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on Investment |
| By: | Cardell, Lila; Zereyesus, Yacob Abrehe; Ajewole, Kayode; Farris, Jarrad; Johnson, Michael E.; Lin, Jessie; Valdes, Constanza; Zeng, Wendy |
| Abstract: | Millions of people worldwide face food insecurity and do not have access to sufficient, safe, and nutritious food that meets their dietary needs for an active and healthy life. This report utilizes the demand-driven International Food Security Assessment (IFSA) model to assist the U.S. Department of Agriculture (USDA) and its stakeholders in estimating food security trends in 83 low- and middle-income countries. Compared with 2023, there is now a substantial improvement in food security across the countries covered in the IFSA report. There are 313.0 million fewer people estimated to experience food insecurity in 2024, associated with an average of 3.4 percent growth in per capita income in these countries and the easing of price inflation. However, lingering effects of high food commodity prices and risks associated with ongoing conflicts in key shipping areas contribute to sustained food insecurity levels. The estimated number of food insecure people in 2024 is 824.6 million in the 83 low- and middle-income countries covered by this assessment, representing a 27.5 percent decrease from the 2023 estimate. Overall, 19.0 percent of the IFSA population may be unable to consume the recommended 2, 100 kilocalories a day necessary to sustain a healthy and active lifestyle. While facing challenges in the short term, gains in per capita income and lower food commodity prices are projected to improve food accessibility, with the outlook for food security projected to improve in the next 10 years in all countries included in this assessment. By 2034, the number of food insecure people in the 83 IFSA countries is projected to be 274.6 million (5.5 percent of the population), marking a 66.7 percent reduction, compared to the estimated number in 2023. Note that the results presented in this report are based on the macroeconomic assumptions, completed as of August 2023. |
| Keywords: | Consumer/Household Economics, Demand and Price Analysis, Food Consumption/Nutrition/Food Safety, Food Security and Poverty, International Development, International Relations/Trade |
| Date: | 2024–08 |
| URL: | https://d.repec.org/n?u=RePEc:ags:uersmp:402734 |
| By: | Mamboundou, Pierre; Traoré, Fousseini |
| Abstract: | Agricultural trade can play a central role in meeting people's food needs, both by increasing available supply and by boosting stakeholders' incomes, given that 60% of the labor force works in this sector (Bonuedi et al., 2020; Wonyra and Gnedeka 2023). However, an analysis of African agricultural trade performance over the past twenty years highlights some key issues to watch. First, African agricultural trade is the lowest in the world, not helped by high costs of trading and non-tariff measures. Second, a trade deficit that has been steadily widening since 2006 as Africa has become heavily dependent on imports of basic agricultural products such as cereals. The continent currently meets more than 40% of its cereal demand on world markets. This deficit in African agricultural trade is fueled by low productivity, linked to declining yields and a lack of sufficient investment in production, storage, processing, and marketing infrastructure, and rapid population growth and urbanization in Africa which has increased demand for imported food. Third, over the past two decades, the structure of African agricultural exports has remained largely undiversified, with unprocessed cash crops continuing to be the dominant export commodity. To better understand the dynamics of agricultural trade in Africa, this brief analyzes its performance, over the 2003-2023 period, by highlighting the most dynamic countries and regional economic communities, the most exported and imported products, and the continent's revealed comparative advantages. |
| Keywords: | trade; agricultural trade; markets; exports; imports; trade policies; non-tariff barriers to trade; Africa |
| Date: | 2026–02–25 |
| URL: | https://d.repec.org/n?u=RePEc:fpr:othbrf:181883 |
| By: | Harvey, John; Buscheck, Jeff; Yu, Justin; Brotschi, Julian; Rahman, Mohammad; Deng, Hanyu; Mateos, Angel; Bowman, Michael; Guada, Irwin |
