2667 Political Instability Human Capital Accumulation and Economic Growth in Sub Sahara Africa PDF

81,9(56,7<2)*/$6*2:

'LVVHUWDWLRQ

3ROLWLFDOLQVWDELOLW\+XPDQFDSLWDODFFXPXODWLRQ
DQG(FRQRPLFJURZWK6XE6DKDUD$IULFD

06F(FRQRPLF'HYHORSPHQW

6WXGHQWQXPEHU

:RUGFRXQW

6HSWHPEHU

$FNQRZOHGJHPHQW
7KLV ZRUN ZRXOG QRW EH SRVVLEOH ZLWKRXW WKH FRQWLQXRXV JXLGDQFH DQG VWUHQJWK IURP P\
)DWKHUDQG*RGDOPLJKW\
,ZRXOGOLNHWRDFNQRZOHGJHP\SDUHQWVORYHGRQHVDQGIULHQGVIRUWKHLUUHOHQWOHVVSUD\HUV
ORYHDQGFDULQJVXSSRUWWKURXJKWKHHQWLUH06FSURJUDP
)LQDOO\ , DSSUHFLDWH P\ OHFWXUHUV IRU WKHLU DGYLFH DQG ZHOO WDLORUHG DFDGHPLF VXSSRUW
HVSHFLDOO\P\VXSHUYLVRU'U6DL'LQJ

$EVWUDFW
&RPELQLQJ WKUHH HVWLPDWLRQ SURFHGXUHV WKH 2/6 )( DQG V\VWHP *00 WKLV SDSHU
DVVHVVHV WKH LPSDFW RI WKUHH GLVWLQFW W\SHV RISROLWLFDO LQVWDELOLW\ RQ HFRQRPLF JURZWK LQ
FRXQWULHV IURP WKH 6XE6DKDUD $IULFDQ UHJLRQ 7KH UHVXOWV REWDLQHG LQGLFDWH WKDW SROLWLFDO
YLROHQFH DV PHDVXUHG XVLQJ WKH SROLWLFDO WHUURU VFRUH LV PRUH VLJQLILFDQW DQG LPSDFWIXO RQ
JURZWK LQ WKH UHJLRQ ,W DOVR VXJJHVWV E\ DQ LQWHUDFWHG LPSDFW ZLWK KXPDQFDSLWDO
DFFXPXODWLRQ WKDW KXPDQFDSLWDO GRHV QRW VKRZ HYLGHQFH RI D PLWLJDWLQJ LQIOXHQFH RQ
JURZWK 7KH RWKHU WZR IRUPV RI SROLWLFDO LQVWDELOLW\ UHJLPH GXUDELOLW\ DQG WRWDO PLOLWDU\
LQYROYHPHQWDUHQRWIRXQGWRUREXVWO\LPSDFWJURZWKHLWKHUGLUHFWO\RULQGLUHFWO\WKURXJK
KXPDQFDSLWDO

7DEOHRI&RQWHQWV
$FNQRZOHGJHPHQW
$EVWUDFW
/LVWRIWDEOHVDQGILJXUHV
,1752'8&7,21
0RWLYDWLRQDQGREMHFWLYHV
5HVHDUFKTXHVWLRQ
%ULHIVXPPDU\RIILQGLQJV
&XUVRU\RYHUYLHZRIWKHHQWLUHVWUXFWXUH
/,7(5$785(5(9,(:
%ULHIUHFDSRIQHRFODVVLFDOJURZWKPRGHOOLQJ
'HILQLQJSROLWLFDOLQVWDELOLW\
0HDVXULQJSROLWLFDOLQVWDELOLW\
7KHUHODWLRQVKLSVEHWZHHQSROLWLFDOLQVWDELOLW\DQGHFRQRPLFJURZWK
D'LUHFWUHODWLRQVKLSVEHWZHHQSROLWLFDOLQVWDELOLW\DQGHFRQRPLFJURZWK
E,QGLUHFWUHODWLRQVKLSVEHWZHHQSROLWLFDOLQVWDELOLW\DQGHFRQRPLFJURZWK
7KHSUREOHPUHYDOLGDWHG
(03,5,&$/$1'0(7+2'2/2*,&$/$3352$&+
0HWKRGRORJ\
'DWDGHVFULSWLRQDQGWKHLUVRXUFHV
3ROLWLFDOLQVWDELOLW\YDULDEOHV
(FRQRPLFFRQWUROYDULDEOHV
'(6&5,37,9(67$7,67,&62)63(&,),&9$5,$%/(67+(,53$77(516
6800$5<2)(03,5,&$/5(68/76$1'),1',1*6
7DEOH%DVLFPRGHOUXQZLWKRXWFRQWUROOLQJIRUSROLWLFDOLQVWDELOLW\
7DEOH0RGHOVSHFLILHGWRLQFOXGH70,6DVDPHDVXUHSROLWLFDOLQVWDELOLW\
7DEOHOQ376DVDPHDVXUHRISROLWLFDOLQVWDELOLW\
7DEOH'XUDELOLW\DVDPHDVXUHRISROLWLFDOLQVWDELOLW\
&21&/86,21
$SSHQGL[
%LEOLRJUDSK\
W

/LVWRIWDEOHVDQGILJXUHV
)LJXUH*URZWKYHUVXV0LOLWDU\LQYROYHPHQW
)LJXUH*URZWKYHUVXV3ROLWLFDOWHUURULVP
)LJXUH*URZWKYHUVXV5HJLPHGXUDWLRQ
)LJXUH6WDFNHGDYHUDJH*'3SHUFDSLWDJURZWKDFURVVWKH6XE6DKDUD$IULFDQFRXQWULHV
6RXUFH+HVWRQHWDO
7DEOH&RUUHODWLRQPDWUL[IRUYDULDEOHVDVDGRSWHGIRUWKHVWXG\
7DEOH6XPPDU\6WDWLVWLFVRIQRQLQWHUDFWHGYDULDEOHV
$SSHQGL[7DEOH/LVWRIVDPSOHGFRXQWULHVDQGWKHLUUHVSHFWLYHSDQHOLGHQWLILHUV
$SSHQGL[7DEOH9DULDEOHVDGRSWHGWKHLUVRXUFHVDQGMXVWLILFDWLRQ
W

/LVWRIDEEUHYLDWLRQV
&63&HQWUHIRU6\VWHPLF3HDFH
'3,'DWDEDVHRI3ROLWLFDO,QVWLWXWLRQV
'85$5HJLPHGXUDELOLW\
)()L[HG(IIHFWV
*00*HQHUDOL]HG0HWKRGRI0RPHQWV
,),,QWHUQDWLRQDO)LQDQFLDO,QVWLWXWLRQV
,0),QWHUQDWLRQDO0RQHWDU\)XQG
2/62UGLQDU\/HDVW6TXDUHV
3,3ROLWLFDO,QVWDELOLW\
3763ROLWLFDO7HUURU6FRUH
70,67RWDO0LOLWDU\,QYROYHPHQW6FRUH
817KH8QLWHG1DWLRQV
81&7$'8QLWHG1DWLRQV&RQIHUHQFHRQ7UDGHDQG'HYHORSPHQW
:727KH:RUOG7UDGH2UJDQLVDWLRQ
W

,1752'8&7,21
0RWLYDWLRQDQGREMHFWLYHV
,W LV IDVW EHFRPLQJ QRUP WR VSHDN RI WKH $IULFDQ FRQWLQHQW DV SODJXHG ZLWK WKH PRVW
XQIDYRXUDEOH GHYHORSLQJ FRQGLWLRQV 6R RIWHQ ZH FRPH DFURVV GHYHORSPHQW GLVFRXUVHV
DVFULEHVXFKGLUH FRQGLWLRQVOLNHH[WUHPHSRYHUW\WRQRQVSHFLILF DQGXQTXDQWLILDEOHLVVXHV
VXFKDVSRRUJRYHUQDQFH2IWHQWKLVLVPDLQO\VRXUFHGIURPJRYHUQPHQWRYHULQYROYHPHQW
IDLOLQJ VWDWHV UHVLGXHV RI FRORQLDOLVP XQFKHFNHG SRSXODWLRQ JURZWK ZHDN FDSLWDO
DFFXPXODWLRQ DQG WKH OLVW FDQ EH HQGOHVV 4XLWH VDGO\ 6XE6DKDUD $IULFD KDV WKH ZRUVW
ILJXUHV DQG DVVHVVPHQWV LQ WKHVH UHVSHFWV :LWK FRXQWULHV OLNH 1LJHULD VWLOO VXIIHULQJ IURP
SRRUHQHUJ\VXSSO\ \HWWKH\KDSSHQWREHPDMRURLOH[SRUWHUV2UFRXQWULHVOLNH6XGDQDQG
/LEHULD SOXQJLQJ LQWR DQG RXW RI FLYLO ZDUV DQG SROLWLFDO XQUHVWV DW WKH H[SHQVH RI FDSDFLW\
EXLOGLQJ DQG GHYHORSPHQW 7KLV LV D TXRWH IURP WKH %%& ZHE VLWH RQ /LEHULD $URXQG
SHRSOHZHUHNLOOHGLQ/LEHULDVFLYLOZDU7KHFRQIOLFWOHIWWKHFRXQWU\LQHFRQRPLF
UXLQ 7KH FDSLWDO UHPDLQV ZLWKRXW PDLQ HOHFWULFLW\ DQG UXQQLQJ ZDWHU &RUUXSWLRQ LV ULIH
DQGXQHPSOR\PHQWDQGFRUUXSWLRQDUHHQGHPLF%%&QHZV$IULFD-XQH
7KLV LV D GLUH VLWXDWLRQ FRPPRQO\ ZLWQHVVHG LQ WKH 6XE6DKDUD $IULFDQ UHJLRQ $FDGHPLF
GLVFRXUVH RQ WKH FRQWLQHQW DQG UHJLRQ QHHG WR IRFXV RQ PRUH SHUWLQHQW LVVXHV UHJDUGLQJ
GHYHORSPHQW DQG QRW WKRVH DV GLUHFWHG E\ HYLGHQFH IURP WKH GHYHORSHG ZHOO VWUXFWXUHG
HFRQRPLHV RI WKH :HVW 'HYHORSPHQW RXJKW WR EH PRUH RULHQWHG LQ VSHFLILFV DQG QRW MXVW
UHIOHFWLRQVRIVRPHJHQHUDOUXOHVWRJURZWKFODLPHGWREHHDVLO\DSSOLFDEOHDQGDFFHVVLEOHWR
DOO ,W LV RQ WKLV UHPRWHO\ KHOG SUHPLVH WKDW WKLV ZRUN VWHPV WR DWWHPSW D UHJLRQDOVSHFLILF
DVVHVVPHQWRIHFRQRPLFJURZWKLQ6XE6DKDUDQ$IULFD
W

7KHPDLQSXUSRVHRIWKLVZRUNLVWRPHDVXUHDQGDVVHVVWKHLPSDFWRISROLWLFDOLQVWDELOLW\RQ
HFRQRPLFJURZWKKHUHDIWHUZRXOGEHXVHGLQWHUFKDQJHDEO\ZLWKWKHWHUPJURZWKLQWKH6XE
6DKDUDQ$IULFDQUHJLRQ,WDWWHPSWVWRDFKLHYHWKLVE\DGRSWLQJREVHUYHGSUR[LHVRISROLWLFDO
LQVWDELOLW\ZKLFKDUHSDUWLFXODUO\FKDUDFWHULVWLFRIWKHFRXQWULHVZLWKLQWKHUHJLRQDQGWKHWLPH
SHULRG FRQVLGHUHG 7KHVH FKDUDFWHULVWLF SUR[LHV VSHFLILFDOO\ DVVHVV WKH LPSDFWV RI PLOLWDU\
FRXS GpWDWV UHJLPH GXUDWLRQ DQG WKH QDWXUH RI VWDWH TXDOLW\ ZLWK UHVSHFW WR SROLWLFDO
YLROHQFHGLUHFWHGDWFLWL]HQVE\UXOLQJHOLWHVDQGWKHLUYLRODWLRQRIUXOHRIODZRQJURZWK7KH
VWXG\DWWHPSWVPDNLQJWKLVDVVHVVPHQWE\LQYHVWLJDWLQJERWKGLUHFWDQGLQGLUHFWFKDQQHOVRI
LQIOXHQFH XVLQJ D VLPSOH PDSSLQJ WHFKQLTXH UHVWULFWHG WR WKH FRQWUROJURZWK GHWHUPLQDQWV
ZLWKLQ WKH PRGHO ,W SDUWLFXODUO\ IRFXVHV RQ WKH LQGLUHFW LPSDFW RI SROLWLFDO LQVWDELOLW\ RQ
RXWSXW SHUIRUPDQFH WKURXJK DQ DXJPHQW RI WKH H[LVWLQJ PRGHOOHG UHODWLRQVKLS EHWZHHQ
KXPDQFDSLWDO DFFXPXODWLRQ DQG RXWSXW 3UHYLRXV VWXGLHV VXFK DV $OHVLQD HW DO
*\LPDK%UHPSRQJ 7UD\QRU)RVXH[SORUHGWKLVLQGLUHFWLQWHUDFWLRQEHWZHHQ
SROLWLFDOLQVWDELOLW\DQGJURZWKVRPHHYHQXVLQJDV\VWHPRIHTXDWLRQVEXWWKH\IRFXVRQWKH
SK\VLFDOFDSLWDODFFXPXODWLRQURXWH7KHVWXG\DOVRDWWHPSWVWRDQDO\VHWKHLPSDFWRISROLWLFDO
LQVWDELOLW\LQWKHSUHVHQFHRISROLWLFDOFKDUDFWHULVWLFVVXFKDVUHJLPHW\SHRUVSHFLILFDOO\WKH
GHJUHHRIGHPRFUDWL]DWLRQ,WDFKLHYHVWKLVE\UREXVWO\FRQWUROOLQJIRULWVSUHVHQFHLQDQGLWV
RPLVVLRQIURPWKHPRGHOVSHFLILFDWLRQVLQYROYLQJSROLWLFDOLQVWDELOLW\
7KH LPPHGLDWHMXVWLILFDWLRQ IRU LQFOXGLQJ D KXPDQFDSLWDO FRPSRQHQW LQ WKLV VWXG\ LVEDVHG
RQ WKH ILQGLQJV RI 0DQNLZ 5RPHU :HLO KHUHDIWHU UHIHUUHG WR DV 05:
7KH\ VXJJHVW LQ WKHLU SDSHU WKDW D PRGHO VXIIHUV IURP PLVVSHFLILFDWLRQ DQG PD\ UHVXOW LQ
HUURQHRXV UHSRUWLQJ RI HVWLPDWLRQ FRHIILFLHQWV LI DQG ZKHQ WKLV KXPDQFDSLWDO FRPSRQHQW LV
GLVUHJDUGHG 05: S $ VLPLODU GHFRPSRVLWLRQ RI FDSLWDO LQFOXGLQJ ERWK
SK\VLFDO DQG KXPDQ HOHPHQWV LV DGRSWHG LQ WKH DQDO\VLV E\ %DUUR 6WXGLHV LQ WKH

d
W

OLWHUDWXUHKDYHEHHQTXLHWFRQFOXVLYHRQWKHUHOHYDQFHRIKXPDQFDSLWDODFFXPXODWLRQLQWKH
UDFH WR JURZWK IRU GHYHORSLQJ FRXQWULHV 05: 'LQJ .QLJKW 6R WKH
LQFRUSRUDWLRQRIWKLVHVVHQWLDOJURZWKGHWHUPLQDQWLQWKLVVWXG\RQWKHLPSOLFDWLRQRISROLWLFDO
LQVWDELOLW\RQHFRQRPLFJURZWKZRXOGEHFRQWULEXWRU\RUDWOHDVWLQWHOOHFWXDOO\VWLPXODWLQJ
5HVHDUFKTXHVWLRQ
7KH FRQVHTXHQWLDO TXHVWLRQ WKHQ LV LV WKHUH D SRVVLELOLW\ WKDW WKH SRRU ORQJWHUP JURZWK
REVHUYHGZLWKLQWKH6XE6DKDUD$IULFDQUHJLRQPD\DVZHOOEHDUHVXOWRIDQLQGLUHFWSROLWLFDO
LQVWDELOLW\ UHGXFLQJ LQIOXHQFH RQ LQYHVWPHQW SDUWLFXODUO\ KXPDQFDSLWDO DQG QRW PHUHO\ D
GLUHFWUHVXOWRIKLJKSROLWLFDOLQVWDELOLW\DQGRUORZFDSLWDODFFXPXODWLRQ"7DNHDVDQLQVWDQFH
WKHFXOWXUDOUHYROXWLRQRI&KLQDZKHUHFKLOGUHQZHUHIRUFHGRXWRIVFKRROVWRWKHUXUDODUHDV
WR ZRUN RQ IDUPV LQ WKH V LQ WKH QDPH RI SURPRWLQJ WKH UHYROXWLRQ 7KH ORQJWHUP
HIIHFWV RI WKLV SROLWLFDOO\ HQJLQHHUHG KXPDQFDSLWDO LQYHVWPHQW FDWDVWURSKH DIIHFWHG JURZWK
HYHQ GHFDGHV DIWHU %UDQGW 5DZVNL ,W PLJKW DV ZHOO EH IDFW WKDW FHUWDLQ DGYHUVH
SROLWLFDO PDQLIHVWDWLRQV VXFK DV FLYLO ZDUV FDQ KDYH SHUHQQLDO LQIOXHQFH RQ KXPDQFDSLWDO
DQGVRFLHW\DWODUJH%ODWWPDQ $QQDQ
&RXQWHU LQWXLWLYHO\ LV WKHUH DOVR DSRVVLELOLW\ WKDWEHWWHU HGXFDWLRQDO OHYHOV WKURXJK KXPDQ
FDSLWDODFFXPXODWLRQPD\DVVXDJHRUGDPSHQWKHLPSDFWRISROLWLFDOLQVWDELOLW\RQHFRQRPLF
JURZWK"5HWXUQVRQHGXFDWLRQFRQWDLQDVRFLHWDOVSLOORYHUWKDWFDQEHXQGHUVWRRGDORQJWKH
UDWLRQDOH RI LPSURYHG KHDOWK HQYLURQPHQW DQG UHGXFWLRQ LQ FULPH UDWHV :RUOG %DQN
7KHVH VRFLHWDO EHQHILWV PD\ UHVXOW LQ VRPH ILVFDO VSDFH IRU SROLF\ PDNHUV
WKURXJK KHDOWK XQHPSOR\PHQW ZHOIDUH DQG HQYLURQPHQWDO SROLFLQJ H[SHQGLWXUHV DQG
LPSURYHG GHPRFUDWLF SDUWLFLSDWLRQ 5LGGHOO $OVR LW LV UDWLRQDOO\ MXVWLILHG WKDW WKH
VRFLDO FRKHVLRQ IRVWHUHG WKXV VKRXOG PDNH LW PXFK HDVLHU WR UXOH RU OHDG D PRUH HGXFDWHG
SRSXODWLRQWKDQDOHVVHGXFDWHGRQH+DOODNSJ*UHHQHWDO
W

7KHVHWZRTXHVWLRQVDQGWKHUDWLRQDOHVMXVWLI\LQJWKHPDUHWKHPDLQGULYHEHKLQGWKLVVWXG\
%ULHIVXPPDU\RIILQGLQJV
7KHSDSHUILQGVWKDWRIWKHWKUHHPHDVXUHVDGRSWHGIRUSROLWLFDOLQVWDELOLW\SROLWLFDOWHUURULVP
VHHPVWREHPRVWVLJQLILFDQWDQGJURZWKUHGXFLQJVRXUFHLQWKH6XE6DKDUD$IULFDQUHJLRQ,W
LV DOVR IRXQG WKDW KXPDQFDSLWDO ZLWK UHVSHFW WR WKLV SROLWLFDO LQVWDELOLW\ PHDVXUH GRHV QRW
DVVXDJHWKHLPSDFWRISROLWLFDOLQVWDELOLW\5DWKHULWZDVIRXQGWRUHLQIRUFHWKHGLUHFWLPSDFW
RISROLWLFDOLQVWDELOLW\RQHFRQRPLFJURZWK
&XUVRU\RYHUYLHZRIWKHHQWLUHVWUXFWXUH
7KH VHFWLRQV WKDW IROORZ GLYLGH WKH VWXG\ LQWR GLIIHUHQW DUHDV RI LQWHUHVW VDOLHQW WR
XQGHUVWDQGLQJWKHHQWLUHVWXG\SUREOHP6HFWLRQSURYLGHVDOLWHUDWXUHUHYLHZRISDVWZRUNV
UHOHYDQWWRWKHVFRSHRIWKHUHVHDUFKJXLGLQJWKHUHDGHULQWRXQGHUVWDQGLQJLWVXQLTXHQHVVDQG
FRQWULEXWLRQ WR DQ DOUHDG\ H[LVWLQJ ULFK YROXPH 6HFWLRQ GHVFULEHV WKH HPSLULFDO
PHWKRGRORJ\ DQG GDWD VHOHFWLRQ SURFHGXUH 6HFWLRQ SURYLGHV VRPH GHVFULSWLYH VWDWLVWLFV
GHVFULELQJ VRPH JUDSKV WDEOHV DQG VWDWLVWLFDO SDWWHUQV 6RPH KLVWRULFDO DQG WKHRUHWLFDO
UHIHUHQFHV DUH PDGH ZKHUH QHFHVVDU\ WR SURYLGH VRPH HYLGHQFH DQG HQDEOH EHWWHU
XQGHUVWDQGLQJ 6HFWLRQ JLYHV WKH DFWXDO HPSLULFDO DQDO\VLV SURYLGLQJ UHQGHUHG UHVXOWV DQG
UHOHYDQW VXPPDU\ RI ILQGLQJV UHJDUGLQJ FRHIILFLHQWV DQG WKHLU VLJQLILFDQFH 6RPH VWDWLVWLFDO
LQIHUHQFHV DUH DOVR PDGH KHUH LQ UHODWLRQ WR DYDLODEOH SROLF\ RSWLRQV DQG WKHRULHV ZKHUH
QHFHVVDU\7KHILQDOVHFWLRQ6HFWLRQFRQFOXGHVWKHYROXPHE\KLJKOLJKWLQJDQGUHLWHUDWLQJ
HVVHQWLDO ILQGLQJV ,W DOVR PDNHV VXJJHVWLRQV IRU LPSURYLQJ WKH UHVHDUFK DQG HQXPHUDWHV LWV
ZHDNQHVVHV
W

/,7(5$785(5(9,(:
7KLV VHFWLRQ LV EURNHQ GRZQ LQWR VXEVHFWLRQV WR HQDEOH DQ LQIRUPHG FDSWXUH RI WKH YDVW
OLWHUDWXUHVXUURXQGLQJSROLWLFDOLQVWDELOLW\DQGJURZWK
%ULHIUHFDSRIQHRFODVVLFDOJURZWKPRGHOOLQJ
$IULFDQ GHYHORSPHQW SDSHUV DUH IUDXJKW ZLWK D P\ULDG RI H[SODQDWLRQV DV WR ZK\
GHYHORSPHQW LQ WKH $IULFDQ UHJLRQ KDV EHHQ ODJJLQJ EHKLQG WKDW RI DGYDQFHG HFRQRPLHV RI
WKHZRUOG7KHHPHUJHQFHRIWKHQHRFODVVLFDO6RORZJURZWKPRGHOLQSDYHGWKHZD\IRU
DVVHVVPHQWV RI FRXQWU\VSHFLILF DQG FURVVFRXQWU\ UHJLRQDO DQG FURVVUHJLRQDO JURZWK
H[SHULHQFHV 3DUWLFXODU UHIHUHQFH WR WKH SUR[LPDWH JURZWK GHWHUPLQDQWV VXFK DV FDSLWDO
DFFXPXODWLRQ SRSXODWLRQ JURZWK UDWH DQG H[RJHQRXVO\ GHWHUPLQHG WHFKQRORJLFDO SURJUHVV
ZHUHYLHZHGDVPDMRUVRXUFHVRILQFRPHYDULDWLRQDFURVVFRXQWULHVDQGUHJLRQVRIWKHZRUOG
6RORZ $ PDMRU FRQWULEXWLRQ RI WKH PRGHO ZDV WKDW JOREDO YDULDWLRQV LQ LQFRPH
JURZWK DQG HFRQRPLF SHUIRUPDQFH FRXOG EH H[SODLQHG ZLWKLQ WKH PRGHO IUDPHZRUN ZLWK
SDUWLFXODU UHIHUHQFH WR WKH UDWLRQDOH RI FRQGLWLRQDO FRQYHUJHQFH %DUUR 6DODL0DUWLQ

)URP WKH V DXWKRUV GLVFRYHUHG WKDW WKLV H[RJHQRXVO\ VSHFLILHG IUDPHZRUN ZDV QRW
VXIILFLHQW WR DFFRXQW IRU VXVWDLQHG GLIIHUHQFHV LQ LQFRPH DFURVV FRXQWULHV 7KDW FDSLWDO
DFFXPXODWLRQ IRU LQVWDQFH LQYROYHG PXFK PRUH WKDQ SK\VLFDOFDSLWDO DFFXPXODWLRQ &DSLWDO
DFFXPXODWLRQDOVRLQYROYHGKXPDQFDSLWDOLQYHVWPHQWFRPSRQHQWVDQGLWZDVZLWKLQVXFKD
VSHFLILHG PRGHO WKDW WHFKQRORJLFDO SURJUHVV FRXOG EH HQGRJHQL]HG DQG VXVWDLQHG JURZWK
H[SODLQHG7KHVHPRGHOVFDPHWREHNQRZQDVWKHHQGRJHQRXV JURZWKPRGHOV7KHPRGHOV

dZ
>',,,
d
W

H[SODLQHG VXVWDLQHG YDULDWLRQV LQ LQFRPH DFURVV FRXQWULHV E\ HQGRJHQL]LQJ WHFKQRORJLFDO
SURJUHVV DV D E\SURGXFW RU VSLOORYHU UHVXOWLQJ IURP WKH KXPDQFDSLWDO LQYHVWPHQW
FRPSRQHQWVZLWKLQWKHPRGHOV
/DWHU VWXGLHV LOOXVWUDWH WKH HPHUJHQFH RI PRUH IXQGDPHQWDO JURZWK FRQWHQW XQUDYHOOLQJ LQ
UHOHYDQFHZLWKLQ,QWHUQDWLRQDO)LQDQFLDO,QVWLWXWLRQV,),VGLVFRXUVHVDQGSXEOLFDWLRQVVXFK
DV81&7$'81&7$'8W]0F0LOODQ 5RGULN7KHVHVWXGLHV
PRGHOOHGWKHLUORJLFRQWKHSUHPLVHWKDWWKHSUR[LPDWHJURZWKVRXUFHVWKRXJKYHU\HVVHQWLDO
UHTXLUHGDFHUWDLQDWPRVSKHUHRIVRFLRSROLWLFDOOHJDODQGHFRQRPLFIXQFWLRQLQJDQGVWDELOLW\
IRUSURJUHVVWREHVXVWDLQHG7KLVLGHDLVPRVWVXPPDULVHGXQGHUWKHLGHDRIZKDW0DUVKDOO
&ROH WHUP D 6RFLHWDOV\VWHPV DQDO\VLV 7KHVH IXQGDPHQWDO JURZWK VRXUFHV LQYROYH
PRUHDEVWUDFWO\GHILQHG YDULDEOHVVXFKDV JRRGLQVWLWXWLRQVRSHQQHVVDQGVWUXFWXUDOFKDQJH
'LQJ .QLJKWFDSDFLW\EXLOGLQJDQGFDSDELOLW\XWLOL]DWLRQ81&7$'7KHVH
GHWHUPLQDQWV WKRXJK HVVHQWLDO HSLWRPL]HG EURDG FRQFHSWV PDNLQJ WKHP UHODWLYHO\ PRUH
FRPSOH[WRGHILQHPHDVXUHDQGFDSWXUHIRUDQDO\VLV7KHVHDUJXPHQWVDQGWKLQNLQJSHUYDGH
WKH ,),V OLWHUDWXUHV UHJDUGLQJ WKH FDXVHV RI UHVWULFWLRQV WR JURZWK DQG GHYHORSPHQW LQ
GHYHORSLQJFRXQWULHV7KH\EODPHSRRUGHYHORSPHQWLQPRVWSDUWVRI$IULFDRQIRULQVWDQFH
ZHDN LQVWLWXWLRQV DQG JRYHUQDQFH ODFN RI SURSHU RSHQQHVV DQG VWUXFWXUDO GHILFLHQFLHV
SUHYDOHQWZLWKLQWKHHFRQRPLHV
7KLV ZRUN DGRSWV D YDULDWLRQ RI WKH QHRFODVVLFDO JURZWK PRGHOOLQJ DGDSWHG WR DVVHVV WKH
VKDUHV RI WKH UHVSHFWLYH HFRQRPLF JURZWK GHWHUPLQDQWV ,W LV FRPPRQO\ UHIHUUHG WR DV WKH
*URZWK $FFRXQWLQJ DSSURDFK ZKLFK LV PHUHO\ D WUDQVIRUPDWLRQ RU GHFRPSRVLWLRQ RI WKH
6RORZPRGHOUHSUHVHQWLQJJURZWKGHWHUPLQDQWVLQWKHLUJURZWKUDWHVVKDUHV&UDIW

