|
on Central and Western Asia |
| By: | Jongrim Ha; M. Ayhan Kose; Franziska Ohnsorge |
| Abstract: | This paper introduces a global database that contains inflation series: (i) for a wide range of inflation measures (headline, food, energy, and core consumer price inflation; producer price inflation; and gross domestic product deflator changes); (ii) at multiple frequencies (monthly, quarterly and annual) for an extended time period (1970-2021); and (iii) for a large number of (up to 196) countries. As it doubles the number of observations over the next-largest publicly available sources, our database constitutes a comprehensive, single source for inflation series. We illustrate the potential use of the database with three applications. First, we study the evolution of inflation since 1970 and document the broad-based disinflation around the world over the past half-century, with global consumer price inflation down from a peak of roughly 17 percent in 1974 to 2.5 percent in 2020. Second, we examine the behavior of inflation during global recessions. Global inflation fell sharply (on average by 0.9 percentage points) in the year to the trough of global recessions and continued to decline even as recoveries got underway. In 2020, inflation declined less, and more briefly, than in any of the previous four global recessions over the past 50 years. Third, we analyze the role of common factors in explaining movements in different measures of inflation. While, across all inflation measures, inflation synchronization has risen since the early 2000s, it has been much higher for inflation measures that involve a larger share of tradable goods. |
| Keywords: | Prices, global inflation, deflation, inflation synchronization, global factor |
| JEL: | E30 E31 F42 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:een:camaaa:2021-59&r= |
| By: | Dean Spears (University of Texas at Austin [Austin], Indian Statistical Institute [New Delhi], IZA - Forschungsinstitut zur Zukunft der Arbeit - Institute of Labor Economics, IFFS - Institute for Futures Studies); Stéphane Zuber (PSE - Paris School of Economics - ENPC - École des Ponts ParisTech - ENS Paris - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique - EHESS - École des hautes études en sciences sociales - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, CNRS - Centre National de la Recherche Scientifique, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique) |
| Abstract: | Utilitarianism is the most prominent family of social welfare functions. We present three new axiomatic characterizations of utilitarian (that is, additively separable) social welfare functions in a setting where there is risk over both population size and the welfares of individuals. First, we show that, given uncontroversial basic axioms, Blackorby et al.'s (1998) Expected Critical-Level Generalized Utilitarianism (ECLGU) is equivalent to a new axiom holding that it is better to allocate higher utility-conditional-on-existence to possible people who have a higher probability of existence. The other two novel characterizations extend classic axiomatizations of utilitarianism from settings with either social risk or variable-population, considered alone. By considering both social risk and variable population together, we clarify the fundamental normative considerations underlying utilitarian policy evaluation. |
| Keywords: | Social risk,population ethics,utilitarianism,expected critical-level generalized utilitarianism,prioritarianism |
| Date: | 2021–05 |
| URL: | http://d.repec.org/n?u=RePEc:hal:cesptp:halshs-03287583&r= |
| By: | Lorenzo Esposito (Dipartimento di Politica Economica, DISCE, Università Cattolica del Sacro Cuore – Banca d'Italia, Milano); Lorenzo Marrese (DISCE, Università Cattolica del Sacro Cuore) |
| Abstract: | Results of behavioral economics pose a strong challenge to mainstream finance theory conclusions. We discuss, theoretically and empirically, the connections of cognitive skills, biases and financial decisions using the Cognitive Reflection Test (Frederick, 2005). In particular, we have chosen overconfidence, risk aversion, bandwagon effect, time preference and money illusion, among the biases most discussed in the literature. The experiment we conducted confirmed a role of the cognitive skills in determining the decision mechanism of the investor although not neatly, especially for more complex biases, such as money illusion. Finally, we expose policy alternatives, focusing on the role of financial education to tackle cognitive biases in finance and monetary policy. |
| Keywords: | cognitive biases, financial education, behavioral economics, CRT |
| JEL: | G41 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:ctc:serie5:dipe0019&r= |
| By: | Marc J Melitz (Harvard University); Stephen J Redding (Princeton University, CEPR, NBER) |
| Abstract: | Two central insights from the Schumpeterian approach to innovation and growth are that the pace of innovation is endogenously determined by the expectation of future profits and that growth is inherently a process of creative destruction. As international trade is a key determinant of firm profitability and survival, it is natural to expect it to play a key role in shaping both incentives to innovate and the rate of creative destruction. In this paper, we review the theoretical and empirical literature on trade and innovation. We highlight four key mechanisms through which international trade affects endogenous innovation and growth: (i) market size; (ii) competition; (iii) comparative advantage; (iv) knowledge spillovers. Each of these mechanisms offers a potential source of dynamic welfare gains in addition to the static welfare gains from trade from conventional trade theory. Recent research has suggested that these dynamic welfare gains from trade can be substantial relative to their static counterparts.Discriminating between alternative mechanisms for these dynamic welfare gains and strengthening the evidence on their quantitative magnitude remain exciting areas of ongoing research. |
| JEL: | F13 O31 |
| Date: | 2020–06 |
| URL: | http://d.repec.org/n?u=RePEc:pri:cepsud:288&r= |
| By: | Firmin Doko Tchatoka; Qazi Haque |
| Abstract: | We shed new light on the effects of monetary policy shocks in the US. Gertler and Karadi (2015) suggest that movements in credit costs may result in substantial impact of monetary policy shocks on economic activity. Using the proxy SVAR framework, we show that once the Volcker disinflation period is left out and one focuses on the post-1984 period, monetary policy shocks have no significant effects on output, despite large movements in credit costs. Our finding is robust to weak identification and alternative measure of economic activity. |
| Keywords: | Monetary policy shocks, Proxy-SVAR, Weak identification, Output Dynamics |
| JEL: | E31 E32 E43 E44 E52 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:een:camaaa:2021-61&r= |
| By: | van Buggenum, Hugo (Tilburg University, Center For Economic Research) |
| Keywords: | inside and outside money; Risk; policy; Investment; new monetarism |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:tiu:tiucen:daabe114-81fa-44fc-aafd-b6120e730c7d&r= |
| By: | Kevin André Pineda Hernandez; François Rycx; Mélanie Volral |