| Abstract: | A pilot project for the inclusion of high percentages of reclaimed asphalt pavement (RAP) and recycled asphalt shingles (RAS) in hot mix asphalt (HMA) was built on State Route 26 in San Joaquin County in September 2022. Six mixes were included in short test sections: (1) a control mix with no RAS or RAP, (2) a mix with 25% RAP and recycling agent (RA) (3) a mix with 30% RAP and RA, (4) a mix with 35% RAP and RA, (5) a mix with 40% RAP and RA, and (6) a mix with 25% RAP, 3% RAS, and RA. A seventh mix, which was a typically used mix with 12% RAP and no RA, was used for construction of the rest of the overall project. This technical memorandum presents the laboratory test results from plant mix produced for job mix formula verification and from one or two quality assurance (QA) samples, depending on the test, taken during test section construction, as well as observations of plant production and construction. None of the mixes passed the Delta Tc specification, which is not uncommon for polymer-modified binder mixes. There is FHWA guidance and past UCPRC experience with other polymer-modified Caltrans mixes that indicate Delta Tc may not be a good parameter to use with modified binders. The mixes with 40% RAP and 25% RAP/3% RAS and one of the two QA samples for the mixes with 30% and 35% RAP and RA did not meet the performance grade (PG) specification low temperature limit. All mixes passed high and intermediate temperature PG specifications, and the other QA samples passed the low temperature PG specification. The 25% RAP with RA mix and one of the two QA sublots of the 30% RAP with RA mix missed the IDEAL cracking tolerance (IDEAL-CT) index number by a small amount, and one of the sublots for the 35% and 40% mixes missed by a wider margin. Results are presented for volumetric tests, flexural and axial dynamic modulus tests, repeated load triaxial tests, flexural fatigue tests, and Hamburg Wheel-Track tests. IDEAL-CT tests were done with both reheated and medium-term oven-aged samples, and results are reported for the IDEAL-CT index and indirect tensile strength for both aging conditions. |
| Keywords: | Engineering, reclaimed asphalt pavement (RAP), recycled asphalt shingles (RAS), recycled binder ratio, hot mix asphalt (HMA), pilot project |
| Date: | 2026–01–01 |
| URL: | https://d.repec.org/n?u=RePEc:cdl:itsdav:qt8bm2k0t9 |
| By: | Zereyesus, Yacob Abrehe; Cardell, Lila; Farris, Jarrad; Ajewole, Kayode; Johnson, Michael E.; Lin, Jessie; Valdes, Constanza; Zeng, Wendy |
| Abstract: | This annual report is published by the U.S. Department of Agriculture, Economic Research Service before September 30 of each year as required by section 408 (b) of Public Law 480 and 7 U.S.C. 1736b of Public Law 95−98. The results in this report are based on macroeconomic assumptions finalized as of August 2024. Food insecurity, defined by the lack of consistent access to sufficient, safe, and nutritious food for an active and healthy life, affects millions globally. Declining incomes, high food prices, and food supply shocks exacerbate food security. This report, using the Global Food Assessment (GFA) model, projects food security trends in 83 low- and middle-income countries by estimating the percentage of people in each country consuming less than 2, 100 kilocalories per person per day. The assessment reports a significant improvement in food security in 2025 compared to 2024 due to an average 3.7 percent growth in per capita Gross Domestic Product (GDP) and reduced food price inflation. Specifically, the number of food insecure people is estimated to decrease by 26.7 percent (220.5 million people), reaching 604.2 million people, or 13.5 percent of the GFA population, in 2025. However, ongoing political and macroeconomic instability, armed conflict, and weather-related shocks such as droughts, are identified as key factors driving worsening food security in vulnerable countries. Over the next decade, a further 51.7 percent reduction in the proportion of food insecurity is projected, reaching 6.5 percent of the GFA population. This reduction is driven by sustained GDP growth, particularly in Asia and the Former Soviet Union, and relatively lower commodity prices. This would result in a food insecure population of 332.9 million by 2035, representing a 44.9 percent reduction relative to 2025. |
| Keywords: | Consumer/Household Economics, Crop Production/Industries, Demand and Price Analysis, Food Consumption/Nutrition/Food Safety, Food Security and Poverty, International Relations/Trade |
| Date: | 2025–09 |
| URL: | https://d.repec.org/n?u=RePEc:ags:uersmp:402735 |
| By: | Vujeva, Karlo |
