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on Investment |
| By: | Masayuki MORIKAWA |
| Abstract: | This study uses panel data on Japanese firms to examine the impacts of recent minimum wage increases on businesses. We exploit the gap between a prefecture’s minimum wage and those of its neighboring prefectures as an instrument for prefectural minimum wage increases. The results show that, first, increases in the prefectural minimum wage raised average wages for firms located in the prefecture but reduced employment. Second, minimum wage increases lowered firms’ profit margins. Third, we find no evidence that minimum wage increases improved the productivity of firms. These findings suggest that, unless minimum wages are set at levels that appropriately reflect regional differences in productivity and prices, they may have unintended adverse effects on the affected regions. |
| Date: | 2026–08 |
| URL: | https://d.repec.org/n?u=RePEc:eti:rpdpjp:26016 |
| By: | Paudel, Ujjwol |
| Abstract: | The question of how firms pass changes in their input costs to consumer prices, their pass-through rate, is an important and a long-standing puzzle in economics and marketing. I study this problem in the retail grocery sector, focusing on cost shocks from minimum wage increases. Exploiting spatial variation in U.S. minimum wage policies, NielsenIQ scanner data from 2011–2021, and a stacked difference-in-differences design, I find that a 10 percent increase in the minimum wage raises retail grocery prices by 1.1 to 1.5 percent. I also document forward-looking behavior as retailers increase prices immediately after legislation is enacted, rather than waiting until the policy is implemented. To examine heterogeneity, I use causal machine learning methods and show that pass-through rates are lower among larger retailers and in higher-income markets, which implies greater ability to absorb cost shocks. By contrast, retailers that rely less on promotions exhibit higher pass-through, which indicates that pricing adjustments can also occur through changes in discounting strategies rather than solely through base price increases. These findings highlight that the transmission of cost shocks depends on firm strategy and market context, with implications for both policymakers evaluating minimum wage policies and managers shaping retail pricing decisions. |
| Keywords: | Industrial Organization |
| Date: | 2026 |
| URL: | https://d.repec.org/n?u=RePEc:ags:aaea26:404620 |
| By: | Tien Mai |
| Abstract: | Route and activity choice are connected levels of a common sequential mobility decision problem: activity choice determines what people do, where, and when, while route choice governs how they move between activities. This review develops a unified framework connecting transportation choice modeling with inverse reinforcement learning (IRL) and imitation learning (IL). Under explicit assumptions, recursive logit, logit dynamic discrete choice, and maximum-entropy IRL share a soft Bellman representation, while trajectory occupancies and network flows satisfy related conservation laws. However, utility, reward, policy, occupancy, constraints, and observation errors remain different estimands with different behavioral and counterfactual interpretations. We review constrained and inverse-constrained learning, occupancy-ratio and DICE methods, incomplete and mixed-quality demonstrations, graph and sequence learning, transfer, data fusion, multi-agent choice, and large language models. Our central message is that machine learning adds the greatest value when embedded within a behaviorally disciplined framework: exact transitions enforce feasibility, structured rewards preserve interpretable trade-offs, observation models address heterogeneous data sources, and network or equilibrium solvers produce coherent system outcomes. Such hybrid models can improve scalability and prediction without sacrificing behavioral identification or policy relevance. |
| Date: | 2026–08 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2608.15339 |
| By: | Chabakauri, Georgy; Fos, Vyacheslav; Jiang, Wei |
| Abstract: | Privately informed about firm fundamentals, corporate insiders detect activism-motivated trades better than other traders. This paper solves the model of this novel form of insider trading motivated by non-insider information and presents empirical evidence. Corporate insiders preserve their ownership (restraining from selling or buying more) before activist interventions go public to benefit from price appreciation and to defend their private benefits of control. Response to real-time (pre-disclosure) activist trading is stronger precisely when positive information about firm fundamentals is absent, supporting the mechanism that insiders attribute order flows to activist interest when speculation on fundamentals can be ruled out. |