| Abstract: | Although many studies point to the significant influence of collective bargaining institutions on earnings inequalities, evidence on how these institutions shape poverty rates across developed economies remains surprisingly scarce. It would be a mistake, though, to believe that the relationship between earnings inequalities and poverty is straightforward. Indeed, whereas earnings inequalities are measured at the individual level, poverty is calculated at the household level using equivalised (disposable) incomes. Accordingly, in most developed countries poverty is not primarily an issue of the working poor. This paper explicitly addresses the relationship between collective bargaining systems and working-age poverty rates in 24 developed countries over the period 1990-2015. Using an up-to-date and fine-grained taxonomy of bargaining systems and relying on state-of-the-art panel data estimation techniques, we find that countries with more centralised and/or coordinated bargaining systems display significantly lower working-age poverty rates than countries with largely or fully decentralised systems. However, this result only holds in a post-tax benefit scenario. Controlling for country-fixed effects and endogeneity, our estimates indeed suggest that the poverty-reducing effect of collective bargaining institutions stems from the political strength of trade unions in promoting public social spending rather than from any direct effect on earnings inequalities. |
| Keywords: | Collective bargaining systems; Poverty rates; Social security expenditures; Panel data; Advanced economies |
| JEL: | C23 C26 I32 I38 J51 J52 |
| Date: | 2021–07–26 |
| URL: | http://d.repec.org/n?u=RePEc:sol:wpaper:2013/328359&r= |
| By: | Niklas Uliczka |
| Abstract: | Each successfully completed M&A transaction generates lucrative income opportunities to specific parties involved in deal-making due to compensation mechanisms linked to the transaction value. In theory, this transactional channel of M&A activity might relate to income inequality. The main objective of this study is to provide the first empirical analysis on the relationship between M&A and income shares at the very top of the income distribution. Using an unbalanced panel design with country-year observations from 46 countries allows exploiting cross-sectional along with temporal variation. Methodologically, the Driscoll and Kraay estimator is applied as it is heteroskedasticityconsistent and robust to nonparametric forms of serial and cross-sectional dependence. This study finds statistical evidence for a positive and non-linear association pattern between changes in M&A activity and changes in top income shares, indicating pro-rich effects. Additionally, periods of systematic banking crises significantly intensify the relationship between M&A activity and increasing income concentration. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:toh:tupdaa:5&r= |
| By: | Coenen, Günter; Montes-Galdón, Carlos; Schmidt, Sebastian |
| Abstract: | The secular decline in the equilibrium real interest rate observed over the past decades has materially limited the room for policy-rate reductions in recessions, and has led to a marked increase in the incidence of episodes where policy rates are likely to be at, or near, the effective lower bound on nominal interest rates. Using the ECB's New Area-Wide Model, we show that, if unaddressed, the effective lower bound can cause substantial costs in terms of worsened macroeconomic performance, as reflected in negative biases in inflation and economic activity, as well as heightened macroeconomic volatility. These costs can be mitigated by the use of nonstandard instruments, notably the joint use of interest-rate forward guidance and large-scale asset purchases. When considering alternatives to inflation targeting, we find that make-up strategies such as price-level targeting and average-inflation targeting can, if they are well-understood by the private sector, largely undo the negative biases and heightened volatility induced by the effective lower bound. JEL Classification: E31, E32, E37, E52, E58 |
| Keywords: | asset purchases, effective lower bound, forward guidance, make-up strategies, monetary policy |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20212572&r= |
| By: | Joan-Ramon Borrell (Universitat de Barcelona.); Carlos Suarez (Universidad Jorge Tadeo Lozano, Universitat Barcelona.) |
| Abstract: | In this paper, we propose a mixed duopoly model in which the public company aims to maximize a weighted function of profits and a function of its production scale. We found that if the weight to the scale of production is high the public firms may exclude its rivals from the market (exercising predatory prices). We also find that the profit sacrifice by the public firm to get this exclusion is higher if there are marked differences between the cost efficiency of private and public firms. |
| Keywords: | Mixed Oligopoly, Predatory prices, Public firm. JEL classification: L13, L94, C10. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:ira:wpaper:202116&r= |
| By: | Afees A. Salisu (Centre for Econometric & Allied Research, University of Ibadan, Ibadan, Nigeria; Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa); Rangan Gupta (Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa); Abeeb Olaniran (Centre for Econometric & Allied Research, University of Ibadan, Ibadan, Nigeria) |
| Abstract: | In this paper, we investigate the effect of oil price uncertainty shock on real Gross Domestic Product (GDP) of 33 developed and emerging economies using the Global Vector Autoregressive (VAR) framework that allows us to capture the transmission of global shocks while simultaneously accounting for distinct characteristics of individual countries. Utilizing quarterly data over the period of 1980Q1 to 2019Q2, we show that, in general, oil price uncertainty shock has a statistically significant negative impact on GDP for 28 out of the 33 countries, but with varying magnitude and persistence. Overall though, we find the adverse effect on real GDP to be relatively stronger for the developed group of countries than the emerging ones. Hence, our results suggest that policymakers must be ready to undertake expansionary policies (of varying order) in the wake of an oil price uncertainty shock to prevent deep recessions, except in the cases of Norway, Philippines and Saudi Arabia, for which output tends to increase in a statistically significant manner. |
| Keywords: | Oil price uncertainty shock, Real GDP, GVAR |
| JEL: | C32 E32 Q02 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:pre:wpaper:202153&r= |
| By: | Subash Sasidharan; Ketan Reddy (Indian Institute of Technology Madras, Chennai, India) |
| Abstract: | This study investigates the role of digital infrastructure in shaping the global value chain (GVC) participation of Indian manufacturing firms. To examine the digitalisation and GVC nexus, a rich, firm-level, unbalanced panel of 4,875 manufacturing firms from the past 2 decades is employed to detail the rising importance of digital infrastructure in the Indian context and then to examine empirically the relationship between digitalisation and GVCs. Employing a logit model, a positive, significant impact of digitalisation is found regarding firms’ GVC participation. Further, subsample results highlight that digitalisation promotes integration of small firms and firms from low-technology industries into the GVC. The findings of the analysis are robust to alternate measures of the GVCs. |
| Keywords: | digitalisation, Indian manufaturing, global value chain margins, difference-in-difference |
| JEL: | F14 F15 L86 O14 |
| Date: | 2021–06–01 |
| URL: | http://d.repec.org/n?u=RePEc:era:wpaper:dp-2021-09&r= |