| Abstract: | This paper examines TARGET2 imbalances in relation to the slowdown of the euro area overnight interbank market and the transformation of the Eurosystem’s operational framework after the global financial crisis and the European sovereign debt crisis. It argues that TARGET2 imbalances are not merely technical by-products of Eurosystem balance-sheet expansion, but balance-sheet traces of a structural reorganization of liquidity circulation inside the euro area. The paper develops and tests a substitution hypothesis: when private cross-border redistribution of central-bank liquidity through the overnight interbank market weakens, public settlement through TARGET2 increasingly records liquidity flows no longer intermediated through private money markets. Using a vector autoregressive framework for the euro area, the analysis links TARGET2 dynamics to overnight interbank market activity, the overnight money-market rate, and the Composite Indicator of Systemic Stress. The results show that positive shocks to TARGET2 imbalances generate a significant and persistent contraction in overnight interbank transaction volume, while financial-stress shocks generate an immediate and durable increase in TARGET2 imbalances. A complementary transmission analysis further shows that TARGET2 is the most persistent balance-sheet response to excess-liquidity shocks among the variables considered, exhibiting a larger and more durable response than sovereign bond yields, equity prices, or bank lending. Finally, regime-threshold results suggest that the center–periphery confidence gap becomes statistically relevant for TARGET2 accumulation only in the abundant-reserves regime, linking settlement dynamics to safe-asset scarcity and incomplete financial integration. The findings imply that TARGET2 should be interpreted not only as an accounting counterpart of central-bank operations, but also as a signal of impaired private liquidity circulation, financial fragmentation, and the evolving operational architecture of the Eurosystem. |
| Keywords: | TARGET2 imbalances; settlement infrastructure; euro area interbank market; excess liquidity; financial fragmentation; financial stress; monetary policy implementation |
| JEL: | E42 E44 E52 E58 F36 |
| Date: | 2026–05–15 |
| URL: | https://d.repec.org/n?u=RePEc:pra:mprapa:129148 |
| By: | Chun Yee Wong (International University of Japan); Caren Miriel Oshome (International University of Japan) |
| Abstract: | This study examines how transport networks and socio-demographic factors affect malaria infection rates among children in Kenya. An instrumental-variable complementary log-log model was employed to obtain robust estimates using 2020 Malaria Indicator Survey Data. Results indicate that each additional year of maternal education decreases malaria incidence in children by 0.40 percentage points. In areas with high road density, the likelihood of malaria increases by approximately 6.47 to 7.53 percentage points. However, heterogeneity analysis indicates that education reduces malaria risk by 0.57 percentage points in high-density areas. In rural areas, increased road density exacerbates malaria risk. Children in rural areas have an increased risk of about 10.6 percentage points in the third and fourth quartiles, while in urban areas, only children in the third quartile see a smaller increase of 3.27 percentage points. Thus, it is evident that investing in infrastructure may not lead to improved health outcomes unless women fs education and malaria control programs are also addressed. To effectively reduce the risk of malaria, it's essential to combine educational policies with public health strategies. |
| Keywords: | Child Health; Malaria; Transport networks; Road Density; Maternal Education; Kenya |
| Date: | 2026–06 |
| URL: | https://d.repec.org/n?u=RePEc:iuj:wpaper:ems_2026_11 |
| By: | Marcelo Gallardo; Nicolas Velarde; Cristina Gutarra |
| Abstract: | We study how election-night flash estimates shape voting in Peru's fragmented 2026 presidential election. We exploit a natural experiment: on April 12, 2026, 187 polling tables across 13 voting centers failed to install, and the \emph{Jurado Nacional de Elecciones} (JNE) extended voting for the affected $\approx\!55 000$ electors to Monday, April 13. These voters cast ballots after observing the Ipsos and Datum flash estimates; otherwise comparable Sunday voters did not. A Bayesian-updating model of multi-candidate plurality voting frames the analysis, yielding predictions about vote reallocation toward the three candidates the estimates rendered viable -- L\'opez Aliaga, S\'anchez, and Nieto. We estimate treatment effects on candidate vote shares at both the \emph{acta} level and the acta-weighted polling-station level, comparing treated and control \emph{locales de votaci\'on} matched on pre-treatment covariates. How flash estimates reshape voting is of first-order importance for Peru, given its institutional instability and high political volatility over the past decade. |
