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on Investment |
| By: | Richard Audoly (Institute for Fiscal Studies) |
| Date: | 2024–01–09 |
| URL: | https://d.repec.org/n?u=RePEc:ifs:ifsewp:24/01 |
| By: | Jack Fisher |
| Abstract: | Many workers provide services for customers via digital platforms that may exert monopsony power. Typical expositions of this phenomenon are inapplicable because platforms post prices to both sides of a two-sided market, and platform-specific labor supply is hard to measure when workers multi-app. This paper develops a model of a typical gig labor market that deals with these issues. Platforms exploit monopsony power to markup their commission rate and reduce equilibrium wages. A worker union sets the first-best commission rate when the customer market is competitive. I estimate the model using public data, including causal estimates from the literature on Uber’s US ridesharing marketplace. The results imply the platform exploits labor market power to depress drivers’ earnings but faces competition for passengers. An optimally set commission cap raises wages by 14 percent, but minimum wages on utilized hours harm workers. |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:ces:ceswps:_11444 |
| By: | Philipp Gersing |
| Abstract: | We provide estimation and inference for the Generalised Dynamic Factor Model (GDFM) under the assumption that the dynamic common component can be expressed in terms of a finite number of lags of contemporaneously pervasive factors. The proposed estimator is simply an OLS regression of the observed variables on factors extracted via static principal components and therefore avoids frequency domain techniques entirely. |
| Date: | 2024–10 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2410.20885 |
| By: | Haowen Bao; Yongmiao Hong; Yuying Sun; Shouyang Wang |
| Abstract: | By treating intervals as inseparable sets, this paper proposes sparse machine learning regressions for high-dimensional interval-valued time series. With LASSO or adaptive LASSO techniques, we develop a penalized minimum distance estimation, which covers point-based estimators are special cases. We establish the consistency and oracle properties of the proposed penalized estimator, regardless of whether the number of predictors is diverging with the sample size. Monte Carlo simulations demonstrate the favorable finite sample properties of the proposed estimation. Empirical applications to interval-valued crude oil price forecasting and sparse index-tracking portfolio construction illustrate the robustness and effectiveness of our method against competing approaches, including random forest and multilayer perceptron for interval-valued data. Our findings highlight the potential of machine learning techniques in interval-valued time series analysis, offering new insights for financial forecasting and portfolio management. |
| Date: | 2024–11 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2411.09452 |
| By: | Masahiro Kato |
| Abstract: | This study introduces a doubly robust (DR) estimator for regression discontinuity (RD) designs. In RD designs, treatment effects are estimated in a quasi-experimental setting where treatment assignment depends on whether a running variable surpasses a predefined cutoff. A common approach in RD estimation is to apply nonparametric regression methods, such as local linear regression. In such an approach, the validity relies heavily on the consistency of nonparametric estimators and is limited by the nonparametric convergence rate, thereby preventing $\sqrt{n}$-consistency. To address these issues, we propose the DR-RD estimator, which combines two distinct estimators for the conditional expected outcomes. If either of these estimators is consistent, the treatment effect estimator remains consistent. Furthermore, due to the debiasing effect, our proposed estimator achieves $\sqrt{n}$-consistency if both regression estimators satisfy certain mild conditions, which also simplifies statistical inference. |
| Date: | 2024–11 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2411.07978 |
| By: | Alfred M\"uller |
| Abstract: | The basic principle of any version of insurance is the paradigm that exchanging risk by sharing it in a pool is beneficial for the participants. In case of independent risks with a finite mean this is the case for risk averse decision makers. The situation may be very different in case of infinite mean models. In that case it is known that risk sharing may have a negative effect, which is sometimes called the nondiversification trap. This phenomenon is well known for infinite mean stable distributions. In a series of recent papers similar results for infinite mean Pareto and Fr\'echet distributions have been obtained. We further investigate this property by showing that many of these results can be obtained as special cases of a simple result demonstrating that this holds for any distribution that is more skewed than a Cauchy distribution. We also relate this to the situation of deadly catastrophic risks, where we assume a positive probability for an infinite value. That case gives a very simple intuition why this phenomenon can occur for such catastrophic risks. We also mention several open problems and conjectures in this context. |