^t/D&/D&dhE
hEdtdKtdK
/&//&/
W

'HILQLQJSROLWLFDOLQVWDELOLW\
'HILQLQJSROLWLFDOLQVWDELOLW\FDQEHTXLWHDPELJXRXVJLYHQWKDWLWVLQFLGHQFHLVLQVWLWXWLRQDO
LQ QDWXUH DQG FRXOG UDQJH IURP FRQFHSWV LQYROYLQJ PRUH DEVWUDFW LGHDV VXFK DV EDG
JRYHUQDQFH WR PRUH LQGLFDWLYH RQHV VXFK DV XQZDUUDQWHG JRYHUQPHQW FKDQJHV DQG FORVHO\
UHODWHG LVVXHV OLNH SROLWLFDO XQUHVWV ULRWV VWULNHV FLYLO ZDUV RU PRUH JHQHUDOO\ DQ\ IRUP RI
SROLWLFDOO\PRWLYDWHGYLROHQFH
$NH RSLQHV WKDW DQ DWWHPSW DW GHILQLQJ SROLWLFDO LQVWDELOLW\ RXJKW WR EHJLQ ZLWK DQ
XQGHUVWDQGLQJ RI WKH FRQFHSWV RI SROLWLFDO EHKDYLRXU DQG SROLWLFDO VWUXFWXUH 7KHVH FRQFHSWV
GHILQH ZKDW PD\ EH WHUPHG SROLWLFDOO\ VWDEOH EHKDYLRXU DQG LWV YLRODWLRQ WHUPHG SROLWLFDO
LQVWDELOLW\ DV JLYHQ RU VWDQGDUGL]HG E\ WKH SUHYDLOLQJ ODZV DQG FXVWRPV RI DQ RUJDQLVHG
VRFLHW\0EDNXDJUHHVZLWKWKLVGHILQLWLRQXVLQJWKHZRUGQRUPDOLW\WRGHILQHZKDW
FRQVWLWXWHVDVWDEOHDQGDQXQVWDEOHSROLWLFDOEHKDYLRXUSUHVFULEHGE\DSROLWLFDOV\VWHPZKLFK
PD\ GLIIHU DFURVV FRXQWULHV )RVX TXLWH VLPSO\ GHILQHV SROLWLFDO LQVWDELOLW\ DV WKH
LQVWDELOLW\RIJRYHUQPHQWVUHJLPHVDQGFRPPXQLWLHVZLWKLQDQDWLRQS$OHVLQDHWDO
GHILQH SROLWLFDO LQVWDELOLW\ WR LQYROYH WKH GHJUHH RU WKH OLNHOLKRRG RI D FKDQJH LQ
H[HFXWLYHSRZHUZKHWKHUWKLVFKDQJHLVFRQVWLWXWLRQDORUXQFRQVWLWXWLRQDO7KLVPD\DSSHDU
WRGHYLDWHDELWIURPWKHGHILQLWLRQVJLYHQDERYHEXWLIORRNHGDWLQOLJKWRIWKHSRVVLELOLW\RI
FRQVWLWXWLRQDODPHQGPHQWVDZD\ IURPWKHSUHYLRXVO\H[LVWLQJODZIXOQRUPWKHQZHVHHWKDW
WKHVH GHILQLWLRQV DUH LQ IDFW FRQVLVWHQW ZLWK HDFK RWKHU $OWKRXJK 0RUULVRQ 6WHYHQVRQ
S VD\ WKDW WKHUH LV QR XQLYHUVDO GHILQLWLRQ IRU SROLWLFDO LQVWDELOLW\ WKH\ JLYH D
GHILQLWLRQZKLFKLVTXLWHDJUHHDEOHZLWKWKRVHDOUHDG\HQXPHUDWHGDERYHDVLWXDWLRQZKHUHDQ
LQVWLWXWLRQDOLVHGSDWWHUQRIDXWKRULW\LQDQDWLRQDOSROLWLFDOV\VWHPEUHDNVGRZQS6R
WKH\PLJKWEHULJKWLQVD\LQJWKDWWKHUHLVQRXQLYHUVDOGHILQLWLRQLQWHUPVRISKUDVDOFKRLFH

W

DQG GHILQLWLRQ VWUXFWXUH VLQFH GLIIHUHQW UHVHDUFKHUV KDYH VSHFLILF FKDUDFWHULVWLFV RI SROLWLFDO
LQVWDELOLW\ ZKLFK WKH\ VHHN WR HPSKDVL]H +RZHYHU WKH XQGHUVWDQGLQJ DQG FRQFHSWV EHKLQG
WKHDWWHPSWVDWGHILQLQJWKHSROLWLFDOLQVWDELOLW\SKHQRPHQRQGRHVVHHPVLPLODUDQGFRQVLVWHQW
WKURXJKRXW WKH OLWHUDWXUH )RU LQVWDQFH D ORRN DW WKH MXVWLILFDWLRQ 0RUULVRQ 6WHYHQVRQ
JLYHIRUWKLVQRQXQLYHUVDOLW\LQGHILQLWLRQZKLFKLVGLVFXVVHGLQWKHQH[WVHFWLRQLV
PRUHDQLVVXHRILQGLYLGXDOFRXQWU\PDQLIHVWDWLRQVDQGZKDW-RQJ$3LQZRXOGODWHU
WHUPGLPHQVLRQVRISROLWLFDOLQVWDELOLW\7KHGHILQLWLRQPRVWFRQVLVWHQWZLWKWKHDSSURDFKRI
WKLVVWXG\LVRQHSURSRVHGE\$OHVLQD 3HURWWLLQZKLFKSROLWLFDOLQVWDELOLW\LVYLHZHG
IURP WZR DQJOHVGLPHQVLRQV RQH LQYROYLQJ H[HFXWLYH LQVWDELOLW\ DQG WKH RWKHU LQYROYLQJ
VRFLDOXQUHVWDQGSROLWLFDOYLROHQFH7KHILUVWLQYROYLQJDSROLWLFDOLQVWDELOLW\PHDVXUHZKLFK
FDSWXUHV ERWK FRQVWLWXWLRQDO DQG XQFRQVWLWXWLRQDO FKDQJHV WR JRYHUQPHQWV 7KH\ GLVWLQJXLVK
EHWZHHQ WKH WHUPV SURSHQVLW\ RI FKDQJH DQG IUHTXHQF\ RI FKDQJH LQ WKHLU GHILQLWLRQ RI
H[HFXWLYHSROLWLFDOLQVWDELOLW\VD\LQJSURSHQVLW\RUSUREDELOLW\RIDFKDQJHLVPRVWUHODWHGWR
VHYHUDO HFRQRPLF VRFLRSROLWLFDO DQG LQVWLWXWLRQDO YDULDEOHV S 7KLV SDSHU KRZHYHU
DGRSWV D FRPSOHPHQWDU\ H[HFXWLYH SROLWLFDO LQVWDELOLW\ PHDVXUH ZKLFK FRQVLGHUV WKH
IUHTXHQF\EDVHG RQ WKH ORJLF WKDWSURSHQVLW\ LV D IXQFWLRQ RI DQ H[LVWLQJ IUHTXHQF\ 7KLV LV
EHFDXVHWKHPRUHDWKLQJIRULQVWDQFHFROODSVHVIUHTXHQF\LQDJLYHQREVHUYHGSHULRGWKH
PRUH OLNHO\ LW LV WR FROODSVH LQ WKH XQREVHUYHG IXWXUH SURSHQVLW\ FHWHULV SDULEXV +HQFH
XQFHUWDLQW\ DQG WKUHDWV WR SURSHUW\ ULJKWV ZKLFK WKH\ SRLQW RXW RXJKW WR EH D JHQXLQH
IXQFWLRQRIWKHREVHUYHGIUHTXHQF\RIFKDQJHLQH[HFXWLYHJRYHUQPHQWFKDQJHV
%LOGLULFL UHYLHZ WKH ZRUNV RI RI $OHVLQD 3HURWWL DQG *DVLRURZVNL
ZKHUHSROLWLFDOLQVWDELOLW\LVDQDO\VHGIURPDSURLQFRPHLQHTXDOLW\DQJOH7KLV0DU[LVWW\SH
YLHZ DWWULEXWHV SROLWLFDO DPELJXLW\ SROLWLFDO LQVWDELOLW\ WR LQFRPHLQHTXDOLW\ DQG HFRQRPLF
DPELJXLW\ DQG WKLV RULHQWDWLRQ LQ YLHZ LV TXLWH VLPLODU WR WKH IUXVWUDWLRQDJJUHVVLRQ WKHRU\
SRLQWHG RXW E\ 0RUULVRQ 6WHYHQVRQ S %XW WR GHWHUPLQH WKH VRXUFH RI D
W

SKHQRPHQRQ GRHV QRW QHFHVVDULO\ LPSO\ REWDLQLQJ DQ DGHTXDWH DQG VXIILFLHQW PHDVXUH
DOWKRXJKVRPHWLPHVPHDVXUHPHQWVE\VRXUFHFDQSURYLGHVRPHLOOXVWUDWLYHLQVLJKWV$PRUH
DGHTXDWHPHDVXUHRXJKWWRUHIOHFWLQDGGLWLRQWKHLQFLGHQFHRUPDQLIHVWDWLRQDQGQRWPHUHO\
WKHVRXUFH0RVWRIWKHSUR[LHVDGRSWHGVRIDUIURPJRYHUQPHQWFKDQJHVJXHUULOODZDUIDUH
UHYROXWLRQVJHQRFLGHVRUFRXSGpWDWVWRHWKQLFKHWHURJHQHLW\HWFKDYHLQWKLVUHVSHFWDOO
EHHQDFRPELQDWLRQRIVRXUFHDQGLQFLGHQFHPHDVXUHV
$OWKRXJK ZRUNV ZLWKLQ WKH OLWHUDWXUH KDYH OLWWOH GLVDSSURYDO RQ ZKDW LV PHDQW E\ SROLWLFDO
LQVWDELOLW\ WKHLU GHILQLWLRQV VHHP WR EH VWUHDPOLQHG DQG PRUH D UHIOHFWLRQ RI WKHLU VSHFLILF
DUHDVRIUHVHDUFKLQWHUHVW7KHPRUHGLVSXWDEOHDQGGHEDWDEOHSDUWRIWKHOLWHUDWXUHRQSROLWLFDO
LQVWDELOLW\ OLHV LQ WKH QH[W WZR VXEVHFWLRQV ZKLFK GLVFXVV KRZ SROLWLFDO LQVWDELOLW\ PD\ EH
DGHTXDWHO\FDSWXUHGIRUPHDVXUHPHQWDQGPRGHOOHGLQUHODWLRQWRHFRQRPLFJURZWK
0HDVXULQJSROLWLFDOLQVWDELOLW\
$VLQGLFDWLYHIURPWKHGHILQLWLRQVRISROLWLFDOLQVWDELOLW\UHYLHZHGDERYHREWDLQLQJDPHDVXUH
UREXVWHQRXJKWRFDSWXUHLWVEURDGFRQFHSWZKLFKFRPELQHVERWKTXDQWLWDWLYHDQGTXDOLWDWLYH
SURSHUWLHVLVTXLWHDFKDOOHQJH$OHVLQD 3HUURWL%XVDUL/LWWOHZRQGHUPRVWRI
WKH GHEDWH LQ WKH OLWHUDWXUH UHVWV LQ WKLV VHFWLRQ DQG WKH QH[W $ PDMRU VHWEDFN UHFXUUHQW LQ
SDSHUV LQYROYHV REWDLQLQJ D PHDVXUH RU VHW RI PHDVXUHV IRU SROLWLFDO LQVWDELOLW\ VXIILFLHQW
HQRXJK WR FDSWXUH DV PDQ\ RI LWV IHDWXUHV DV SRVVLEOH 7KLV LVVXH LV TXLWH SHUYDVLYH LQ WKH
JURZWK VWXGLHV OLNH PDQ\ DXWKRUV DJUHH SROLWLFDO LQVWDELOLW\ LV PXOWLGLPHQVLRQDO DQG
DWWHPSWLQJDRQHGLPHQVLRQDQDO\VLVOLPLWVDQGFRPSURPLVHVRQHVILQGLQJVDQGFRQFOXVLRQV
-RQJ$3LQ 6RPH DXWKRUV DGGUHVV WKLV SUREOHP E\ IRFXVLQJ RQ VSHFLILF DVSHFWV RI
SROLWLFDOLQVWDELOLW\DQGDGRSWPHDVXUHVVXFKDVWKHIUHTXHQF\RIFRXSGpWDWV0F*RZDQ
0RUULVRQ /RQGUHJDQ 3RROH )RVX (DVWHUO\ /HYLQH )RVX
SROLWLFDO YLROHQFH DQG XQUHVW *XSWD $OHVLQD 3HURWWL DVVDVVLQDWLRQV
W

DQG UHYROXWLRQV %DUUR $V D UHVXOW WKHLU FRQFOXVLRQV DUH LQ SDUWLFXODU PRUH
UHSUHVHQWDWLYH RI WKH UHVSHFWLYH SROLWLFDO LQVWDELOLW\ IHDWXUHV DQDO\VHG DQG QRW SROLWLFDO
LQVWDELOLW\LQLWVHQWLUHW\7KHPHDVXUHVFRQFHUQLQJJRYHUQPHQWFKDQJHDUHRIWHQWHUPHGHOLWH
RU H[HFXWLYH SROLWLFDO LQVWDELOLW\ DV GHILQHG E\ 0RUULVRQ 6WHYHQVRQ DQG PDGH
SRSXODU E\ 0F*RZDQ -RKQVRQ $OVR RWKHU DXWKRUV XVH YDULDEOHVXPPDU\
HFRQRPHWULF WHFKQLTXHV VXFK DV GLVFULPLQDQW DQDO\VLV 9HQLHULV *XSWD SULQFLSDO
FRPSRQHQW DQDO\VLV $OHVLQD 3HURWWL 'LPLWUDNL ZKLFK VXPPDULVH YDULRXV
PHDVXUHV RI SROLWLFDO LQVWDELOLW\ LQWR D VLQJOH YDULDEOH 7KLV HQDEOHV VWXGLHV WR DWWHPSW WR
FDSWXUHDKROLVWLFLPSDFWRISROLWLFDOLQVWDELOLW\ZKLOHPDLQWDLQLQJDPRUHSDUVLPRQLRXVPRGHO
ZLWK IHZHU YDULDEOHV +RZHYHU WKH ZHDNQHVV RI WKHVH VXPPDU\PHDVXUH W\SH VWXGLHV OLNH
-RQJ$3LQ ULJKWO\ SXWV LW LV WKDW WKH\ DVVXPH SROLWLFDO LQVWDELOLW\ WR EH D RQH
GLPHQVLRQDO SKHQRPHQRQ +H JLYHV HPSLULFDO VXSSRUW WR WKH FRQWUDU\ DOORZLQJ IRU IRXU
GLPHQVLRQVXVLQJDQH[SORUDWLYHIDFWRUDQDO\VLVDSSURDFKRQWZHQW\VL[ZLGHO\XVHGSROLWLFDO
LQVWDELOLW\LQGLFDWRUV$VDUHVXOWKLVZRUNPDLQWDLQVWKHVXPPDU\PHWKRGRISUHYLRXVZRUNV
EXWKHJRHVIXUWKHUE\FODVVLI\LQJSROLWLFDOLQVWDELOLW\WRLQFOXGHGLVWLQFWGLPHQVLRQV-RQJ$
3LQ MXVWLILHV KLV DWWHPSW WR FRPSUHKHQVLYHO\ VLHYH WKH GLPHQVLRQV RI SROLWLFDO
LQVWDELOLW\RQWKHILQGLQJVRI&XNLHUPDQLQZKLFKWZRPHDVXUHVRISROLWLFDOLQVWDELOLW\
FKDQJHVLQ JRYHUQPHQW DQGFKDQJHVLQSROLWLFDO UHJLPHKDYHGLIIHUHQWLPSDFWVRQWKHOHJDO
VRYHUHLJQW\RIDFRXQWU\VFHQWUDOEDQN
7KHUHODWLRQVKLSVEHWZHHQSROLWLFDOLQVWDELOLW\DQGHFRQRPLFJURZWK
7KHUHODWLRQVKLSEHWZHHQHFRQRPLFJURZWKDQGSROLWLFDOLQVWDELOLW\LVDOVRFRPSOH[MXVWDVWKH
GHILQLWLRQ DQG PHDVXUHPHQW RI PRVW LQVWLWXWLRQDO YDULDEOHV DUH ,Q DOO WKH WKHRUHWLFDO DQG
LQWHOOHFWXDO EDQWHU WKH UHODWLRQVKLS EHWZHHQ SROLWLFDO LQVWDELOLW\ DQG JURZWK FDQ EH EURDGO\

d
D^
W

VXPPDUL]HGLQWRWZRLQWHUFRQQHFWHGFDWHJRULHVVWXGLHVWKDWUHSRUWD'LUHFWUHODWLRQVKLSDQG
WKRVH WKDW UHSRUW DQ ,QGLUHFW RQH ,W LV SRLQWHG RXW WKDW WKH OLWHUDWXUH H[LVWV LQ DQ
LQWHUFRQQHFWHG SDWWHUQ EHFDXVH \RX ZLOO ILQG RXW DV \RX UHDG DORQJ WKDW PRVW RI WKH ZRUNV
KDSSHQWRIDOOLQPRUHWKDQRQHFDWHJRU\VLPXOWDQHRXVO\%XWWKLVVRUWRIGLVFRXUVHJLYHVWKH
UHDGHUDKLQWLQWRZK\FHUWDLQLVVXHVZLWKLQWKHVXEMHFWDUHDFDQEHLQFRQFOXVLYHDQGUHVXOWV
PD\HDVLO\GLIIHUDQGTXLWHPLVOHDGLQJ
D'LUHFWUHODWLRQVKLSVEHWZHHQSROLWLFDOLQVWDELOLW\DQGHFRQRPLFJURZWK
7KHGLUHFWUHODWLRQVKLSEHWZHHQERWKSKHQRPHQDFDQEHORRNHGDWLQWZRZD\VZKLFKLVTXLWH
UHSUHVHQWDWLYH RI KRZ WKH OLWHUDWXUH SUHVHQWV WKH LVVXH )LUVWO\ DQG IXQGDPHQWDOO\ WKH SDSHU
GLVFXVVHV WKH OLWHUDWXUH UHJDUGLQJ WKHSDWWHUQ RI WKH UHODWLRQVKLSEHWZHHQ SROLWLFDO LQVWDELOLW\
DQG JURZWK ZLWK UHVSHFW WR WKH VLJQ RU FRPRYHPHQW 6HFRQGO\ LW ORRNV DW WKH LVVXH RI
FDXVDOLW\EHWZHHQERWKSKHQRPHQDDQGKRZWKLVDIIHFWVWKHIXQGDPHQWDOUHODWLRQVKLSEHWZHHQ
ERWKSKHQRPHQD
$V DOUHDG\ HQXPHUDWHG ILUVWO\ LV WKH IXQGDPHQWDO UHODWLRQVKLS EHWZHHQ SROLWLFDO LQVWDELOLW\
DQG JURZWK D SRVLWLYH RQH RU D QHJDWLYH RQH" 3DOGDP SURSRVHV WZR RSSRVLQJ
SRVVLELOLWLHV LQ ZKDW KH WHUPV WKH JRRG JURZWK K\SRWKHVLV DQG WKH GHVWDELOLVLQJ JURZWK
K\SRWKHVLV:KHUHWKHIRUPHUGHVFULEHVLPSURYHPHQWVLQOLYLQJVWDQGDUGVUHDOLVHGDVDUHVXOW
RIHFRQRPLFJURZWKFDXVLQJFLWL]HQVWRDSSURYHRIWKHJRYHUQPHQWDQGKHQFHVWDELOLW\7KH
ODWWHU KRZHYHU LV RQH LQ ZKLFK JURZWK UHVXOWV LQ FRPSOH[ VRFLHWDO FKDQJHV ZKLFK FRQIOLFW
ZLWK DOUHDG\ H[LVWLQJ VWUXFWXUHV DQG HQG XS VWLUULQJ JRYHUQPHQW GLVDSSURYDO DQG
FRQVHTXHQWO\LQVWDELOLW\6RZHFDQGHGXFHWKDWWKHUHODWLRQVKLSEHWZHHQJURZWKDQGSROLWLFDO
LQVWDELOLW\ KHUH LV UHIOHFWLYH RI WKH W\SH RI JURZWK EHLQJ HPEDUNHG XSRQ ,I WUDQVIRUPDWLYH
VWUXFWXUH FKDQJLQJ RU UDGLFDO WKHQ LW PD\ HSLWRPLVH WKH GHVWDELOL]LQJ JURZWK K\SRWKHVLV
EXW LI LW LV D JUDGXDO JURZWK H[SHULHQFH LW PD\ PRUH OLNHO\ EH FODVVLILHG DV D JRRG JURZWK
W

K\SRWKHVLV +RZHYHU WKLV LOOXVWUDWHV D JURZWKSROLWLFDO LQVWDELOLW\ UHODWLRQVKLS DQG QRW D
SROLWLFDOLQVWDELOLW\JURZWKUHODWLRQVKLS
6LPLODUO\ )HQJ ILQGV WKDW SROLWLFDO LQVWDELOLW\ GHILQHG DV WKH SUREDELOLWLHV RI ERWK
FRQVWLWXWLRQDO DQG XQFRQVWLWXWLRQDO JRYHUQPHQW FKDQJHV KDYH RSSRVLWH HIIHFWV RQ JURZWK
$OWKRXJKKHSODFHVTXLWHDQDPRXQWRIHPSKDVLVRQGHPRFUDF\LQGXFHGVWDELOLW\WKLVZRUN
VWLOOJLYHVYHU\LQVLJKWIXOFRQWULEXWLRQVWRWKHH[LVWLQJOLWHUDWXUHDVZHVHHWKDWWKHGHILQLWLRQ
DGRSWHGFDQKDYHLPSOLFDWLRQVRQWKHUHODWLRQVKLS
$ QXPEHU RI RWKHU ZRUNV SURYLGH HPSLULFDO VXSSRUW RQ WKH QDWXUH RI SROLWLFDO LQVWDELOLW\V
LPSDFW RQ JURZWK %DUUR $OHVLQD HW DO %HOOHQWWLQL HW DO 'LPLWUDNL
DOO ILQG D QHJDWLYH DQG VLJQLILFDQW UHODWLRQVKLS EHWZHHQ SROLWLFDO LQVWDELOLW\ DQG
JURZWK
2QWKHRWKHUKDQGZRUNVOLNH%HOOHQWLQLHWDOGHILQLQJSROLWLFDOVWDELOLW\DVSROLWLFDO
SHUVLVWHQFH ILQGV LW WR KDYH D QHJDWLYH UHODWLRQVKLS ZLWK JURZWK LPSO\LQJ D SRVLWLYH
UHODWLRQVKLS EHWZHHQ SROLWLFDO LQVWDELOLW\ DQG JURZWK &DPSRV 1XJHQW DOVR ILQG D
SRVLWLYHUHODWLRQVKLSIURPSROLWLFDOLQVWDELOLW\WRLQYHVWPHQWHVSHFLDOO\VWURQJIRUORZLQFRPH
FRXQWULHV ZKLFK LPSOLHV HYLGHQFH IRU D SRVLWLYH LQGLUHFW UHODWLRQVKLS EHWZHHQ SROLWLFDO
LQVWDELOLW\ DQG JURZWK KLJKOLJKWHG KHUH RQO\ EULHIO\ LQGLUHFW UHODWLRQVKLS SRVVLELOLWLHV DUH
H[SORUHGLQPRUHGHSWKLQLWVVHFWLRQEHORZ
)XUWKHU ZRUNV KLJKOLJKWLQJ WKH SRVVLELOLW\ RI D SRVLWLYH UHODWLRQVKLS EHWZHHQ SROLWLFDO
LQVWDELOLW\DQGJURZWKLQFOXGH&DPSRV 1XJHQWDQG)RVX)RVXJLYHV
SRVVLEOHH[SODQDWLRQVIRUZK\VXFFHVVIXODQGSORWWHGFRXSVDWDFHUWDLQLQYHVWPHQWWKUHVKROG
WKDW LV DQG UHVSHFWLYHO\ IRU HDFK FRXS W\SH FRXOG EH EHQHILFLDO WR JURZWK IRU
GHYHORSLQJ FRXQWULHV &DPSRV 1XJHQW UHDOLVH WKDW DIWHU IDFWRULQJ LQ WKH VWUXFWXUDO

d
W

SURSHUW\ RI 6XE6DKDUDQ $IULFDV PDQLIHVWDWLRQ RI SROLWLFDO LQVWDELOLW\ WKH ZLGHO\
K\SRWKHVL]HGQHJDWLYHUHODWLRQVKLSEHWZHHQSROLWLFDOLQVWDELOLW\DQGJURZWKYDQLVK
6HFRQGO\RQWKHGLUHFWUHODWLRQVKLSEHWZHHQERWKSKHQRPHQDGRWKHLVVXHVRIFDXVDOLW\SRVH
D SUREOHP UHJDUGLQJ WKH IXQGDPHQWDO UHODWLRQVKLS EHWZHHQ SROLWLFDO LQVWDELOLW\ DQG JURZWK"
7KH TXHVWLRQ EHLQJ LV LW D SROLWLFDO LQVWDELOLW\ JURZWK UHODWLRQVKLS JURZWK SROLWLFDO
LQVWDELOLW\ UHODWLRQVKLS RU D VLPXOWDQHRXV UHODWLRQVKLS ZKLFK H[LVWV EHWZHHQ ERWK
SKHQRPHQD"7KHFDXVDOLW\LVVXHPD\DOVREHLQGLFDWLYHRIWKHVFKRRORIWKRXJKWFRQVLGHULQJ
IURPZKLFKWKHUHVHDUFKVWHPV:KHQWKHUHODWLRQVKLSVXJJHVWVDJURZWKSROLWLFDOLQVWDELOLW\
LOOXVWUDWLRQ LW LV PRVW OLNHO\ D SROLWLFDO HFRQRP\ VWXG\ EXW ZKHQ LW VXJJHVWV D SROLWLFDO
LQVWDELOLW\JURZWKDSSURDFKLWLVPRVWOLNHO\DQHFRQRPLFVVWXG\VHH*\PDK%UHPSRQJ
7UD\QRU
7KH LVVXH RI SROLWLFDO LQVWLWXWLRQV DQG HFRQRPLF SHUIRUPDQFH VLPXOWDQHLW\ KDV EHHQ DQ
LQYHVWLJDWLYH LVVXH VLQFH /LSVHW WKURXJK KLV IDPRXV FRQFHSW RI PRGHUQL]DWLRQ
K\SRWKHVLV :KLOH VRPH ZRUNV VXFK DV )RVX DQG GZHOO PRUH RQ
GHPRQVWUDWLYH XQLGLUHFWLRQDO DQDO\VHV RWKHUV VXFK DV /RQGUHJDQ 3RROH *\PDK
%UHPSRQJ 7UD\QRU DQG 'LPLWUDNL ILQG LW SHUWLQHQW WR FRPELQH ERWK
SRVVLELOLWLHVLQDV\VWHPRIHTXDWLRQVVRDVWRDWWHPSWREWDLQLQJEHWWHUFRHIILFLHQWVXVLQJPRUH
LQIRUPDWLRQ
5DWKHU FRQFOXVLYHO\ %XWNLHZLF] <DQLNND\D DIWHU XVLQJ LQVWUXPHQWDO YDULDEOH
WHFKQLTXHVVXJJHVWWKDWWKHSUREOHPRIVLPXOWDQHLW\LVQRWVHULRXVWKDWWKHPRUHFRQWHQWLRXV
HVWLPDWLRQ LVVXHV LQYROYH RXWOLHU REVHUYDWLRQV DQG SDUDPHWHU KHWHURJHQHLW\ $OHVLQD HW DO
DOVRFRQFOXVLYHO\ILQGWKDWSROLWLFDOLQVWDELOLW\KDVDVLJQLILFDQWQHJDWLYHLQIOXHQFHRQ
JURZWKDQGSDUWLFXODUO\VRLQFDVHVVXFKDVFRXSGpWDWV7KH\RQWKHRWKHUKDQGILQGWKDW
W