| Date: | 2026–06 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2606.01687 |
| By: | Jarvis, Stephen |
| Abstract: | Large infrastructure projects have important social benefits but can also prompt strong local opposition. I estimate the economic costs of NIMBY (not in my backyard) attitudes and local planning restrictions by studying renewable energy projects. Using data on thousands of permitting applications, I show that wind and solar projects can have highly heterogeneous impacts depending on their characteristics and location. In some cases this includes significant external local costs, and I conduct a hedonic analysis to quantify the impact on nearby property values. I then show that planning officials are particularly sensitive to these local costs, especially when wealthy residents are affected. This often comes at the expense of considering the wider social benefits of these projects. These biases in the permitting process create inefficiencies that increased costs and led to substantial underinvestment in renewable energy. |
| Keywords: | renewable energy; infrastructure; NIMBY; permitting |
| JEL: | R11 R52 Q42 Q58 |
| Date: | 2025–07–31 |
| URL: | https://d.repec.org/n?u=RePEc:ehl:lserod:125611 |
| By: | Cruz, Lizelle Ann |
| Abstract: | Systemic risk remains a key concern for financial authorities, especially in emerging economies where traditional, low‑frequency balance sheet indicators often lag changing conditions. This study develops a high‑frequency Systemic Risk Sentiment Index (SRSI) for the Philippines using news headlines from 2011–2025 and an ensemble of domain‑specific financial sentiment models. Results show that negative sentiment is mainly driven by external‑sector developments, market volatility, and equity‑related news, with surges aligning with global and domestic stress episodes. Empirical tests indicate only modest predictive power for domestic equity returns, and misclassifications highlight challenges in capturing nuances of Philippine financial reporting. Overall, the SRSI is best viewed as a responsive, real‑time barometer that complements conventional systemic risk measures. |
| Keywords: | Systemic Risk, Early Warning Indicators, Sentiment Analysis, Machine Learning, Large Language Model |
| JEL: | C43 C55 E44 G14 |
| Date: | 2026–03–02 |
| URL: | https://d.repec.org/n?u=RePEc:pra:mprapa:128944 |
| By: | MA, Xinxin; HAN, Jiachen; LI, Shi |
| Abstract: | This study uses national survey data from the Chinese Household Income Project from 2002, 2013, and 2023 and constructs an indicator of non-routine task intensity to examine the influence of task-based factors on the gender wage gap (GWG) in China. We employ decomposition methods to explore the two channels through which tasks influence the GWG. The results indicate that the wage premium for non-routine tasks is higher for women than for men, and several robustness checks support this conclusion. The gender differences in the non-routine task wage premium differ by age and education groups, and across the wage distribution. The decomposition results suggest that gender disparities in wage premiums for non-routine tasks (price effect) helped to narrow the GWG in the three sample periods, while their effects decreased from 2002 to 2023. The gender differences in the allocation of non-routine tasks (endowment effect) widened the GWG in 2002 and 2023 and narrowed it in 2013. Additionally, both the endowment and price effects on GWG differ across the wage distribution in each period. |
| Keywords: | non-routine task, gender wage gap (GWG), wage premium, China |
| JEL: | J31 J71 J24 |
| Date: | 2026–06 |
| URL: | https://d.repec.org/n?u=RePEc:hit:hituec:779 |
| By: | Nuridin-Amin, Nashipu |
