Article
Full-text available
We construct a measure of systemic vulnerability in selected EU banking systems using an indirect, time-varying measure of the system covariance. Systemic vulnerability indicates the extent to which a banking system as a whole is sensitive to a negative shock. We proceed to examine to what extent the resulting measures of systemic vulnerability pro...
Article
Full-text available
The accuracy of inflation forecasts has important implications for macroeconomic stability and real interest rates in economies with nominal rigidities. Erroneous forecasts destabilize output, undermine the conduct of monetary policy under inflation targeting and affect the cost of both short and long-term government borrowing. We propose a new met...
Article
Full-text available
Do changes of oil prices have an effect on the stocks of oil companies in emerging markets? Do the shares of oil companies of emerging markets react to the price news in a similar way as those of the Western companies? This paper aims to answer these questions utilising various event study techniques. As expected, the results of both parametric and...
Article
We appreciate the effort and thoughtfulness of Raunig’s (2017) attempted critique of Swamy et al. (2015).[...]
Article
This paper examines the relationship between financial structure and economic development for Germany, the USA, France and Turkey between 1989 and 2012. Nonlinear Autoregressive Distributed Lags (NARDL) is employed to investigate whether a dynamic change exists in the financial structure of these countries in response to a change in their stage of...
Article
Full-text available
This paper extends the existing studies on institutions-growth nexus in two ways: firstly, it estimates a growth model that is spatially augmented to capture the countries’ dependence, and secondly it measures the countries’ dependence using a newly proposed concept called institutional proximity, in addition to the commonly used geography. Spatial...
Article
Full-text available
The construction of large conditional matrices has posed a problem in the empirical literature because the direct extension of the univariate GARCH model to a multivariate setting produces large numbers of parameters to be estimated as the number of equations rises. A number of procedures have previously aimed to simplify the model and restrict the...
Article
Full-text available
Purpose The purpose of this paper is to attest whether generalized trust variable is the best proxy for social capital in explaining the latter’s effect on economic growth in a panel setting. Via a specially formulated theoretical framework, the authors also test whether the growth-effect of social capital is direct or indirect, and if it is indire...
Article
We quantify the linkages among banks’ equity performance and indicators of sovereign stress by using panel GMM to estimate a three-equation system that examines the impact of sovereign stress, as reflected in both sovereign spreads and sovereign ratings, on bank share prices. We use data for a panel of five euro-area stressed countries. Our finding...
Article
We develop a procedure for removing four major specification errors from the usual formulation of binary choice models. The model that results from this procedure is different from the conventional probit and logit models. This difference arises as a direct consequence of our relaxation of the usual assumption that omitted regressors constituting t...
Article
Full-text available
This paper contributes to the literature on the estimation of causal effects by providing an analytical formula for individual specific treatment effects and an empirical methodology that allows us to estimate these effects. We derive the formula from a general model with minimal restrictions, unknown functional form and true unobserved variables s...
Article
Full-text available
Coefficient drivers are observable variables that feed into time-varying coefficients (TVCs) and explain at least part of their movement. To implement the TVC approach, the drivers are split into two subsets, one of which is correlated with the bias-free coefficient that we want to estimate and the other with the misspecification in the model. This...
Article
Full-text available
We examine the impact of the ECB's Securities Market Program (SMP) and the ECB's two Covered Bond Purchase Programs (CBPPs) on sovereign bond spreads and covered-bond prices, respectively, for five euro-area stressed countries – Greece, Ireland, Italy, Portugal, and Spain. Our data are monthly and cover the period from 2004M01 through 2014M07. In c...
Article
Full-text available
The method of instrumental variables (IV) and the generalized method of moments (GMM), and their applications to the estimation of errors-in-variables and simultaneous equations models in econometrics, require data on a sufficient number of instrumental variables that are both exogenous and relevant. We argue that, in general, such instruments (wea...
Article
Estimated microproduction functions confront two major problems—those of (1) unknown functional forms and (2) the measurement of capital independent of the distribution of output among the factors of production. The latter problem has emerged unresolved from the earlier Cambridge capital controversy. In the presence of these two problems, all speci...
Article
Full-text available
We apply a random-coefficient framework to deal with two problems frequently encountered in applied work. First, we use a real-world relationship to derive a sub-relationship among fewer variables without introducing any specification error to correct misspecifications in a small area level model. Second, we then use this framework to resolve Simps...
Article
Full-text available
The literature on optimum currency areas states that large inflation differentials can undermine monetary union. In the euro area, inflation rates diverged after the creation of the single currency, but started to converge again from mid-2002. Against this background, we assess the convergence of inflation rates and business cycles and study the re...
Article
Full-text available
In this paper we revisit the institutions–growth nexus in developing countries including the East Asian region. The region has in the past three decades not only achieved spectacular economic growth, but also experienced one of the worst financial crises, i.e. Asian financial crisis (AFC) in 1997–1998. Utilising the neoclassical growth framework au...
Book
Full-text available
Abstract It is possible to improve the precision of a sample estimator for a small area based on sparse area-specific data by combining it with a model of its estimand, provided that this model is correctly specified. A proof of this result and the method of correctly specifying the models of the estimands of sample estimators are given in this pap...