WKH UHODWLRQVKLS DV IURP JURZWK WR SROLWLFDO LQVWDELOLW\ LV QRW RQO\ VPDOO EXW LV DOVR
LQVLJQLILFDQW
,W PXVW EH QRWHG WKDW ZKLOH PRVW DXWKRUV LQ WKH ZLGHU GLVFRXUVH HYHQ VRPH DV UHYLHZHG
DERYHVXEMHFWWKHLUUHVXOWVWRVRPHUREXVWQHVVYDOLGDWLRQVUHVXOWVDUHRIWHQVHQVLWLYHWRPRUH
UHILQHGDQGWKRURXJKPHWKRGV7KLVLVPDLQO\EHFDXVHRIWKHLQKHUHQWVWDWLVWLFDOLUUHJXODULWLHV
ZKLFK FKDUDFWHUL]H SROLWLFDO LQVWLWXWLRQ YDULDEOHV ,Q V\QF ZLWK %XWNLHZLF] <DQLNND\D
DV UHYLHZHG DERYH WKH FULWLTXH SDSHU RI 'H +DDQ EULQJV WR WKH IRUH WKH
VXVSLFLRQ WKDW UHVXOWV LQYROYLQJ SROLWLFDO YDULDEOHV DUH XVXDOO\ VHQVLWLYH WR WKH SUHVHQFH RI
RXWOLHUV PRGHO VSHFLILFDWLRQ DQG SDUDPHWHU KHWHURJHQHLW\ +HQFH WKHVH UHVXOWV RXJKW WR EH
DVVHVVHG FDUHIXOO\ DUULYLQJ DW FRQFOXVLRQV FDXWLRXVO\ 7KLV UDLVHV PRUH VXVSLFLRQ WKDW
GLYHUJHQFHLQFODLPVDQGQDWXUHRIUHODWLRQVKLSVPD\EHUHIOHFWLYHRIVXFKOLNHLVVXHVDQGQRW
QHFHVVDULO\DQDFWXDOGHEDWHRUODFNRIFRQFOXVLRQLQWKHOLWHUDWXUH
E,QGLUHFWUHODWLRQVKLSVEHWZHHQSROLWLFDOLQVWDELOLW\DQGHFRQRPLFJURZWK
,Q WKLV FDWHJRU\ ZRUNV GLVFXVV WKH LQWHUDFWLRQ EHWZHHQ SROLWLFDO LQVWLWXWLRQV DQG HFRQRPLF
LQVWLWXWLRQV HVSHFLDOO\ LQ WKH DUHDV RI SROLWLFDO LQVWDELOLW\ HFRQRPLF LQVWDELOLW\ DQG FDSLWDO
DFFXPXODWLRQ$VDUHVXOWWKHHPSKDVLVLVRQWKHFODLPWKDWWKHUHODWLRQVKLSEHWZHHQSROLWLFDO
LQVWDELOLW\DQG JURZWKPD\QRWPHUHO\EHGLUHFWEXWFRXOGDOVREHWKURXJKDVLJQLILFDQWDQG
VXEVWDQWLDO LQGLUHFW FKDQQHO )RU SXUSRVHV RI D SURSHU WUHDWPHQW WKLV FDWHJRU\ LV DOVR
FRQVLGHUHGIURPWZRDQJOHVRQHZLWKDQHFRQRPLFIRFDOGLPHQVLRQDQGWKHRWKHUVRFLDO
7KHILUVWLQGLUHFWUHODWLRQVKLSEHWZHHQSROLWLFDOLQVWDELOLW\DQGJURZWKWREHFRQVLGHUHGKHUHLV
RQHZLWKDQHFRQRPLFIRFDOGLPHQVLRQ2QHVXFKUHODWLRQVKLSHPSKDVLVHVWKHHIIHFWSROLWLFDO
LQVWDELOLW\ KDV RQ HFRQRPLF JURZWK DV FRXUVHG WKURXJK PLFURHFRQRPLF LQVWDELOLW\ 7KH
SRVVLELOLW\IRUYDULDEOHHQGRJHQLHW\LVDOVRSUHVHQWKHUHDOWKRXJKWKLVLVQRWH[SORUHGKDYLQJ
GRQHWKDWDOUHDG\LQDVHFWLRQDERYH
W

,QWKLVOLJKWLWFDQEHDUJXHGWKDWSROLWLFDOLQVWDELOLW\KDVDQH[DFHUEDWLQJHIIHFWRQJURZWKE\
FUHDWLQJDOHVVHQDEOLQJSROLWLFDOHQYLURQPHQWIRUKDQGOLQJDQ\IRUPRIHFRQRPLFFULVLV6XFK
DQDUJXPHQWFDQEHIRXQGLQWKHZRUNRI&DYDOOR &DYDOORZKHUHWKH\DUJXHWKDWOHVV
DXWRFUDWLF VWDWHV KDYH DQ RYHUDOO HFRQRPLF FULVHV UHGXFLQJ LPSDFW RQ JURZWK $OWKRXJK WKLV
SDSHUGRHVQRWGLUHFWO\IRFXVRQSROLWLFDOYDULDEOHVPHDVXULQJSROLWLFDOLQVWDELOLW\LWKRZHYHU
LPSOLHVLWVUROHDVLW GHPRQVWUDWHVWKH IXQFWLRQSROLWLFDOV\VWHPV DQG HQYLURQPHQWVKDYHRQ
LPSDFWLQJ WKH KDQGOLQJ RI HFRQRPLF FULVHV VLWXDWLRQV 4XLWH FRQWUDULO\ )HQJ S
SRLQWV RXW WKDW WKHUH DUH DXWKRUV ZKR DUJXH WKDW VLQFH JRYHUQPHQW UHVROYH PD\ QRW GLUHFWO\
UHIOHFW WKH UHJLPH W\SH WKHQ GHPRFUDF\ OLNH HDUOLHU DUJXHG PD\ QRW EH D SRWHQW IDFWRU LQ
H[SODLQLQJ HFRQRPLF LQVWDELOLW\ FDVHV VXFK DV LQIODWLRQ +H JRHV RQ ODWHU WR LOOXVWUDWH WKDW
SROLWLFDO LQVWDELOLW\ GRHV KDYH DQ DJJUDYDWLQJ HIIHFW RQ LQIODWLRQ D IRUP RI HFRQRPLF
LQVWDELOLW\)HQJ
$QRWKHU DUHD LQ WKLV VXEFDWHJRU\ H[SORUHV DQ LQGLUHFW URXWH WKURXJK RQH RI WKH SUR[LPDWH
GHWHUPLQDQWV RI JURZWK NQRZQ DV FDSLWDO DFFXPXODWLRQ 7KHVH ZRUNV HPSKDVLVH WKH
GHELOLWDWLQJLPSDFWSROLWLFDOLQVWDELOLW\KDVRQXQFHUWDLQW\DQGKRZWKLVDIIHFWVJURZWKWKURXJK
LQYHVWPHQWHLWKHUE\LPSOLFDWLRQRUWKURXJKDV\VWHPRIVLPXOWDQHRXVUHODWLRQVHTXDWLRQV
5RGULFNRSLQHVWKDWHYHQDPLOGHYLGHQFHRIXQFHUWDLQW\FDQKDYHDPDVVLYHLQIOXHQFH
RQ LQYHVWPHQW GHFLVLRQV DQG KHQFH JURZWK *\PDQ%UHPSRQJ 7UD\QRU FRQGXFW D
VLPLODU EXW PRUH LQFOXVLYH LQYHVWLJDWLRQ LQYROYLQJ D V\VWHP RI VLPXOWDQHRXV HTXDWLRQV ZLWK
JURZWK SROLWLFDO LQVWDELOLW\ DQG SK\VLFDOFDSLWDO LQYHVWPHQW DOO HQGRJHQRXVO\ GHWHUPLQHG
ZLWKLQ WKH PRGHO 7KH\ ILQG WKDW SROLWLFDO LQVWDELOLW\ DQG LQYHVWPHQW DUH LQGHHG QHJDWLYHO\
DVVRFLDWHG LPSO\LQJ DQ LQGLUHFW DVVRFLDWLRQ EHWZHHQ SROLWLFDO LQVWDELOLW\ DQG JURZWK DV
WKURXJK LQYHVWPHQW 7KLV LV IXUWKHU EXWWUHVVHG E\ WKH GLUHFW QHJDWLYH DVVRFLDWLRQ EHWZHHQ
SROLWLFDOLQVWDELOLW\DQGJURZWK
W

7KHVHFRQGIRFDOGLPHQVLRQDVVHVVHVWKHLQGLUHFWLPSDFWRISROLWLFDOLQVWDELOLW\RQJURZWKYLD
KXPDQFDSLWDO DQG RWKHU VRFLDO LQGLFDWRUV 0RVW RI WKH DYDLODEOH UHVHDUFK KDSSHQV WR EH
VNHZHGWRZDUGVWKHLQGLUHFWLPSDFWRISROLWLFDOLQVWDELOLW\ZLWKDQHFRQRPLFIRFXVWKDQWKRVH
ZLWKDKXPDQRUVRFLDORQH$YHU\VSHFLILFDQGUHFHQWFRQWULEXWLRQLQWKLVIRFXVDUHDLVE\
&KDPDUEDUJZDOD 0RUDQ 7KH\ RSLQH WKDW *XDWHPDODV \HDU ORQJ FLYLO ZDU
DGYHUVHO\ DIIHFWHG WKH QDWXUH GLVWULEXWLRQ DQG TXDOLW\ RI KXPDQFDSLWDO
DFFXPXODWLRQZLWKLQWKHFRXQWU\
%ODWWPDQDOVRUHSRUWLQJRQ8JDQGDLQKLVVWXG\VD\VWKDWWKHLPSDFWRIDEGXFWLRQRQ
KXPDQFDSLWDO DFFXPXODWLRQ ZDV UDPLI\LQJ UHVXOWLQJ LQ D UHGXFWLRQ LQ WKH \HDUV RI
HGXFDWLRQDWWDLQPHQWIRUWKH\RXWKV+HIXUWKHUUHSRUWVWKDWWKLVDGYHUVLW\LVIXUWKHUH[WHQGHG
XQWR WKH VRFLDO IDEULF E\ VRFLDOL]LQJ WKH SDUWLFLSDQWV LQWR YLROHQW EHKDYLRXU H[SUHVVHG LQ
IXUWKHU DEXVLYH ODQJXDJH DQG ILJKWLQJ 7KLV LQGLFDWHV WKDW WKH KXPDQFDSLWDO GDPDJLQJ
SROLWLFDOLQVWDELOLW\GRHVKDYHDSHUVLVWHQWLPSDFWRQVRFLHW\OLNHPRVWRIWKHRWKHUDXWKRUVLQ
WKHOLWHUDWXUHVXJJHVW
$QRWKHU PRUH VXJJHVWLYH UHVHDUFK LV WKDW SXW IRUZDUG E\ 6KHP\DNLQD LQ ZKLFK VKH
DVVHVVHVWKHLPSDFWRIFLYLOFRQIOLFWRQVFKRROLQJLQWKH7DMLNLVNDQWHUULWRU\ IRUPHUO\ RIWKH
6RYLHW 8QLRQ 6KH ILQGV WKDW FLYLO FRQIOLFW GLG KDYH D QHJDWLYH LPSDFW RQ WKH VFKRRO
HQUROPHQWVRIFKLOGUHQLQWKHFRXQWU\EXWPRUHVRZDVWKHLPSDFWUHODWLYHWRJLUOVWKDQLWZDV
WRER\V6KHFRQGXFWVWKLVUHVHDUFKXVLQJDXQLTXHPHDVXUHRIFRQIOLFWGDPDJHWRKRXVHKROG
GZHOOLQJRYHUDQ\HDUSHULRGIURPWR+HUSDSHULQFRUSRUDWHVWRDQLPSUHVVLYH
H[WHQW WKH VRFLDO DQG KXPDQ FRPSRQHQWV ZKLFK HVVHQWLDOO\ FKDUDFWHULVH SROLWLFDO LQVWDELOLW\
DQGKXPDQFDSLWDODFFXPXODWLRQ
7KHOLWHUDWXUHRQSROLWLFDOLQVWDELOLW\KXPDQFDSLWDODFFXPXODWLRQDQGJURZWKLVTXLWHQDVFHQW
DQG D IDVW JURZLQJ UHVHDUFK DUHD EXW WKLV GRHV QRW VXJJHVW DQ HTXLYRFDWLRQ RI LWV UHOHYDQFH
W

DQGWKHFRQFOXVLRQVWKHUHLQ3DSHUVGLVFXVVLQJWKHUDWLRQDOHRISROLWLFDOLQVWDELOLW\VLPSDFWRQ
WKH HFRQRP\ HLWKHU GLUHFWO\ RU YLD SK\VLFDOFDSLWDO DFFXPXODWLRQ KDYH EHHQ DURXQG PXFK
ORQJHUDQGVWLOOFRQWLQXHWREHSUROLIHUDWHGZLWKLQWKHGLVFRXUVH
$QRWKHU FRQVLGHUDEO\ UHVHDUFKHG DUHD LQ WKH SROLWLFDO HFRQRP\ DQG PDLQVWUHDP HFRQRPLF
GLVFRXUVH LQYROYHV WKH PRUH VXEWOH SROLWLFDO LQVWDELOLW\ SUR[\ RI GHPRFUDF\ 7KHVH VWXGLHV
GZHOO FRQVLGHUDEO\ RQ WKLV WRSLF SUREDEO\ EHFDXVH RI WKH HDVH RI PHDVXUHPHQW DQG GDWD
DYDLODELOLW\ SURYLGHG E\ WKH 3ROLW\ ,9 SURMHFW 0DUVKDO HW DO DQG WKH :RUOG %DQN
'3,%HFNHWDOGDWDVHWV2QHVWXG\=XUHLTDWXVHVDODFNRIGHPRFUDF\DVDQ
LQGLFDWLYH PHDVXUH RI SROLWLFDO LQVWDELOLW\ DQG GRHV ILQG D VLJQLILFDQW UHODWLRQVKLS EHWZHHQ
VXFK D SROLWLFDO LQVWDELOLW\ SUR[\ DQG JURZWK <RX RIWHQ FRPH DFURVV VXFK ILQGLQJV
VXJJHVWLQJWKDWGHPRFUDWLFHFRQRPLHVDUHPRUHSROLWLFDOO\VWDEOHDQGFDQKDQGOHFULVHVPXFK
EHWWHU WKDQ DXWRFUDWLF RQHV $V D UHVXOW WKH FRQWHQW RI WKHLU UHVHDUFK GZHOO RQ WKH W\SH RI
SROLWLFDOLQVWLWXWLRQDQGQRWRQSROLWLFDOLQVWDELOLW\SHUVH2QHYHU\LQWHUHVWLQJSDSHULQWKLV
FDWHJRU\ LV WKH ZRUN E\ 'RXFRXOLDJRV 8OXEDVRJOX ZKHUH WKH\ FRQILUP EDVHG RQ
VHYHUDOUREXVWHFRQRPHWULFFRQFOXVLRQVDQLQGLUHFWSRVLWLYHHIIHFWRISROLWLFDOGHPRFUDF\RQ
JURZWK WKURXJK KXPDQFDSLWDO SROLWLFDO LQVWDELOLW\ DQG RWKHU HFRQRPLF SKHQRPHQD 7KLV
FODLPLVDOVRFRQILUPHGO\LPSOLHGLQWKHZRUN)HQJLQDPRGHOVHWZLWKKXPDQFDSLWDO
LQYHVWPHQW DV D GHSHQGHQW YDULDEOH ,Q WKLV UHJDUG WKH DUJXPHQW SXW E\ $FHPRJOX HW DO
ZLWKUHVSHFWWRGHPRFUDF\DQG JURZWKFDQQRWEHLJQRUHG 7KH\ DUJXHWKDWWKH
SXUSRUWHG UHODWLRQVKLS EHWZHHQ ERWK YDULDEOHV PD\ EH WKH UHIOHFWLRQ RI DQ RPLWWHG YDULDEOH
SUREDEO\ D KLVWRULFDO IDFWRU FRUUHODWHG ZLWK WLPH DIIHFWLQJ WKHP UDWKHU WKDQ D FDXVDO
UHODWLRQVKLSSHUVHXVLQJDV\VWHPUREXVWRIUHJUHVVLRQWHFKQLTXHVZKLFKDFFRXQWIRUFRXQWU\
IL[HG HIIHFWV DQG VLPXOWDQHLW\ ELDV WKH\ FRQILUP WKHLU VXVSLFLRQ RQ SUHYLRXV HPSLULFDO
HYLGHQFHUHJDUGLQJSROLWLFDODQGHFRQRPLFGHYHORSPHQWVWXGLHV

W/W/
W

7KHUHDGHUZRXOGQRWLFHWKDWWKLVUHYLHZKDVWRXFKHGRQO\LQSDVVLQJWKLVGHPRFUDF\JURZWK
GLDORJXHEHFDXVH LW LVEH\RQG WKH IRFXV RI WKLV FRQWHQW DQG WKHSDUW RI LWKLJKOLJKWHG LV WKDW
ZKLFK ZRXOG EH UHIOHFWHG ODWHU LQ WKH PRGHO KHUH DOWKRXJK LW LV DVVXPHG DZD\ HYHQWXDOO\
7KHPHDVXUHRIGHPRFUDF\DVXVHGLQWKLVZRUNVHUYHVDVDSROLWLFDOV\VWHPFRQWUROYDULDEOH
DQGQRWDYDULDEOHLQLWVHOI
7KHSUREOHPUHYDOLGDWHG
7KH PDLQ LVVXH LQ WKLV VWXG\ LV WKDW WKHVH JURZWK IXQGDPHQWDOV DV KLJKOLJKWHG DERYH DUH
LPSRUWDQW$VDUHVXOWDVWDEOHHQYLURQPHQWZLWKDQHIIHFWLYHFRQVLVWHQWSROLF\EXLOGLQJDQG
LPSOHPHQWDWLRQ VWUXFWXUH LV HVVHQWLDO DQG TXLWH IDYRXUDEOH IRU GHYHORSPHQW HVSHFLDOO\ LQ
GHYHORSLQJ FRXQWULHV KHQFH WKH UROH RI SROLF\ PDNHUV DQG WKH VWDWH FDQQRW EH RYHU
HPSKDVL]HG 81&7$' /LQ &KDQJ /LNH 6ROLPDQR ULJKWO\ SXWV LW
(FRQRPLFJURZWKDQGWKHGHYHORSPHQWSURFHVVGRQRWHYROYHLQDSROLWLFDODQGLQVWLWXWLRQDO
YDFXXPSJ&KLQDVJURZWKH[SHULHQFHIURPLVDQH[DPSOHRIZKDWDQDWPRVSKHUH
RI FRQVLVWHQF\ DQG VWDELOLW\ LQ SROLF\ EXLOGLQJ DQG LPSOHPHQWDWLRQ FDQ GR IRU D QDWLRQ
UHJDUGOHVV RI WKH W\SH RI SROLWLFDO V\VWHP RU VWUXFWXUH %UDQGW 5DZVNL ,W LV WKLV
DVSHFW UHJDUGLQJ WKH UROHV DQG HIIHFWV ZKLFK W\SLFDO LQVWLWXWLRQDO FRQGLWLRQV KDYH RQ WKH
HFRQRPLF SHUIRUPDQFH DQG GHYHORSPHQW LQ $IULFD WKDW WKLV SDSHU LV PRVW LQWHUHVWHG LQ
(DVWHUO\ /HYLQHSRLQWRXWWKDW6XE6DKDUDQ$IULFDVODJJLQJJURZWKH[SHULHQFHLV
WRDODUJHH[WHQWWKHUHVXOWRIZHDNLQVWLWXWLRQVHYLGHQWLQSRRUHGXFDWLRQSROLWLFDOLQVWDELOLW\
DQG IDLOLQJ ILQDQFLDO V\VWHPV DPRQJ RWKHUV 7KHVH 6XE6DKDUDQ $IULFDQ FRXQWULHV H[KLELW
FKDUDFWHULVWLFV DQG SDWWHUQV WKDW HSLWRPL]H IDLOHG VWDWHV 1GXOX HW DO S
,QVWLWXWLRQVDUHLQGHHGYHU\LPSRUWDQWDQGHYHQPRUHLPSRUWDQWLVWKHSROLWLFDOLQVWLWXWLRQDQG
LWV FOLPDWH 'DKO DV UHIHUHQFHG LQ $LGW (WHURYLF 7KLV LV EHFDXVH LW LV D
PDMRU GHWHUPLQDQW RI JRYHUQDQFH TXDOLW\ IRUPLQJ WKHEHGURFN RQ ZKLFK WKH HQWLUH QDWLRQDO
V\VWHP UXQV WKURXJK SURSHU SROLFLHV DQG WKHLU VXVWDLQHG LPSOHPHQWDWLRQ DOVR E\ SURYLGLQJ
W

ODZ RUGHU DQG VHFXULW\ IRU FLWL]HQV DQG HQVXULQJWKDW EXVLQHVV DV XVXDO LV PDLQWDLQHG $V
FOLFKp D UROH DV WKLV PD\ VHHP LW LV JUDQGHXU YHU\ HVVHQWLDO DQG PD\ VRPHWLPHV SURYH
KHUFXOHDQ WR DFKLHYH $QG ZLWKRXW ZKLFK DOPRVW QR DPRXQW RI FDSLWDO DFFXPXODWLRQ
WHFKQRORJLFDOSURJUHVVRUTXLFNFRQYHUJHQFHPD\EHHQRXJKWRHQVXUHVXVWDLQHGJURZWKIRU
DQ\QDWLRQVWDWH
7R UHFDS WKH VWXGLHV RQ SROLWLFDO LQVWLWXWLRQV DQG HFRQRPLF JURZWK KDYH EHHQ IUDXJKW ZLWK
FRQWURYHUVLHVUHJDUGLQJPHDQLQJVDQGGHILQLWLRQVPHDVXUHPHQWVFDXVDOLW\VWXG\RULHQWDWLRQ
DQGDSSURDFK7KHFRQFOXVLRQVDQGVXJJHVWLRQVUHJDUGLQJUHVXOWVLQWKHOLWHUDWXUHKDYHEHHQ
UHSHDWHGO\LQIOXHQFHGE\WKHVHWKHPHVDQGDVDUHVXOWWKH\KDYHEHHQTXLWHLQFRQFOXVLYH7KLV
ODFN RI FRQFOXVLYHQHVV GRHV QRW GHWHU WKLV ZRUN DV D PDWWHU RI IDFW WKLV VSXUV LW WR XVH D
FRPELQDWLRQRIDSSURDFKHVDWWHPSWLQJUREXVWHFRQRPHWULFWHFKQLTXHVLQRUGHUWRDWZRUVWVWLU
IXUWKHULQWHUHVWLQWKHDUHD
W

(03,5,&$/$1'0(7+2'2/2*,&$/$3352$&+
6HFWLRQ WKUHH FRQWDLQV LQIRUPDWLRQ RQ WKH PRGHO DGRSWHG IRU WKLV VWXG\ LWV VRXUFH WKH
H[SHFWHG UHVXOWV IRU WKH FRHIILFLHQWV WKH VHOHFWHG YDULDEOHV WKHLU VRXUFHV H[SODQDWLRQV DQG
YDOLGDWLRQRIXVH
0HWKRGRORJ\
6LQFH WKH IUDPHZRUN GLVFXVVHG KHUHLQ GHSLFWV LQVWLWXWLRQV DV IXQGDPHQWDOV FKDUDFWHULVLQJ D
EHKLQGWKHVFHQHV LQIOXHQFH RQ WKH HFRQRP\ WKH PDSSLQJ PRGHO DGRSWHG LV HIIHFWLYH DQG
HYHQ PRUH VR E\ EHLQJ SDUVLPRQLRXV LOOXVWUDWLYH DQG VWUXFWXUDOO\ LQWXLWLYH $V D UHVXOW
SROLWLFDO LQVWDELOLW\ EHLQJ D PDQLIHVWDWLRQ RI WKH SROLWLFDO LQVWLWXWLRQ FRXOG ULJKWO\ EH
UHSUHVHQWHG DV D IXQFWLRQ RI WKH FRHIILFLHQWV RI WKH SUR[LPDWH 6RORZJURZWK GHWHUPLQDQWV
SRSXODWLRQ SK\VLFDOFDSLWDO DQG KXPDQFDSLWDO DQG WHFKQRORJLFDO SURJUHVV 7KH DGRSWHG
PRGHOLVWKXVDQH[WHQGHGPRGHORIWKDWDGRSWHGE\)RVX7KLVPRGHOLVH[WHQGHGWR
LQFOXGH KXPDQFDSLWDO DFFXPXODWLRQ DV D GHWHUPLQDQW RI HFRQRPLF SHUIRUPDQFH DQG WKH
MXVWLILFDWLRQIRUVXFKDQH[WHQVLRQKDVDOUHDG\EHHQGLVFXVVHGLQWKHILUVWVHFWLRQRIWKLVVWXG\
,QDVLPLODUORJLFSROLWLFDOLQVWDELOLW\LVPRGHOOHGDVDIXQFWLRQRIWKHXQGHUO\LQJUHODWLRQVKLS
EHWZHHQ HFRQRPLF JURZWK DQG LWV EDVLF GHWHUPLQDQWV DV VSHOOHG RXW E\ WKH UHVSHFWLYH
FRHIILFLHQWV7KHPRGHOLVWKXVVSHFLILHGEHORZ