| Abstract: | We propose a new scientific framework for understanding economic activity as a physical process governed by scarcity, energy transformation, and purposive action by intelligent agents. This framework, Equitable Equilibrium Network Economics (ENE), grounds economic concepts — including value, utility, and price — in a coherent physical ontology, deriving them from first principles rather than assumption. The result is a system in which human capabilities and material resources can be continuously and efficiently matched to human wants giving rise to an economic architecture capable of achieving universal productive participation (zero unemployment), eliminating structural poverty, and substantially increasing human welfare. |
| Keywords: | Physical theory of value; Self-directing conscious intelligence; Economic ontology; Scarcity and purposive action; Energy-based measurement, Economic Value, Utility |
| JEL: | B00 B4 B5 |
| Date: | 2026–03–08 |
| URL: | https://d.repec.org/n?u=RePEc:pra:mprapa:128722 |
| By: | 周勇 (中国石油大学（华东）) |
| Abstract: | Based on the value of mountain villas and the problems they face, this paper proposes a new design approach for mountain villas using electric vertical takeoff and landing (eVTOL) aircraft as the primary means of transportation. The advantages of this new type of mountain villa are: 1) No need to construct roads; they can be built on any terrain, even on isolated peaks, allowing residents to stay far away from bustling cities without inconvenience. 2) The scenery and privacy will be of the highest order, offering residents a breathtaking living experience and ultimate enjoyment. These villas will set a new benchmark for luxury estates and are also suitable for high end vacation and leisure development. 3) The environmental impact is within acceptable limits, and at the same time, these villas will add new landscape features to mountainous areas. However, there are also some non negligible issues, such as construction costs, eVTOL traffic safety, seismic and wind resistance of the buildings, and public perception. These issues are discussed in detail. |
| Date: | 2026–05–20 |
| URL: | https://d.repec.org/n?u=RePEc:osf:socarx:vrcza_v1 |
| By: | Nieuwenhuis, Aukje; Postepska, Agnieszka; Alessie, Rob; Voloshyna, Anastasiia |
| Abstract: | The Russian invasion of Ukraine on 24 February 2022 triggered one of the largest refugee movements in Europe since World War II, with millions of Ukrainians seeking safety abroad. Czechia, Germany, and Poland emerged as primary destinations. Activation of the EU's Temporary Protection Directive granted Ukrainian refugees immediate access to host-country labor markets, creating substantial labor supply shocks. This study examines the impact of the inflow of Ukrainian refugees into the workforce in these three countries using quarterly individual-level microdata from the European Union Labor Force Survey (EU-LFS) between 2017 and 2023. Leveraging regional variation in exposure to Ukrainian employees, we estimate the effects of refugee employment on local employment, unemployment, inactivity, and working hours. We find no population-wide displacement effects, consistent with prior evidence for Czechia. However, subgroup analyses reveal heterogeneous impacts across countries. In Czechia, low-educated men benefited from increased labor demand, whereas in Poland, low-educated men experienced adverse effects. In Germany, secondary-educated men faced greater competitive pressure, reflected in an acceleration of early retirement. These differences likely stem from cross-country variation in refugee skill composition and bureaucratic barriers to labor market entry. Our findings highlight how institutional context shapes refugee integration and mediates the effects of large labor supply shocks on vulnerable segments of the local workforce. |
| Keywords: | Ukrainian refugees, Immigrants, Local labor market, Labor supply |
| JEL: | F22 J15 J21 |
| Date: | 2026 |
| URL: | https://d.repec.org/n?u=RePEc:zbw:glodps:1769 |
| By: | Shigenori SHIRATSUKA (Faculty of Economics, Keio University) |
| Abstract: | In a modern central bank system in which the government and the central bank are separate entities, seigniorage arises from the interest margin between the central bank’s assets and liabilities. However, the misconception that seigniorage is equivalent to the difference between the face value of banknotes and their production costs remains widespread. This paper clarifies the concept of seigniorage in modern central banks, which is derived from the interest spread between the central bank’s assets and liabilities, and verifies this point by examining the Bank of Japan’s balance sheet and profit-and-loss statement. Furthermore, by taking into account the fact that the budget constraints of the government and the central bank are separate, a consideration not reflected in standard macroeconomics textbooks, I confirm that seigniorage as an interest spread can be derived. In this sense, the concept of seigniorage can vary depending on the institutional design of currency issuance. Given that central banks will continue to conduct monetary policy with large balance sheets in the future, it is important to discuss the relationship between central bank finances and monetary policy management, grounded in an accurate understanding of seigniorage. |