| By: | Poutré, Cédric (Université de Montréal); Dionne, Georges (HEC Montreal, Canada Research Chair in Risk Management); Yergeau, Gabriel (HEC Montreal, Canada Research Chair in Risk Management) |
| Abstract: | We explore latency arbitrage activities with a new arbitrage strategy that we test with high-frequency data during the first six months of 2019. We study the profitability of mean-reverting arbitrage activities of 74 cross-listed stocks involving three exchanges in Canada and the United States. Our arbitrage strategy is a hybrid between triangular arbitrage and pairs trading. We synchronize the high-frequency data feeds from the three exchange venues considering explicitly the latency that comes from the transportation of information between the exchanges and its treatment time. Other trading costs and arbitrage risks are also considered. The annual net profit of an HFT firm that uses limit orders is around CAD $8 million (USD $6 million), a result that we consider reasonable when compared with the previous literature. International latency arbitrage with market orders is never profitable. |
| Keywords: | Latency arbitrage; cross-listed stock; high-frequency trading; limit order; market order; synthetic hedging instrument; mean-reverting arbitrage; international arbitrage; supervised machine learning |
| JEL: | G02 G10 G11 G14 G15 G22 |
| Date: | 2021–07–20 |
| URL: | http://d.repec.org/n?u=RePEc:ris:crcrmw:2021_004&r= |
| By: | Yukihiro NISHIMURA (Graduate School of Economics, Osaka University); Jean HINDRIKS |
| Abstract: | Minimum taxation means that if a multinational enterprise (MNE) declares its operations in a jurisdiction taxing less than the minimum tax, the countries where the real economic activity takes place would have the right to tax the difference. There is a revival of the minimum tax standard for two reasons. First, there is concern about the complexity of assigning taxing rights and the effectiveness of profit-splitting rules in eliminating profit shifting. Second, the minimum tax standard has the merit of tackling multinational tax avoidance at its root. However, this argument ignores the strategic interaction between minimum taxation and tax compliance. Building upon Hindriks and Nishimura (2021), we develop a framework in which effective international tax compliance requires enforcement coordination between countries (e.g. exchange of information). We show that under sufficient market asymmetry (translating into the tax differential), minimum taxation may induce the low-tax countries to withdraw from international tax compliance agreements. We then show that such a breakdown of cooperation can make the high-tax country worse off compared to the absence of minimum taxation. |
| Keywords: | Profit shifting; Tax competition; Tax enforcement; |
| JEL: | C72 F23 F68 H25 H87 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:osk:wpaper:2110&r= |
| By: | Sarwal, Rakesh; Prasad, Urvashi; Gopal, K. Madan; Kalal, Shoyabahmed; Kaur, Deepyot; Kumar, Anurag; Regy, Prasanth; Sharma, Jitendra |
| Abstract: | India’s healthcare industry has been growing at a Compound Annual Growth Rate of around 22% since 2016. At this rate, it is expected to reach USD 372 Billion in 2022. Healthcare has become one of the largest sectors of the Indian economy, in terms of both revenue and employment. In 2015, the healthcare sector became the fifth largest employer, employing 4.7 Million people directly. As per estimates by the National Skill Development Corporation (NSDC) healthcare can generate 2.7 Million additional jobs in India between 2017-22 -- over 500,000 new jobs per year. India’s healthcare industry comprises hospitals, medical devices and equipment, health insurance, clinical trials, telemedicine and medical tourism. These market segments are expected to diversify as an ageing population with a growing middle class increasingly favours preventative healthcare. Moreover, the rising proportion of lifestyle diseases caused by high cholesterol, high blood pressure, obesity, poor diet and alcohol consumption in urban areas is boosting demand for specialised care services. In addition to these demographic and epidemiological trends, COVID-19 is likely to catalyse long-term changes in attitudes towards personal health and hygiene, health insurance, fitness and nutrition as well as health monitoring and medical check-ups. The pandemic has also accelerated the adoption of digital technologies, including telemedicine. Further, there is a growing emphasis on and emergence of Public-Private Partnership models in India’s healthcare sector. The country’s relative cost competitiveness and availability of skilled labour are also making it an increasingly favoured destination for Medical Value Travel. On the policy front, the Indian Government is undertaking deep structural and sustained reforms to strengthen the healthcare sector; it has also announced conducive policies for encouraging Foreign Direct Investment (FDI). In fact, India’s FDI regime has been liberalised extensively. Currently, FDI is permitted up to 100% under the automatic route (i.e., the non resident investor or Indian company does not require approval from the Government of India for the investment) in the hospital sector and in the manufacture of medical devices. In the pharmaceutical sector, FDI is permitted up to 100% in greenfield projects and 74% in brownfield projects under the automatic route. India has emerged as one of the fastest-growing emerging economies over the last two decades, receiving large FDI inflows, which have grown from USD 2.5 Billion in 2000-01 to USD 50 Billion in 2019-20. The healthcare sector, in particular, has received heightened interest from investors over the last few years, with the transaction value increasing from USD 94 Million (2011) to USD 1,275 Million (2016) – a jump of over 13.5 times. All of these factors together create several opportunities for investment in India’s healthcare industry. |
| Date: | 2021–07–06 |
| URL: | http://d.repec.org/n?u=RePEc:osf:osfxxx:rtup2&r= |
| By: | Metaxas, Theodore; Folinas, Sotiris |
| Abstract: | This article aims to explore and document the relationship between forms of alternative tourism and economic development. More specifically, the subject of this investigation will be whether a small national economy is able to rely wholly or largely on tourist flows as a source of income and even to invest in a single type of tourism. Alternative forms of tourism, gaming tourism as well as the features of territorially limited countries and how they are linked to the case of Macao will also be objects of study and annotation. With the process of text production through scientific articles, statistical data, and reliable databases, this article attempts to satisfy the investigated relationship as well as the stemming questions. |
| Keywords: | gaming tourism; tourism-based development; regional development; small island developing states; Macao. |
| JEL: | L83 |
| Date: | 2021–02–28 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:107464&r= |
| By: | Xunpeng Shi (Australia–China Relations Institute, University of Technology Sydney, Australia); Tsun Se Cheong (Department of Economics and Finance, The Hang Seng University of Hong Kong, Hong Kong); Michael Zhou (Australia–China Relations Institute, University of Technology Sydney, Australia) |