W

0RGHOVSHFLILFDWLRQ
)ROORZLQJ)RVXDQGDVVXPLQJWKHFODVVLFDOSURGXFWLRQIXQFWLRQ

ZKHUHWKHYDULDEOHVDUHGHILQHGLQWKHVWDQGDUGIRUPDVXVHGLQJURZWKVWXGLHV4LVRXWSXW
. SK\VLFDOFDSLWDO + KXPDQFDSLWDO $ WHFKQRORJLFDO OHYHO DQG / ODERXU $VVXPLQJ
/DERXU JURZVDWWKHVDPHUDWHDVWKHSRSXODWLRQJURZWKUDWHQ05:VSHFLILHG
DV

7DNLQJORJVDQGILUVWGLIIHUHQFLQJZHREWDLQWKHPRGHOLQLWVJURZWKIRUPEHORZ

/HW DQG
UHSUHVHQWLQJWKHFRQVWDQWRUDWHUPFRQWDLQLQJVRPHLQIRUPDWLRQRQ
FRXQWU\VSHFLILFHIIHFWVDQGDVWRFKDVWLFWHUPZLWKDZKLWHQRLVHSURSHUW\

$OO YDULDEOHV DV H[SUHVVHG LQ HTXDWLRQ DERYH DUH LQ WKHLU ORZHU FDVHV UHSUHVHQWLQJ WKHLU
UHVSHFWLYHJURZWKUDWHV7KLVVSHFLILFDWLRQDVJLYHQDERYHLOOXVWUDWHVWKDWWKHFRHIILFLHQWVDUH
QRW FRQVWDQW ZKHQ YDULDWLRQV LQ SROLWLFDO LQVWDELOLW\ DUH XQDFFRXQWHG IRU 7KLV LPSOLHV WKDW
ZRUNLQJZLWKVXFKDVSHFLILFDWLRQZRXOG\LHOGUHVXOWVWKDWDUHPLVUHSUHVHQWHGDQGELDV+HQFH
W

UHVSHFLI\LQJ WKH WLPHYDULDQW FRHIILFLHQWV LV LPPLQHQW DQG WKLV LV GRQH EHORZ LQ RUGHU WR
DFFRXQWIRUSUHYDLOLQJSROLWLFDOLQVWDELOLW\FRQGLWLRQVLQWKHHFRQRPLHV
/HW
6XEVWLWXWLQJ WKHVH VHW RI SDUDPHWULF UHVWULFWLRQV LQWR HTXDWLRQ ZH REWDLQ D SURGXFWLRQ
IXQFWLRQGXO\DXJPHQWHGIRUSROLWLFDOLQVWDELOLW\DVGHILQHGEHORZ7KLVUHVWULFWLRQDVGHILQHG
DERYH SRUWUD\V WKH FODLP WKDW ERWK GLUHFW DQG LQGLUHFW LPSDFWV RI SROLWLFDO LQVWDELOLW\ RQ
JURZWKDUHLQVWLWXWLRQDORUXQGHUO\LQJLQQDWXUHDVWKURXJKWKHFRHIILFLHQWVRIWKHPRGHODQG
QRWGLUHFWO\SHUVH

$VDUHVXOWRXUQHZHTXDWLRQKDVDQHZFRQVWDQWHTXDOWR ZKLFKUHSUHVHQWVDFURVVERDUG
LQWHUFHSWIRUWKH2/6YHUVLRQRIWKHHTXDWLRQLQDRUFRXQWU\VSHFLILFKHWHURJHQHRXVHIIHFW
IRUWKHIL[HGHIIHFWV)(YHUVLRQLQE(TXDWLRQFLVWKH*00YHUVLRQRIWKHHTXDWLRQDQG
LWKDVEHHQVSHFLILHGWR VXSSUHVVWKHKHWHURJHQHRXVFRPSRQHQWIROORZLQJ6HHWDQDK 5RMLG

D

E

F
ZKHUH LVDPHDVXUHRISROLWLFDOLQVWDELOLW\DQGWKHUHPDLQLQJYDULDEOHVUHPDLQDVGHILQHG
DERYH LQ WKHLU JURZWK UDWHV 7KH HTXDWLRQ GLUHFWO\ EHORZ LV WKH VDPH LW MXVW KDV VXEVFULSWV
W

LGHQWLI\LQJWKHSDQHOIRUL 1SDQHOLQGLYLGXDOLGHQWLILHU DQGW 7WLPH
SHULRG
7KLV ZRUN PRGHOV HTXDWLRQV D E DQG F XVLQJ WKUHH HVWLPDWLRQ WHFKQLTXHV 2/6
)(DQG6\VWHP*00UHVSHFWLYHO\7KH*00IRUPHTXDWLRQDRIWKLVHTXDWLRQLVWKH
VDPH DV WKRVH VSHFLILHG DERYH LW EXW WKH FRQVWDQW LV VXSSUHVVHG 7KLV LV GRQH WKLV ZD\ WR
HQDEOHWKLVDQDO\VLVZKLFKLVFDUULHGRXWLQWKHJURZWKUDWHRIWKHYDULDEOHVDQGQRWWKHLUOHYHOV
WREHFRQVLVWHQWZLWKWKHVSHFLILFDWLRQVRIWKHV\VWHP*00WUDQVIRUPDWLRQ,QSDUWLFXODUWKH
*00 WHFKQLTXH DGRSWHG LV D FRPELQHG DSSURDFK NQRZQ DV WKH $UHOODQR%RYHU
%OXQGHO%RQGHVWLPDWRUDVFLWHGE\5RRGPDQ7KH2/6YHUVLRQRIWKH
PRGHOLVVLPSO\DVWDFNHGIRUPRIWKHVDPHPRGHOHTXDWLRQDDVDUHVXOWWKHVXEVFULSW
LGLVDSSHDUVVLQFHWKHSURFHVVDVVXPHVWKHGDWDVHWWREHDKRPRJHQRXVVHWRIREVHUYDWLRQV
7KH)(YHUVLRQLVDVGLVSOD\HGLQWKHEYHUVLRQRIHTXDWLRQZKLFKPRGHOVWKHUHODWLRQVKLS
ZLWKUHVSHFWWRWKHLQGLYLGXDOFRXQWU\HIIHFWVRULQGLYLGXDOKHWHURJHQHLW\
,QRUGHUQRWWRWRWDOO\LJQRUHWKHSUREOHPRIYDULDEOHHQGRJHQHLW\H[LVWLQJEHWZHHQSROLWLFDO
LQVWDELOLW\DQGJURZWKUHJDUGOHVVRIWKHLOOXVWUDWLYHQDWXUHRIWKLVH[HUFLVHZHXVHWKHV\VWHP
*00SURFHGXUH7KLVSURFHGXUHPLWLJDWHVWKLVSUREOHPRIVLPXOWDQHLW\ELDVE\LWVHIILFLHQW
XVHRILQVWUXPHQWVDQGHQGRJHQRXVYDULDEOHVSHFLILFDWLRQV7KHLOOXVWUDWLYHH[HUFLVHHPEDUNHG
XSRQ KHUH FRPSDUHV UHVXOWV DFURVV WKH PHWKRGV GLVFXVVHG DERYH DQG DOVR DFURVV GLIIHUHQW
SROLWLFDOLQVWDELOLW\PHDVXUHVDQGFRQWUROYDULDEOHV7KLVSURYLGHVVRPHGHJUHHRIUREXVWQHVV
FKHFNWRWKHUHVXOWLQJFRQFOXVLRQIURPILQGLQJVUHIOHFWLQJOHVVUHVWULFWLYHDSSOLFDWLYHSRWHQWLDO
7KH ZRUN KRZHYHU GRHV QRW H[SORUH DQG UHYLHZ WKH LQGLYLGXDO HFRQRPHWULF PHWKRGV DQG
SURFHGXUHVDGRSWHGKHUHLQ)RUVXFKDQH[SRVLWLRQDQGSDUWLFXODUO\RQWKHSURFHGXUHRIWKH

K>^K>^
&&
'DD'DD
^Z
&
W

V\VWHP*00LWVVWUHQJWKVZHDNQHVVHVDQGUHOHYDQFHLQWKHJURZWKOLWHUDWXUHSOHDVHUHIHUWR
+RHIIOHU 5RRGPDQ 'LQJ .QLJKW 6RWR 6HHWDQDK 5RMLG
1NXUXQ]L]D %DWHV $V D UHVXOW RI WKH ZLGHO\ KDLOHG MRLQW UHODWLRQVKLS
EHWZHHQSROLWLFDO LQVWDELOLW\ DQG JURZWK PDNLQJ DPRGHO H[RJHQRXVO\ VSHFLILHG LQSROLWLFDO
LQVWDELOLW\ ZURQJO\ HVWLPDWHV WKH FRHIILFLHQWV RU IXOO LPSDFW RISROLWLFDO LQVWDELOLW\ 7KLV LV
PRVWHYLGHQWLDOO\WKHDGYDQWDJHRIDQHQGRJHQRXVO\VSHFLILHGPRGHOVLQFHLWDFFRXQWVIRUWKH
YLFLRXV FLUFOH EHWZHHQ ERWK SKHQRPHQD $OHVLQD HW DO /LNH DOUHDG\ KLJKOLJKWHG
DERYH WKLV VWXG\ FRPSOHPHQWDULO\ XVHV WKH V\VWHP *00 DSSURDFK E\ $UHOODQR%RYHU
%OXQGHO%RQG ZKLFK XVHV YDULDEOHV ZLWKLQ WKH PRGHO DV OHYHO DQG GLIIHUHQFH
HTXDWLRQLQVWUXPHQWDOYDULDEOHV$QGEHFDXVHRIWKHHYLGHQFHRIVRPHGHJUHHRISHUVLVWHQFH
FKDUDFWHULVLQJWKHHFRQRPLFJURZWKGHSHQGHQWYDULDEOHZHDGRSWWKH[WGSGV\VIXQFWLRQRQ
WKH67$7$PRGHOOLQJVRIWZDUH7KHV\VWHP*00LVSDUWLFXODUO\EHQHILFLDOWRWKLVVWXG\
DV LW LV WKH PRVW VXLWHG *00 SURFHGXUH JLYHQ WKH VPDOO 1 WKDW LV WKH QXPEHU RI FURVV
VHFWLRQVRUSDQHOSURSHUW\RIWKHVDPSOHRIFRXQWULHVXVHGKHUH6RWR6RWR
VD\V WKDW PRGHOV ZLWK UHODWLYHO\ VPDOO 1V PD\ OLPLW WKH XVH RI WKH IXOO VHW RI LQVWUXPHQWV
DYDLODEOHLQFUHDVLQJWKHSRWHQWLDOIRUOHVVHIILFLHQWHVWLPDWLRQ
7KHVDPSOHVL]HLVDSDQHORI1 FRXQWULHVIURPWKH6XE6DKDUDQUHJLRQDVXEVHWRIWKH
RULJLQDOFRXQWULHVIURP)RVX7KHVDPSOHLVUHGXFHGIURPWKHRULJLQDOFRXQWULHV
EDVHGRQWKHFRXQWU\VHULHVDYDLODEOHLQWKH%DUUR /HHHGXFDWLRQVWDWLVWLFVGDWDVHW
7KH WLPH SHULRG FRQVLGHUHG KHUH LV D \HDU SHULRG IURP 7KLV SHULRG KDV DQ
DGYDQWDJH FRPSDUHG WR SUHYLRXV VWXGLHV RQ WKH 6XE6DKDUDQ $IULFDQ UHJLRQ EHFDXVH LW LV

dZ
/'<>>DDD
DEZ^^>^dh
W&
d
W

UHODWLYHO\ORQJHUDQGLQYHVWLJDWHVDSHULRGZKHUHPRVWRIWKHFRXQWULHVZLWKLQWKHUHJLRQKDG
JDLQHG LQGHSHQGHQFH DQG E\ HYHU\ VWDQGDUG RXJKW WR KDYH JDLQHG VRPH VWDELOLW\ LQ WKHLU
SROLWLFDOV\VWHPLFVWUXFWXUHV
7KHVWXG\XVHVDSDQHOUHJUHVVLRQDSSURDFKEHFDXVHRIWKHLPSHGLPHQWVSRLQWHGRXWE\%DUUR
DV UHIHUHQFHG LQ )HQJ RQ XVLQJ D WLPH VHULHV PHWKRG ZKLFK LV GHSHQGHQW RQ
DQQXDO IUHTXHQF\ REVHUYDWLRQV ,Q KLV ZRUN %DUUR S KH IXUWKHU HPSKDVLVHV WKH
DGYDQWDJH RI PRGHOOLQJ RYHU ORQJHU WLPH LQWHUYDOV VLQFH WKH WKHRU\ LQ TXHVWLRQ PD\ QRW EH
VXLWDEO\ VSHFLILHG DW UHODWLYHO\ KLJKHU IUHTXHQFLHV DV FKDUDFWHUL]HG E\ EXVLQHVV F\FOHV VHH
DOVR$LGW (WHURYLF7KLVLVSDUWLFXODUO\ZK\ZHXVH\HDUQRQUHSHWLWLYHDYHUDJLQJ
SURFHGXUHZKLFKIROORZVWKHVHTXHQFHLQWKHRUGHU
UHVXOWLQJ LQ D 7 VL]H WLPH VL]H DV GHILQHG ZLWKLQ WKH SDQHO VSHFLILFDWLRQ RI
$OWKRXJK0F+HQU\ DVUHIHUHQFHGLQ)HQJSRLQWVRXWWKDWSROLWLFDOLQVWLWXWLRQ
YDULDEOHVDUHTXLWHVHQVLWLYHWRDQGOHQGWREHWWHUUHVXOWVZKHQWKHYDULDEOHVDUHDYHUDJHGRYHU
ORQJHUWLPHLQWHUYDOVDVUHIHUHQFHGLQ)HQJ7KLVFODLPLVZLGHO\VXSSRUWHGZLWKLQWKH
OLWHUDWXUHVHHDOVR7UHLVPDQDQGKDVEHHQUHIHUUHGWRZLWKLQWKLVFRQWHQWDOUHDG\WKDW
SROLWLFDO LQVWDELOLW\ PDQLIHVWDWLRQV DUH LQGHHGSHUVLVWHQW DQG KDYH WKHLU HIIHFWV WDNLQJ ORQJHU
WLPHSHULRGVWRGLVVLSDWH$OWKRXJKWLPHVHULHVKDVLWVDGYDQWDJHVRYHUWLPHUDQJHDYHUDJLQJ
LQG\QDPLFVKRUWHUWHUPDQDO\VLVIRUORQJHUWHUPDQDO\VLVOLNHWKHRQHHPEDUNHGXSRQKHUH
WKH DYHUDJLQJ OHQGV D EHWWHU DSSURDFK )HQJ F HVSHFLDOO\ DV LW KDV PRUH
REVHUYDWLRQVDQGEHWWHUGHJUHHRIZLWKLQVDPSOHYDULDELOLW\FRPSDUHGWRUHJXODUFURVVVHFWLRQ
PRGHOV 'LQJ .QLJKW DOVR SRLQW RXW WKH DGGHG DGYDQWDJH RI XVLQJ WKLV
DYHUDJLQJ SURFHGXUH VLQFH LW SXUJHV WKH VHULHV RI WKH EXVLQHVV F\FOH HIIHFW 7KH ZRUN
DOWHUQDWHVDVDGRSWHGWKHVSHFLILFDWLRQRIHQGRJHQRXVYDULDEOHVEHWZHHQDFRPELQDWLRQRIWKH
W

5+6 YDULDEOHV SRSXODWLRQ JURZWK Q SK\VLFDOFDSLWDO DFFXPXODWLRQ N KXPDQFDSLWDO
DFFXPXODWLRQSROLWLFDOLQVWDELOLW\70,6376DQG'XUDELOLW\DQGGHPRFUDF\LQRUGHUWR
REWDLQ WKHEHVW VXLWHG PRGHO %XW ZKHUH D PRGHO LQFOXGHV D PHDVXUH RISROLWLFDO LQVWDELOLW\
ZH FRQWURO DW OHDVW IRU WKDW SROLWLFDO LQVWDELOLW\ PHDVXUH DV DQ HQGRJHQRXV YDULDEOH LQ WKH
HTXDWLRQDQGGHSULRULWLVHWKHHQGRJHQHLW\RIWKHRWKHU/+6YDULDEOHVLQLWVUHODWLRQ
'DWDGHVFULSWLRQDQGWKHLUVRXUFHV
,QWKLVVHFWLRQZHJLYHDQDFFRXQWRIWKHGDWDXVHGWKHLUVRXUFHVDQGDEULHIMXVWLILFDWLRQRU
UDWLRQDO IRU VHOHFWLQJ WKHP 7KH VHFWLRQ LV VXEGLYLGHG LQWR WZR RQH VXEVHFWLRQ WUHDWV WKH
SROLWLFDO LQVWDELOLW\ YDULDEOHV DQG WKH VHFRQG VXEVHFWLRQ WUHDWV WKH FRQWUROHFRQRPLF
YDULDEOHV
3ROLWLFDOLQVWDELOLW\YDULDEOHV
7KH FKRLFH RI SROLWLFDO LQVWDELOLW\ YDULDEOHV DQG GDWD XVHG ZLWKLQ WKLV ZRUN DUH WR D ODUJH
H[WHQW OLPLWHG E\ WLPH GDWDEDVH DYDLODELOLW\ DQG WKH GLIILFXOW\ LQ PHDVXULQJ TXDOLWDWLYH
YDULDEOHV VXFK DV SROLWLFDO LQVWDELOLW\ $V D UHVXOW WKLV ZRUN IRFXVHV RQ VSHFLILF DVSHFWV DQG
PDQLIHVWDWLRQV RI SROLWLFDO LQVWDELOLW\ ZKLFK REVHUYDEO\ FKDUDFWHULVHV WKH FRXQWU\ VDPSOH
EHLQJDQDO\VHG7KHVHDVSHFWVLQFOXGHHOLWHSROLWLFDOLQVWDELOLW\LQYROYLQJWKUHDWVWRRUDFWXDO
IRUFHIXOUHSODFHPHQWRIJRYHUQPHQWRIILFLDOVE\WKHPLOLWDU\DPHDVXUHRIUHJLPHVWDELOLW\RU
GXUDELOLW\UHJDUGOHVVRIWKHUHJLPHW\SHDPHDVXUHRISROLWLFDOYLROHQFHDQGWHUURULVPDQGD
PHDVXUHRIWKHGHJUHHRIGHPRFUDWL]DWLRQ
)RXUYDULDEOHVDUHSURSRVHGDQGXVHGWRFDSWXUHWKHUHVSHFWLYHDVSHFWVRISROLWLFDOLQVWDELOLW\
DOUHDG\ OLVWHG DERYH WKHVH YDULDEOHV DUH LQ WXUQ XVHG WR DWWHPSW PHDVXULQJ WKH LPSDFW RI
SROLWLFDOLQVWDELOLW\RQJURZWK7KLVIRXUYDULDEOHDSSURDFKDOORZVWKHVWXG\VRPHGHJUHHRI
VFRSHZLGHHQRXJKWRIDFWRULQWKHPXOWLGLPHQVLRQDOLW\FKDUDFWHUL]HGE\WKHPDQLIHVWDWLRQRI

Z,^Z,^
W
W

SROLWLFDO LQVWDELOLW\ LQ FRXQWULHV DQG HFRQRPLHV -RQJ$3LQ ,W DOVR OHQGV VRPH
UREXVWQHVVWRWKHZRUNDVILQGLQJVDUHQRWGLUHFWO\DUHIOHFWLRQRIRQHPHDVXUHRUGLPHQVLRQ
$ 7KHILUVWYDULDEOHLVDQHOLWHH[HFXWLYHSROLWLFDOLQVWDELOLW\PHDVXUHZKLFKDGRSWVWKH
0F*RZDQ -RKQVRQ ZHLJKWLQJ V\VWHP IRU FDOFXODWLQJ D WRWDO PLOLWDU\ LQYROYHPHQW
VFRUH70,67KLVVFRUHLVREWDLQHGE\DJJUHJDWLQJVXFFHVVIXODWWHPSWHGDQGUHSRUWHGFRXS
GpWDWV IRU HDFK FRXQWU\ DQDO\VHG XVLQJ ZHLJKWV RI DQG UHVSHFWLYHO\ IRU HDFK FRXS
W\SHSJ7KHVHZHLJKWVDUHKHOSIXOLQPDNLQJFURVVFRXQWU\FRPSDULVRQVEHFDXVHWKH\
KHOSSURYLGHDPHDVXUHRIPDJQLWXGHIRUHDFKFRXSW\SHZKLFKORJLFDOO\RXJKWWREHGLIIHUHQW
LQ WHUPV RI VHYHULW\ UHJDUGLQJ SROLWLFDO LQVWDELOLW\V HFRQRPLF LPSDFW $OO FRXS W\SHV DUH
REWDLQHGIURPWKH&HQWHUIRU6\VWHPLF3HDFH&63FRXSVGDWDVHWFRYHULQJWKHSHULRGIURP
WR0DUVKDOO 0DUVKDOO7KHIUHTXHQF\RIHDFKFRXSW\SHLVREWDLQHGIURP
WKH VXFFHVV YDULDEOH LQ WKH GDWDVHW ,W LV FRGHGZLWK D IRU VXFFHVVIXO FRXS D IRU DQ
DWWHPSWHG IDLOHG FRXS DQG D DQG IRU SORWWHG DQG DOOHJHG FRXSV UHVSHFWLYHO\ ,Q
REWDLQLQJRXUPHDVXUHIRU70,6VXFFHVVIXODQGDWWHPSWHGFRXSVDUHSDLUHGVLPLODUO\DVWKRVH
LQWKH&63FRXSGDWDVHWUHFHLYLQJVFRUHVRIDQGUHVSHFWLYHO\7KHVFRUHRIKRZHYHU
LVDVVLJQHGWRWKHIUHTXHQF\RIERWKSORWWHGDQGDOOHJHGFRXSVDVJLYHQLQWKH&63FRXS
GDWDVHW
% 7KHVHFRQGSROLWLFDOLQVWDELOLW\PHDVXUHLVRQHZKLFKFDSWXUHVWKHLPSDFWRISROLWLFDO
YLROHQFH DQG WHUURULVP 7KLV LV D YDULDEOH 376 REWDLQHG IURP WKH 3ROLWLFDO 7HUURU 6FDOH
GDWDVHWFXPXODWHGRYHUWKHSHULRGIURPWR*LEQH\HWDO7RPLQLPLVHWKH
SUREOHP RI PLVVLQJ REVHUYDWLRQ ZH XVH WKH 376 VFRUHV DV JLYHQ E\ WKH 86$ 6WDWH
'HSDUWPHQW 7KHVH VFRUHV KDYH WKH VDPH VFRULQJ V\VWHP DV WKRVH SURYLGHG E\ $PQHVW\

W:W
W/

h^h^
W

,QWHUQDWLRQDODQGWKHLUYDOXHVGRQRWGHYLDWHVLJQLILFDQWO\IURPHDFKRWKHU2QHDGYDQWDJHRI
GRLQJWKLVLVWKDWWKHVFRUHVSURYLGHGE\WKH6WDWHGHSDUWPHQWKDYHIHZHUPLVVLQJREVHUYDWLRQ
7KHPLVVLQJREVHUYDWLRQSUREOHPLVIXUWKHUPLWLJDWHGWKURXJKWKHILYH\HDUQRQRYHUODSSLQJ
DYHUDJLQJWHFKQLTXHDGRSWHGVLQFHWKHDYHUDJHRIDYDLODEOHREVHUYDWLRQVDUHLQWHUSRODWHGIRU
WKHHQWLUH\HDUSHULRG7KLVVKRXOGQRWSRVHWKDWPXFKDSUREOHPDVWKHREVHUYDWLRQVRIWKH
VFRUHV KDYH D PLQLPDO ZLWKLQYDULDWLRQ RYHU H[WHQGHG \HDU WLPH UDQJHV $OVR WKLV VDPH
LQWXLWLRQ LV DGRSWHG IRU H[WHQGLQJ WKH UHOHYDQFH RI WKH GDWDVHW WR LQFOXGH WKLV ZRUNV
VWDUWGDWHZKLFKLVD\HDUHDUOLHUWKDQWKHGDWDVHWVFRYHUDJH
7KLVYDULDEOHKDVSUHYLRXVO\EHHQXVHGPDLQO\LQVWXGLHVLQYROYLQJPHDVXUHVRIFLYLOOLEHUW\
DQGKXPDQULJKWVYLRODWLRQIHZKDYHDOVRXVHGWKLVLQGH[DVDPHDVXUHRIVWDWHIUDJLOLW\DQG
SROLWLFDO VWDELOLW\ ,Q WKLV ZRUN ZH XVH WKLV PHDVXUH LQ LWV ORJOLQHDUL]HG IRUP 7KLV
WUDQVIRUPDWLRQ LV KHOSIXO DQDO\WLFDOO\ EHFDXVH JLYHQ WKH PLQLPXP VFRUH RI ZKLFK
FKDUDFWHULVHVDVWDWHZLWKPLQLPDOYLROHQWSROLWLFDODFWLYLWLHVVHFXUHO\RSHUDWLRQDOUXOHRIODZ
DQG UHODWLYHO\ ORZ FLYLO ULJKWV YLRODWLRQV LW JHWV D YDOXH RI DIWHU ORJOLQHDUL]HG 7KLV
LPSOLHVDVWDWHZLWKUHODWLYHSROLWLFDOVWDELOLW\RURQHZLWKOLWWOHHYLGHQFHRIVWDWHIUDJLOLW\WKXV
FKDUDFWHULVLQJDVWDWHOHVVOLNHO\WRIDLORUEHXQVWDEOH7KHKLJKHVWVFRUHLVDLQWKH376
GDWDVHW LW GHVFULEHV D VWDWH ZLWK D KLJK ULVN RI IDLOXUH RQH WKDW SROLWLFDO WHUURULVP LV DW WKH
SHDNDQGOHDGHUVDFWZLWKRXWUHJDUGIRUWKRURXJKQHVVRIWKHUXOHRIODZ/RJOLQHDUL]DWLRQRI
WKHVFRUHVDOVRKDYHWKHDGGHGDGYDQWDJHRIV\QFLQJLWEHWWHUZLWKWKHFRQWUROYDULDEOHVVLQFH
WKH\ DUH HLWKHU LQ WKHLU ORJV OHYHOV RU ORJGLIIHUHQFHG JURZWK UDWH 2QH OLPLWDWLRQ RI WKLV
VFRUHLVWKDWLWPHDVXUHVYLROHQFHE\VWDWHDFWRUVDQGQRWWKRVHE\QRQVWDWHDFWRUV)HDURQ
S
& 7KHWKLUGSROLWLFDOLQVWDELOLW\PHDVXUHDGRSWHGLVRQHWKDWPHDVXUHVUHJLPHGXUDELOLW\
7KLV YDULDEOH PHDVXUHV WKH QXPEHU RI \HDUV IROORZLQJ WKH ODVW VLJQLILFDQW FKDQJH LQ D
UHJLPHDXWKRULW\ W\SH ,W LV REWDLQHG IURP WKH SY GDWDVHW RI WKH 3ROLW\ ,9 3URMHFWV
W