| Date: | 2024–11 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2411.10139 |
| By: | Lisa D. Cook |
| Date: | 2024–11–20 |
| URL: | https://d.repec.org/n?u=RePEc:fip:fedgsq:99146 |
| By: | Andrew Chesher (Institute for Fiscal Studies); Adam Rosen (Institute for Fiscal Studies); Yuanqi Zhang (University College London) |
| Date: | 2024–01–08 |
| URL: | https://d.repec.org/n?u=RePEc:ifs:ifsewp:cwp01/24 |
| By: | Gipper, Brandon (Stanford U); Sequeira, Fiona (Stanford U); Shi, Shawn X. (U of Washington) |
| Abstract: | We examine the role of assurance--third-party verification--on carbon accounting quality. We develop a measure of carbon accounting quality based on the deviation of reported emissions from a model-based expected level and use two other survey-based measures. We show that assurance is associated with improved carbon accounting quality. This association cannot be explained by firm type or firm-level transparency, is isolated to the scope-specific emissions being assured, does not relate to financial reporting quality, and is stronger when assurance is more thorough and pervasive. Assurance improves carbon accounting quality by identifying issues in a firm’s carbon accounting system, resulting in fewer omissions and revisions of prior errors. Using the implementation of mandated assurance in three E.U. countries for non-financial reporting, we show that countries with these mandates experience within-firm improvements in carbon accounting quality post-regulation. Together, the findings highlight the importance of external assurance in shaping carbon accounting quality. |
| JEL: | G11 G18 G30 M14 M41 M42 |
| Date: | 2024–02 |
| URL: | https://d.repec.org/n?u=RePEc:ecl:stabus:4186 |
| By: | Liliana Harding; Ciprian Panzaru |
| Abstract: | This study explores how refugees' destination preferences evolve during transit, with a focus on Central and Eastern Europe, particularly Romania. Using a mixed-methods approach, we analyse data from the International Organization for Migration's (IOM) Flow Monitoring Surveys and complement it with qualitative insights from focus group discussions with refugees. The quantitative analysis reveals that refugees' preferences for destination countries often change during transit, influenced by factors such as safety concerns, asylum conditions, education, and the presence of relatives at the destination. Our results support the application of bounded rationality and human capital theory, showing that while economic opportunities are important, safety becomes the dominant concern during transit. The qualitative analysis adds depth to these findings, highlighting the role of political instability, social networks, and economic hardships as initial migration drivers. Additionally, the study reveals how refugees reassess their destination choices based on their experiences in transit countries, with Romania emerging as a viable settlement destination due to its relative stability and access to asylum procedures. This research contributes to migration studies by challenging the traditional view of transit countries and offering new insights into the fluid nature of refugee decision-making. |
| Date: | 2024–11 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2411.08350 |
| By: | Rweyemamu, M. R.; Mruma, T.; Nkanyani, S. |
| Keywords: | Agricultural development; Seed production; Agricultural sector; Diversification; Strategies; Indicators; Stakeholders; Agricultural policies; Sustainability; Public-private partnerships |
| Date: | 2023 |
| URL: | https://d.repec.org/n?u=RePEc:iwt:bosers:h052583 |
| By: | Sophia Baum; Moritz Laber; Martin Bruckner; Liuhuaying Yang; Stefan Thurner; Peter Klimek |
| Abstract: | Global food production and trade networks are highly dynamic, especially in response to shortages when countries adjust their supply strategies. In this study, we examine adjustments across 123 agri-food products from 192 countries resulting in 23616 individual scenarios of food shortage, and calibrate a multi-layer network model to understand the propagation of the shocks. We analyze shock mitigation actions, such as increasing imports, boosting production, or substituting food items. Our findings indicate that these lead to spillover effects potentially exacerbating food inequality: an Indian rice shock resulted in a 5.8 % increase in rice losses in countries with a low Human Development Index (HDI) and a 14.2 % decrease in those with a high HDI. Considering multiple interacting shocks leads to super-additive losses of up to 12 % of the total available food volume across the global food production network. This framework allows us to identify combinations of shocks that pose substantial systemic risks and reduce the resilience of the global food supply. |
| Date: | 2024–11 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2411.03502 |
| By: | Andrey G. Maksimov (National Research University Higher School of Economics); Marina S. Telezhkina (National Research University Higher School of Economics) |