| Keywords: | Central Bank, Independence, Seignorage, Consolidated Government |
| JEL: | H21 |
| Date: | 2026–06–03 |
| URL: | https://d.repec.org/n?u=RePEc:keo:dpaper:dp2026-010 |
| By: | Marta Castellini (Department of Economics and Management, University of Padua and Fondazione Eni Enrico Mattei); Nadezhda Ushakova (Department of Chemical Sciences, University of Padua and Fondazione Eni Enrico Mattei); Sergio Vergalli (Department of Economics and Management, University of Brescia and Fondazione Eni Enrico Mattei) |
| Abstract: | Although the circular economy (CE) is recognised as a key climate mitigation strategy, its integration within global climate frameworks, such as those developed by the Intergovernmental Panel on Climate Change (IPCC) in its Assessment Reports, remains unclear. This study provides a systematic analysis of how the circular economy is framed in the climate-mitigation context of the IPCC Sixth Assessment Report using a mixed-methods approach that combines computational text analysis with qualitative content analysis through sentence-level manual coding. Eight Chapters relevant to the mitigation were examined and findings show that CE is most frequently framed as a supporting strategy (44.3%), followed by implicit (29.3%) and primary roles (26.4%), while being unevenly distributed across sectors, with the strongest representation in industry. |
| Keywords: | Circular Economy, Climate Mitigation, IPCC AR6, Decarbonization, Sustainable Development |
| JEL: | Q53 Q54 Q56 Q58 |
| Date: | 2026–05 |
| URL: | https://d.repec.org/n?u=RePEc:fem:femwpa:2026.16 |
| By: | Khan, Wahaj Ahmed; Siddiqui, Danish Ahmed |
| Abstract: | This paper examines the regulatory and punitive implications of indulgence in money laundering violations and their impact upon global financial connections via de-risking and delinking of financial institutions. Through thematic analysis of some of the most significant enforcement cases, including HSBC, Westpac, Danske Bank, Deutsche Bank, and Westpac, alongside the theory of deterrence and institutionalization, the research examines how financial institutions react to the anti-money laundering (AML) pressure. The study finds that the increasing severity of penalties for compliance, regulatory uncertainty and the risk of a reputational hazard have caused banks to cut off the relationship with their correspondent banks, particularly in regions with high risk and emerging markets. Although these actions are in line with the goals of deterrence to improve compliance. However, they can also lead to financial exclusion through the disruption of remittance flow, trade finance and access to aid for countries such as Nigeria, El Salvador, and Mozambique. The paper suggests that while AML frameworks are vital, a heavy reliance on punitive measures, without reforms that build capacity, could backfire and harm the economies that require the greatest financial integration. It advocates for a balanced regulator who is risk-sensitive, backed with international cooperation and transparency and a spirit of innovation. |
| Keywords: | Anti-Money Laundering, Correspondent Banking, De-linking, Financial Inclusion, Regulatory Penalties, Thematic Analysis |
| Date: | 2026 |
| URL: | https://d.repec.org/n?u=RePEc:zbw:esprep:341080 |
| By: | Andoni Montes Nebreda; Nerea Urrutia |
| Abstract: | This paper examines how economies and diseconomies of scale affect the efficiency of local public service delivery in multilevel governance systems. Drawing on a review of the literature, it shows that scale effects vary significantly across sectors depending on fixed costs, demand density, technology and service characteristics. The evidence supports a U-shaped relationship between scale and efficiency: small jurisdictions face higher unit costs, while large and dense ones incur congestion and coordination costs. The paper also highlights the trade-off between scale and fiscal decentralisation, as pooled provision may improve efficiency but reduce responsiveness and accountability. It assesses policy tools such as intermunicipal cooperation, reallocation of responsibilities, and mergers as ways to capture scale benefits while preserving local autonomy. It concludes that there is no single optimal jurisdiction size and that reforms should be service-specific and context-dependent. |