DYDLODEOH IURP WKH &HQWUH IRU 6\VWHPLF 3HDFH ZHEVLWH ZKLFK SURYLGHV GDWD IRU DVVHVVLQJ
SROLWLFDOUHJLPHFKDUDFWHULVWLFVDQGWUDQVLWLRQRYHUWKHWLPHSHULRG0DUVKDOOHW
DO 7KLV PHDVXUH LV XVHIXO DV LW FDQ SURYLGH VRPH XVHIXO LQIRUPDWLRQ RQ UHJLPH
SHUVLVWHQFH ORQJHYLW\ RU WROHUDQFH ZLWKRXW QHFHVVDULO\ LQFOLQLQJ WR DQ\ ELDVHV UHJDUGLQJ WKH
W\SHRIUHJLPHRUSROLWLFDOV\VWHP$OWKRXJKWKHPHDVXUHFDQHDVLO\EHPLVXQGHUVWRRGLIQRW
GHILQHGZLWKUHVSHFWWRDWKUHVKROGRUOLPLWUHJDUGLQJZKDWFDQEHWHUPHGDGHVLUDEOHUHJLPH
OHQJWK:HUHVROYHWKHSRVVLELOLW\RIVXFKDFRQWHQWLRQE\FRQVLGHULQJWKHPHDVXUHLQDEVROXWH
WHUPV7KHDUJXPHQWEHLQJUHJDUGOHVVRIDQ\GHVLUHGWKUHVKROGDUHJLPHWKHORQJHULWSHUVLVWV
WKH PRUH OLNHO\ LW LV WR VWLU GLVFRQWHQW DQG EH XQVWDEOH DV WKH UXOHGPDVVHV DQG RSSRVLQJ
SROLWLFDOH[HFXWLYHVVHHNZD\VWRRXVWVXFKDUHJLPH,WWKXVSURYLGHVDFUXGHEXWVHHPLQJO\
HIIHFWLYHPHDVXUHRISROLWLFDOLQVWDELOLW\
' 7KH IRXUWK SROLWLFDO LQVWDELOLW\ LV D PHDVXUH RI WKH GHJUHH RI GHPRFUDWL]DWLRQ 7KLV
YDULDEOHLVDOVRREWDLQHGIURPWKHSROLW\YDULDEOHRQWKHSYGDWDVHWZLWKYDOXHVUDQJLQJ
IURPWR WKH PRUHQHJDWLYHWKHREVHUYDWLRQWKHPRUHDXWRFUDWLFRUGLFWDWRULDOLWLV
DQG WKH UHYHUVH LPSOLHV LW PRUH GHPRFUDWLF DQG UHSUHVHQWDWLYH RI WKH UXOHG 0DUVKDOO HW DO
$ODUJHIROORZLQJRIZRUNVLQWKHOLWHUDWXUHDJUHHWKDWWKHGHJUHHRIGHPRFUDWL]DWLRQLV
DVVRFLDWHG ZLWK HYHQWXDO SROLWLFDO VWDELOLW\ DQG WKDW DW OHDVW LW LQGLUHFWO\ LPSDFWV JURZWK
WKURXJK VWDELOLW\ RU HGXFDWLRQ 2QH UHDVRQ PD\ EH DV )HQJ SRLQWV RXW GHPRFUDF\
SURYLGHV D IUDPHZRUN IRU JRYHUQPHQW VWDELOLW\ WKURXJK DQ DJUHHDEOH V\VWHP RI UHJXODU
JRYHUQPHQW FKDQJH WKURXJK HOHFWLRQV IRU LQVWDQFH S $OWKRXJK WKH UHOHYDQFH RI
GHPRFUDWL]DWLRQ GLPLQLVKHV ZLWK H[DPSOHV VXFK DV WKRVH RI WKH HFRQRPLFDOO\ WKULYLQJ
DXWKRULWDULDQ(DVW$VLDQHFRQRPLHVOLNH&KLQDFRXQWULHVRIWKH6XE6DKDUDQUHJLRQFRQWLQXH
WRIDFHWKHGHYDVWDWLQJEORZRISRRUO\PDQDJHGIUDJLOHSROLWLFDOV\VWHPV5RGULFN

K
W

$GGLWLRQDOO\ WKH SHUYDVLYHQHVV RI GHPRFUDWL]DWLRQ KDV EHHQ JDLQLQJ GRPLQDQFH LQ WKH
ZRUOGV SROLWLFDO DWPRVSKHUH ZLWK PRUH FRXQWULHV QRZ PRUH GHPRFUDWLF WKDQ HYHU 7KH
LPSRUWDQFH RI WKLV YDULDEOH LQ RXU DQDO\VLV VHUYHV D GXDO SXUSRVH 2QH LW DFWV DV D TXDVL
PHDVXUHRISROLWLFDOVWDELOLW\HYHQDVWKHWLPHIUDPHFRQVLGHUHGIRUWKHVWXG\LVZHOOVXLWHGWR
D SHULRG RI DW OHDVW WHQ \HDUV RI LQGHSHQGHQFH IURP WKH FRXQWU\ VDPSOH VWXGLHG =XUHLTDW
DFWXDOO\XVHVWKLVPHDVXUHDVDQDFWXDOPHDVXUHRISROLWLFDOLQVWDELOLW\VRZHLQFOXGLQJ
LW LQ RXU ZRUN FDQ SURYLGH VRPH LQVLJKWIXO LQIRUPDWLRQ $QG JLYHQ WKDW RI WKH WZR PDLQ
UHJLPH W\SHV FKDUDFWHULVLQJ WKHVH FRXQWULHV GHPRFUDF\ KDV W\SLILHG WKH PRVW VWDEOH DV
RSSRVHGWRLWVPLOLWDU\FRXQWHUSDUW7ZRWKLVPHDVXUHDOVRVHUYHVDVSROLWLFDOHQYLURQPHQWRU
LQVWLWXWLRQDO FRQWURO YDULDEOH ZKLFK LV FRQVLVWHQW ZLWK RSLQLRQV VXJJHVWLQJ WKDW LW PD\ EH
UHIOHFWLYHRIWKHIXQFWLRQLQJRILQVWLWXWLRQVDQGWKHUHE\WKHDVSLUDWLRQVRISHRSOH&KDXYHW
S &RQWUROOLQJ IRU WKH GHJUHH RI GHPRFUDWL]DWLRQ FDQ DOVR VKHG PRUH OLJKW RQ WKH
XQUHVROYHG DUJXPHQWV ZLWKLQ WKH OLWHUDWXUH VXJJHVWLQJ WKDW WKH JURZWK HIIHFWV RI SROLWLFDO
LQVWDELOLW\DUHVHQVLWLYHWRWKHGHJUHHRIGHPRFUDWL]DWLRQDQGWKHOHYHORILQLWLDOZHDOWKRIWKH
FRXQWU\ %XWNLHZLF] <DQLNNDQJD %\ WKLV WKH UHDGHU ZRXOG EH DEOH WR DVVHVV WKH
UREXVWQHVV RI SROLWLFDO LQVWDELOLW\V LPSDFW RQ JURZWK DQG WKURXJK KXPDQFDSLWDO DIWHU
FRQWUROOLQJIRUWKHSUHVHQFHRIGHPRFUDF\RULWVDEVHQFHIURPWKHPRGHO
(FRQRPLFFRQWUROYDULDEOHV
7KH HFRQRPLF YDULDEOHV DGRSWHG IRU WKLV VWXG\ LQFOXGH UHDO *'3 JURVV GRPHVWLF SURGXFW
SHU FDSLWD LQYHVWPHQW DV D VKDUH RI *'3 SRSXODWLRQ DQG VHFRQGDU\ VFKRRO HQUROPHQW
SHUFHQWDJH RI SRSXODWLRQ DJHG \HDUV DQG DERYH $OO WKHVH YDULDEOHV H[FHSW WKH VFKRRO
HQUROPHQW YDULDEOH DUH REWDLQHG IURP WKH 3HQQ :RUOG 7DEOH GDWDVHW 3:7 YHUVLRQ
+HVWRQ HW DO 7KH\ DUH DOO LQ WKHLU FRQVWDQWSULFH YHUVLRQV DV FRQWDLQHG LQ WKH
GDWDEDVH 7KH VHFRQGDU\ VFKRRO HQUROPHQW ILJXUHV DUH REWDLQHG IURP WKH %DUUR/HH
HGXFDWLRQDO DWWDLQPHQW GDWDVHW %DUUR /HH LV XVHG DV D SUR[\ IRU KXPDQFDSLWDO
W

LQYHVWPHQW 7KH DGGLWLRQDO YDULDEOH LQ H[FHVV RI )RVXV PRGHO LV KXPDQFDSLWDO
DFFXPXODWLRQ 7KH KXPDQFDSLWDO YDULDEOH LV QHHGHG WR HYDOXDWH WKH LQGLUHFW LPSDFW RI
SROLWLFDOLQVWDELOLW\RQJURZWK
&RQWUROYDULDEOHVDUHYHU\LPSRUWDQWLQJURZWKVWXGLHVEHFDXVHWKH\KHOSXVH[WUDFWWKHXQLTXH
FRQWULEXWLRQ RI D YDULDEOH RU SKHQRPHQRQ RI LQWHUHVW ZLWKRXW PLVVSHFLI\LQJ \RXU PRGHO WR
LQFOXGH RQO\ WKH YDULDEOH \RX DUH LQWHUHVWHG LQ 6SHFLI\LQJ WKH PRGHO WR LQFOXGH RQO\ \RXU
YDULDEOHRILQWHUHVWE\GHIDXOWSUHVXPHVWKDWWKHUHDUHQRRWKHULPSRUWDQWGHWHUPLQDQWVRIWKH
GHSHQGHQWYDULDEOHKHQFHJLYLQJWKHUHVLGXDOWHUPUHOHYDQFHEH\RQGWKDWRIDZKLWHQRLVH

dK

W

'(6&5,37,9(67$7,67,&62)63(&,),&9$5,$%/(67+(,5
3$77(516
7KLVVHFWLRQJLYHVDEULHIH[SRVHRQWKHYDULDEOHVDGRSWHGIRUWKHVWXG\HVSHFLDOO\LQUHODWLRQ
WRWKHFRXQWULHVDVVHVVHG7KLVLVQHFHVVDU\DVWKHUHLVQRFRXQWU\UHJLRQDODQDO\VLV,WJLYHV
WKH UHDGHU DQ RSSRUWXQLW\ WR JHW VRPH KHOSIXO LQVLJKW LQWR WKH GLVWULEXWLRQ RI WKH YDULDEOHV
DFURVV WKH VDPSOHG SDQHO 7KH VHFWLRQ DOVR SURYLGHV H[SODQDWLRQV DQG UDWLRQDOHV IRU WKH
H[LVWHQFHRISDUWLFXODUVWDWLVWLFDOUHODWLRQVKLSVDQGREVHUYHGSDWWHUQVDPRQJWKHYDULDEOHV
7DEOH&RUUHODWLRQPDWUL[IRUYDULDEOHVDVDGRSWHGIRUWKHVWXG\
\QNK'(02&70,6OQ376'85$OQ+ODJBOQ+OQ<ODJB<70,6BK

\
Q
N
K
'(02&
70,6
OQ376
'85$
OQ+
ODJBOQ+
OQ<
ODJB<
70,6BK
'85$BK
OQ376BK
'85$BKOQ376BK

'85$BK
OQ376BK
\ *'3 SHU FDSLWD JURZWK Q SRSXODWLRQ JURZWK N SK\VLFDOLQYHVWPHQW JURZWK K
KXPDQLQYHVWPHQW JURZWK '(02& GHJUHH RI GHPRFUDWL]DWLRQ 70,6 WRWDO PLOLWDU\
LQYROYHPHQW VFRUH OQ376 QDWXUDOORJ RI WKH SROLWLFDO WHUURU VFRUH 376 SROLWLFDO WHUURU
VFRUH'85$ UHJLPHGXUDELOLW\OQ+ QDWXUDOORJRIWKHOHYHORIKXPDQLQYHVWPHQWODJBOQ+
WKH ILUVW ODJ RI WKH OQ+ OQ< QDWXUDOORJ RI *'3 SHU FDSLWD ODJB< ILUVW ODJ RI OQB<
70,6BK 70,6 K'85$BK '85$ KOQ376BK OQ376 K
W

7DEOHDERYHEHORZSURYLGHLQIRUPDWLRQRQWKHFRUUHODWLRQEHWZHHQWKHHFRQRPLFYDULDEOHV
RIWKHVDPSOHGFRXQWULHVVWXGLHGLQWKLVZRUN6SHFLILFUHODWLRQVKLSVDUHH[SDWLDWHGXSRQLQ
RUGHU WR JLYH WKH UHDGHU DQ LQWURGXFWRU\ XQGHUVWDQGLQJ RI VRPH VDOLHQW EDFNJURXQG
UHODWLRQVKLSVDPRQJWKHYDULDEOHVXVHG
7KH OLQHDU UHODWLRQVKLSV DPRQJ NH\ YDULDEOHV ZH ILQG WKDW WKHSROLWLFDO LQVWLWXWLRQ YDULDEOHV
VHHP WR KDYH WKH H[SHFWHG SRVLWLYH VLJQ IRU GHPRFUDF\ DQG QHJDWLYH VLJQV IRU WKH SROLWLFDO
LQVWDELOLW\ PHDVXUHV DOO LQ UHODWLRQ WR RXWSXW SHU FDSLWD 7KHVH UHODWLRQVKLSV ZRXOG EH
JUDSKLFDOO\ LOOXVWUDWHG IXUWKHU RYHU D ORQJHU WKDW LV DYHUDJHG WKH HQWLUH \HDUSHULRG DV D
FURVVVHFWLRQEHORZWRJLYHWKHUHDGHUDSLFWXUHVTXHYLHZRIWKHXQGHUSLQQLQJV
7KH ILUVW FLUFXPVSHFW UHODWLRQVKLS FRQVLGHUHG LV EHWZHHQ *'3 SHU FDSLWD DQG SRSXODWLRQ
JURZWK 1DWXUDOO\ RQH ZRXOG H[SHFW WKDW VLQFH WKH EDVLF 6RORZ PRGHO SUHGLFWV WKLV
UHODWLRQVKLSLVQHJDWLYHWKHFRUUHODWLRQFRHIILFLHQWVKRXOGEHVRUHIOHFWHG7KHUHDUHDQXPEHU
RIUHDVRQVZK\WKLVPD\EHVR)LUVWO\ZKLFKFDQEHVWDWLVWLFDOLVWKDWWKHFRUUHODWLRQPD\EH
DQLQGLFDWLRQRIERWKYDULDEOHVFRUUHODWLQJLQGLYLGXDOO\ZLWKWLPHDQGQRWQHFHVVDU\ZLWKRQH
DQRWKHU 6HFRQGO\ DQG TXLWH WKHRUHWLF LW FRXOG EH DQ LQGLFDWLRQ IRU WKH VXSSRUW RI WKH
0DOWKXVLDQ WKHRU\ ZKLFKSURSRVHV DSRVLWLYH FRUUHODWLRQEHWZHHQ LQFRPHSHU FDSLWD JURZWK
DQG SRSXODWLRQ JURZWK 0DOWKXV 4XLWH LPSOLHG WKDW LV IROORZLQJ WKH 0DOWKXVLDQ
SURSRVLWLRQLVWKHFRQFHSWWKDWWKHVHFRXQWULHVPD\QRWKDYH \HWUHDFKHGWKHLUGHPRJUDSKLF
WUDQVLWLRQV%KXWDQL *RHO%KXWDQL *RHOLOOXVWUDWHWKDWWKH6XE6DKDUDQ
$IULFDQ UHJLRQ LV VWLOO SODJXHG ZLWK UHODWLYHO\ KLJKHU ELUWK DQG GHDWK UDWHV WKDQ DQ\ RWKHU
UHJLRQLQWKHZRUOG)LQDOO\WKLVPD\DOVREHDSUHHYLGHQWLDOVXSSRUWIRUWKH5RPHUPRGHO
ZKLFK SUHGLFWV D SRVLWLYH DQG GLUHFW ORQJ UHODWLRQVKLS EHWZHHQ SRSXODWLRQ JURZWK DQG

W

HFRQRPLF JURZWK WKURXJK WKH JHQHUDWLRQ RI LGHDV IRVWHUHG E\ WKH UHVXOWLQJ LQFUHDVH LQ
UHVHDUFKHUVLQWKHHFRQRP\5RPHU
7KH VHFRQG UHODWLRQVKLS LV EHWZHHQ WKH GHJUHH RI GHPRFUDWL]DWLRQ DQG UHJLPH GXUDELOLW\
DOWKRXJK QRW VR VWDWLVWLFDOO\ VWURQJ DW GRHV OHQG VRPH LQWXLWLYH LQIRUPDWLRQ RU
DFDGHPLF H[SODQDWLRQV 2QH FDQ UHDGLO\ REVHUYH IURP WKLV UHODWLRQVKLS WKDW WKH UHJXODU RU
VWHDG\ JRYHUQPHQW FKDQJHV SURPRWHG E\ LQFUHDVLQJ H[SRVXUH WR GHPRFUDWLF SURFHVVHV
DFWXDOO\GRHVPRYHZLWKUHGXFWLRQVLQWKHSRVVLELOLW\RIOHQJWK\SROLWLFDOUHJLPHV ,PSO\LQJ
WKDW UHJXODULW\ LQ SURFHGXUDO FKDQJHV LQ UHJLPHV PD\ IRVWHU FRQILGHQFH LQ WKH UXOHGPDVVHV
DQG DV D UHVXOW WKH\ PLJKW DYRLG UHVRUWLQJ WR YLROHQFH ZKHQ LQFXPEHQW UHJLPHV DUH QRW
PHHWLQJWKHLUH[SHFWDWLRQV7KLVLVEHFDXVHWKLVYLROHQFHSURPSWHGE\GLVVDWLVIDFWLRQFDQEH
GHOD\HG DQG H[HUFLVHG E\ WKH PDVVHV DW WKH IROORZLQJ HOHFWLRQV RU FRQVWLWXWLRQDOO\ HQDFWHG
VHOHFWLRQSURFHVV$OVRDQGTXLWHLQGLFDWLYHO\ZHVHHWKDWWKHPHDVXUHRIGHPRFUDF\LVDOVR
QHJDWLYHO\ FRUUHODWHG ZLWK WKH RWKHU PHDVXUHV RI SROLWLFDO LQVWDELOLW\ DQG IRU
70,6 DQG OQ376 UHVSHFWLYHO\ 7KLV GDWD LQYHVWLJDWLRQ VXSSRUWV WKH FODLP RI )HQJ
ZKHUH KH VXJJHVWV WKDW DOWKRXJK WKHUH PLJKW EH QR VWDWLVWLFDO FODLP RI GHPRFUDF\ DIIHFWLQJ
JURZWKWKHUHPLJKWEHDQLQGLUHFWRQHWKURXJKWKHUHGXFWLRQRISROLWLFDOLQVWDELOLW\S

$QRWKHUUHODWLRQVKLSRIFRQFHUQLVWKDWEHWZHHQWKHJURZWKRIKXPDQFDSLWDOLQYHVWPHQWDQG
LWVSK\VLFDOFDSLWDOFRXQWHUSDUW7KH\VHHPWREHFRUUHODWHGQHJDWLYHO\LPSO\LQJWKDW
DV KXPDQFDSLWDO DFFXPXODWLRQ JURZV SK\VLFDOFDSLWDO DFFXPXODWLRQ GHFOLQHV 7KLV LV QRW
LQWXLWLYHO\ LPSUDFWLFDO QRW VD\LQJ WKDW LW VKRXOGEH EXW LW FDQ EH H[SHFWHG 7KLV LV EHFDXVH
LPSURYHPHQWV LQ KXPDQFDSLWDO PDNH ODERXU PRUH HIIHFWLYH DQG DV VXFK LQFUHDVH ODERXU
SURGXFWLYLW\ JLYHQ DQ XQFKDQJHGSK\VLFDOFDSLWDO VWRFN DV D UHVXOW UHTXLULQJ OHVV JURZWK LQ
SK\VLFDOFDSLWDODFFXPXODWLRQLQRUGHUWRDFKLHYHGHVLUHGLQFRPHJURZWKUDWHV7KLVUDWLRQDO
LV VXSSRUWHG E\ DQG IRUP WKH EHGURFN RI WKH WHFKQRORJ\DXJPHQWHG 6RORZ PRGHO DQG WKH
W

HQGRJHQL]HG JURZWK PRGHOV RI 5RPHU DQG /XFDV 7KHVH YDULDWLRQV RI WKH
JURZWK PRGHOV SRVWXODWH WKDW JURZWK FDQ EH VXVWDLQHG LQ SHUSHWXLW\ E\ LPSURYLQJ WKH
HIIHFWLYHQHVV RI ODERXU DQG QRW PHUHO\ E\ LQFUHDVLQJ LQYHVWPHQW LQ SK\VLFDOFDSLWDO RU E\
UHGXFLQJSRSXODWLRQJURZWK
)LJXUH*URZWKYHUVXV0LOLWDU\LQYROYHPHQW
5HODWLRQVKLSEHWZHHQ*'3SHUFDSLWDJURZWKDQG70,6

*'3SHUFDSLWDJURZWKJ

\ [

5

7RWDOPLOLWDU\LQYROYHPHQWVFRUH
VRXUFH0DUVKDOO 0DUVKDOO

W

)LJXUH*URZWKYHUVXV3ROLWLFDOWHUURULVP
5HODWLRQVKLSEHWZHHQ*'3SHUFDSLWDJURZWKDQGOQ376

\ [

5
VRXUFH+HVWRQHWDO

*'3SHUFDSLWDJURZWK

OQ376VRXUFH*LEQH\HWDO

)LJXUH*URZWKYHUVXV5HJLPHGXUDWLRQ
5HODWLRQVKLSEHWZHHQ*'3SHUFDSLWDJURZWKDQG'XUDELOLW\

VRXUFH+HVWRQHWDO

*'3SHUFDSLWDJURZWK
\ [
5

'XUDELOLW\ DYHUDJHGVRXUFH0DUVKDOOHWDO

W

)URPWKHILJXUHVDERYHILJXUHVWKURXJKWRILJXUHZHVHHWKDWDOOWKHPHDVXUHVRISROLWLFDO
LQVWDELOLW\ DGRSWHG LQ WKLV VWXG\ DUH QHJDWLYHO\ DVVRFLDWHG ZLWK JURZWK 7KLV LV ZLWK GDWD
DYHUDJHG RYHU WKH HQWLUH \HDU SHULRG DQG JUDSKHG LQ FURVVVHFWLRQ IRU WKH FRXQWULHV
3ROLWLFDOWHUURULVPVHHPVWREHWKHPRVWQHJDWLYHO\DVVRFLDWHGZLWKJURZWKZLWKDQ5RI
DQGWKHOHDVWLVUHJLPHGXUDELOLW\ZLWKDQ5RI7KLVLVPHUHO\DVWDWLVWLFDOFRUUHODWLRQ
EHWZHHQERWKFODVVHVRIYDULDEOHVDQGDPRUHFRPSUHKHQVLYHUHJUHVVLRQDQDO\VLVLVFRQGXFWHG
LQYROYLQJWKHVHYDULDEOHVLQWKHHPSLULFDOVHFWLRQLQDODWHUFKDSWHUEHORZ
7DEOH6XPPDU\6WDWLVWLFVRIQRQLQWHUDFWHGYDULDEOHV
9DUL DEO H 0HD Q 6WG ' HY 0LQ 0D[ 2EVH UYD WLR QV

\ R YHUD OO 1
E HWZH HQ Q
Z LWKL Q 7

Q R YHUD OO 1
E HWZH HQ Q
Z LWKL Q 7

N R YHUD OO 1
E HWZH HQ Q
Z LWKL Q 7

K R YHUD OO 1
E HWZH HQ Q
Z LWKL Q 7

'(02 & R YHUD OO 1
E HWZH HQ Q
Z LWKL Q 7

70,6 R YHUD OO 1
E HWZH HQ Q
Z LWKL Q 7

OQ37 6 R YHUD OO 1
E HWZH HQ Q
Z LWKL Q 7

376 R YHUD OO 1
E HWZH HQ Q
Z LWKL Q 7

'85$ R YHUD OO 1
E HWZH HQ Q
Z LWKL Q 7

\ *'3 SHU FDSLWD JURZWK Q SRSXODWLRQ JURZWK N SK\VLFDOLQYHVWPHQW JURZWK K

KXPDQLQYHVWPHQW JURZWK '(02& GHJUHH RI GHPRFUDWL]DWLRQ 70,6 WRWDO PLOLWDU\
LQYROYHPHQW VFRUH OQ376 QDWXUDO ORJ RI WKH SROLWLFDO WHUURU VFRUH 376 SROLWLFDO WHUURU
VFRUH'85$ UHJLPHGXUDELOLW\
W