| Abstract: | This study examines the debates on supply chain resilience and the economic and emissions impact of supply chain rerouting using Australia and China trade as an example. The estimations demonstrate that, in both export and import cases, a trade embargo between Australia and China, despite being compensated by alternative supply chains, will cause gross domestic product loss and emissions increases for both countries. Moreover, even if all other countries gain from the markets left by China, many of them suffer from overall gross domestic product loss and emissions increase. The findings that ASEAN and China may also suffer from an Australia–China trade embargo, despite a gain in trade volume, suggests that no country should add fuel to the fire. The results suggest that countries need to defend rules-based trading regimes and continuously promote regional economic integration. |
| Keywords: | COVID-19; supply chain; global value chain; economic integration; Australia; China |
| JEL: | F18 Q56 |
| Date: | 2021–07–07 |
| URL: | http://d.repec.org/n?u=RePEc:era:wpaper:dp-2021-20&r= |
| By: | Peter Andre; Armin Falk |
| Abstract: | We document economists’ opinions about what is worth knowing and ask (i) which research objectives economic research should embrace and (ii) which topics it should study. Almost 10,000 economic researchers from all fields and ranks of the profession participated in our global survey. Detailed bibliometric data show that our sample represents the population of economic researchers who publish in English. We report three main findings. First, economists’ opinions are vastly heterogeneous. Second, most researchers are dissatisfied with the status quo, in terms of both research topics and objectives. Third, on average, respondents think that economic research should become more policy-relevant, multidisciplinary, risky and disruptive, and pursue more diverse topics. We also find that dissatisfaction with the status quo is more prevalent among female scholars and associated with lower job satisfaction and higher stress levels. Taken together, the results suggest that economics as a field does not appreciate and work on what economists collectively prefer. |
| JEL: | A11 A14 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:bon:boncrc:crctr224_2021_308&r= |
| By: | Minh-Lý Liêu (University of Paderborn) |
| Abstract: | Social trading platforms allow investors to interact with each other. This paper studies the impact of peer attention on social trading platforms on investors' disposition effect. Using a difference-in-differences approach, I find a significant increase in the disposition effect when investors receive attention from their peers. This disposition effect increases as the number of other investors distributing likes to one another's trading decisions increases. This effect is driven both by holding on to losing positions longer and by closing winning positions faster. This finding may be explained by social facilitation theory. In the presence of others, investors want to achieve superior outcomes and limit their losses. |
| Keywords: | Social trading, transparency, disposition effect, online trading platforms. |
| JEL: | D14 G11 G23 G24 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:pdn:dispap:81&r= |
| By: | Antonino Claudio Bonan (ARPAV - Agenzia Regionale per la Prevenzione e la Protezione Ambientale del Veneto) |
| Abstract: | In economy, viewed as a quantum system working as a circuit, each process at the microscale is a quantum gate among agents. The global configuration of economy is addressed by optimizing the sustainability of the whole circuit. This is done in terms of geodesics, starting from some approximations. A similar yet somehow different approach is applied for the closed system of the whole and for economy as an open system. Computations may partly be explicit, especially when the reality is represented in a simplified way. The circuit can be also optimized by minimizing its complexity, with a partly similar formalism, yet generally not along the same paths. |
| Keywords: | Geometric optimization,Econophysics,Quantum economics,Quantum computation |
| Date: | 2021–07–20 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-03291997&r= |
| By: | Lili Yan Ing (Economic Research Institute for ASEAN and East Asia (ERIA)); Gracia Hadiwidjaja (World Bank) |
| Abstract: | While East Asia has been moving forward with its regional integration agenda, one main challenge remains and is growing – non-tariff measures (NTMs). Animal, vegetable, and food products tend to be more regulated than other products, largely due to quality and safety standards. NTMs affect 66%–98% of total trade in those sectors. Our paper presents the frequency index, coverage ratio, and prevalence score to measure NTMs in the region. They are highest amongst food, vegetable, and animal products; and vary amongst other products, depending on the economy. We find that the high frequency index of NTMs does not necessarily translate to a high value of coverage ratio for trade. One explanation could be that countries tend to regulate imported goods which compete with the domestic products more than imported goods which they need. |
| Keywords: | East Asia, tariff, non-tariff measures, RCEP, WTO |
| JEL: | F F13 F14 F15 |
| Date: | 2021–07–11 |
| URL: | http://d.repec.org/n?u=RePEc:era:wpaper:dp-2021-21&r= |
| By: | Longbing Cao |
| Abstract: | AI in finance broadly refers to the applications of AI techniques in financial businesses. This area has been lasting for decades with both classic and modern AI techniques applied to increasingly broader areas of finance, economy and society. In contrast to either discussing the problems, aspects and opportunities of finance that have benefited from specific AI techniques and in particular some new-generation AI and data science (AIDS) areas or reviewing the progress of applying specific techniques to resolving certain financial problems, this review offers a comprehensive and dense roadmap of the overwhelming challenges, techniques and opportunities of AI research in finance over the past decades. The landscapes and challenges of financial businesses and data are firstly outlined, followed by a comprehensive categorization and a dense overview of the decades of AI research in finance. We then structure and illustrate the data-driven analytics and learning of financial businesses and data. The comparison, criticism and discussion of classic vs. modern AI techniques for finance are followed. Lastly, open issues and opportunities address future AI-empowered finance and finance-motivated AI research. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2107.09051&r= |
| By: | Jongrim Ha; M. Ayhan Kose; Franziska Ohnsorge |
| Abstract: | We analyze the evolution and drivers of inflation during the pandemic and the likely trajectory of inflation in the near-term using an event study of inflation around global recessions and a factor-augmented vector auto-regression (FAVAR) model. We report three main results. First, the decline in global inflation during the 2020 global recession was the most muted and shortest-lived of any of the five global recessions over the past 50 years and the increase in inflation since May 2020 has been the fastest. Second, the decline in global inflation from January-May 2020 was four-fifths driven by the collapse in global demand and another one-fifth driven by plunging oil prices, with some offsetting inflationary pressures from supply disruptions. The subsequent surge in inflation has been mostly driven by a sharp increase in global demand. Third, both model-based forecasts and current inflation expectations point to an increase in inflation for 2021 of just over 1 percentage point. For virtually all advanced economies and one-half of inflation-targeting emerging market and developing economies (EMDEs), an increase of this magnitude would leave inflation within target ranges. If the increase is temporary and inflation expectations remain well-anchored, it may not warrant a monetary policy response. If, however, inflation expectations risk becoming unanchored, EMDE central banks may be compelled to tighten monetary policy before the recovery is fully entrenched. |