| Date: | 2024–09 |
| URL: | https://d.repec.org/n?u=RePEc:cpr:ceprdp:19461 |
| By: | Jaehan Cho (Korea Institute for Industrial Economics and Trade); Danbee Song (Korea Institute for Industrial Economics and Trade); Minyoung Cha (Korea Institute for Industrial Economics and Trade); Cheyeong Lee (Korea Institute for Industrial Economics and Trade) |
| Abstract: | In response to rapid shifts in the global economic and social environment, industrial policy has re-emerged as a central instrument of national strategy. Major shocks, including COVID-19, supply chain fragmentation, the AI revolution, and the green transition, have led major economies to adopt wide-ranging industrial policies at increasingly larger scales. Empirical understanding of these policies remains a blind spot in the literature, and this gap calls for systematic, quantitative, and evidence-based analysis.<p> This study draws on the Organisation for Economic Co-operation and Development (OECD)’s Quantifying Industrial Strategies (QuIS) database to measure South Korea’s industrial policy, and benchmark it within a group of 20 OECD economies. Industrial policy spending is rising broadly across the OECD: fiscal support climbed from 1.34 percent of GDP in 2019 to 1.55 percent in 2023. In Korea, however, industrial policy spending moved the other way, peaking in 2021 before declining to 1.06 percent of GDP in 2023, below the OECD benchmark.<p> The analysis finds that Korea’s industrial policy has two salient features: 1) it is typically small-scale and dispersed, and 2) predominantly horizontal. Industrial policy is spread thinly across programs, lacking concentration and heft, and is weighted heavily toward technology-oriented measures and support for small and medium-sized enterprises (SMEs) and young firms, rather than toward specific sectors.<p> This contrasts with the global trend toward larger, more targeted industrial policy. The authors argue that Korea needs to expand industrial policy and make efforts to increase its effectiveness. The paper calls for debate on expanded fiscal support; shifting toward more concentrated support for core areas through clearer priorities and the consolidation of overlapping programs; stronger targeted support for advanced strategic industries alongside broader coverage that reaches beyond manufacturing into non-manufacturing and emerging sectors; and an evaluation system that looks past firm-level outcomes to ask whether policy goals such as industrial competitiveness and supply chain stability are actually met, weighing results against inputs and comparing the effectiveness of different instruments. |
| Keywords: | OECD; QuIS; industrial policy; industrial competitiveness; economic security |
| JEL: | L52 O25 O57 H81 |
| Date: | 2026–06–24 |
| URL: | https://d.repec.org/n?u=RePEc:ris:kietia:023339 |
| By: | Soon-hong Min (Korea Institute for Industrial Economics and Trade) |
| Abstract: | This study examines the relationship between South Korea’s dual labor market, the divide between large firms and small and medium-sized enterprises (SMEs), and the increasingly delayed entry of young people into the labor market. As the working-age population shrinks and mismatch widens, the inefficient use of available labor has become a long-term social concern. Delayed entry into the workforce gives workers less time to accumulate skills and experience, eroding human capital and, in aggregate, the skill level of the entire workforce.<p> Drawing on recent administrative data, the analysis shows that large firms have steadily accounted for about 12 percent of all regular wage workers (excluding temporary workers and day laborers), while the SME share now sits around 39 percent. Although on aggregate, the ratio of average SME wages to average wages at large firms has improved over the past ten years, climbing from 0.43 in 2015 to 0.49 in 2024, in nominal terms the monthly wage gap grew from KRW 2.98 million to KRW 3.65 million3), so workers are likely to perceive the gap as having widened, rather than narrowed.<p> The labor market has also grown more rigid: workers are likely to stay in their current positions, entries and exits have declined, and moving from an SME to a large firm is almost unheard of; at most, just five to six percent of workers in their twenties (the most mobile cohort) do so. Empirical results indicate that the widening of the wage gap between large firms and SMEs is associated with delayed entry into workforce, and that the effect of the rigid, dual structure of the market on the supply of young adults’ labor supply carries a lag. Given the current wage gap, four-year university graduates are estimated to defer graduation by about one month, and labor market entry by about 3.6 months. Because the structure of the labor market appears to be a quasi-permanent feature of the Korean economy, this study argues for the introduction and continuous, permanent operation of support policies that raise the real wages of young SME workers through direct support to individuals, rather than to firms. The author argues that the permanence of such programs would incentivize long-term employing planning by both young workers and firms. |