| Abstract: | The paper examines similarity of models with structural changes among heterogeneous panel data units. We propose applying a cosine metric to compare angles between vectors of weighted coefficients as a measure of closeness of economic models. Testing whether the cosine metric value is zero against nonzero, positive, and negative alternatives enriches traditional testing results. The latter merely indicate that models are different since the vectors of coefficients could not be treated as equal. We suggest interpreting nonzero values of a cosine metric as evidence of similarities in the factor structure. This means that similar factors are significant; majority of them affect the dependent variable either in the same direction or opposite. Applying the methodology to study dynamics of university enrollment rates in various countries, the paper provides evidence for the existence of similarities in the factors driving university enrollment rate dynamics. It identifies sustainable cluster divisions and applies the cosine metric to different groups of countries. Notably, evidence is provided that post-communist countries are more similar in the factor structure of the dynamics of university enrollment rates to developed countries than to other developing countries. Increasing access to the internet among population strongly positively contributes to explanation of dynamics of higher education enrollment rates in almost all countries in the 1990s to the beginning of the 2000s. |
| Keywords: | panel data, clusterization, structural changes, cosine metric, developed countries, developing countries, post-communist countries |
| JEL: | C12 C23 I25 |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:hig:wpaper:271/ec/2024 |
| By: | Christina Brinkmann (University of Bonn) |
| Abstract: | I study how firms’ labor hoarding, driven by their reliance on firm-specific human capital, affects their hedging of other business risks. Leveraging German administrative data on short-time work, combined with matched employer-employee data and firm financial information, I develop a firm-level measure of hoarded labor. I formalize the hypothesized risk trade-off in a stylized model featuring demand uncertainty and uncertainty around an unrelated price risk that can be hedged at a cost. Empirically, labor-hoarding firms exhibit larger comovements of their cash flows (CF) with demand fluctuations, illustrating the upside potential of hoarded labor functioning as a capacity increase. However, labor hoarding is not linked to higher overall CF volatility; instead, it is linked to reduced foreign-exchange (FX) risk as one specific price risk. FX risk can substantially contribute to CF volatility, especially for smaller, globally exporting firms that are sensitive to the driving forces of labor hoarding suggested by the model: idiosyncratic demand risk and reliance on firm-specific human capital. I instrument hoarded labor with proxies for firm-specific human capital and find that firms hedge their FX risk more in response to greater labor hoarding. These findings offer a new perspective on firms’ willingness to assume risk in the context of labor market rigidities and institutions. |
| Keywords: | Labor hoarding, human capital, risk management, FX risk |
| JEL: | J01 J24 G00 G32 |
| Date: | 2024–11 |
| URL: | https://d.repec.org/n?u=RePEc:ajk:ajkdps:343 |
| By: | Ziming Lin; Fang Han |
| Abstract: | In a landmark paper, Abadie and Imbens (2008) showed that the naive bootstrap is inconsistent when applied to nearest neighbor matching estimators of the average treatment effect with a fixed number of matches. Since then, this finding has inspired numerous efforts to address the inconsistency issue, typically by employing alternative bootstrap methods. In contrast, this paper shows that the naive bootstrap is provably consistent for the original matching estimator, provided that the number of matches, $M$, diverges. The bootstrap inconsistency identified by Abadie and Imbens (2008) thus arises solely from the use of a fixed $M$. |
| Date: | 2024–10 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2410.23525 |
| By: | Myunghyun Song |
| Abstract: | This paper develops a formal econometric framework and tools for the identification and inference of a structural parameter in general bunching designs. We present both point and partial identification results, which generalize previous approaches in the literature. The key assumption for point identification is the analyticity of the counterfactual density, which defines a broader class of distributions than many well-known parametric families. In the partial identification approach, the analyticity condition is relaxed and various shape restrictions can be incorporated, including those found in the literature. Both of our identification results account for observable heterogeneity in the model, which has previously been permitted only in limited ways. We provide a suite of counterfactual estimation and inference methods, termed the generalized polynomial strategy. Our method restores the merits of the original polynomial strategy proposed by Chetty et al. (2011) while addressing several weaknesses in the widespread practice. The efficacy of the proposed method is demonstrated compared to a version of the polynomial estimator in a series of Monte Carlo studies within the augmented isoelastic model. We revisit the data used in Saez (2010) and find substantially different results relative to those from the polynomial strategy. |