| Keywords: | Global Inflation, COVID-19, Global Recession, FAVAR, Oil Prices, Global Shocks |
| JEL: | E31 E32 Q43 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:een:camaaa:2021-58&r= |
| By: | François Gardes (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique) |
| Abstract: | Using a generalization of Becker's time allocation model in order to estimate the shadow price of time, we explore the relationship between the inter-temporal substitution rate and the opportunity cost of time, allowing the endogenization of the time preference from the estimation of the value of time. |
| Keywords: | Time Allocation,Inter-temporal substitution rate,psychological rate of interest,Opportunity cost of time |
| Date: | 2021–03–09 |
| URL: | http://d.repec.org/n?u=RePEc:hal:cesptp:halshs-03289200&r= |
| By: | Yadav, Sandeep; Srivastava, Jagriti |
| Abstract: | Purpose - COVID-19 induced uncertainty in the firms’ business transactions, product-market competition and financial market cause severe organizational legitimacy crisis. Using the organizational legitimacy perspective, we study the relationship between corporate social responsibility (CSR) activities, audit quality, and firm performance. Design/methodology/approach – We use a quarterly panel of 89,185 firm observations (15,955 unique firms) from 131 countries from July 2018 to December 2020 for 10 quarters. We use a Difference-in-Difference (DiD) method to estimate the effect of CSR activities and audit quality on firm performance during the COVID-19 period. Findings - We find a U-shaped relationship between CSR and firm performance. This relationship is strengthened during COVID-19. In contrast, we find an inverted U-shaped relationship between firm audit quality (audit fee) and firm performance. However, this relationship is weakened during the pandemic. Originality/value – Our study makes important contributions to theory and practice on maintaining organizational legitimacy during the pandemic. During the crisis, managers need to focus on strategies increasing firm value for the time period. This study shows that firms’ temporal legitimacy gaining practices such as CSR activities and audit quality provides an opportunity to increase firm value. Firm managers also need to identify the optimal level of CSR activities and audit fees to balance the cost of agency and the benefits of legitimacy. |
| Keywords: | CSR, audit quality, COVID-19, firm performance, organizational legitimacy |
| JEL: | M14 M42 |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:108967&r= |
| By: | Humberto Barreto (Department of Economics and Management, DePauw University) |
| Abstract: | Teaching introductory economics is difficult because students often do not have the terminology and tools needed to understand economics concepts and models. To communicate these ideas, the successful principles instructor must prioritize concreteness and avoid abstraction. Spreadsheets offer clear visual displays of data and theoretical results, making them a natural way to teach introductory economics and develop true competency. Two Excel add-ins, FRED and Solver, are highlighted in examples that can be integrated easily into any principles of microeconomics course. A macro-enabled workbook to introduce the idea of emergent order is provided (http://academic.depauw.edu/~hbarreto/working/LangtonsAnt/LangtonsAnt.xlsm) and a few online resources for teaching with spreadsheets are also mentioned. Integrating spreadsheet-based pedagogy into a principles of microeconomics course will improve learning outcomes. |
| Keywords: | spreadsheet, FRED, Solver, add-in, data, optimization |
| JEL: | A2 C0 D0 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:dew:wpaper:2021-01&r= |
| By: | Vadim O. Grishchenko (Research and Forecasting Department, Bank of Russia); Alexander Mihailov (Department of Economics, University of Reading); Vasily N. Tkachev (International Finance Department, Moscow State University of International Relations (MGIMO- University)) |
| Abstract: | For decades, the monetary economics literature has considered multiple deposit expansion via the money multiplier logic as empirically corroborated. However, the developments witnessed in advanced economies since the Global Financial Crisis challenged this settled view, and central banks as well as the Bank for International Settlements were among the first to openly reconsider it. In this paper, we revisit the issue empirically, but in a way aligned with a 'narrative' context of the evolving institutional frameworks for banking activities and monetary policy that profoundly and ultimately shape it out. Using a vector autoregression model estimated on Russian monthly data over two subsamples, 2005-2012 and 2012-2019, we find robust evidence that, while multiple deposit expansion may have existed in underdeveloped financial systems in the past, where the volume of lending was limited by the supply of bank reserves, nowadays lending is constrained mainly by the demand for credit. The key explanations we propose are: the rapid rise of money markets in the 20th- 21st centuries, the unlimited access to central bank liquidity provision facilities, and the evolution of bank management from the 'golden rule' of banking, where liquidity gaps aim at zero, to Asset and Liability Management, where banks flexibly manage liquidity gaps. Our results robustly show that the influence on real money balances of money supply factors, such as bank reserve requirements and the real monetary base, has become statistically insignificant over the recent decade in Russia, while that of money demand factors, such as the nominal interest rate, has remained significant and negative, which is consistent with the economic intuition we have suggested. |
| Keywords: | multiple deposit expansion, money multiplier, supply of bank reserves, demand for credit, evolution of bank management, monetary policy, Russia |
| JEL: | E41 E42 E44 E51 E58 G21 |
| Date: | 2021–08–03 |
| URL: | http://d.repec.org/n?u=RePEc:rdg:emxxdp:em-dp2021-15&r= |
| By: | Shubham Ekapure; Nuruddin Jiruwala; Sohan Patnaik; Indranil SenGupta |
| Abstract: | In this paper, we implement a combination of technical analysis and machine/deep learning-based analysis to build a trend classification model. The goal of the paper is to apprehend short-term market movement, and incorporate it to improve the underlying stochastic model. Also, the analysis presented in this paper can be implemented in a \emph{model-independent} fashion. We execute a data-science-driven technique that makes short-term forecasts dependent on the price trends of current stock market data. Based on the analysis, three different labels are generated for a data set: $+1$ (buy signal), $0$ (hold signal), or $-1$ (sell signal). We propose a detailed analysis of four major stocks- Amazon, Apple, Google, and Microsoft. We implement various technical indicators to label the data set according to the trend and train various models for trend estimation. Statistical analysis of the outputs and classification results are obtained. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2107.14695&r= |