| Keywords: | decentralisation, economies of scale, fiscal federalism, local public services, multilevel governance |
| JEL: | H72 H77 H75 |
| Date: | 2026–06–10 |
| URL: | https://d.repec.org/n?u=RePEc:oec:ctpaab:53-en |
| By: | Joel M. David; Raffaella Giacomini; Xiyu Jiao; Weining Wang |
| Abstract: | State-dependent local projections (LPs) are widely used to estimate how responses to exogenous aggregate shocks vary as a function of observable state variables, yet their causal interpretation remains unclear. We show that this interpretation obtains under the sufficient condition that the conditional mean is linear in the aggregate shock at each horizon, and that this condition holds in a broad class of canonical micro–macro environments, including first-order perturbation solutions of heterogeneous-agent models and macro-finance models. Under this condition, LPs recover causal impulse responses without requiring specification of the full data-generating process. We further show that the causal interpretation of state-dependent LPs is robust to the choice of state variable. By contrast, commonly used linear interaction LPs generally fail to recover causal objects. We therefore develop a sieve-based nonparametric LP estimator that restores causal interpretation and delivers valid pointwise and uniform inference in micro–macropanels. Empirically, allowing for nonparametric state dependence materially changes both the pattern of heterogeneous firm investment responses and their aggregate implications for the transmission of monetary policy shocks |
| Date: | 2026–01–30 |
| URL: | https://d.repec.org/n?u=RePEc:bri:uobdis:26/829 |
| By: | Miquel Noguer i Alonso |
| Abstract: | Practitioners allocate capital with forecast-light rules such as equal weight, inverse volatility, risk parity, HRP, and return-adjusted HRP (RA-HRP). This paper develops \emph{Heuristic Portfolio Optimization} (HPO): an information-restricted projection of the Markowitz/tangency solution onto a stable rule class. The implied-return principle, $\mathbf{w}$ is maximum-Sharpe iff $\mathbf{\mu}_e \propto \mathbf{\Sigma}\mathbf{w}$, gives closed-form optimality sets for leading heuristics and exposes the Schur-complement substitutions behind HRP. For RA-HRP, we introduce fixed-tree cluster-Sharpe recursion, unit-free HRP--RA-HRP interpolation, tangency conditions, conditional-risk splits, and pathwise/KL decompositions of weight distortion. First-order Sharpe calculus expresses the marginal value of return information as nodewise alphas against HRP and yields a linear KL trust budget. We formalize generic HPO maps, define the implied-return defect, prove that it equals squared Sharpe inefficiency, characterize tree-HPO coincidence by nodewise mass ratios, and give a bias--variance decomposition for estimated rules. Finally, HPO is embedded into Reinforcement Learning Portfolio Optimization (RLPO): every HPO map induces a deterministic stationary policy; static HPO is the $\gamma=0$ no-friction face of the Bellman problem; RA-HRP supplies a hierarchical policy prior; and dynamic improvement is warranted when continuation value exceeds myopic HPO defect plus frictions. A performance-difference identity prices the myopic value gap, gives an $\varepsilon/(1-\gamma)$ myopia bound, and identifies nodewise alphas as policy-gradient coordinates of the hierarchical actor. Thus HPO is the static optimality layer and RLPO the dynamic control layer. The conditions are GRS-testable, extend to mean--CVaR and expected utility under ellipticity, and become Kelly-growth conditions in diffusion limits. |
| Date: | 2026–06 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2606.12612 |
| By: | Lai, Yehong |