7KH VXPPDU\ VWDWLVWLFV DERYH JLYHV XV DQ RYHUYLHZ RI WKH YDULDEOHV RYHU WKH FRXUVH RI WKH
HQWLUHWLPHSHULRG\HDUV
(FRQRPLFJURZWK\IRUWKHFRXQWULHVVDPSOHGRYHUWKH\HDUVVWDQGVDWDQDYHUDJHRI
3K\VLFDOFDSLWDO DFFXPXODWLRQ VWDQGV DW ZKLFK LV ZD\ EHORZ LWV KXPDQFDSLWDO
FRXQWHUSDUWDW3RSXODWLRQJURZWKVWDQGVDW7KHGHJUHHRIGHPRFUDWL]DWLRQRQWKH
DYHUDJH LQGLFDWHV WKDW WKH VDPSOH ZDV QRW GHPRFUDWLF RYHU WKH SHULRG DW DYHUDJH RI
VLQFHDSRVLWLYHVFRUHLVUHTXLUHGWRLQGLFDWHGHPRFUDF\%XWWKLVYDOXHDOVRVXJJHVWVWKDWWKH
DYHUDJH GHJUHH RI DXWRFUDF\ ZDV QRW WRR KLJK HLWKHU VLQFH WKH VFRUH UDQJHV IURP WR
GHPRFUDWLFDQGWRDXWRFUDWLF5HJLPHVDSSHDUWREHTXLWHOHQJWK\RQWKHDYHUDJHDW
DFURVVVHFWLRQDOVWDFNHGDYHUDJHRIWKLVLVDQDYHUDJHMXVWRYHURIILFHWHUPVLQWKH
8QLWHG6WDWHVRI$PHULFDZKLFKQRUPDOO\VSDQV\HDUVHDFK70,6ZLWKDVWDFNHGDYHUDJH
RI LQGLFDWHV WKDW FRXSV ZHUH QRW VR GLUH RYHU WKH SHULRG DFURVV VHFWLRQ 7KLV LV LQIHUUHG
IURPWKHZHLJKWJLYHQWRWKHW\SHVRIFRXSVSOHDVHUHIHUWRWKHYDULDEOHGHILQLWLRQVHFWLRQLQ
VHFWLRQ DERYH DQ DYHUDJH RI LPSOLHV WKDW WKH VDPSOH RYHU WKH SHULRG H[SHULHQFHG DQ
DYHUDJHFRXSLPSDFWRIDQDWWHPSWHGFRXSW\SH$QDYHUDJHOQ376RIRUDYHUDJH376RI
ZKLFKLVDSSUR[LPDWHO\DRQWKH376VFDOHLPSO\LQJQRWVRGLUHDSROLWLFDOWHUURUVFRUH
RYHUWKHHQWLUHSHULRGDQGDFURVVWKHVDPSOH
,W PXVW EH QRWHG WKDW WKHVH DUH DYHUDJHV DQG WKH\ FDQ EH TXLWH PLVOHDGLQJ VLQFH DYHUDJLQJ
RYHU ORQJ SHULRGV FDXVH LQIRUPDWLRQ ORVV ZKLFK FRXOG KDYH RWKHUZLVH EHHQ UHOHYDQW WR DQ
DQDO\VLV7KLVLVQRWDSUREOHPKHUHDVDWWKLVSRLQWWKHLQWHUHVWLVRQO\WRUHSRUWWKHVXPPDU\
VWDWLVWLFVDQGQRWQHFHVVDULO\PDNHDQ\GHGXFWLYHLQIHUHQFHV

W

)LJXUH 6WDFNHG DYHUDJH *'3 SHU FDSLWD JURZWK DFURVV WKH 6XE6DKDUD $IULFDQ
FRXQWULHV6RXUFH+HVWRQHWDO
'W

'W >'W

$ORRNDWWKHJUDSKVLQ)LJXUHDERYHUHYHDOVWZRVLJQLILFDQWRXWOLHUSRLQWVIRUWKH*'3SHU
FDSLWDVWDFNHG JURZWKVHULHV %RWKSRLQWVDUHLQ /LEHULDRYHUWKHDQG
DYHUDJHGSHULRGV7KH\VKRZWKDWRYHUWKH\HDUSHULRGDQDO\VHGIRUWKHFRXQWULHVLQWKH
6XE6DKDUD $IULFDQ UHJLRQ /LEHULD H[SHULHQFHG H[WUHPH SRVLWLRQV LQ WHUPV RI WKHLU JURZWK
UHODWLYHWRWKHUHJLRQ7KHILVWSRLQWZLWKDZKRSSLQJGURSLQ*'3SHUFDSLWD
JURZWK UDWH IURP WKHSUHYLRXVSHULRG RFFXUUHG DW WKHSHDN RI WKH \HDU /LEHULDQ FLYLO ZDU
ZKLFKODVWHGIURPDQGOHIWWKHFRXQWU\ZLWKGHYDVWDWLQJOHYHOVDQGTXDOLW\RIERWK
KXPDQDQGSK\VLFDOFDSLWDOHYHQ\HDUVDIWHU*OREDO6HFXULW\RUJ7KLVSHULRGZDVRQH
ZKLFKWRRNWKHHFRQRP\UHDOO\EDFNLQWHUPVRIGHYHORSPHQWDFKLHYHPHQWJLYHQWKDWWKLVLV
RQHRIWKHROGHVWUHSXEOLFVLQWKHFRQWLQHQW%%&QHZV$IULFD-XQH:HVHHDTXLFN
UHFRYHU\IROORZLQJLQWKHQH[WSHULRGZKLFKFDQWKHRUHWLFDOO\ VXSSRUWHGE\WKH
H[SHFWDWLRQV RI WKH FRQYHUJHQFH WKHRU\ RI WKH 6RORZ PRGHO 7KDW LV JURZWK IURP D ORZHU
W

OHYHO RI FDSLWDO VWRFN FDQ EH UHODWLYHO\ IDVW DQG PD\ HQKDQFH WKH FDWFKLQJ XS SURFHVV RI
EDFNZDUGFRXQWULHV
$OORWKHUREVHUYDWLRQVVHHPWREHZLWKLQWKHVLPLODUUDQJHRIYDOXHVDVVKRZQLQWKHVWDFNHG
JUDSK7KLVJUDSKKDVEHHQXVHGWRLGHQWLI\RXWO\LQJREVHUYDWLRQVZLWKLQWKHVDPSOHLQRUGHU
WRSRLQWRXWDQGDWWHPSWH[SODLQLQJDQ\HYLGHQFHRIDQH[WUHPHRFFXUUHQFHZLWKLQWKHUHJLRQ
7KHUHLVKRZHYHUQRDWWHPSWPDGHWRZDUGVFRUUHFWLQJIRUWKHVHRXWOLHUVVWDWLVWLFDOO\
W

6800$5<2)(03,5,&$/5(68/76$1'),1',1*6
,Q WKLV VHFWLRQ WKH UHVXOWV IURP WKH PRGHOV VSHFLILHG LQ 6HFWLRQ DERYH DUH VXPPDUL]HG
DFFRUGLQJO\7KHVHFWLRQLVGLYLGHGLQWRWKUHHFRPSULVLQJWKHWKUHHPDLQSROLWLFDOLQVWDELOLW\
PHDVXUHV GLVFXVVHG LQ WKH YDULDEOH GHILQLWLRQ VHFWLRQ DERYH 7KH\ LQFOXGH WRWDO PLOLWDU\
LQYROYHPHQWVFRUH70,6UHJLPHGXUDELOLW\'85$DQGSROLWLFDOWHUURUVFDOHOQ376
1RW DOO UHVXOWV DUH UHSRUWHG RQO\ WKRVH ZLWK VDWLVIDFWRU\ LPSOLFDWLRQV IRU WKLV ZRUN DUH
IHDWXUHGDQGGLVFXVVHG7KLVLVDOVRZK\DOORWKHULQGLUHFWLQWHUDFWHGUHODWLRQVKLSVFRHIILFLHQWV
DVUHSUHVHQWHGLQWKHPRGHOKDYHEHHQDVVXPHGWREH]HUR7KLVPD\ORRNDUELWUDU\EXWLWLV
VWDWLVWLFDOO\ MXVWLILHG RQ WKH JURXQGV WKDW WKH LQWHUDFWHG YDULDEOHV DSSHDU WR KDYH KLJK
FRUUHODWLRQ ZLWK HDFK RWKHU DQG KHQFH DUH H[SODLQLQJ DERXW WKH VDPH LQIRUPDWLRQ RQ WKH
YDULDWLRQVLQHFRQRPLFJURZWK6RGURSSLQJWKHPGRHVQRWIDOWHUWKHDQDO\VLVVLJQLILFDQWO\,Q
DGGLWLRQWKLVHQDEOHVWKHZRUNIRFXVRQWKHUHODWLRQVKLSVPRVWHVVHQWLDOKHUHLQDVVSHOOHGRXW
LQ WKH REMHFWLYHV LQ WKH ILUVW VHFWLRQ DERYH 7KXV WKH PRGHO LV JLYHQ DQ DGGHG DGYDQWDJH RI
SDUVLPRQ\HOLPLQDWLQJWKHSRVVLELOLW\RIDGHJUHHVRIIUHHGRPSUREOHPIRUWKHHVWLPDWRUV

W

02'(/$%$6(02'(/HQGRJHQRXV 02'(/%%DVLFPRGHOGHILQHGWRLQFOXGH
QNK '(02&SUHGHWHUPLQHG'(02&
HQGRJHQRXVQNK
9$5,$%/(6 2/6 )( 6<6*00 2/6 )( 6<6*00
/T

&2167

Q

N

K

3,

3, K

'(02&

$GM5

:LWKLQ5

)VWDWV
SURE

+DXVPDQ
SURE

6DUJDQ
SURE
$5SURE!]

36 LPSOLHV VLJQLILFDQFH LV VLJQLILFDQFH DQG LV VLJQLILFDQFH
3UREDELOLW\YDOXHVDUHLQSDUHQWKHVLVIRUFRHIILFLHQWVLQSDUHQWKHVLVVKRZLQJVLJQLILFDQFHRI
WHVWVWDWLVWLFV6SHFLILFDWLRQVRQULJKWKDQGVLGHYDULDEOHVDVVSHFLILHGIRUWKHV\VWHP*00
DVGHILQHGDWWKHKHDGRIWKHWDEOHDERYH
7KHUHVXOWVIRUWKHEDVLFPRGHODERYHLQGLFDWHWKDWSRSXODWLRQJURZWKQDQGSK\VLFDOFDSLWDO
DFFXPXODWLRQ N DUH VLJQLILFDQW GHWHUPLQDQWV RI JURZWK LQ WKH 6XE6DKDUD $IULFDQ UHJLRQ
7KHRQO\WLPHSK\VLFDOFDSLWDODFFXPXODWLRQLVIRXQGWREHLQVLJQLILFDQWDWDERDUGHUOHYHORI
ZLWKDQHUURUOHYHORILVZKHQWKHVDPSOHLVFRQWUROOHGIRUWKHGHJUHHRIGHPRFUDWL]DWLRQ
DQGWKHPRGHOLVDVVXPHGWRFRQWDLQDFRXQWU\VSHFLILFHIIHFW
W

7KH GHJUHH RI GHPRFUDWL]DWLRQ DV D SROLWLFDO LQVWLWXWLRQDO GHWHUPLQDQW RI JURZWK LV UREXVW
DFURVV HVWLPDWLRQ PHWKRGV DW OHDVW DW WKH HUURU OHYHO 7KLV LV DW SDU ZLWK WKH
PRGHUQL]DWLRQWKHRU\RULJLQDOO\PRYHGE\/LSVHWZKLFKSURSRVHVWKDWGHPRFUDWL]DWLRQ
LVPRVWOLNHO\SURPRWHGDQGUHLQIRUFHGE\HFRQRPLFDOO\GHYHORSHGFRXQWULHV,UUHVSHFWLYHRI
WKHDPELJXLW\ZLWKUHJDUGVWRWKHRSLQLRQDQGILQGLQJVRQWKLVWRSLFWKHUHVXOWVDERYHLQGLFDWH
WKDW IRU WKH VDPSOH DQG SHULRG FRQVLGHUHG GHPRFUDF\ GRHV FDXVH JURZWK 3U]HZRUVNL
/LPRQJL7KLVUHVXOWLVPDLQWDLQHGDWZRUVWDWWKHZHDNHVWOHYHORIVLJQLILFDQFH
HUURU OHYHO DQG HYHQ DIWHU FRQWUROOLQJ IRU FRXQWU\ VSHFLILF HIIHFWV DQG IRU GHPRFUDF\ DV D
SUHGHWHUPLQHGYDULDEOHXVLQJWKHV\VWHP*00SURFHGXUH
7KH KXPDQFDSLWDO DFFXPXODWLRQ YDULDEOH K LV IRXQG WR UREXVWO\ EH LQVLJQLILFDQW DV
GHWHUPLQDQW RI JURZWK DV FRQVLGHUHG KHUHLQ 7KH SDSHU ILQGV WKDW K RVFLOODWHV EHWZHHQ
QHJDWLYH DQG SRVLWLYH FRHIILFLHQWV DFURVV WKH GLIIHUHQW HVWLPDWLRQ SURFHGXUHV DQG EHWZHHQ
VSHFLILFDWLRQVLQFOXGLQJGHPRFUDF\DQGWKRVHZLWKRXW7KLVUHVXOWLVFRQVLVWHQWZLWKDQGOHQGV
VXSSRUWWRWKHFODLPRI%HQKDELE 6SLHJHO,QWKHLUUHVXOWVWKH\ILQGKXPDQFDSLWDO
JURZWK WR H[KLELW VLPLODU SDWWHUQV RI LQVLJQLILFDQFH DQG QHJDWLYLW\ LQ H[SODLQLQJ SHU FDSLWD
LQFRPHJURZWK2QHRIWKHLUFRQFOXVLRQVLVWKDWWKH6RORZUHVLGXDOLVVWLPXODWHGE\KXPDQ
FDSLWDO LQ LWV OHYHO DQG QRW LQ LWV JURZWK UDWH SHU VH 5HFRXUVH WR WKH FRUUHODWLRQ PDWUL[ LQ
7DEOH RI WKH WK VHFWLRQ DERYH VKRZV VRPH VWDWLVWLFDO LQGLFDWLRQ WKDW WKLV FODLP PD\ EH
VXSSRUWHG *LYHQ WKDW WKH FRUUHODWLRQ FRHIILFLHQW EHWZHHQ WKH OHYHO RI KXPDQFDSLWDO
LQYHVWPHQW*'3SHUFDSLWDJURZWKLVUHODWLYHO\VWURQJHUWKDQWKDWEHWZHHQERWKYDULDEOHVLQ
WKHLUJURZWKUDWHV7KHVHFRHIILFLHQWVDUHIRUOQ+KXPDQFDSLWDOLQYHVWPHQWLQOHYHO
DQGWKHJURZWKUDWHRIKXPDQFDSLWDODFFXPXODWLRQ7KHRSSRVLWHVLJQVDOVRVXJJHVW
DVWDWLVWLFDOFRQVLVWHQF\LQWKHUHVXOWVUHJDUGLQJWKHSRVVLELOLW\RIDQHJDWLYHLPSDFWRIKXPDQ
FDSLWDODFFXPXODWLRQJURZWKIRUWKHVDPSOHGUHJLRQRYHUWKHVSHFLILHG\HDUSHULRG
W

7KHSHUFDSLWDLQFRPHJURZWKLVSHUVLVWHQWLVSHUVLVWHQWIRUPRGHODEXWQRWSHUVLVWHQWZKHQ
WKH PRGHO LV FRQWUROOHG IRU WKH GHJUHH RI GHPRFUDF\ 7KLV FODLP KRZHYHU LV FLUFXPVSHFW
EHFDXVHWKLVLQVLJQLILFDQFHPLVVHVWKHHUURUOHYHOE\DPDUJLQ$VDUHVXOWWKHUHLVVRPH
HYLGHQFH WKDW WKH JURZWK UDWH RI *'3 SHU FDSLWD LV SHUVLVWHQW DQG WKH VLJQ LQGLFDWHV WKDW
FXUUHQWJURZWKUHGXFHVWKHKLJKHUSUHYLRXVJURZWKUDWHVZHUH7KLVLQGLFDWHVWKDWWKHGHJUHH
RI SHUVLVWHQFH GLVVLSDWHV WKURXJK WLPH JLYHQ DQ LQLWLDO VRXUFH RU SXVK WR WKHVH HFRQRPLHV
SHUIRUPDQFHV
7KH DGMXVWHG DQG WKH ZLWKLQ 5VTXDUHV IRU ERWK WKH 2/6 DQG )( PRGHOV VKRZ WKDW WKH
LQFOXVLRQ RI GHPRFUDF\ DV DQ H[SODQDWRU\ YDULDEOH LPSURYHV WKH ILW RI WKH PRGHOV ZLWKRXW
FRPSURPLVLQJ WKH )WHVW RI MRLQW VLJQLILFDQFH 7KH DGMXVWHG DQG ZLWKLQ 5VTXDUHV LQFUHDVH
IURPWRDQGWRUHVSHFWLYHO\
7KHUHVXOWVIURPWKH+DXVPDQWHVWLQGLFDWHWKDWWKH)(PRGHOLVDSUHIHUUHGHVWLPDWRUWRWKH
5(HIIHFWVPRGHOJLYHQWKHGDWD,QGLFDWLQJWKHFRXQWU\VSHFLILFHIIHFWVIROORZDIL[HGHIIHFW
DQGQRWDUDQGRPRQHDVVXFKLWVKRXOGQRWEHDFRPSRQHQWRIWKHHUURUWHUPEXWVKRXOGEHD
FRXQWU\YDU\LQJLQWHUFHSWLQWKHPRGHOHVWLPDWHG
W

02'(/ $ 0RGHO GHILQHG ZLWK 02'(/ % 0RGHO GHILQHG ZLWK 02'(/ & 0RGHO GHILQHG ZLWK
GLUHFW DQG LQGLUHFW 70,6 DV 3, RQO\ GLUHFW 70,6 DV 3, PHDVXUH RQO\ LQGLUHFW 70,6 DV 3, PHDVXUH
PHDVXUH 6\VWHP *00 HQGRJHQRXV 6\VWHP *00 HQGRJHQRXV YDULDEOHV 6\VWHP *00 HQGRJHQRXV YDULDEOHV
YDULDEOHVNK70,6 NK70,6 NK
9$5,$% 2/6 )( 6<6 2/6 )( 6<6 2/6 )( 6<6
/(6 *00 *00 *00
/T

&2167

Q

N

K

3,

3, K

'(02&

$GM5

:LWKLQ5

)VWDWV
SURE

+DXVPDQ
SURE

6DUJDQ
SURE
$5

SURE!]

36 LPSOLHV VLJQLILFDQFH LV VLJQLILFDQFH DQG LV VLJQLILFDQFH 6WDQGDUG HUURUV DUH LQ
SDUHQWKHVLVIRUFRHIILFLHQWVDQGSUREDELOLWLHVLQSDUHQWKHVLVIRUWHVWVWDWLVWLFV$OVRILJXUHVLQSDUHQWKHVLVEHQHDWKWKH
FRHIILFLHQWVDUHUREXVWVWDQGDUGHUURUVDQGWKRVHEHQHDWKWKHWHVWVWDWLVWLFVDUHSUREDELOLWLHVIRUUHMHFWLQJWKH1XOO
K\SRWKHVLV
7KH UHVXOWV DV FRQWDLQHG LQ WKH WDEOH DERYH VKRZ FRHIILFLHQWV IRU WKH PRGHO VSHFLILHG WR
LQFOXGH WRWDO PLOLWDU\ LQYROYHPHQW VFRUH 70,6 ,Q WKLV PRGHO LW LV IRXQG WKDW ZKHQ ERWK
GLUHFW DQG LQGLUHFW PHDVXUHV RI DUH LQFOXGHG WRJHWKHU LQWR WKH PRGHO WKH\ WXUQ RXW
LQVLJQLILFDQW DFURVV DOO WKUHH HVWLPDWLRQ WHFKQLTXHV 7KLV PD\ EH EHFDXVH RI WKH KLJK
FRUUHODWLRQEHWZHHQ70,6DQG70,6BKZKLFKDUHWKHGLUHFWDQGLQGLUHFWSROLWLFDOLQVWDELOLW\
W

PHDVXUHV UHVSHFWLYHO\ 7KH FRUUHODWLRQ FRHIILFLHQW LV DERXW SOHDVH UHIHU WR 7DEOH LQ
VHFWLRQ DERYH ZKLFK FDQ FDXVH PXOWLFROOLQHDULW\ DQG SRVVLEO\ VRPH HVWLPDWLRQ ELDV
+RZHYHUZKHQDUREXVWFKHFNLVFRQGXFWHGLQFOXGLQJHLWKHURIERWKYDULDEOHVVHTXHQWLDOO\LW
LV IRXQG WKDW RQO\ WKH V\VWHP *00 HVWLPDWRUV IRU ERWK YDULDEOHV WXUQ RXW VLJQLILFDQW DIWHU
FRQWUROOLQJ IRU HQGRJHQHLW\ RI K N DQG 70,6 DOVR LQ WKH GLUHFW HIIHFWV PRGHO DIWHU
FRQWUROOLQJIRUHQGRJHQHLW\RINDQGKLQWKHLQGLUHFWLPSDFWPRGHOIRUSROLWLFDOLQVWDELOLW\
UHVSHFWLYHO\0RGHOVEDQGFUHVSHFWLYHO\7KLVSUREOHPRISRVVLEOHPXOWLFROOLQHDULW\DOVR
DIIHFWV WKH VLJQV RI WKHVH YDULDEOHV DV WKH LQGLUHFW LPSDFW RI 70,6 RQ HFRQRPLF JURZWK
WKURXJKKLQWKHYDULDEOH70,6BKFKDQJHVIURPSRVLWLYHLQWKHODUJHUPRGHOWRQHJDWLYHLQ
WKH PRUH SDUVLPRQLRXV PRGHO F 7KH GLUHFW LPSDFW PRGHO E LQGLFDWHV WKDW SROLWLFDO
LQVWDELOLW\DVGHILQHGE\WRWDOPLOLWDU\LQYROYHPHQWLVJURZWKGDPDJLQJDQGLWLVVLJQLILFDQWDW
WKH HUURU OHYHO 7KH FRHIILFLHQW VKRZV WKDW D SHUFHQWDJH LQFUHDVH LQ WKH PLOLWDU\
LQYROYHPHQWDVGHILQHGWKURXJKGLIIHUHQWFRXSGpWDWDFWLYLWLHVVKRXOGUHVXOWLQDGHFOLQHLQ
JURZWKE\SHUFHQWDJHSRLQWV:KLOHWKHLQGLUHFWSROLWLFDOLQVWDELOLW\LPSDFWPRGHOF
VXJJHVWVWKDWDQLQFUHDVHLQWKHPLOLWDU\VFRUHE\DSHUFHQWDJHSRLQWVKRXOGUHVXOWLQDGHFOLQH
LQ JURZWK E\ SHUFHQWDJH SRLQWV %RWK FRHIILFLHQWV MXVW LQWHUSUHWHG DUH WKRVH REWDLQHG
IURPWKH*00UHVXOWVZKLFKDSSHDUWREHVLJQLILFDQW
,QWKLVVSHFLILFDWLRQWKHGHJUHHRIGHPRFUDWL]DWLRQUHPDLQVVLJQLILFDQWDQGUREXVWWRFKDQJHV
LQWKHPRGHOVIXUWKHUUHVSHFLILFDWLRQ7KLVLQGLFDWHVIXUWKHUWKDWWKHUHLVFDXVHWREHOLHYHWKDW
GHPRFUDF\LVDWOHDVWTXLWHLQWULFDWHO\DVVRFLDWHGZLWKJURZWKZLWKLQWKHUHJLRQ
3RSXODWLRQ JURZWK DQG SK\VLFDOFDSLWDO DFFXPXODWLRQ UHPDLQ VLJQLILFDQW GHWHUPLQDQWV RI
JURZWK PRVW RI WKH WLPH 7KLV LV DW OHDVW VR DW ERUGHU VLJQLILFDQW OHYHOV HVSHFLDOO\ IRU WKH
SK\VLFDOFDSLWDODFFXPXODWLRQYDULDEOH
W

7KH DGMXVWHG DQG ZLWKLQ 5VTXDUHV GR QRW FKDQJH WKDW PXFK IURP WKH PRUH FRPSRVLWH D
PRGHOWRWKHPRUHSDUVLPRQLRXVEDQGFPRGHOVUHVSHFWLYHO\,QIDFWWKH2/6HVWLPDWLRQ
VKRZVVRPHPLQRUDSSUHFLDWLRQLQWKHDGMXVWHG5VTXDUHIURPLQPRGHODWR
LQPRGHOE7KLVVXJJHVWVWKDWWKHSUHYLRXVPRGHOPLJKWKDYHEHHQRYHUSDUDPHWHUL]HGHYHQ
LI MXVW D OLWWOH LW VWLOO SRVHV D SRVVLELOLW\ 7KH UHVW KRZHYHU VKRZ PLQRU UHGXFWLRQV LQ WKH
PRGHOVILW7KHPHDJUHDSSUHFLDWLRQRIWKHVH5VTXDUHVIURPWKHPRGHOVSHFLILHGLQWKHEDVLF
PRGHO VSHFLILFDWLRQ VXEVHFWLRQ ZKLFK LV QRW FRQWUROOHG IRU SROLWLFDO LQVWDELOLW\ WR WKDW DV
FRQWUROOHGIRUVRPHSROLWLFDOLQVWDELOLW\OHQGVVRPHHYLGHQFHWRWKHFODLPWKDWWKLVPHDVXUHRI
SROLWLFDOLQVWDELOLW\PD\QRWEHWKDWUREXVWDGHWHUPLQDQWLQWKHJURZWKHPSLULFV,WPD\DOVR
VXJJHVWDQLPSURSHUDGRSWLRQRIWKHPHDVXUHIRUDQDO\VLQJSROLWLFDOLQVWDELOLW\RQJURZWKLQ
6XE6DKDUD$IULFD5HFRXUVHWRPRUHVSHFLILFDWLRQVFRXOGUHQGHUPRUHFRQFOXVLYHUHPDUNVLQ
WKLVUHJDUG
7KH GLDJQRVWLFV PDLQWDLQ VLPLODU FODLPV IURP WKH EDVLF PRGHO DV VSHFLILHG DQG GLVFXVVHG
DERYH

W

GLUHFW DQG LQGLUHFW OQ376 DV 3, RQO\ GLUHFW OQ376 DV 3, PHDVXUH RQO\ LQGLUHFW OQ376 DV 3, PHDVXUH
YDULDEOHVNOQ376 NKOQ376 N
9$5,$% 2/6 )( 6<6 2/6 )( 6<6 2/6 )( 6<6
/(6 *00 *00 *00
/T

&2167

Q

N

K

3,

3, K

'(02&

$GM5

:LWKLQ5

)VWDWV
SURE

+DXVPDQ
SURE

6DUJDQ
SURE
$5

SURE!]