| By: | Markus Eberhardt; Andrea F. Presbitero |
| Abstract: | Commodity prices are one of the most important drivers of output fluctuations in developing countries. We show that a major channel through which commodity price movements can affect the real economy is through their effect on banks' balance sheets and financial stability. Our analysis finds that the volatility of commodity prices is a significant predictor of banking crises in a sample of 60 low-income countries (LICs). In contrast to recent findings for advanced and emerging economies, credit booms and capital inflows do not play a significant role in predicting banking crises, consistent with a lack of de facto financial liberalization in LICs. We corroborate our main findings with historical data for 40 'peripheral' economies between 1848 and 1938. The effect of commodity price volatility on banking crises is concentrated in LICs with a fixed exchange rate regime and a high share of primary goods in production. We also find that commodity price volatility is likely to trigger financial instability through a reduction in government revenues and a shortening of sovereign debt maturity, which are likely to weaken banks' balance sheets. |
| Keywords: | banking crises, commodity prices, volatility, low income countries |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:not:notcfc:2021/02&r= |
| By: | Kevin Ankney (Department of Economics, Georgetown University) |
| Abstract: | The “energy efficiency gap” is a puzzle characterized by consumer under-investment in energy efficient products (e.g., hybrid vehicles), whose higher upfront cost is offset by future energy savings. One common but empirically unsubstantiated explanation for the gap is that credit constraints – prohibitively high borrowing costs or a lack of access to credit – hinder consumers’ ability to make energy efficiency investments. This paper provides the first direct evidence of the relationship between credit constraints and fuel economy demand in the U.S. new vehicle market. On average, increasing a consumer’s auto loan interest rate from 2% to 5% APR is associated with a 0.09 MPG decrease in purchased fuel economy. For a typical auto loan, this corresponds to $2,313 in additional interest paid, but only $86 in lifetime fuel cost savings lost. This disparity calls into question the suggestion that credit constraints are a meaningful contributor to the energy efficiency gap. Classification-D12, Q58 |
| Keywords: | credit constraints, fuel economy standards, passenger vehicles, energy efficiency |
| Date: | 2021–07–12 |
| URL: | http://d.repec.org/n?u=RePEc:geo:guwopa:gueconwpa~21-21-17&r= |
| By: | Robert Merl (Institute of Banking and Finance, University of Graz) |
| Abstract: | Many researchers have conducted experiments to study different aspects of insider trading. Experimental laboratory asset markets allow the researcher to control parameters that are impossible to control or even measure in empirical data (e.g., fundamental value of the asset, quality and quantity of information traders receive). This paper provides an exhaustive overview of the results from experimental economics on asset markets with asymmetrically informed participants. |
| Date: | 2021–07–26 |
| URL: | http://d.repec.org/n?u=RePEc:grz:wpsses:2021-04&r= |
| By: | Fernando Barros; Fabio Gomes; Andre Luduvice |
| Abstract: | How can we measure the welfare benefit of ongoing stabilization? We develop a methodology to calculate the welfare cost of business cycles taking into account that observed consumption is partially smoothed. We propose a decomposition that disentangles consumption in a mix of laissez-faire (absent policies) and riskless components. With a novel identification strategy, we estimate the span of stabilization power. Our results show that the welfare cost of total fluctuations is 5.81 percent of lifetime consumption, in which 80 percent is smoothed by the status quo, yielding a residual 1.05 percent to be tackled by policy. |
| Keywords: | business cycles; consumption; stabilization; macroeconomic history |
| JEL: | E32 E21 E63 N10 |
| Date: | 2021–07–30 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedcwq:92917&r= |
| By: | Audra Bowlus; Lance Lochner; Chris Robinson; Eda Suleymanoglu |
| Abstract: | The canonical supply-demand model of the wage returns to skill has been extremely influential; however, it has faced several important challenges. Several studies show that the standard approach sometimes produces theoretically wrong-signed elasticities of substitution, yields counterintuitive paths for skill-biased technical change (SBTC), and does not account for the observed deviations in college premia for younger vs. older workers. This paper shows that these failings can be explained by mis-measurement of relative skill prices and supplies (based on standard demographic composition-adjustments) and by inadequate ad hoc functional form assumptions about the path for SBTC. Improved estimates of skill prices and supplies that account for variation in skill across cohorts within narrowly defined groups help explain the observed deviation in the college premium for younger vs. older workers, even with perfect substitutability across age. Re-estimating the model with these prices and supplies produces a good fit with better out-of-sample prediction and robustly yields positive elasticities of substitution between high and low skill workers. The estimates suggest greater substitutability across skill and a more modest role for SBTC. We implement two new approaches to modelling SBTC. First, we study the extent to which recessions induce jumps or trend-adjustments in skill bias and find evidence that both features are important (but differ across recessions). Second, we link SBTC to direct measures of information technology investment expenditures and show that these measures explain the evolution of skill bias quite well. Together, these approaches suggest that the ad hoc assumptions for SBTC previously employed in the literature are too crude to fit the data well, leading to the incorrect conclusion that SBTC slowed during the early-1990s and under-estimates of the elasticity of substitution between high and low skill workers. |
| Keywords: | skills, human capital, college, skill-biased technical change, wage premium |
| JEL: | E24 J24 J31 O33 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_9212&r= |
| By: | Suss, Joel (Bank of England); Angeli, Marilena (Bank of England); Eckley, Peter (Bank of England) |
| Abstract: | Using a novel regulatory dataset, we study board and senior manager diversity of gender, age and nationality in UK banks. Gender diversity increased steadily over the last two decades, albeit from a very low base and to only 20% by the end of 2020. Moreover, we find evidence of a ‘glass ceiling’, with the proportion of females increasing more slowly in the most influential roles. Age and nationality diversity changed less over time. Empirical results suggest that gender and nationality diversity are related to positive risk and performance outcomes, whereas the reverse is true for age diversity. However, these findings are derived from analysing differences between banks, which exhibit substantially more variation than changes in diversity within banks over time. When we only exploit variation in diversity within banks, we do not find any relationship between diversity and outcomes. |
| Keywords: | Diversity; bank risk; supervision |