Article
With the outbreak of the Greek financial crisis in late 2009, spreads on Greek (and other) sovereigns reached unprecedented levels. Using a panel data of euro-area countries, we test whether the markets treated all euro-area countries in an equal manner over the period 1998:m1 to 2012:m6. An F test of the pooling assumptions suggests that Greece, I...
Article
Full-text available
Building on the time-varying-coefficient (TVC) model, we propose a generalization of the concept of cointegration, allowing for the possibility that a set of variables measured with error entails a nonlinear relationship with unknown functional form. Both the dependent and explanatory variables of this relationship may be nonstationary (not necessa...
Article
Full-text available
We investigate the impact of the economic fundamentals, sovereign credit ratings, political uncertainty, and the ECB’s Securities Markets Program (SMP) on Greek sovereign spreads. Our findings show that sovereign downgrades and political uncertainty appear to have been drivers of the sharp rises in Greek sovereign spreads from 2008–2009 onwards, ov...
Article
In this article, we empirically analyse the factors which determined consumer credit in Greece in the period before and after the financial liberalization, while accounting for significant changes in structure due to the lifting of credit restrictions and the subsequent impressive boom of consumer loans. We use multivariate cointegration techniques...
Article
Full-text available
Lawrence Robert Klein played a fundamental role in the genesis and development of econometric applications and forecasting. The work dedicated to forecasting earned him the 1980 Nobel Prize in Economic Sciences "for the creation of econometric models and their application to the analysis of economic fluctuations and economic policies”. His pioneeri...
Article
Full-text available
The consensus in growth literature has recognized the significant effects of institutions (including social capital and political institutions) towards economic growth. Utilizing the World Value Survey (WVS)’s trust variable that has often been used to represent social capital, and employing panel data technique which hitherto has been very limited...
Chapter
Convergence has been a popular theme in applied economics since the seminal papers of Barro (1991) and Barro and Sala-i-Martin (1992). The very notion of convergence quickly becomes problematic from an academic viewpoint however when we try and formalise a framework to think about these issues. In the light of the abundance of available convergence...
Article
Empirical tests of purchasing power parity (PPP) are implicitly based on the conditions of symmetry and proportionality of the price coefficients. We investigate a separate condition, which we term homogeneity. Specifically, while there may be factors that drive a wedge between prices and exchange rates, when these factors are held constant we woul...
Article
Rational expectations has been the dominant way to model expectations, but the literature has quickly moved to a more realistic assumption of boundedly rational learning where agents are assumed to use only a limited set of information to form their expectations. A standard assumption is that agents form expectations by using the correctly specifie...
Article
Full-text available
Empirical studies often report a negative relationship between the difference in the spot exchange rate and the forward premium, violating the forward-rate unbiasedness hypothesis. Using standard regression on a sample of ten exchange rates, we obtain both positive and negative coefficients. We argue that the negative coefficients could arise as a...
Article
Full-text available
This paper surveys the literature dealing with the thesis put forward by Dooley, Folkerts-Landau and Garber (DFG) that the present constellation of global exchange-rate arrangements constitutes a revived Bretton-Woods regime. DFG also argue that the revived regime will be sustainable, despite its large global imbalances. While much of the literatur...
Article
Full-text available
Do institutions spatially affect growth? By employing a neoclassical growth model with institutional controls and augmenting the model with a formal spatial framework, this study finds evidence that institutions has spatial spillover effect on economic growth based on a panel observation from 58 developing countries for the period between 1985-2008...
Article
Full-text available
Utilizing neoclassical growth framework augmented with institutional controls and latest estimation technique in panel data analysis, this study identifies the crucial institutional qualities in East Asian and other developing countries and uncovers the channel of their effects toward economic growth. Furthermore, it extends the empirical evidence...
Article
Full-text available
The European Central Bank (ECB) assigns a greater weight to the role of money in its monetary-policy strategy than most, if not all, other major central banks. Nevertheless, reflecting the view that the demand for money became unstable in the early-2000s, some commentators in the press have reported that the ECB has “downgraded” the role of money-d...
Article
Most studies investigating the determinants of R&D investment consider pooled estimates. However, if the parameters are heterogeneous, pooled coefficients may not provide reliable estimates of individual industry effects. Hence pooled parameters may conceal valuable information that may help target government tools more efficiently across heterogen...
Article
We discuss the origins of the Greek financial crisis as manifested in the growing fiscal and current-account deficits since euro-area entry in 2001. We then extend a model typically used to explain risk premia to assess the extent to which credit ratings captured these premia. Next, we estimate a cointegrating relationship between spreads and their...
Article
Full-text available
This paper extends a standard open-economy New Keynesian model to include a third-generation “balance sheet effect” which is made operational through an endogenous risk premium impacting on investment. Using rational expectations and adaptive learning solutions, the efficiency of alternative monetary policy rules is examined during a period of fin...
Article
Recent panel data approaches stress the importance of the location interdependence. Little has been done in the Balassa–Samuelson literature accounting for spatial dependence in the panel data context that allows for spatial autocorrelation. By utilising the recently developed Kapoor et al. (2007) spatial panel feasible GLS methods, we find that th...