| Keywords: | youth employment; SME employment; job creation; NEET; labor market dualism |
| JEL: | J42 J31 J21 J62 |
| Date: | 2026–06–26 |
| URL: | https://d.repec.org/n?u=RePEc:ris:kietia:023340 |
| By: | Lee, Wonseok; Kim, Jaebeom; Brorsen, B. Wade |
| Abstract: | This paper examines how shocks in the natural gas and corn markets influence nitrogen fertilizer prices and how these relationships change after the 2005 and 2007 changes in biofuel policies. Using a block-recursive structural VAR framework, we decompose changes in fertilizer prices into structural shocks driven by supply, demand, and precautionary demand. The results show that fertilizer prices are influenced mainly by demand-side shocks, while supply shocks have only small effects on prices. After the structural break, corn demand shocks become more influential, indicating tighter linkages between corn and fertilizer markets. These findings imply that biofuel policies increased nitrogen fertilizer price volatility by strengthening the linkages between energy and agriculture, with fertilizer price movements driven primarily by demand-side shock |
| Keywords: | Demand and Price Analysis, Resource/Energy Economics and Policy |
| Date: | 2026 |
| URL: | https://d.repec.org/n?u=RePEc:ags:asea26:404832 |
| By: | Meining, Stefan; Bielefeldt, Judith; Dietrich, Viktoria; Wellbrock, Nicole |
| Abstract: | Der bundesweite Foto-Vergleichstest 2025 diente der Qualitätssicherung der visuellen Kronenansprache im Rahmen der Waldzustandserhebung (WZE) und wurde erstmals als regulärer Test vollständig über eine webbasierte Anwendung durchgeführt. Insgesamt beteiligten sich 63 Teams aus zehn Bundesländern bzw. Versuchsanstalten. In die Auswertung gingen 6.870 Einzelbewertungen von Kronenbildern der Baumarten Fichte, Kiefer, Buche und Eiche ein. Die Ergebnisse zeigen insgesamt eine sehr hohe Übereinstimmung der Bewertungen des Kronenzustandes zwischen den Bundesländern. Die Abweichungen der länderspezifischen Mittelwerte vom Gesamtmittel bewegen sich nahezu vollständig innerhalb eines engen Bereichs von ±5 %. Entsprechend gering fällt auch der mittlere absolute Fehler aus, der je nach Baumart lediglich zwischen 1, 9 und 2, 6 Prozentpunkten liegt. Auch die Analyse der Ausreißer bestätigt die hohe Übereinstimmung der Bewertungen. Dabei weisen Bundesländer mit tendenziell niedrigeren mittleren NBV-Werten häufiger Unterschätzungen auf, während bei Ländern mit höheren Mittelwerten vermehrt Überschätzungen auftreten. Insgesamt ist die Anzahl von Ausreißern jedoch gering. Die paarweisen Spearman-Korrelationskoeffizienten zwischen den Bundesländern liegen für alle Baumarten in einem sehr hohen Bereich (≥ 0, 92) und verdeutlichen die große Übereinstimmung in der Bewertung des Kronenzustandes zwischen den einzelnen Bundesländern. Der Vergleich identischer Bilder aus den Jahren 2021 und 2025 zeigt zudem eine sehr hohe zeitliche Stabilität der Kronenansprache. Die Mittelwerte unterscheiden sich zwischen beiden Erhebungen kaum, und das Bestimmtheitsmaß der Bewertungen liegt mit R² = 0, 97 - 0, 98 auf einem sehr hohen Niveau. Insgesamt bestätigen die Ergebnisse des Foto-Vergleichstest 2025 eine hohe Vergleichbarkeit und Kontinuität der Kronenbonitur in Deutschland. |
| Abstract: | The nationwide photo comparison test 2025 served to ensure the quality of visual crown assessment as part of the forest Crown Condition Survey (WZE) and was conducted for the first time as a regular test entirely via a web-based application. A total of 63 teams from ten federal states and research institutions participated. The evaluation included 6, 870 individual assessments of crown images of the tree species spruce, pine, beech, and oak. The results show a very high degree of agreement among the assessments across the federal states. The deviations of the state-specific mean values from the overall mean are almost exclusively within a narrow range of ±5%. Accordingly, the mean absolute error is also small, varying between 1.9 and 2.6 percentage points depending on the tree species. The analysis of outliers also confirms the high degree of agreement. Federal states with generally lower mean NBV values more frequently exhibit underestimations, while federal states with higher mean values more frequently show overestimations. Overall, however, the number of outliers is small. The pairwise Spearman correlation coefficients between the federal states are very high (≥ 0.92) for all tree species, which further demonstrates the high consistency of the assessments. A comparison of identical images from 2021 and 2025 also shows a very high degree of stability in crown assessments over time. The mean values hardly differ between the two surveys, and the coefficient of determination of the assessments is very high at R² = 0.97 - 0.98. Overall, the results of the photo comparison test 2025 confirm a high degree of comparability and consistency in crown assessment in Germany. |