| JEL: | G21 M14 |
| Date: | 2021–07–07 |
| URL: | http://d.repec.org/n?u=RePEc:boe:boeewp:0929&r= |
| By: | Tara M. Sinclair; Zhoudan Xie |
| Abstract: | Regulatory policy can create economic and social benefits, but poorly designed or excessive regulation may generate substantial adverse effects on the economy. In this paper, we present measures of sentiment and uncertainty about regulation in the U.S. over time and examine their relationships with macroeconomic performance. We construct the measures using lexicon-based sentiment analysis of an original news corpus, which covers 493,418 news articles related to regulation from seven leading U.S. newspapers. As a result, we build monthly indexes of sentiment and uncertainty about regulation and categorical indexes for 14 regulatory policy areas from January 1985 to August 2020. Impulse response functions indicate that a negative shock to sentiment about regulation is associated with large, persistent drops in future output and employment, while increased regulatory uncertainty overall reduces output and employment temporarily. These results suggest that sentiment about regulation plays a more important economic role than uncertainty about regulation. Furthermore, economic outcomes are particularly sensitive to sentiment around transportation regulation and to uncertainty around labor regulation. |
| Keywords: | Regulation, text analysis, NLP, sentiment analysis, uncertainty |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:een:camaaa:2021-54&r= |
| By: | Buesa, Alejandro; De Quinto, Alicia; Población García, Francisco Javier |
| Abstract: | This paper describes a novel methodology of measuring risky and conservative mortgage credit using household survey data for 18 European Union countries and the United Kingdom. In addition, we construct time series for both types of credit and embed them into a global vector autoregressive (GVAR) model, so as to study how shocks to both variables affect domestic output and propagate across countries through cross-border banking exposures. The results show that a decrease in risky credit can have long-lasting positive effects on GDP, both in the originating country and its most exposed peers, while a fall in conservative credit is detrimental. In some geographies, negative shocks to both types of credit reduce output, a feature linked to the lower relevance of homeownership which implies that mortgage credit plays a less prominent role in the domestic economy. JEL Classification: C32, F47, G21, G51 |
| Keywords: | borrower-based measures, cross-border spillovers, LTV limits, Mortgage rating |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:srk:srkwps:2021123&r= |
| By: | Philippa Sigl-Gloeckner (Dezernat Zukunft); Max Krahé (Dezernat Zukunft); Pola Schneemelcher (Dezernat Zukunft); Florian Schuster (Universitaet zu Koeln); Viola Hilbert (Deutschen Instituts fuer Wirtschaftsforschung (DIW)); Henrika Meyer (Mercator Research Institute for Global Commons and Climate Change) |
| Abstract: | The sustainability of public finances should be measured by the debt-to-GDP ratio; the debt-to-GDP ratio is best controlled by keeping the deficit in check. For decades, these ideas shaped German fiscal policy. In 2009, with the introduction of the debt brake, this approach found its way into the German constitution. Recent research, however, has shown that this paradigm yields suboptimal results in the current environment: It neither ensures the long-term sustainability of public finances, nor limits external imbalances, nor effectively contributes to solving the challenges Germany faces today, in particular decarbonisation and demographic change. As this is increasingly being recognised, a lively debate on the future of fiscal rules has developed, both in Germany and internationally. This working paper contributes to that debate by developing reform ideas that depart from a positive goal for fiscal policy rather than from the deficiencies of the current rules. The paper starts off with an overview over the current reform debate. Following this literature review, three closely related questions are answered: what is the right objective for fiscal policy? What might an institutional framework look like to put this objective into practice? And what concrete, politically realistic reform options could move us in that direction? In response to the three questions, we identify sustainable full capacity utilisation of the economy as a sound objective for fiscal policy; make a proposal for a framework consisting of four components; and develop detailed proposals for initial re-form steps to begin implementing this framework in Germany, including an adjustment of the cyclical component of the debt brake (governed by ordinary law), introducing an investment fund for municipal investments, and adding a watchman indicator for rising interest costs. |
| Keywords: | Fiscal Policy, Fiscal Rules, Debt Brake, Debt Management |
| JEL: | E62 E02 H62 H63 |
| Date: | 2021–06 |
| URL: | http://d.repec.org/n?u=RePEc:agz:wpaper:2102a&r= |
| By: | Fernández-Amador, Octavio; Francois, Joseph; Oberdabernig, Doris; Tomberger, Patrick |
| Abstract: | Abstract: Understanding the global energy network and the developments of energy efficiency is key to advance energy regulation and fight climate change. We develop a global panel dataset on energy usage inventories based on territorial production, final production and consumption over 1997-2014. We apply structural decomposition analysis to isolate energy efficiency changes and study the effectiveness of the European Union Energy Services Directive (2006/32/EC) on energy efficiency. High-income regions are net-importers of embodied energy and use a larger share of non-renewable energy than developing countries. The effectiveness of the Directive is mixed. The different ambition of national energy policies of the European Union members and some complementarity in supply chains underlie the different dynamics found. High-income countries share efficiency gains and changes in the mix of energy sources. These trends are not specific to the European Union. Energy policies in high-income countries are less effective for energy footprints. Our findings are indicative of energy leakage. Energy regulation should account for global supply chains and target energy footprints. |
| Keywords: | Energy usage, energy efficiency, energy footprints, renewable energy, MRIO analysis, Structural Decomposition Analysis, EU Energy Services Directive. Click on the link below to read the full paper. |
| Date: | 2021–08–03 |
| URL: | http://d.repec.org/n?u=RePEc:wti:papers:1324&r= |
| By: | Sui-Jade Ho (Bank Negara Malaysia); Özer Karagedikli (South East Asian Central Banks (SEACEN) Research and Training Centre and Centre for Applied Macroeconomic Analysis (CAMA)) |
| Abstract: | By conducting a high-frequency event study similar to Gürkaynak et al. (2005), we find that two factors are needed to adequately capture the effects of monetary policy announcements for a non-inflation targeting emerging market economy, Malaysia. These factors are the surprise changes in the policy rate (Overnight Policy Rate, OPR) and the information about the future path of monetary policy. We find that the path factor has a strong influence on long-term government bond yields, corporate bond yields and spreads. Our findings are indicative of the view that monetary policy communication is mostly about revealing information pertaining to the central bank’s assessment of the economic outlook, as opposed to an unconditional binding commitment to follow a specific policy path. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:sea:wpaper:wp44&r= |