36 LPSOLHVVLJQLILFDQFH LVVLJQLILFDQFHDQG LVVLJQLILFDQFH6WDQGDUGHUURUVDUHLQSDUHQWKHVLVIRU
FRHIILFLHQWV DQG SUREDELOLWLHV LQ SDUHQWKHVLV IRU WHVW VWDWLVWLFV $OVR ILJXUHV LQ SDUHQWKHVLV EHQHDWK WKH FRHIILFLHQWV DUH UREXVW
VWDQGDUGHUURUVDQGWKRVHEHQHDWKWKHWHVWVWDWLVWLFVDUHSUREDELOLWLHVIRUUHMHFWLQJWKH1XOOK\SRWKHVLV
7KH PRGHO DERYH GHILQHV SROLWLFDO LQVWDELOLW\ DV WKH QDWXUDOORJ RI WKH SROLWLFDO WHUURU VFRUH
7KLVPHDVXUHDSSHDUVWRDFFRXQWIRUPRUHYDULDWLRQVLQJURZWKWKDQGRHVWKHPRGHOVEHIRUH
7KLV LV SRUWUD\HG LQ WKH UHODWLYHO\ ODUJHU 5VTXDUHV $OVR ZH FDQ VHH WKDW WKH SROLWLFDO
LQVWDELOLW\ FRHIILFLHQWV VHHP PRUH VLJQLILFDQW DQG D OLWWOH ELW PRUH UREXVW WKDQ WKH SUHYLRXV
W

SROLWLFDOLQVWDELOLW\PHDVXUHWRWDOPLOLWDU\VFRUH,WVPDJQLWXGHLVDOVRPDUJLQDOO\ELJJHUWKDQ
LWPLOLWDU\LQYROYHPHQWFRXQWHUSDUW
7KHKXPDQFDSLWDODFFXPXODWLRQYDULDEOHJDLQVVRPHVHPEODQFHRIVLJQLILFDQFHLQPRGHOF
ZKHUHLWLVVSHFLILHGWRLQFOXGHMXVWWKHLQGLUHFWLPSDFWRISROLWLFDOLQVWDELOLW\WKURXJKKXPDQ
FDSLWDO+XPDQFDSLWDOLQWKH2/6DQG)(HVWLPDWHGYHUVLRQVRIWKLVPRGHOKDVLWVH[SHFWHG
SRVLWLYH VLJQ DQG VLJQLILFDQFH RI DQG HUURU OHYHOV VLJQLILFDQWO\ DQG DSSUR[LPDWHO\
HTXDOPDJQLWXGHV7KHXVXDOODFNRIVLJQLILFDQFHLUUHJXODUVLJQDQGPDJQLWXGHLVRQFHDJDLQ
UHYHDOHG ZKHQ HVWLPDWHG E\ WKH V\VWHP *00 7KLV XQVWDEOH HYLGHQFH RI VWDWLVWLFDO
VLJQLILFDQFH KXPDQFDSLWDO DFFXPXODWLRQ ZKHQ FRQWUROOHG IRU WKLV PHDVXUH RI SROLWLFDO
LQVWDELOLW\ PD\ EH WKH UHVXOW RI WKH KLJK FRUUHODWLRQ H[LVWLQJ EHWZHHQ ERWK YDULDEOHV OQ376
DQGKKDYHDFRUUHODWLRQRIZKLOHOQ376BKDQGKKDYHDFRUUHODWLRQFRHIILFLHQWRI
SOHDVH UHIHU WR 7DEOH LQ VHFWLRQ DERYH 7KH KLJK FRUUHODWLRQV EHWZHHQ WKHVH YDULDEOHV
FRXOGFDXVHPXOWLFROORQHDULW\DVDOUHDG\SRLQWHGRXWDVDSRVVLEOHVRXUFHRIELDVLQDVLPLODU
VLWXDWLRQLQWKHLPPHGLDWHGLVFXVVHGDERYH
7KH 5VTXDUHV IURP WKH UHJUHVVLRQV DOVR EXWWUHVV WKLV VXVSLFLRQ RI PXOWLFROOLQHDULW\ LQ WKH
PRGHOV 5REXVWO\ DOWHULQJ WKH PRGHOV E\ LQFOXGLQJ DQG H[FOXGLQJ WKH GLUHFW DQG LQGLUHFW
SROLWLFDOLQVWDELOLW\YDULDEOHVGRQRWUHDOO\FKDQJHFRQVLGHUDEO\WKHVH5VTXDUHYDOXHV
7KH GHJUHH RI GHPRFUDWL]DWLRQ PDLQWDLQV LWV VLJQLILFDQFH DQG PDJQLWXGH DFURVV HVWLPDWLRQ
WHFKQLTXHVDQGPRGHOFRPELQDWLRQV
7KHHFRQRPLFJURZWKPHDVXUHPDLQWDLQVLWVQHJDWLYHSHUVLVWHQFHVLJQLILFDQWO\DFURVVPRGHO
FRPELQDWLRQV,WVPDJQLWXGHLVUREXVWDWDQDYHUDJHRIDSSUR[LPDWHO\7KLVVXJJHVWVWKDW
FXUUHQW SHU FDSLWD *'3 JURZWK GLVVLSDWHV E\ SHUFHQWDJH SRLQWV IROORZLQJ LWV SUHYLRXV
YDOXHV
W

3RSXODWLRQ JURZWK DQG SK\VLFDOFDSLWDO DFFXPXODWLRQ UHPDLQ UHODWLYHO\ PRUH VLJQLILFDQW
GHWHUPLQDQWVRIHFRQRPLFJURZWKFRPSDUHGWRKXPDQFDSLWDODFFXPXODWLRQ
7KHGLDJQRVWLFVUHPDLQZLWKVLPLODUFRQFOXVLRQVDVSUHYLRXVVXEVHFWLRQVDERYH

W

GLUHFW DQG LQGLUHFW '85$ DV 3, RQO\ GLUHFW '85$ DV 3, PHDVXUH RQO\ LQGLUHFW OQ376 DV 3, PHDVXUH
YDULDEOHVK'85$ K'85$ K
9$5,$% 2/6 )( 6<6 2/6 )( 6<6 2/6 )( 6<6
/(6 *00 *00 *00
/T

&2167

Q

N

K

3,

3, K

'(02&

$GM5

:LWKLQ5

)VWDWV
SURE

+DXVPDQ
SURE

6DUJDQ
SURE

$5
SURE!]

36 LPSOLHV VLJQLILFDQFH LV VLJQLILFDQFH DQG LV VLJQLILFDQFH
6WDQGDUGHUURUVDUHLQSDUHQWKHVLVIRUFRHIILFLHQWVDQGSUREDELOLWLHVLQSDUHQWKHVLVIRUWHVW
VWDWLVWLFV$OVRILJXUHVLQSDUHQWKHVLVEHQHDWKWKHFRHIILFLHQWVDUHUREXVWVWDQGDUGHUURUVDQG
WKRVHEHQHDWKWKHWHVWVWDWLVWLFVDUHSUREDELOLWLHVIRUUHMHFWLQJWKH1XOOK\SRWKHVLV
7KHUHVXOWVLQWKHWDEOHDERYHFRQVLGHUUHJLPHGXUDELOLW\DVDPHDVXUHRISROLWLFDOLQVWDELOLW\
,Q JHQHUDO WKH FRHIILFLHQWV RI WKH '85$ PHDVXUH RI SROLWLFDO LQVWDELOLW\ DSSHDU WR EH DQ
LQVLJQLILFDQWGHWHUPLQDQWRIHFRQRPLFJURZWKLQWKHUHJLRQ7KH\KRZHYHUDSSHDUVLJQLILFDQW
ZKHQWKHV\VWHP*00SURFHGXUHLVDGRSWHGZLWKERWKGLUHFWDQGLQGLUHFWSROLWLFDOLQVWDELOLW\
YDULDEOHVVSHFLILHGWKDWLVLQPRGHOD7KLVVHPEODQFHRIVLJQLILFDQFHFRXOGDOVREHDUHVXOW
W

RI PXOWLFROOLQHDULW\ DV ERWK IRUPV RI WKH '85$ YDULDEOH DUH KLJKO\ FRUUHODWHG ZLWK D
FRHIILFLHQWRISOHDVHUHIHURQFHDJDLQWR7DEOHIRUFRUUHODWLRQPDWUL[(YLGHQWLDOO\
ZH VHH WKDW WKH FRHIILFLHQWV FKDQJH LQ PDJQLWXGH DOVR ZKHQ UHVSHFLILHG LQ D VWDQGDORQH
PDQQHU:KHQVSHFLILHGLQPRGHOFDWHJRU\DWKHPDJQLWXGHVDUHELJJHUDQGVLJQLILFDQWEXW
ZKHQ VSHFLILHG LQ WKH E DQG F FDWHJRULHV RQ DQ LQGLYLGXDO EDVLV PDQQHU WKH PDJQLWXGHV
DSSURDFK]HURDQGEHFRPHKLJKO\LQVLJQLILFDQW7KLVVXJJHVWVWKDWDPRGHOVSHFLILHGZLWKRXW
VRPH UHFRXUVH WR LQYHVWLJDWLQJ WKH UHODWLRQVKLS EHWZHHQ WKH YDULDEOHV FRXOG EH PLVOHDGLQJ
7KLVFODLPLVFRQVLVWHQWZLWK'H+DDQDVUHYLHZHGEULHIO\LQWKHOLWHUDWXUHLQVHFWLRQ
RIWKLVYROXPHZKLFK
$OO FRQWURO YDULDEOHV LQFOXGLQJ WKH GHJUHH RI GHPRFUDF\ VHHP WR H[KLELW VLPLODU SDWWHUQV DV
DOUHDG\GLVFXVVHGDERYHLQWKHSUHFHGLQJVXEVHFWLRQV
7KHUHDGHUZRXOGQRWLFHWKDWWKH6DUJDQWHVWVWDWLVWLFDQGLWVSUREDELOLW\KDYHEHHQKLJKOLJKWHG
LQ DOO WKH WDEOHV DERYH 7KLV LV EHFDXVH WKH SHUIHFW SUREDELOLW\ UHSRUWHG KHUH LQGLFDWHV WKDW
WKHUH LV WKH SUREOHP RI LQVWUXPHQWV SUROLIHUDWLRQ $QG WKH LVVXH FRXOG EH PLWLJDWHG E\
UHGXFLQJ WKH QXPEHU RI LQVWUXPHQWV XVHG %RZVKHU 5RRGPDQ ,QVWUXPHQWV
FDQ EH UHGXFHG E\ HLWKHU UHVWULFWLQJ WKH ODJ UDQJH RI WKH LQVWUXPHQWV XVHG RU UHGXFLQJ WKH
QXPEHU RI HQGRJHQRXVO\ VSHFLILHG YDULDEOHV $QG WKLV FODLP LV VXSSRUWHG E\ WKH QRQ
KLJKOLJKWHG YHUVLRQV RI WKH VDPH WHVW VWDWLVWLF ZLWK SUREDELOLW\ YDOXHV EHORZ EXW QRW
ORZHQRXJKWRVXJJHVWWKDWWKHSUREOHPZDVGXO\DGGUHVVHG
W

&21&/86,21
7KH SDSHU ILQGV WKDW RQ WKH DYHUDJH PRUH VHYHUH PHDVXUHV RI SROLWLFDO LQVWDELOLW\ VXFK DV
SROLWLFDO WHUURULVP VWDWLVWLFDOO\ DQG QHJDWLYHO\ LPSDFW HFRQRPLF JURZWK 7KLV UHVXOW
FRQIRUPVWRWKHZRUNVRI%DUUR'LPLWUDNL$OHVLQDHWDOHWF7KLVLV
HVSHFLDOO\VRDIWHUFRQWUROOLQJIRUGHPRFUDF\DQGRWKHUHVVHQWLDOHFRQRPLFYDULDEOHVDQGDOVR
DIWHU XVLQJ HVWLPDWLRQ WHFKQLTXHV WKDW DFFRPPRGDWH IRU FRXQWU\ IL[HG HIIHFWV DQG WKH
HQGRJHQHLW\RISDUWLFXODUSROLWLFDODQGHFRQRPLFYDULDEOHV
+XPDQFDSLWDODFFXPXODWLRQJHQHUDOO\KDVOLWWOHRUQRHYLGHQFHRILQIOXHQFHLQDVVXDJLQJWKH
LPSDFWRISROLWLFDOLQVWDELOLW\RQJURZWKFRQWUDU\WRZKDWRQHQDWXUDOO\H[SHFWV7KHUHLVDOVR
D VXVSLFLRQ WKDW IRU WKH VDPSOH FRQVLGHUHG LW PLJKW EH QHJDWLYHO\ LPSDFWLQJ HFRQRPLF
JURZWK 7KLV FODLP LV LQ V\QF ZLWK %HQKDELE 6SLHJHO 7KH DVVXDJLQJ SRWHQWLDO RI
SROLWLFDO LQVWDELOLW\ RQ JURZWKEHFRPHV HYHQ PRUH DSSDUHQW ZLWK PRUH DGYHUVH PHDVXUHV RI
SROLWLFDO LQVWDELOLW\ VXFK DV SROLWLFDO WHUURULVP OQ376 7KLV LV DQ HYLGHQWLDO DGGLWLRQ WR WKH
UHVXOWVIURP)RVXZKLFKVKRZVDODFNRIVXFKDVVXDJLQJSURSHUW\LQSK\VLFDOFDSLWDO
DFFXPXODWLRQ %\ LPSOLFDWLRQ WKLV PHDQV WKDW SROLFLHV GLUHFWHG DW LPSURYLQJ KXPDQFDSLWDO
TXDOLW\ E\ LQYHVWPHQWV LQ LWV UHJDUG ZLWKRXW UHFRXUVH WR PLWLJDWLQJ DQ\ IRUP RI SURORQJHG
SROLWLFDOXQUHVWFRXOGOLNHO\\LHOGUHGXFWLRQVLQJURZWK
5HJLPH GXUDELOLW\ RU OHQJWKLQHVV KDV D UHODWLYHO\ ZHDN LPSDFW LQ WHUPV RI PDJQLWXGH RQ
JURZWKFRPSDUHGWRPRUHVHYHUHPHDVXUHVRISROLWLFDOLQVWDELOLW\7KLVLPSOLHVWKDWDOWKRXJK
LW KDV VRPH VWDWLVWLFDO VLJQLILFDQFH LQ GHWHUPLQLQJ JURZWK LWV PDJQLWXGH LV TXLWH ZHDN
*URZWKV LQ WKHVH HFRQRPLHV DUH QRW VR UHVSRQVLYH WR UHJLPH GXUDWLRQ 7KLV VXJJHVW WKDW
SROLFLHVJHDUHGDWIRVWHULQJUHJXODUUHJLPHFKDQJHVWKURXJKWKHSURPRWLRQRIGHPRFUDF\IRU
LQVWDQFH PD\ PRVW OLNHO\ EH LQHIIHFWXDO DQG LQGLFDWLYH RI SRRU SROLWLFDO SROLF\ SULRULWLVLQJ
/LWWOH ZRQGHU WKH DFWXDO PHDVXUH RI GHPRFUDWL]DWLRQLV JHQHUDOO\ LQVLJQLILFDQW DQG KDV OLWWOH
W

LQIOXHQFH RQ WKH PRGHO ZKHQHYHU FRQWUROOHG IRU (YLGHQFH RI WKH GLUHFW VWDWLVWLFDO UHOHYDQFH
UHJDUGLQJ WKH GHJUHH RI GHPRFUDWL]DWLRQ DV GHSLFWHG LQ WKLV PRGHO VXSSRUWV =XUHLTDW
DQG RWKHU DXWKRUV OLNH 'RXFRXOLDJRV 8OXEDVRJOX DQG )HQJ 7KH
LQYHVWLJDWLRQ UHJDUGLQJ WKH UHOHYDQFH RI SROLWLFDO UHJLPHV DQG JURZWK RQ WKH RWKHU KDQG LV
ZHDN DQG VXJJHVWV WKDW DGRSWLQJ IXUWKHU FRQWURO UHTXLUHPHQWV VXFK DV WKH OHYHO RI
GHYHORSPHQWIRULQVWDQFHPD\UHQGHUOHVVGLYHUJLQJFRQFOXVLRQV'XUKDP3U]HZRUVNL
/LPRQJL3]HZRUVNL /LPRQJLVXJJHVWWKDW DOWKRXJKSROLWLFDOLQVWLWXWLRQV
PD\EHLPSRUWDQWWRJURZWKWKLQNLQJLQWHUPVRISROLWLFDOUHJLPHVPD\QRWEHDVKHOSIXOLQ
FDSWXULQJWKHVRXUFHRIJURZWKGLYHUJHQFHDFURVVFRXQWULHV
3RSXODWLRQJURZWKVHHPVWREHDQXQHTXLYRFDOGHWHUPLQDQWRIHFRQRPLFJURZWK7KLVUHVXOW
PD\EHPLVOHDGLQJDVWKLVLVEDVHGRQWKHDVVXPSWLRQWKDWSRSXODWLRQDQGODERXULQSXWJURZ
DWWKHVDPHUDWH+HQFH XVLQJWKHLGHDOODERXUJURZWKWRFDSWXUHODERXUJURZWKVLPSDFWRQ
HFRQRPLF JURZWK IRU WKLV GHYHORSLQJ UHJLRQ PD\ ZHOO QRW \LHOG VLJQLILFDQW FRHIILFLHQWV DV
IRXQG LQ UHVXOWV OLNH WKH ODERXU JURZWK FRHIILFLHQWV LQ WKH UHVXOWV RI )RVX $QRWKHU
UHDVRQIRUVXFKKLJKYDULDEOHUHOHYDQFHPD\EHEHFDXVHSRSXODWLRQJURZWKLVQRWFRQVLGHUHG
LQ WKH FRQYHQWLRQDO ZD\ WR LQFOXGH GHSUHFLDWLRQ DV LW QRUPDOO\ LV ZKHQ FRQGXFWLQJ 6RORZ
W\SHJURZWKHPSLULFV
2Q WKH DYHUDJH *'3 SHU FDSLWD JURZWK LV IRXQG WR EH QHJDWLYHO\ SHUVLVWHQW HYHQ DIWHU
SROLWLFDO LQVWLWXWLRQ FKDUDFWHULVWLFV DUH DFFRXQWHG IRU 7KLV LPSOLHV WKDW FXUUHQW HFRQRPLF
SHUIRUPDQFHLVVWLOOH[SODLQHGE\SUHYLRXVYDOXHVEXWWKLVHIIHFWGLVVLSDWHVWKURXJKVXFFHVVLYH
JURZWKH[SHULHQFHVRIWKHIXWXUHDVVKRZQE\WKHQHJDWLYHDQGOHVVWKDQFRHIILFLHQWRIWKH
*'3SHUFDSLWDJURZWKILUVWODJH[SODQDWRU\YDULDEOH
W

7KHVHUHVXOWVDVH[SUHVVHGDERYHDUHQRWHQWLUHO\UREXVWWRDOWHUQDWLYHDSSURDFKHVDQGIXUWKHU
WHVWV $ QXPEHU RI LPSHGLQJ IDFWRUV DIIHFW WKH TXDOLW\ RI WKH VWXG\ DQG VRPH RI WKHP DUH
HQXPHUDWHGEHORZ
)LUVWO\ WKH PRQWKSHULRG HDUPDUNHG IRU VXFK D VWXG\ DV WKLV ZDV QRW HQRXJK WR DIIRUG DQ
DGHTXDWH DPRXQW RI UREXVW FKHFNV ZLWK UHVSHFW WR WKH HVWLPDWLRQ WHFKQLTXHV DQG GDWD
WUDQVIRUPDWLRQ SURFHGXUHV DGRSWHG 5REXVW FKHFNV VXFK DV FKHFNLQJ SROLWLFDO LQVWDELOLW\
LPSDFWVRYHUGLIIHUHQWOHQJWKVRIDYHUDJLQJSHULRGVOLNH\HDUV\HDUVDQGVRRQFRXOG
KDYHUHQGHUHGPRUHFRQFOXVLYHUHVXOWVVHH7UHLVPDQIRUWKHUHOHYDQFHRIVXFKGHWDLOHG
DQDO\VLV7KLVGXUDWLRQOLPLWDWLRQDOVRDIIHFWVWKHDWWHPSWDWXVLQJPRUHPHDVXUHVRISROLWLFDO
LQVWDELOLW\LQRUGHUWRHIIHFWLYHO\DVVHVVLWVLPSOLFDWLRQVDFURVVGLPHQVLRQV
6HFRQGO\ GDWDEDVH DYDLODELOLW\ ZDV D PDMRU VHWEDFN DV PRVW RI WKH GDWDEDVHV XVHG E\
LQIOXHQWLDOZRUNVLQWKHOLWHUDWXUHUHTXLUHVXEVFULSWLRQIHHV6RPHRIWKHVHGDWDEDVHVLQFOXGH
7KH %DQNV &URVV1DWLRQDO 7LPH 6HULHV $UFKLYH DQG 7KH ,QWHUQDWLRQDO &RXQWU\ 5LVN *XLGH
2QO\IUHHGDWDVRXUFHVDUHUHVRUWHGWRLQWKLVFDVHDVWKLVLVDPDVWHUVGLVVHUWDWLRQ
7KLUGO\WKHZRUNLVDOVRDIIHFWHGE\DODFNRIGDWDIRUFHUWDLQFRXQWULHVZLWKLQWKHRULJLQDOO\
VSHFLILHG SDQHO RI FRXQWULHV 7KLV UHGXFHG WKH VDPSOH WR WKLV UHGXFWLRQ PD\ KDYH
FDXVHG SUREOHPV RI LQIRUPDWLRQ ORVV DQG FRPSURPLVHG WKH SRWHQWLDO IRU PDNLQJ ZLGHU
UHJLRQDOLQIHUHQFHEDVHGRQWKHREWDLQHGILQGLQJV
$V D UHFRPPHQGDWLRQ IXWXUH VWXGLHV FDQ FRQWLQXH ZLWK WKH IRFXV RQ VSHFLILF PHDVXUHV RI
SROLWLFDO LQVWDELOLW\ EXW ZLWK PRUH FRXQWU\VSHFLILF WLPH VHULHV DQDO\VLV 7KLV ZD\ UHVXOWV
ZRXOGEHPRUHVSHFLILFDQGSROLFLHVZRXOGEHZHOOVXLWHGWRVROYLQJDFWXDOSROLWLFDOLQVWDELOLW\
LVVXHV DQG QRWMXVW YDJXHO\ GHILQHGEURDG FRQFHSWV 7KLV LV TXLWHSUDFWLFDO VLQFH WLPH VHULHV
GDWD RQ D QXPEHU RI SROLWLFDO YDULDEOHV DUH QRZ SHUYDVLYH DQG DYDLODEOH DQG GDWH EDFN WR
ZKLFKLVVRPHZKDWVDWLVIDFWRU\IRUUXQQLQJUHJUHVVLRQDQDO\VLV
W

$OVRVWXGLHVFRXOGWU\LQFRUSRUDWLQJPRUHVRFLDOYDULDEOHVVXFKDVSRYHUW\DQGLQHTXDOLW\LQWR
WKHVH SROLWLFDO HFRQRP\ OLWHUDWXUHV 7KLV DUHD WKRXJK DYDLODEOH LV TXLWH VFDQW\ DQG VXFK
VWXGLHV ZRXOG SURYLGH VRPH SROLF\ LQVLJKW LQWR PRUH FRQWH[WXDO LVVXHV IDFLQJ WKH $IULFDQ
FRQWLQHQW
W

$SSHQGL[
$SSHQGL[7DEOH/LVWRIVDPSOHGFRXQWULHVDQGWKHLUUHVSHFWLYHSDQHOLGHQWLILHUV
&RXQWU\ 6HULDO
%HQLQ
%RWVZDQD
%XUXQGL
&DPHURRQ
&HQWUDO$IULFDQ5HSXEOLF
&RQJR5HSXEOLFRI
&RWHGC,YRLUH
*KDQD
.HQ\D
/HVRWKR
/LEHULD
0DODZL
0DOL
0DXULWDQLD
0DXULWLXV
1LJHU
5ZDQGD
6HQHJDO
6LHUUD/HRQH
6XGDQ
7RJR
8JDQGD
&RQJR'HP5HS
=DPELD
=LPEDEZH

W

$SSHQGL[7DEOH9DULDEOHVDGRSWHGWKHLUVRXUFHVDQGMXVWLILFDWLRQ
,QGLFDWRU 9DULDEOHDVGHILQHGDQGDGRSWHG -XVWLILFDWLRQ 6RXUFH
70,67RWDO 7KLVLVDGDSWHGIROORZLQJ 7KHHVVHQFHRIWKLVYDULDEOHLVWREH 0DUVKDOO

0LOLWDU\6FRUH 0F*RZDQ 0RUULVRQE\ DEOHWRFDSWXUHWKHFRPSRVLWHLPSDFWRI 0DUVKDOO
DVVLJQLQJZHLJKWHGVFRUHVRI PLOLWDU\LQYROYHPHQWLQWKHSROLWLFDO IURPWKH&HQWUH
DQGWRGLIIHUHQWPLOLWDU\FRXS DQGHFRQRPLFFOLPDWHRIWKHFRXQWULHV IRU6\VWHPLF
W\SHV7KHVHFRXSVW\SHVLQFOXGHLQ VDPSOHGDQGPDNHLQIHUHQFHRQWKH 3HDFHSURMHFW
WKHVDPHRUGHUDVWKHQXPEHUV UHJLRQ
VXFFHVVIXOFRXSDWWHPSWHGFRXSV
DQGUHSRUWHGFRXSVUHVSHFWLYHO\
3763ROLWLFDO 7KHYDULDEOHLVJLYHQDVFRUHRI 7KHYDULDEOHLVXVHGWRFDSWXUHSROLWLFDO *LEQH\HWDO
7HUURU6FRUH WKURXJKWRLQGLFDWLQJWKHGHJUHH LQVWDELOLW\PHDVXULQJDVGLUHFWHGRQ REWDLQHG
RIVHYHULW\ZLWKUHVSHFWWRKXPDQ WKHUXOHGE\WKHUXOLQJHOLWH IURPWKH8QLWHG
ULJKWVYLRODWLRQVQHJOHFWRIWKHUXOH 6WDWHVRI$PHULFD
RIODZXQODZIXOLPSULVRQPHQWV 6WDWH'HSDUWPHQW
DQGSROLWLFDONLOOLQJV
'85$ 7KHYDULDEOHPHDVXUHVWKHQXPEHU 7KLVHQDEOHVWKHVWXG\DVFHUWDLQLI 0DUVKDOOHWDO
5HJLPH RI\HDUVIROORZLQJWKHODVW UHJLPHOHQJWKVKDYHDQ\LPSDFWRQ 3Y
GXUDELOLW\ VLJQLILFDQWFKDQJHLQDUHJLPHRU HFRQRPLFJURZWK$UHORQJHUUHJLPHV GDWDVHWIURP
DXWKRULW\W\SH JHQHUDOO\PRUHJURZWKSURQHRUWKH WKH3ROLW\,9
RSSRVLWHLVWKHFDVH" SURMHFWV
'(02& 7KLVYDULDEOHLVDOVRREWDLQHGIURP 7KLVYDULDEOHLVXVHGDVDSROLWLFDO 0DUVKDOOHWDO
'HJUHHRI WKHSROLW\YDULDEOHRQWKHSY LQVWLWXWLRQVFRQWUROYDULDEOH$VD 3Y
GHPRFUDWL]DWLRQ GDWDVHWZLWKYDOXHVUDQJLQJIURP YDULDEOHVWDQGLQJLQIRUSROLWLFDO GDWDVHWIURP
WRWKHPRUHQHJDWLYHWKH VWUXFWXUHW\SHJLYHQWKDWPDLQO\WZR WKH3ROLW\,9
REVHUYDWLRQWKHPRUHDXWRFUDWLFRU IRUPVRISROLWLFDOVWUXFWXUHSHUYDGHWKH SURMHFWV
GLFWDWRULDOLWLVDQGWKHUHYHUVH V\VWHPLQ6XE6DKDUD$IULFD
LPSOLHVLWPRUHGHPRFUDWLFDQG DXWRFUDWLFUXOHRUGHPRFUDWLFRU
UHSUHVHQWDWLYHRIWKHUXOHG UHSUHVHQWDWLYHUXOH7KHYDULDEOHLVDOVR
XVHGDTXDVLPHDVXUHRILQVWDELOLW\
IROORZLQJSDSHUVWKDWVXJJHVWWKDWWKH
SUHVHQFHRIGHPRFUDF\PD\EHSROLWLFDO
LQVWDELOLW\UHGXFLQJ
\3HUFDSLWD 7KLVLVWKHJURZWKUDWHRIUHDO*'3 7KLVLVXVHGDVDPHDVXUHRIHFRQRPLF +HVWRQHWDO
*'3JURZWK SHUFDSLWDDQGLWLVWKHGHSHQGHQW JURZWKLQWKHPRGHO 3HQQ
YDULDEOHRIWKHPRGHO7KDWLLV :RUOG7DEOH
*'3SHUFDSLWDDWFRQVWDQW 3:7Y
SULFHV
Q3RSXODWLRQ 7KLVLVWKHJURZWKUDWHRI
JURZWK 3RSXODWLRQXVHGWRUHSUHVHQWWKH 7KHVHDUHXVHGDVFRQWUROYDULDEOHVIRU
JURZWKRIODERXU7KDWLVDVVXPLQJ WKHPRGHODQDO\VLV7KLVLVVRWKDWWKH
DUDWHRIUDWHRILQFOXVLRQHTXDOWR PRGHOLVQRWH[SHFWHGWRRQO\EH +HVWRQHWDO
WKHSRSXODWLRQJURZWKUDWH7KLVLV GHILQHGIRUWKHYDULDEOHVRILQWHUHVWEXW 3HQQ
FRQVLVWHQWZLWK0DQNLZHWDO DOVRGHILQHGWRLQFOXGHRWKHUHVVHQWLDO :RUOG7DEOH
GHWHUPLQDQWV7KLVHQDEOHVWKHUHDGHU 3:7Y
N3K\VLFDO 7KHJURZWKUDWHRILQYHVWPHQWDVD DVFHUWDLQDQHDUXQELDVHGLPSDFWRIWKH
FDSLWDO SHUFHQWDJHVKDUHRI*'3 SROLWLFDOLQVWDELOLW\YDULDEOHV
DFFXPXODWLRQ
K+XPDQ 7KHJURZWKUDWHRIVHFRQGDU\ 7KLVYDULDEOHLVXVHGDVDFRQWURO %DUUR /HH
FDSLWDO VFKRROHQUROPHQWDVDSHUFHQWDJH YDULDEOHDQGDOVRDVDYDULDEOH %DUUR/HH
DFFXPXODWLRQ VKDUHRIWRWDOSRSXODWLRQ\HDUV LQWHUDFWHGZLWKHDFKSROLWLFDO HGXFDWLRQ
DQGDERYH LQVWDELOLW\YDULDEOHLQRUGHUWR DWWDLQPHQW
DVFHUWDLQWKHLQGLUHFWLPSDFWRISROLWLFDO GDWDEDVH
LQVWDELOLW\RQJURZWKWKURXJKKXPDQ
FDSLWDODFFXPXODWLRQ
W