| Keywords: | Waldzustandserhebung, Qualitätssicherung, Foto-Vergleichstests, Crown Condition Survey, Quality Assurance, Photo comparison Course |
| Date: | 2026 |
| URL: | https://d.repec.org/n?u=RePEc:zbw:jhtiwp:342542 |
| By: | Aleksander Fafu{\l}a |
| Abstract: | Abliteration - deleting a model's refusal direction from its weights - is the standard recipe behind popular "uncensored" open-weight models. We show the surgery is not clean. As a disposition probe we use 21, 600 decisions under uncertainty - weekly up/down calls on 60 Warsaw Stock Exchange equities over 18 weeks, replayed through a frozen pipeline so the decision-layer model is the only variable. The task elicits no refusals at all, so any between-arm delta is pure side effect. Holding provenance constant (official BF16 checkpoints, a single abliteration author, an identical serving stack, one byte-identical frozen prompt), we compare base and abliterated arms of two Mixture-of-Experts families, Gemma-4-26B-A4B-it and Qwen3-30B-A3B-Instruct-2507. Three effects replicate across both families (weeks-clustered bootstrap CIs excluding zero): abliterated models are systematically more optimistic (+12.2 pp Gemma, +7.4 pp Qwen; the confirmed preregistered endpoint), justify themselves at greater length, and use fewer explicit uncertainty words in forced self-critiques (both exploratory). A fourth effect reverses sign: the same operation makes Gemma-abliterated less confident and Qwen-abliterated more (family CIs non-overlapping) - one weight surgery, opposite shifts in expressed confidence. Capability covariates rule out instruction-following degradation as the driver, and no arm shows economic skill: the apparent edge of abliterated arms is regime beta, not alpha. Our provenance audit also caught two independent contamination channels - a mismatched-quantizer pilot pair and a stale community chat template that silently mangled the rendered prompt - suggesting toolchain artifacts are the rule in studies of community-modified checkpoints. Whoever deploys an "uncensored" model as an agent is deploying a measurably different decision-maker, not the base model minus refusals. |
| Date: | 2026–07 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2607.17427 |
| By: | Calacino, Anthony (University of Oxford) |
| Abstract: | Do competitive local elections impact environmental protections in consolidating democracies? Existing research on protections, and public goods more generally, remains divided. Also, past research tends to overlook how local politicians rarely control environmental stringency unilaterally. This paper contributes on both fronts. First, it argues the effect of competition depends on politicians' expectations of a voter backlash. In competitive contexts, incumbents face demands for private goods from special interests, which often requires limiting environmental protections. Politicians are more likely to give into these demands when the consequences are unlikely to become salient to voters. The second point is that even when local politicians lack complete control over protections, they can turn to a strategy this paper calls ``suppressing the state'', whereby mayors interrupt other authorities' attempts to provide public goods. The theory is tested by studying forest protections in the Brazilian Amazon. I leverage the unpredictability of El Niño/Southern Oscillation (ENSO) and effects on smoke from fires as plausibly exogenous variation in visibility of degradation for causal identification. The analysis shows competition decreases deforestation when weather conditions exacerbate fires and smoke, but it increases deforestation when weather conditions render externalities of deforestation less visible. Qualitative analysis of over 100 expert interviews complements the quantitative results, supporting the idea that mayors suppress federal enforcement officials when fires from deforestation are set to be mild. The findings clarify local electoral dynamics and environmental governance with wider implications for the study of the politics of public goods. |
| Date: | 2026–07–17 |
| URL: | https://d.repec.org/n?u=RePEc:osf:socarx:b3w8q_v1 |
| By: | Littlechild, S.; Baldick, R. |