| By: | Kaiser, Tim; Oberrauch, Luis; Pang, Ming Fai; Seeber, Günther |
| Abstract: | We administer an adapted version of the Test of Economic Competence (TEC) to a sample of secondary school students in Hong Kong and study the psychometric properties of the adapted scale relative to test statistics based on a sample of German secondary school students. The results indicate adequate psychometric properties of the adapted measurement scale. Reassuringly, we find no evidence of differential item functioning in the adapted test and student-level correlates of economic competence mirror the results from a large-scale assessment in Germany relying on the original scale. Collectively, these results underscore the construct validity of the adapted test and suggest that the adapted TEC may be well suited to study the economic competence of secondary school students in a variety of educational contexts. |
| Keywords: | Pre-college economic education,economic competence,IRT,economic literacy |
| JEL: | A21 G53 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:esprep:236205&r= |
| By: | Guilherme de Oliveira; Gilberto Tadeu Lima |
| Abstract: | There is evidence that pollution concentration impacts negatively on labor productivity, which has implications for the Kaldor-Verdoorn law. While the growth rate of labor productivity varies positively with the growth rate of output, the growth rate of pollution concentration also varies positively with the latter. As a result, an increase in pollution concentration leading to environmental degradation might offset the productivity-enhancing effect of a rise in the scale of output production. This paper explores such a double-edged sword feature of output growth in a demand-led macrodynamic framework having pollution concentration as a further influence on the class conflict over the functional distribution of the social product. The stability of the environment-economy system in the long run hinges on how output growth varies with the functional distribution of income. When output growth is positively related to the wage share, the balanced growth path is unstable. When output growth varies positively with the profit share, stability is a possibility, but the system undergoes fluctuations in the wage share and the ratio of capital to pollution concentration when converging to the balanced growth path. Environmental preservation and functional distribution and growth of the social product interact to each other in a complex way. |
| Keywords: | Economic growth; pollution concentration; labor productivity; functional Distribution of the social product |
| JEL: | E11 O44 Q52 |
| Date: | 2021–07–26 |
| URL: | http://d.repec.org/n?u=RePEc:spa:wpaper:2021wpecon20&r= |
| By: | Jochen Güntnher; Peter Öhlinger (Department of Economics, Johannes Kepler University Linz) |
| Abstract: | In the light of finite oil reserves, Persian Gulf oil-exporting economies have recently undertaken major investments in their domestic travel and tourism industries. Building on the Bayesian SVAR model of the global oil market in Baumeister and Hamilton (2019), we investigate the conditional comovement of airline stock returns with real oil prices in response to structural oil supply and demand shocks. We find that investing in the Datastream World Airline Index offers a hedging benefit conditional on oil supply, consumption demand, and inventory demand shocks, whereas there is no evidence of systematic positive or negative comovement following shocks to world economic activity and airline stock returns. |
| Keywords: | Airline excess returns; Bayesian SVAR model; Hedging; Oil price shocks |
| JEL: | C32 L71 L93 Q41 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:jku:econwp:2021-14&r= |
| By: | Matthew Greenwood-Nimmo; Daan Steenkamp; Rossouw van Jaarsveld |
| Abstract: | Risk and Return Spillovers in a Global Model of the Foreign Exchange Network |
| Date: | 2021–08–04 |
| URL: | http://d.repec.org/n?u=RePEc:rbz:wpaper:11014&r= |
| By: | Sébastien Duchêne (CEE-M - Centre d'Economie de l'Environnement - Montpellier - UMR 5211 - UM - Université de Montpellier - CNRS - Centre National de la Recherche Scientifique - Montpellier SupAgro - Institut national d’études supérieures agronomiques de Montpellier - Institut Agro - Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement); Adrien Nguyen-Huu (CEE-M - Centre d'Economie de l'Environnement - Montpellier - UMR 5211 - UM - Université de Montpellier - CNRS - Centre National de la Recherche Scientifique - Montpellier SupAgro - Institut national d’études supérieures agronomiques de Montpellier - Institut Agro - Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, Chaire Energie & Prospérité - ENS Paris - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - X - École polytechnique - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - Institut Louis Bachelier); Dimitri Dubois (CEE-M - Centre d'Economie de l'Environnement - Montpellier - UMR 5211 - UM - Université de Montpellier - CNRS - Centre National de la Recherche Scientifique - Montpellier SupAgro - Institut national d’études supérieures agronomiques de Montpellier - Institut Agro - Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement); Marc Willinger (CEE-M - Centre d'Economie de l'Environnement - Montpellier - UMR 5211 - UM - Université de Montpellier - CNRS - Centre National de la Recherche Scientifique - Montpellier SupAgro - Institut national d’études supérieures agronomiques de Montpellier - Institut Agro - Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement) |
| Abstract: | We assess the impact of environmental externalities on portfolio decisions in a lab-inthe-field experiment on finance professionals and students. Subjects show pro-environmental preferences, with a strong asymmetry because of the sign of the externality. They are prone to accept lower return for positive environmental impact, but not to bear increased risk. Finance professionals are more pro-environmental than students, particularly regarding negative externalities, and less influenced by a ranking signal about environmental performance. Additional control tasks show that pro-social and pro-environmental preferences have much less influence on portfolio composition than market practices for finance professionals, but they are significant predictors for students. |
| Abstract: | Nous évaluons l'impact d'externalités environnementales sur les décisions de portefeuille dans le cadre d'une expérience en laboratoire sur des professionnels de la finance et des étudiants. Les sujets exhibent des préférences pro-environnementales, avec une forte asymétrie due au signe de l'externalité. Ils sont enclins à accepter un rendement inférieur pour un impact environnemental positif, mais pas à supporter un risque accru. Les professionnels de la finance sont plus pro-environnementaux que les étudiants, notamment en ce qui concerne les externalités négatives, et moins influencés par un signal de rang concernant la performance environnementale. Des tâches de contrôle supplémentaires montrent que les préférences pro-sociales et pro-environnementales ont beaucoup moins d'influence sur la composition du portefeuille que les pratiques de marché pour les professionnels de la finance, mais qu'elles sont des prédicteurs significatifs pour les étudiants. |
| Date: | 2021–07–16 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpceem:hal-03285376&r= |