| Date: | 2024–11 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2411.03625 |
| By: | Xinming Du; Lei Li; Eric Zou |
| Abstract: | This paper shows a cascading mechanism through which international trade-induced deforestation results in a decline of health outcomes in cities distant from where trade activities occur. We examine Brazil, which has ramped up agricultural export over the last two decades to meet rising global demand. Using a shift-share research design, we first show that export shocks cause substantial local agricultural expansion and a virtual one-for-one decline in forest cover. We then construct a dynamic area-of-effect model that predicts where atmospheric changes should be felt – due to loss of forests that would otherwise serve to filter out and absorb air pollutants as they travel – downwind of the deforestation areas. Leveraging quasi-random variation in these atmospheric connections, we establish a causal link between deforestation upstream and subsequent rises in air pollution and premature deaths downstream, with the mortality effects predominantly driven by cardiovascular and respiratory causes. Our estimates reveal a large telecoupled health externality of trade deforestation: over 700, 000 premature deaths in Brazil over the past two decades. This equates to $0.18 loss in statistical life value per $1 agricultural exports over the study period. |
| JEL: | F18 O13 Q23 Q53 |
| Date: | 2024–11 |
| URL: | https://d.repec.org/n?u=RePEc:nbr:nberwo:33143 |
| By: | Piyapas Tharavanij (College of Management, Mahidol University, Bangkok, Thailand Author-2-Name: Author-2-Workplace-Name: Author-3-Name: Author-3-Workplace-Name: Author-4-Name: Author-4-Workplace-Name: Author-5-Name: Author-5-Workplace-Name: Author-6-Name: Author-6-Workplace-Name: Author-7-Name: Author-7-Workplace-Name: Author-8-Name: Author-8-Workplace-Name:) |
| Abstract: | " Objective - This study revisits Tobin's q by offering a theoretically derived empirical model based on the Ohlson framework, aiming to correct the misapplications found in existing literature. Methodology/Technique - While Tobin's q has been extensively used as a measure of firm value, the traditional empirical models often assume a linear relationship with variables such as growth, leverage, and profitability. Finding - This paper demonstrates that even in a basic model, such as the Gordon growth model, this linearity does not hold. In fact, this paper shows that a linear relationship will hold only under restricted conditions and only with certain explanatory variables. Novelty - By introducing a theoretically sound equation for Tobin's q, this study highlights the limitations of current empirical methods and provides a new perspective for firm valuation research. The results contribute significantly to improving the accuracy of business valuation models, particularly in settings with varying capital structures and market dynamics. Type of Paper - Theoretical" |
| Keywords: | Tobin's q; Ohlson model; Firm value; Valuation |
| JEL: | G12 G19 |
| Date: | 2024–09–30 |
| URL: | https://d.repec.org/n?u=RePEc:gtr:gatrjs:gjbssr653 |
| By: | Huikuri, Tuuli-Anna |
| Abstract: | How can dissatisfied parties adjust the terms of international cooperation in asymmetric agreements? While powerful states can often effectively demand renegotiation, others may struggle to convince their partners to redistribute the gains from cooperation. Strategic exit, whereby a dissatisfied state conducts unilateral exit from an agreement to initiate new negotiations, may become an attractive option in such situations. This paper investigates the prevalence of strategic exit in the international investment treaty regime, where backlash against investment dispute settlement has led some governments to exit from their bilateral investment treaties. I present evidence from two theory-building case studies of investment treaty terminations and renegotiations by Ecuador and Indonesia, including elite interviews with key policymakers. I show that while exit has successfully led to some new negotiations, dissatisfied governments have been unlikely to exit treaties only for the purposes of catalyzing reform. Rather, exit becomes attractive when domestic political benefits mitigate the international reputational costs of exit. The strategic benefit of terminations for catalyzing new negotiations, although not necessarily sought after by the withdrawing state, more likely emerges as a secondary benefit of exit. The theoretical insights from the investment treaty regime can also inform renegotiation dynamics in other international regimes. |
| Date: | 2024–07–09 |
| URL: | https://d.repec.org/n?u=RePEc:osf:osfxxx:ascmh |
| By: | Mehmet S. Ismail |