| Abstract: | The Texas Competitive Renewable Energy Zones (CREZ) process remains highly relevant to current transmission planning. Its significance lies not in providing a template to be copied mechanically, but in showing how a regulator can address a transmission "chicken and egg" problem that ordinary incremental planning is poorly equipped to solve. Senate Bill 20 of 2005 required the Public Utility Commission of Texas (PUCT) to designate renewable zones and develop transmission to deliver their output "in a manner that is most beneficial and cost-effective to the customers." In 2008 the Commission approved a transmission plan capable of supporting about 18, 500 MW of wind generation, and by early 2014 nearly 3, 600 miles of new transmission had been built. The process may be understood as a hybrid institutional mechanism combining legislative mandate, regulatory planning and backstop, and negotiated implementation in provider selection and siting. The CREZ experience also illustrates the limits of anticipatory transmission planning: it relied on only partial ex ante cost -benefit discipline, imposed local burdens that were not always fully compensated, and used a competitive designation model that Texas later curtailed. Current transmission policy could recover the logic of CREZ, but improve the instruments: by using more explicit benefit tests, transparent cost allocation, better treatment of local burdens, safeguards against incumbent control, and deliberate use of negotiated-settlement techniques under a regulatory backstop. |
| Keywords: | Transmission Planning, CREZ, ERCOT, Renewable Energy Zones, Negotiated Settlements, Cost Allocation, Anticipatory Investment |
| JEL: | L94 L51 Q48 D02 |
| Date: | 2026–07–27 |
| URL: | https://d.repec.org/n?u=RePEc:cam:camdae:2662 |
| By: | Yannik Pitcan |
| Abstract: | Studies of association-football forecasting routinely report three-way accuracy in the low fifties and present it as competitive with the betting market. Accuracy against a uniform benchmark answers the wrong question; the question worth asking is whether a model carries information a margin-free closing price has not already absorbed. We formalise that test as the fitted weight in a logarithmic opinion pool and apply it to nineteen complete Serie A seasons (7, 220 matches). The answer is negative and stable. A Dixon-Coles model with tuned exponential decay attains 53.4% accuracy and a Ranked Probability Score of 0.1972 against the market's 0.1905; the paired difference is +0.0067 (95% CI [0.0046, 0.0088]) and the market wins in all seven test seasons. The fitted pooling weight on the structural model is 0.000, and the log-loss profile is monotone increasing in that weight on validation and test alike, so this is a boundary solution, not an optimisation artefact. Refitting the same machinery to shots on target yields a variant earning weight 0.35 against the goals model -- it carries information the goals model lacks -- and 0.000 against the market. Two structural signals, each informative about the other, both priced. The structural model is better calibrated than the market on the home-win margin (slope 0.995 versus 1.103) while clearly less sharp: the market's advantage is discrimination rather than honesty, which accuracy alone cannot distinguish. Value lies not in a better forecast but in what is built on a calibrated one. We define match leverage, the change in a club's probability of achieving a season objective between winning and losing a fixture, and compute it for ACF Fiorentina: an away fixture against a relegation rival carried 2.25x the leverage of hosting the eventual champions. The paper also documents and corrects errors in an earlier study of our own. |
| Date: | 2026–08 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2608.11505 |
| By: | Cornelli, Giulio; Gambacorta, Leonardo; Garratt, Rod; Reghezza, Alessio |
| Abstract: | Decentralised finance (DeFi) lending protocols have experienced significant growth recently, yet the motivations driving investors remain largely unexplored. We use granular, transaction-level data from Aave, a leading player in the DeFi lending market, to study these motivations. Our findings reveal that search for yield predominantly drives liquidity provision in DeFi lending pools, whereas borrowing activity is mainly influenced by speculative and, to some extent, governance motives. Both retail and large investors seek high returns through price speculation, however the latter engage in DeFi borrowing relatively more than the former also to influence protocol decisions and accrue more significant governance rights. |
| Keywords: | Cryptocurrency; Decentralised Finance; lending |
| JEL: | G18 G23 O39 |
| Date: | 2024–08 |
| URL: | https://d.repec.org/n?u=RePEc:cpr:ceprdp:19358 |
| By: | chandarwal, Abhay kumar |