%LEOLRJUDSK\
:^Z:zW/
Z
:^Z:zWZD
,:D
W,WD'd
d^^'dWW
W&>tW
WZK/W//
EZtWEZ
WZ/W/
Z
K^ZE^WW/'
:'
DK>/s
D:
<:d>dZ^
Z:D'^dY:

Z:^Dy'^>dD/dW
:E>WZE
d<W'ZtWhEd
WdW/dt
Z
'W'&WW
'^/&KtW
:^DDDdZ,W/
ZZZZE
^'^dt
W:^^/
W

DW/'dD
/
:d^dZ
^
Z^/DZW
D:
'KdKZWD
>
>Zd''dh
W
Kd>W/W/
E/:Y^
:>z,d/^/'
/:WD
E&E:/W/
/E^
E&E:tW/:K

&'&>'dZW
/:D
ZD,d,t
':
E^'WY
,,KWZ^'
h
,:W/'ZW
KW/'t
zWht>
^<:t'^&dZW,
&K^
^<:t'^&dZ^K
h<hKWE
W

,hD'D
:W^
Zt/tt:,
t>Z'dWY
:
&:D'K/Wd&
WtZt
&z'WddD/d
W
&zW^':W
^
&<W/'^
^>
&<W/'^^

&<W/'/^
^:^
'W:^ZD^
DZt>
''D,/''dD/d
W
'<dd>W//'
^^:
,:',Z//
WhE^K
,W/'^W
,/E
:WZDKDW//
'dE&h'
>:,:WZ^/W
:>,:
WZ
W

>^D^^ZW
>dW^Z
>:W<dWdd^W
tW
>ZKD:D
D'EZtE'
dY:
DD':<'dZW/sWWZ
dd^W
DD'Z'Z'^&
^W
D:DW/^^^
ZdZW
D'KtEW:K,E^KEd,Dh
Y,d:D^
DDD^Z'^W'EZ
tW/>KtdK
D'^,DW//D
tE:Z
D'D^,WD
^W/E:W
^
E:K^Z,W^dW
'shW
KK^W/tW
Wd^td
W
WD/^dW
'DD,
W>&WZ':
W
Ztd^EKYdW
h^hd
W

ZWDdd:W
^^
ZWD'/Z^d
Z
ZWD/Z>'d:W
ZEddD/K
^
^KEd^
Zd,EtWE
^W^

^ZDd'dY:

dttZWhW
dttZt/t
hW
dttZ
hW
hEddZ'
^'hE
hEddZ''h
E
hEddZZ^^>
hE
hEdt/Z/d/W
hE
hEdt/Z^d^hE
hZ:^^'dtt
szW'</^/
^^D:W
,DW/WW
tWW
W

W

2667 Political Instability Human Capital Accumulation and Economic Growth in Sub Sahara Africa PDF

Uploaded by

Document Information

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

2667 Political Instability Human Capital Accumulation and Economic Growth in Sub Sahara Africa PDF

Uploaded by

Copyright:

Available Formats

DVFULEHVXFKGLUH FRQGLWLRQVOLNHH[WUHPHSRYHUW\WRQRQVSHFLILF DQGXQTXDQWLILDEOHLVVXHV

DQGXQHPSOR\PHQWDQGFRUUXSWLRQDUHHQGHPLF %%&QHZV$IULFD-XQH 

HFRQRPLFJURZWK KHUHDIWHUZRXOGEHXVHGLQWHUFKDQJHDEO\ZLWKWKHWHUPJURZWK LQWKH6XE

*\LPDK%UHPSRQJ 7UD\QRU)RVX H[SORUHGWKLVLQGLUHFWLQWHUDFWLRQEHWZHHQ

DQGVRFLHW\DWODUJH %ODWWPDQ $QQDQ 

WKURXJK KHDOWK XQHPSOR\PHQW ZHOIDUH DQG HQYLURQPHQWDO SROLFLQJ H[SHQGLWXUHV DQG

DVVHVVPHQWV RI FRXQWU\VSHFLILF DQG FURVVFRXQWU\ UHJLRQDO DQG FURVVUHJLRQDO JURZWK

DFFXPXODWLRQ SRSXODWLRQ JURZWK UDWH DQG H[RJHQRXVO\ GHWHUPLQHG WHFKQRORJLFDO SURJUHVV

UHOHYDQFHZLWKLQ,QWHUQDWLRQDO)LQDQFLDO,QVWLWXWLRQV ,),V GLVFRXUVHVDQGSXEOLFDWLRQV VXFK

DV81&7$'81&7$'8W]0F0LOODQ 5RGULN 7KHVHVWXGLHV

PRUHDEVWUDFWO\GHILQHG YDULDEOHVVXFKDV JRRGLQVWLWXWLRQVRSHQQHVVDQGVWUXFWXUDOFKDQJH

'LQJ .QLJKW FDSDFLW\EXLOGLQJDQGFDSDELOLW\XWLOL]DWLRQ 81&7$' 7KHVH

VRFLHW\0EDNX  DJUHHVZLWKWKLVGHILQLWLRQXVLQJWKHZRUGQRUPDOLW\WRGHILQHZKDW

LQVWDELOLW\RIJRYHUQPHQWVUHJLPHVDQGFRPPXQLWLHVZLWKLQDQDWLRQ S $OHVLQDHWDO

LQVWLWXWLRQDOLVHGSDWWHUQRIDXWKRULW\LQDQDWLRQDOSROLWLFDOV\VWHPEUHDNVGRZQ S 6R

PRUHDQLVVXHRILQGLYLGXDOFRXQWU\PDQLIHVWDWLRQVDQGZKDW-RQJ$3LQ  ZRXOGODWHU

WKLVVWXG\LVRQHSURSRVHGE\$OHVLQD 3HURWWL  LQZKLFKSROLWLFDOLQVWDELOLW\LVYLHZHG

DGRSWV D FRPSOHPHQWDU\ H[HFXWLYH SROLWLFDO LQVWDELOLW\ PHDVXUH ZKLFK FRQVLGHUV WKH

EHFDXVHWKHPRUHDWKLQJIRULQVWDQFHFROODSVHV IUHTXHQF\ LQDJLYHQREVHUYHGSHULRGWKH

SURSHUWLHVLVTXLWHDFKDOOHQJH $OHVLQD 3HUURWL%XVDUL /LWWOHZRQGHUPRVWRI

LQVWDELOLW\RQWKHILQGLQJVRI&XNLHUPDQ  LQZKLFKWZRPHDVXUHVRISROLWLFDOLQVWDELOLW\

FKDQJHVLQ JRYHUQPHQW DQGFKDQJHVLQSROLWLFDO UHJLPHKDYHGLIIHUHQWLPSDFWVRQWKHOHJDO

K\SRWKHVLV +RZHYHU WKLV LOOXVWUDWHV D JURZWKSROLWLFDO LQVWDELOLW\ UHODWLRQVKLS DQG QRW D

2QWKHRWKHUKDQGZRUNVOLNH%HOOHQWLQLHWDO  GHILQLQJSROLWLFDOVWDELOLW\DVSROLWLFDO

LQVWDELOLW\DQGJURZWKLQFOXGH&DPSRV 1XJHQW  DQG)RVX  )RVX  JLYHV

LQVWDELOLW\ UHODWLRQVKLS RU D VLPXOWDQHRXV UHODWLRQVKLS ZKLFK H[LVWV EHWZHHQ ERWK

5DWKHU FRQFOXVLYHO\ %XWNLHZLF] <DQLNND\D  DIWHU XVLQJ LQVWUXPHQWDO YDULDEOH

DQDUJXPHQWFDQEHIRXQGLQWKHZRUNRI&DYDOOR &DYDOOR  ZKHUHWKH\DUJXHWKDWOHVV

LPSOLHVLWVUROHDVLW GHPRQVWUDWHVWKH IXQFWLRQSROLWLFDOV\VWHPV DQG HQYLURQPHQWVKDYHRQ

LQVWDELOLW\ )HQJ 

5RGULFN  RSLQHVWKDWHYHQDPLOGHYLGHQFHRIXQFHUWDLQW\FDQKDYHDPDVVLYHLQIOXHQFH

JURZWK SROLWLFDO LQVWDELOLW\ DQG SK\VLFDOFDSLWDO LQYHVWPHQW DOO HQGRJHQRXVO\ GHWHUPLQHG

%ODWWPDQ  DOVRUHSRUWLQJRQ8JDQGDLQKLVVWXG\VD\VWKDWWKHLPSDFWRIDEGXFWLRQRQ

DVVHVVHVWKHLPSDFWRIFLYLOFRQIOLFWRQVFKRROLQJLQWKH7DMLNLVNDQWHUULWRU\ IRUPHUO\ RIWKH

'3, %HFNHWDO GDWDVHWV2QHVWXG\=XUHLTDW  XVHVDODFNRIGHPRFUDF\DVDQ

FODLPLVDOVRFRQILUPHGO\LPSOLHGLQWKHZRUN)HQJ  LQDPRGHOVHWZLWKKXPDQFDSLWDO

 ZLWKUHVSHFWWRGHPRFUDF\DQG JURZWKFDQQRWEHLJQRUHG 7KH\ DUJXHWKDWWKH

YDFXXP SJ &KLQDVJURZWKH[SHULHQFHIURPLVDQH[DPSOHRIZKDWDQDWPRVSKHUH

(DVWHUO\ /HYLQH  SRLQWRXWWKDW6XE6DKDUDQ$IULFDVODJJLQJJURZWKH[SHULHQFHLV

SRSXODWLRQ SK\VLFDOFDSLWDO DQG KXPDQFDSLWDO DQG WHFKQRORJLFDO SURJUHVV 7KH DGRSWHG

PRGHOLVWKXVDQH[WHQGHGPRGHORIWKDWDGRSWHGE\)RVX  7KLVPRGHOLVH[WHQGHGWR

)ROORZLQJ)RVX  DQGDVVXPLQJWKHFODVVLFDOSURGXFWLRQIXQFWLRQ

. SK\VLFDOFDSLWDO + KXPDQFDSLWDO $ WHFKQRORJLFDO OHYHO DQG / ODERXU $VVXPLQJ

/DERXU JURZVDWWKHVDPHUDWHDVWKHSRSXODWLRQJURZWKUDWHQ 05: VSHFLILHG

/HW    

LWKDVEHHQVSHFLILHGWR VXSSUHVVWKHKHWHURJHQHRXVFRPSRQHQWIROORZLQJ6HHWDQDK 5RMLG

LGHQWLI\LQJWKHSDQHOIRUL 1 SDQHOLQGLYLGXDOLGHQWLILHU DQGW 7 WLPH

)(DQG6\VWHP*00UHVSHFWLYHO\7KH*00IRUP HTXDWLRQD RIWKLVHTXDWLRQLVWKH

 %OXQGHO%RQG  HVWLPDWRU DVFLWHGE\5RRGPDQ 7KH2/6YHUVLRQRIWKH

PRGHOLVVLPSO\DVWDFNHGIRUPRIWKHVDPHPRGHO HTXDWLRQ D DVDUHVXOWWKHVXEVFULSW

EHWZHHQSROLWLFDO LQVWDELOLW\ DQG JURZWK PDNLQJ DPRGHO H[RJHQRXVO\ VSHFLILHG LQSROLWLFDO

VHFWLRQVRUSDQHO SURSHUW\RIWKHVDPSOHRIFRXQWULHVXVHGKHUH 6RWR 6RWR 

RULJLQDOFRXQWULHVIURP)RVX  7KHVDPSOHLVUHGXFHGIURPWKHRULJLQDOFRXQWULHV

EDVHGRQWKHFRXQWU\VHULHVDYDLODEOHLQWKH%DUUR /HH  HGXFDWLRQVWDWLVWLFVGDWDVHW

DOVR$LGW (WHURYLF 7KLVLVSDUWLFXODUO\ZK\ZHXVH\HDUQRQUHSHWLWLYHDYHUDJLQJ

$OWKRXJK0F+HQU\  DVUHIHUHQFHGLQ)HQJ SRLQWVRXWWKDWSROLWLFDOLQVWLWXWLRQ

ORQJHUWLPHLQWHUYDOV DVUHIHUHQFHGLQ)HQJ 7KLVFODLPLVZLGHO\VXSSRUWHGZLWKLQWKH

OLWHUDWXUH VHHDOVR7UHLVPDQ DQGKDVEHHQUHIHUUHGWRZLWKLQWKLVFRQWHQWDOUHDG\WKDW

5+6 YDULDEOHV SRSXODWLRQ JURZWK Q  SK\VLFDOFDSLWDO DFFXPXODWLRQ N  KXPDQFDSLWDO

DFFXPXODWLRQSROLWLFDOLQVWDELOLW\ 70,6376DQG'XUDELOLW\ DQGGHPRFUDF\LQRUGHUWR

VFRUH 70,6 7KLVVFRUHLVREWDLQHGE\DJJUHJDWLQJVXFFHVVIXODWWHPSWHGDQGUHSRUWHGFRXS

W\SH SJ 7KHVHZHLJKWVDUHKHOSIXOLQPDNLQJFURVVFRXQWU\FRPSDULVRQVEHFDXVHWKH\

WR 0DUVKDOO 0DUVKDOO 7KHIUHTXHQF\RIHDFKFRXSW\SHLVREWDLQHGIURP

DVFULEHVXFKGLUH FRQGLWLRQVOLNHH[WUHPHSRYHUW\WRQRQVSHFLILF DQGXQTXDQWLILDEOHLVVXHV

DQGXQHPSOR\PHQWDQGFRUUXSWLRQDUHHQGHPLF%%&QHZV$IULFD-XQH

HFRQRPLFJURZWKKHUHDIWHUZRXOGEHXVHGLQWHUFKDQJHDEO\ZLWKWKHWHUPJURZWKLQWKH6XE

*\LPDK%UHPSRQJ 7UD\QRU)RVXH[SORUHGWKLVLQGLUHFWLQWHUDFWLRQEHWZHHQ

DQGVRFLHW\DWODUJH%ODWWPDQ $QQDQ

WKURXJK KHDOWK XQHPSOR\PHQW ZHOIDUH DQG HQYLURQPHQWDO SROLFLQJ H[SHQGLWXUHV DQG

DVVHVVPHQWV RI FRXQWU\VSHFLILF DQG FURVVFRXQWU\ UHJLRQDO DQG FURVVUHJLRQDO JURZWK

DFFXPXODWLRQ SRSXODWLRQ JURZWK UDWH DQG H[RJHQRXVO\ GHWHUPLQHG WHFKQRORJLFDO SURJUHVV

UHOHYDQFHZLWKLQ,QWHUQDWLRQDO)LQDQFLDO,QVWLWXWLRQV,),VGLVFRXUVHVDQGSXEOLFDWLRQVVXFK

DV81&7$'81&7$'8W]0F0LOODQ 5RGULN7KHVHVWXGLHV

PRUHDEVWUDFWO\GHILQHG YDULDEOHVVXFKDV JRRGLQVWLWXWLRQVRSHQQHVVDQGVWUXFWXUDOFKDQJH

'LQJ .QLJKWFDSDFLW\EXLOGLQJDQGFDSDELOLW\XWLOL]DWLRQ81&7$'7KHVH

VRFLHW\0EDNXDJUHHVZLWKWKLVGHILQLWLRQXVLQJWKHZRUGQRUPDOLW\WRGHILQHZKDW

LQVWDELOLW\RIJRYHUQPHQWVUHJLPHVDQGFRPPXQLWLHVZLWKLQDQDWLRQS$OHVLQDHWDO

LQVWLWXWLRQDOLVHGSDWWHUQRIDXWKRULW\LQDQDWLRQDOSROLWLFDOV\VWHPEUHDNVGRZQS6R

PRUHDQLVVXHRILQGLYLGXDOFRXQWU\PDQLIHVWDWLRQVDQGZKDW-RQJ$3LQZRXOGODWHU

WKLVVWXG\LVRQHSURSRVHGE\$OHVLQD 3HURWWLLQZKLFKSROLWLFDOLQVWDELOLW\LVYLHZHG

EHFDXVHWKHPRUHDWKLQJIRULQVWDQFHFROODSVHVIUHTXHQF\LQDJLYHQREVHUYHGSHULRGWKH

SURSHUWLHVLVTXLWHDFKDOOHQJH$OHVLQD 3HUURWL%XVDUL/LWWOHZRQGHUPRVWRI

LQVWDELOLW\RQWKHILQGLQJVRI&XNLHUPDQLQZKLFKWZRPHDVXUHVRISROLWLFDOLQVWDELOLW\

FKDQJHVLQ JRYHUQPHQW DQGFKDQJHVLQSROLWLFDO UHJLPHKDYHGLIIHUHQWLPSDFWVRQWKHOHJDO

K\SRWKHVLV +RZHYHU WKLV LOOXVWUDWHV D JURZWKSROLWLFDO LQVWDELOLW\ UHODWLRQVKLS DQG QRW D

2QWKHRWKHUKDQGZRUNVOLNH%HOOHQWLQLHWDOGHILQLQJSROLWLFDOVWDELOLW\DVSROLWLFDO

LQVWDELOLW\DQGJURZWKLQFOXGH&DPSRV 1XJHQWDQG)RVX)RVXJLYHV

LQVWDELOLW\ UHODWLRQVKLS RU D VLPXOWDQHRXV UHODWLRQVKLS ZKLFK H[LVWV EHWZHHQ ERWK

5DWKHU FRQFOXVLYHO\ %XWNLHZLF] <DQLNND\D DIWHU XVLQJ LQVWUXPHQWDO YDULDEOH

DQDUJXPHQWFDQEHIRXQGLQWKHZRUNRI&DYDOOR &DYDOORZKHUHWKH\DUJXHWKDWOHVV

LPSOLHVLWVUROHDVLW GHPRQVWUDWHVWKH IXQFWLRQSROLWLFDOV\VWHPV DQG HQYLURQPHQWVKDYHRQ

LQVWDELOLW\)HQJ

5RGULFNRSLQHVWKDWHYHQDPLOGHYLGHQFHRIXQFHUWDLQW\FDQKDYHDPDVVLYHLQIOXHQFH

JURZWK SROLWLFDO LQVWDELOLW\ DQG SK\VLFDOFDSLWDO LQYHVWPHQW DOO HQGRJHQRXVO\ GHWHUPLQHG

%ODWWPDQDOVRUHSRUWLQJRQ8JDQGDLQKLVVWXG\VD\VWKDWWKHLPSDFWRIDEGXFWLRQRQ

'3,%HFNHWDOGDWDVHWV2QHVWXG\=XUHLTDWXVHVDODFNRIGHPRFUDF\DVDQ

FODLPLVDOVRFRQILUPHGO\LPSOLHGLQWKHZRUN)HQJLQDPRGHOVHWZLWKKXPDQFDSLWDO

ZLWKUHVSHFWWRGHPRFUDF\DQG JURZWKFDQQRWEHLJQRUHG 7KH\ DUJXHWKDWWKH

YDFXXPSJ&KLQDVJURZWKH[SHULHQFHIURPLVDQH[DPSOHRIZKDWDQDWPRVSKHUH

(DVWHUO\ /HYLQHSRLQWRXWWKDW6XE6DKDUDQ$IULFDVODJJLQJJURZWKH[SHULHQFHLV

SRSXODWLRQ SK\VLFDOFDSLWDO DQG KXPDQFDSLWDO DQG WHFKQRORJLFDO SURJUHVV 7KH DGRSWHG

PRGHOLVWKXVDQH[WHQGHGPRGHORIWKDWDGRSWHGE\)RVX7KLVPRGHOLVH[WHQGHGWR

)ROORZLQJ)RVXDQGDVVXPLQJWKHFODVVLFDOSURGXFWLRQIXQFWLRQ

. SK\VLFDOFDSLWDO + KXPDQFDSLWDO $ WHFKQRORJLFDO OHYHO DQG / ODERXU $VVXPLQJ

/DERXU JURZVDWWKHVDPHUDWHDVWKHSRSXODWLRQJURZWKUDWHQ05:VSHFLILHG

/HW

LGHQWLI\LQJWKHSDQHOIRUL 1SDQHOLQGLYLGXDOLGHQWLILHU DQGW 7WLPH

)(DQG6\VWHP00UHVSHFWLYHO\7KH00IRUPHTXDWLRQDRIWKLVHTXDWLRQLVWKH

%OXQGHO%RQGHVWLPDWRUDVFLWHGE\5RRGPDQ7KH2/6YHUVLRQRIWKH

PRGHOLVVLPSO\DVWDFNHGIRUPRIWKHVDPHPRGHOHTXDWLRQDDVDUHVXOWWKHVXEVFULSW

EHWZHHQSROLWLFDO LQVWDELOLW\ DQG JURZWK PDNLQJ DPRGHO H[RJHQRXVO\ VSHFLILHG LQSROLWLFDO

VHFWLRQVRUSDQHOSURSHUW\RIWKHVDPSOHRIFRXQWULHVXVHGKHUH6RWR6RWR

RULJLQDOFRXQWULHVIURP)RVX7KHVDPSOHLVUHGXFHGIURPWKHRULJLQDOFRXQWULHV

EDVHGRQWKHFRXQWU\VHULHVDYDLODEOHLQWKH%DUUR /HHHGXFDWLRQVWDWLVWLFVGDWDVHW

DOVR$LGW (WHURYLF7KLVLVSDUWLFXODUO\ZK\ZHXVH\HDUQRQUHSHWLWLYHDYHUDJLQJ

$OWKRXJK0F+HQU\ DVUHIHUHQFHGLQ)HQJSRLQWVRXWWKDWSROLWLFDOLQVWLWXWLRQ

ORQJHUWLPHLQWHUYDOVDVUHIHUHQFHGLQ)HQJ7KLVFODLPLVZLGHO\VXSSRUWHGZLWKLQWKH

OLWHUDWXUHVHHDOVR7UHLVPDQDQGKDVEHHQUHIHUUHGWRZLWKLQWKLVFRQWHQWDOUHDG\WKDW

5+6 YDULDEOHV SRSXODWLRQ JURZWK Q SK\VLFDOFDSLWDO DFFXPXODWLRQ N KXPDQFDSLWDO

DFFXPXODWLRQSROLWLFDOLQVWDELOLW\70,6376DQG'XUDELOLW\DQGGHPRFUDF\LQRUGHUWR

VFRUH70,67KLVVFRUHLVREWDLQHGE\DJJUHJDWLQJVXFFHVVIXODWWHPSWHGDQGUHSRUWHGFRXS

W\SHSJ7KHVHZHLJKWVDUHKHOSIXOLQPDNLQJFURVVFRXQWU\FRPSDULVRQVEHFDXVHWKH\

WR0DUVKDOO 0DUVKDOO7KHIUHTXHQF\RIHDFKFRXSW\SHLVREWDLQHGIURP

GDWDVHWFXPXODWHGRYHUWKHSHULRGIURPWR*LEQH\HWDO7RPLQLPLVHWKH

IURPWR WKH PRUHQHJDWLYHWKHREVHUYDWLRQWKHPRUHDXWRFUDWLFRUGLFWDWRULDOLWLV

WRIDFHWKHGHYDVWDWLQJEORZRISRRUO\PDQDJHGIUDJLOHSROLWLFDOV\VWHPV5RGULFN

WUDQVLWLRQV%KXWDQL RHO%KXWDQL RHOLOOXVWUDWHWKDWWKH6XE6DKDUDQ

UHVHDUFKHUVLQWKHHFRQRP\5RPHU

\ *'3 SHU FDSLWD JURZWK Q SRSXODWLRQ JURZWK N SK\VLFDOLQYHVWPHQW JURZWK K

HQWLUHWLPHSHULRG\HDUV

GHPRFUDWLFDQGWRDXWRFUDWLF5HJLPHVDSSHDUWREHTXLWHOHQJWK\RQWKHDYHUDJHDW

FDSLWDVWDFNHG JURZWKVHULHV %RWKSRLQWVDUHLQ /LEHULDRYHUWKHDQG

KXPDQDQGSK\VLFDOFDSLWDOHYHQ\HDUVDIWHU*OREDO6HFXULW\RUJ7KLVSHULRGZDVRQH

RQHRIWKHROGHVWUHSXEOLFVLQWKHFRQWLQHQW%%&QHZV$IULFD-XQH:HVHHDTXLFN

LQYROYHPHQWVFRUH70,6UHJLPHGXUDELOLW\'85$DQGSROLWLFDOWHUURUVFDOHOQ376

9$5,$%/(6 2/6 )( 6<600 2/6 )( 6<600

/T

N

K

$5SURE!]

PRGHUQL]DWLRQWKHRU\RULJLQDOO\PRYHGE\/LSVHWZKLFKSURSRVHVWKDWGHPRFUDWL]DWLRQ

/LPRQJL7KLVUHVXOWLVPDLQWDLQHGDWZRUVWDWWKHZHDNHVWOHYHORIVLJQLILFDQFH

VXSSRUWWRWKHFODLPRI%HQKDELE 6SLHJHO,QWKHLUUHVXOWVWKH\ILQGKXPDQFDSLWDO