| Abstract: | In this note, I introduce Performance Rating Equilibrium (PRE) as a sequence of hypothetical ratings for each player, such that if these ratings were each player's initial rating at the start of a tournament, scoring the same points against the same opponents would leave each player's initial rating unchanged. In other words, each player's initial rating perfectly predicts their actual score in the tournament. However, this property does not hold for the well-known Tournament Performance Rating. PRE is a fixed point of a multidimensional 'rating' function. I show that such a fixed point, and hence a PRE, exists under mild conditions. |
| Date: | 2024–10 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2410.19006 |
| By: | Chang, Jillie; Evans, David Kirkham; Rivas Herrera, Carolina |
| Abstract: | Poverty continues to challenge Latin American and Caribbean countries, with approximately one in three people in the region in poverty and one in seven in extreme poverty. This paper provides up-to-date insights through analysis of who the poor are, where they are located, and how they live in the region. First, it uses a large collection of household surveys that extend through 2023 to characterize the poor. It examines (1) how many people in the region are poor, (2) how the poor are distributed geographically within and across countries, (3) how poverty affects specific groups (e.g., women, children, Afro-descendants, and Indigenous people), (4) how much of the poverty in the region is chronic and how much is transitory, and (5) how poverty numbers have changed over time. Second, it identifies how the extreme and chronically poor live relative to others in their same countries, providing insights into policy responses. Specifically, it discusses (6) the living arrangements of the poor, (7) the assets they have access to, (8) how they earn their incomes, (9) how they access human capital services such as education and health, and (10) what access they have to social programs. While this analysis is descriptive, it may be useful both for targeting efforts and for generating new hypotheses for poverty reduction that can subsequently be tested causally. |
| Keywords: | Poverty;Development;Latin America and the Caribbean |
| JEL: | I25 J20 O10 O12 O15 O18 |
| Date: | 2024–11 |
| URL: | https://d.repec.org/n?u=RePEc:idb:brikps:13827 |
| By: | Jana S. Hamdan; Tim Kaiser; Lukas Menkhoff; Yuanwei Xu |
| Abstract: | We study the effects of scaling up a financial- and business education program in a randomized saturation experiment in Uganda. We randomly assign the program at the cluster-level, and then randomize the share of treated individuals within treated clusters. 15 months later, we find that treated entrepreneurs are more likely to use mobile money savings accounts and payments, increase their mobile money and bank savings at the intensive and extensive margins, and invest more. We find little evidence of spillovers on untreated peers, but as the share of treated entrepreneurs increases, beneficial effects on the treated decline. |
| Keywords: | scaling, business training, financial literacy, micro-entrepreneurs, mobile money, spillover effects, saturation effects |
| JEL: | C93 D14 G53 O12 |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:ces:ceswps:_11431 |
| By: | Vladimir Kozlov (Leibniz-Institute for East and Southeast European Studies (IOS)); Ekaterina Sokolova (Eurasian Technological University Kazakhstan); Olga Veselovskaya (Eurasian Technological University Kazakhstan); Daria Saitova (Eurasian Technological University Kazakhstan.) |
| Abstract: | The paper is devoted to the fertility intentions of the migrants from Russia belonging to the recent wave of so called ‘Exodus’ caused by Russia’s invasion in Ukraine in 2022 and its social impact on Russian society. The authors use the disruption hypothesis and predict the drop in the fertility intentions of new-wave Russian migrants in comparison with the old- wave Russian migrants and stayers, matching and controlling for their socio-economic status. Although the new-wave migrants are in the active reproductive age, partnered and in many cases childless, the authors find a strong intention to the fertility postponement and even cancellation among them. The research is based on two on-line surveys organized in April – October 2023 via online social media and by the snowball method. The first survey provided authors with empirical data on old-wave and new-wave migrants, the second one – on stayers, who have close socio-economic characteristics to the migrants. As a result not only the lower birth intentions of the new-wave migrants was observed, but the positive effect on fertility intentions of the subjective income and willingness to stay in the host country. Especially it is obvious for the countries beyond the EU (mainly for post-Soviet and the Balkan ones). On the other hand for the countries of EU (welfare states) the fertility intentions are the highest |
| Keywords: | Fertility intensions, fertility among migrants, disruption, forced migration, Russian migrants |
| JEL: | D10 J13 J15 J18 |
| Date: | 2023–10 |
| URL: | https://d.repec.org/n?u=RePEc:ost:wpaper:403 |
| By: | Jelena Galijaš (National Bank of Serbia) |