| Abstract: | India's Ethanol Blended Petrol (EBP) Programme has advanced from a marginal 1.14–1.53 per cent blending rate in 2013–14 to the statutory 20 per cent (E20) target by Ethanol Supply Year (ESY) 2025–26, five years ahead of the original 2030 deadline set under the National Policy on Biofuels, 2018. This rapid scale-up has been accompanied by an equally rapid structural shift in feedstock composition: official data show the share of grain-based ethanol (maize, rice, and damaged food grain) rising from roughly 9 per cent of total procurement in ESY 2020–21 to nearly 60 per cent by early ESY 2024–25, with industry-association estimates placing maize's individual share alone at approximately 50 per cent by ESY 2024–25, up from 6.2 per cent two years earlier. This paper examines the resulting energy-security-versus-food-inflation trade-off using officially reported and peer-reviewed data. It synthesises the National Policy on Biofuels (2018, amended 2022), the NITI Aayog Roadmap for Ethanol Blending in India 2020–25, Ministry of Petroleum and Natural Gas (MoPNG) blending statistics, USDA Foreign Agricultural Service (FAS) maize market data, Reserve Bank of India (RBI) and Ministry of Finance inflation reporting, and a 2026 peer-reviewed partial-equilibrium modelling study (published in PLOS One by researchers at the Indian Institute of Management Ahmedabad, the Potsdam Institute for Climate Impact Research, and the FABLE Consortium). The analysis finds credible evidence of crop-substitution pressure — a 14.7 per cent year-on-year decline in maize production coinciding with record consumption, an 84 per cent collapse in maize exports, and open-market maize prices exceeding the government's minimum support price by approximately 11 per cent in April 2024 — alongside documented cumulative energy-security gains of over ₹1.36–1.59 lakh crore in foreign exchange savings. However, the paper finds that a direct, India-specific econometric (VAR/Granger) estimate of ethanol-to-food-price transmission does not yet exist in the peer-reviewed literature; this study is accordingly framed as a literature- and data-grounded empirical synthesis rather than primary econometric estimation, and it explicitly flags this gap as a priority for future research. Policy recommendations centre on feedstock diversification toward 2G/cellulosic ethanol, protection of grain buffer stocks, and integration of food-price monitoring into the biofuel roadmap. |
| Date: | 2026–07–31 |
| URL: | https://d.repec.org/n?u=RePEc:osf:socarx:svekc_v1 |
| By: | Yingxing Li; Aureo De Paula; Weining Wang |
| Abstract: | This paper analyzes spillover effects in spatial (network) models when the neighborhood (adjacency) matrix is contaminated by measurement error from reporting, aggregation, or disclosure imperfections, leading to inconsistent estimation of network effects. We introduce a regularization framework for the latent network that allows for sparse and/or low-rank structure and accommodates potential correlation between measurement errors and outcomes. We propose two estimators: (i) a two-stage procedure that first denoises the adjacency matrix and then incorporates the purified network into a regression analysis, and (ii) a Generalized Method of Moments (GMM) estimator that jointly estimates regression parameters and refines the network structure. We then establish strictly improved consistency rates for the spillover effect estimator relative to naive estimation ignoring measurement error. Simulations demonstrate that, in the presence of noisy networks, our approach reduces the root mean squared error of spillover estimates relative to conventional methods by approximately $50-80\%$. We apply our framework to examine the international spillover of economic growth, and the tax competition across U.S. states, illustrating that denoising might restore Leontief stability and yields improved estimates of spillovers. |
| Date: | 2026–07 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2607.19625 |
| By: | Yingli Wang; Yinhao Wu; Lingjiong Zhu |
| Abstract: | Hawkes-based microstructural foundations for rough volatility, leverage, and rough Heston-type limits were developed by El Euch et al. (2018, Finance Stoch., 22(2), 241--280) and connected to the affine rough Heston framework of El Euch and Rosenbaum (2019, Math. Finance, 29(1), 3--38). The rough Hawkes--Heston model with common price--volatility jumps of Bondi et al. (2024, Math. Finance, 34(4), 1197--1241) extends this framework by adding state-dependent common jumps to rough affine volatility. We provide a microstructural foundation for its variance and common-jump mechanism by constructing a Poisson-embedded marked Hawkes order-flow model. Ordinary arrivals generate rough continuous volatility and leverage through a nearly unstable heavy-tailed Hawkes mechanism, while rare marked arrivals represent common shock events that produce simultaneous price jumps and volatility excitation. Under the nearly unstable scaling and the reduced-form admissibility conditions, the complete rescaled price/variance/jump system converges along the full sequence to the unique complete canonical rough Hawkes--Heston weak solution. The Hawkes renewal structure yields a Mittag--Leffler Volterra representation, which is then rewritten in Riemann--Liouville fractional form. The limiting coefficients are expressed explicitly in terms of the microscopic parameters. The construction provides a microstructural foundation for the variance and common-jump mechanism of the rough Hawkes--Heston model. Numerical experiments illustrate the convergence of our microstructural foundation to the rough Hawkes-Heston model. |