| Abstract: | [Version note] This MPRA deposit (2026-05-13) is the v0.10.16 working-draft revision of SSRN Working Paper No. 6742863. The current SSRN-archived version is v0.12-canada-extended (revision approved 2026-05-12; initial v0.3.3 deposit 2026-05-10). The present MPRA version incorporates additional prior-art engagement completed within 24 hours of SSRN approval - specifically Section 2.2 (Kathiravelu 2026 Kuramoto-trading), Section 2.3 (ECB CISS via Holló-Kremer-Lo Duca 2012), Section 2.5.5 (Aikman et al. 2017 Journal of Banking and Finance + Lee-Posenau-Stebunovs 2017 Federal Reserve IFDP 1191), Section 3.2 (phase-locking-value disambiguation via Lachaux et al. 1999), and Section 4.4 (portfolio-variance aggregation choice note). The SSRN abstract ID 6742863 remains the canonical citation; this MPRA deposit serves as the prior-art-strengthened version pending the next major SSRN revision. [Abstract] This paper introduces a multi-dimensional framework for measuring synchronized macroeconomic crisis risk in advanced economies. The Phase Locking Distance Index (PLDI) is defined as the geometric mean of standardised distances across four pre-committed dimensions - CPI inflation (A, two-sided), unemployment (B), federal net debt-to-GDP (C), and household debt-to-GDP (H) - derived from first principles via three independent theoretical traditions (Brunnermeier-Sannikov 2014; Reinhart-Rogoff 2009 6-type crisis taxonomy; Schularick-Taylor 2012 + Reinhart-Reinhart-Rogoff 2012). The Talon Threshold is the decision-theoretic universal cutoff PLDI_pr >= 0.80 (risk-asymmetric optimal under high false-negative / false-positive cost asymmetry). The Dual Breach Principle states that when any two of the four dimensions simultaneously breach in a crisis-conditional episode, the remaining two converge to warning zone within 6-24 months in 28 of 30 historical cases (93.3%, 95% Clopper-Pearson CI [78.0%, 99.2%]; n=30 across 20+ countries, 1929-2024). Policy-Induced Phase Locking (PIPL) captures the qualitative claim that policy bundles can synchronise the four dimensions, with the Policy Phase Locking Elasticity (PPLE) providing operational evaluation. Empirical validation comprises (i) joint OOS rolling-window logit on a 33-country panel of 2, 148 country-quarters, yielding joint PLDI + Borio-Drehmann credit-gap AUC 0.84-0.85 vs 0.79-0.81 credit-gap alone (complementary-signal pattern with LR tests rejecting either single-predictor specification at p = 2/3 hit rate across 8 countries, political-symmetry verified via N=3 within-coalition cross-validation, Abadie-Diamond-Hainmueller 2010 synthetic control 13/15 sign-agreement). The framework is applied in detail to Australia 2026 (aggregate PPLE approximately -0.35; PLDI = 1.16 = 0.36 units above the Talon Threshold) and as a second-country detailed application to Canada 2026 (aggregate cost-share-weighted PPLE = -0.085 vs Australia -0.21, indicating Canada is approximately 60% less synchronising than Australia at the same cycle point). The paper concludes with a Sequenced Demolition counterfactual for both countries, falsifiability conditions, and generalisability discussion for New Zealand, United Kingdom, Korea, and other advanced economies. |
| Keywords: | Phase Locking Distance Index; Dual Breach Principle; Talon Threshold; Policy Phase Locking Elasticity; multi-dimensional crisis early warning; macroprudential policy evaluation; composite financial vulnerability indicator; household debt; federal fiscal sustainability; Australia; Canada |
| JEL: | E32 E44 E52 E62 G01 G18 G28 |
| Date: | 2026–05–13 |
| URL: | https://d.repec.org/n?u=RePEc:pra:mprapa:129087 |
| By: | Tobias Adrian; Christopher Erceg; Marcin Kolasa; Jesper Lindé; Pawel Zabczyk |
| Abstract: | Quantitative easing (QE) has been criticized for helping fuel the post-COVID inflation boom and causing large central bank losses. In this paper, we argue that QE should be evaluated mainly on its ability to achieve core macro-objectives as well for its effects on the consolidated fiscal position of the government and central bank, although central bank losses can matter to the extent that they may weaken central bank credibility. Using a DSGE model with segmented asset markets, we show how QE can provide a sizeable boost to output and inflation in a deep liquidity trap and can reduce public debt substantially. This contrasts to the rise in public debt that occurs under fiscal expansion and makes QE an attractive tool in a high debt environment. There is more reason for caution in using QE in a "shallow" liquidity trap in which the notional interest rate is only slightly negative: QE runs more risk of causing the economy to overheat, especially if forward guidance has a strong element of commitment, and is more likely to generate sizeable central bank losses. Some refinements in strategy, including the use of escape clauses, can help mitigate overheating risks. |
| JEL: | C54 E1 E3 E5 G12 |
| Date: | 2026–06 |
| URL: | https://d.repec.org/n?u=RePEc:nbr:nberwo:35297 |