| Abstract: | Using the simulation-based approach, this paper aims to investigate the influence of operational problems which occur at two most important prticipants on the system as a whole as well as on the other participants of the payment system of the National Bank of Serbia. To the best of our knowledge, this is the first paper which examines, by use of simulations, the consequences of operational problems ocurring at the participants of the payment system of the National Bank of Serbia. Two scenarios were examined. In the first scenario, the most important participant is facing operational problems, while in the second scenario operational problems at two most important participants were supposed. Restrictively designed scenarios show that operational problems at the most important participants can seriously affect other participants' ability to settle their payments. In addition, in order to capture possible behavioral reactions by other participants, we investigate whether the application of the stop-sending rule can reduce the magnitude of contagion. We find that the application of this rule can substantially reduce the effects of the operational problems. However, the rule also reduces the number of transactions in the system as well as the total turnover. At the end, we determined the probabilty of defaults for each account used in our analysis. |
| Keywords: | financial reports, regulatory reports, financial soundness indicators, S-scor? model, stress testing |
| JEL: | G01 G17 G21 |
| Date: | 2023–03 |
| URL: | https://d.repec.org/n?u=RePEc:nsb:bilten:14 |
| By: | Julia Schmieder (DIW Berlin); Doris Weichselbaumer (University of Linz, IZA); Clara Welteke (DIW Berlin); Katharina Wrohlich (DIW Berlin, University of Potsdam, Berlin School of Economics, IZA, CEPA) |
| Abstract: | Promoting fathers to take parental leave is seen as a promising way to advance gender equality. However, there is still a very limited understanding of its impact on fathers’ labor market outcomes. We conducted a correspondence study to analyze whether fathers who take parental leave face discrimination during the hiring process in three different occupations. Fathers who took parental leave in a female-dominated or gender-neutral occupation are not less likely to be invited to a job interview compared to fathers who did not take leave. However, in the male-dominated occupation, fathers who have taken long parental leave are penalized. Regardless of leave-taking, fathers are treated less favorably than mothers in the female-dominated and the gender-neutral occupation, while the opposite is true for the male-dominated occupation. This suggests the presence of strong gender norms concerning the perception of ideal employees in different occupations. |
| Keywords: | discrimination, parental leave, gender, hiring, experiment |
| JEL: | C93 J13 J71 |
| Date: | 2024–11 |
| URL: | https://d.repec.org/n?u=RePEc:pot:cepadp:83 |
| By: | Graham L. Giller |
| Abstract: | This brief note discusses some of the aspects of a model for the covariance of equity returns based on a simple "isotropic" structure in which all pairwise correlations are taken to be the same value. The effect of the structure on feasible values for the common correlation of returns and on the "effective degrees of freedom" within the equity cross-section are discussed, as well as the impact of this constraint on the asymptotic Normality of portfolio returns is examined. An eigendecomposition of the covariance matrix is presented and used to decompose returns into a common market factor and "non-diversifiable" idiosyncratic risk. A empirical analysis of the recent history of the returns of S&P 500 Index members is presented and compared to the expectations from both this model and linear factor models. This analysis supports the isotropic covariance model and does not seem to provide evidence in support of linear factor models. The fact that idiosyncratic risk may not be removed in a model that that data supports undermines the basic premises of structures such as the C.A.P.M. and A.P.T. If the cross-section of equity returns is more accurately described by this structure then an inevitable consequence is that picking stocks is not a "pointless" activity, as the returns to residual risk would be non-zero. |
| Date: | 2024–11 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2411.08864 |
| By: | Onil Boussim |
| Abstract: | This paper generalizes the changes-in-changes (CIC) model to handle discrete treatments with more than two categories, extending the binary case of Athey and Imbens (2006). While the original CIC model is well-suited for binary treatments, it cannot accommodate multi-category discrete treatments often found in economic and policy settings. Although recent work has extended CIC to continuous treatments, there remains a gap for multi-category discrete treatments. I introduce a generalized CIC model that adapts the rank invariance assumption to multiple treatment levels, allowing for robust modeling while capturing the distinct effects of varying treatment intensities. |
| Date: | 2024–11 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2411.01617 |
| By: | Francesco Giffoni; Emanuela Sirtori; Louis Colnot |
| Abstract: | This paper addresses how to assign a monetary value to scientific publications, particularly in the case of multi-author papers arising from large-scale research collaborations. Contemporary science increasingly relies on extensive and varied collaborations to tackle global challenges in fields such as life sciences, climate science, energy, high-energy physics, astronomy, and many others. We argue that existing literature fails to address the collaborative nature of research by overlooking the relationship between coauthorship and scientists productivity. Using the Marginal Cost of Production (MCP) approach, we first highlight the methodological limitations of ignoring this relationship, then propose a generalised MCP model to value co-authorship. As a case study, we examine High-Energy Physics (HEP) collaborations at the Large Hadron Collider (LHC) at CERN, analysing approximately half a million scientific outputs by over 50, 000 authors from 1990 to 2021. Our findings indicate that collaborative adjustments yield monetary valuations for subsets of highly collaborative papers up to 3 orders of magnitude higher than previous estimates, with elevated values correlating with high research quality. This study contributes to the literature on research output evaluation, addressing debates in science policy around assessing research performance and impact. Our methodology is applicable to authorship valuation both within academia and in large-scale scientific collaborations, fitting diverse research impact assessment frameworks or as self-standing procedure. Additionally, we discuss the conditions under which this method may complement survey-based approaches. |
| Date: | 2024–11 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2411.10278 |
| By: | Philippe Bergault; Louis Bertucci; David Bouba; Olivier Gu\'eant; Julien Guilbert |
| Abstract: | In this paper, we introduce a novel framework to model the exchange rate dynamics between two intrinsically linked cryptoassets, such as stablecoins pegged to the same fiat currency or a liquid staking token and its associated native token. Our approach employs multi-level nested Ornstein-Uhlenbeck (OU) processes, for which we derive key properties and develop calibration and filtering techniques. Then, we design an automated market maker (AMM) model specifically tailored for the swapping of closely related cryptoassets. Distinct from existing models, our AMM leverages the unique exchange rate dynamics provided by the multi-level nested OU processes, enabling more precise risk management and enhanced liquidity provision. We validate the model through numerical simulations using real-world data for the USDC/USDT and wstETH/WETH pairs, demonstrating that it consistently yields efficient quotes. This approach offers significant potential to improve liquidity in markets for pegged assets. |
| Date: | 2024–11 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2411.08145 |
| By: | Carlo Medici |
| Abstract: | This paper shows that immigration fostered the emergence of organized labor in the United States. I digitize archival data to construct the first county-level dataset on historical U.S. union membership and use a shift-share instrument to isolate a plausibly exogenous shock to the labor supply induced by immigration, between 1900 and 1920. Counties with higher immigration experienced an increase in the probability of having labor unions, the number of union branches, the share of unionized workers, and the number of union members per branch. This increase occurred more prominently among skilled workers, particularly in counties more exposed to labor competition from immigrants, and in areas with less favorable attitudes towards immigration. Taken together, these results are consistent with existing workers forming and joining labor unions for economic as well as social motivations. The findings highlight a novel driver of unionization in the early 20th-century United States: in the absence of immigration, the average share of unionized workers during this period would have been 22% lower. The results also identify an unexplored consequence of immigration: the development of institutions aimed at protecting workers’ status in the labor market, with effects that continue into the present. |
| Keywords: | labor unions, immigration, labor market competition, discrimination |
| JEL: | J15 J50 J70 N31 N32 P10 |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:ces:ceswps:_11437 |
| By: | Shamima Nasrin Tumpa; Kehelwala Dewage Gayan Maduranga |
| Abstract: | This study explores the use of Recurrent Neural Networks (RNN) for real-time cryptocurrency price prediction and optimized trading strategies. Given the high volatility of the cryptocurrency market, traditional forecasting models often fall short. By leveraging RNNs' capability to capture long-term patterns in time-series data, this research aims to improve accuracy in price prediction and develop effective trading strategies. The project follows a structured approach involving data collection, preprocessing, and model refinement, followed by rigorous backtesting for profitability and risk assessment. This work contributes to both the academic and practical fields by providing a robust predictive model and optimized trading strategies that address the challenges of cryptocurrency trading. |
| Date: | 2024–11 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2411.05829 |