| Date: | 2026–08 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2608.07709 |
| By: | Yuhao Li; Haokun Lu; Xiaojun Song |
| Abstract: | We propose a unified Kernel Minimum Distance (KMD) framework for estimating and testing models defined by conditional moment restrictions. By embedding conditional moments into a Reproducing Kernel Hilbert Space (RKHS), we construct a closed-form $V$-statistic objective function that quantifies the distance from the restrictions. We establish the $\sqrt{n}$-consistency and asymptotic normality of the associated minimum distance estimator. Within this framework, the minimized objective function naturally yields a consistent omnibus specification test. Unlike projection-based methods that require auxiliary nonparametric estimation for Neyman orthogonalization, our test inherently captures the estimation effect via a projected kernel structure. We derive asymptotic properties of the test statistics under the null hypothesis, the alternative hypothesis, and a sequence of local alternatives converging to the null at the parametric rate $n^{-1/2}$. The validity of a computationally simple multiplier bootstrap is established to facilitate inference. Simulation results demonstrate robust finite-sample performance, and the framework is illustrated by analyzing Engel curves using UK Family Expenditure Survey data. |
| Date: | 2026–07 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2607.16605 |
| By: | Alireza Kargarzadeh; Nariman Khaledian; Navid Parvini; Arman Khaledian |
| Abstract: | Large language models can extract richer signals from financial news than fixed sentiment lexicons, and recent work has explored feeding such signals into portfolio construction. We study an uncertainty-aware construction that feeds model-predicted risk -- decomposed into aleatoric and epistemic components -- directly into the covariance matrix of portfolio allocators, rather than treating portfolio risk as fixed or adjusting only expected returns. We evaluate the pipeline on Russell 2000 equities under three stock-selection regimes: a pure-alpha trigger that isolates abnormal stock moves not explained by macro indicators, a pure-beta trigger that captures macro-indicator moves before the stock itself fires, and a beta trigger in which both channels agree. Across the full holding-period grid, the separated pure-alpha and pure-beta legs usually dominate the beta intersection on Sharpe and return. Two horizons are especially informative. At one day, pure beta can work under low and moderate transaction costs because it captures immediate lead-lag spillovers from liquid macro and sector indicators into exposed small-cap stocks, but this advantage disappears at 100 bps when turnover and microstructure noise dominate. At 40 days, pure beta works for a different reason: slower macro repricing overtakes the firm-specific pure-alpha channel. The strongest conservative row is pure beta with GPT-4o mini sentiment, a Student-t target, a 40-day holding period, and risk parity allocation, reaching Sharpe 2.33 at 100 bps. The results suggest that stock-selection regime and allocator choice matter at least as much as the sentiment model, and that separating firm-specific and macro-exposure triggers is more informative than requiring both to fire simultaneously. |
| Date: | 2026–08 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2608.12283 |
| By: | Garcia-Hombrados, Jorge; Jansen, Marcel; Martinez, Angel; Ozcan, Berkay; Rey-Biel, Pedro; Roldan-Mones, Antonio |
| Abstract: | The implementation of evidence-based policies hinges on the dissemination of evidence to policymakers, a process influenced by the attributes of the sender. We conducted a nationwide RCT with ideologically opposite think tanks, major newspapers, and a research institution with nonsalient ideology to communicate a nonideological, cost-effective policy to local policymakers. Results show a 65 percent increase in policy adoption when informing institutions align ideologically with policymakers. We compare the impact of think tanks versus media outlets on implementation, finding both equally effective when ideologically aligned. We explore three actions where ideology may influence adoption: information exposure, belief updating and implementation. |
| JEL: | C93 D72 D78 D83 I23 |
| Date: | 2026–07–28 |
| URL: | https://d.repec.org/n?u=RePEc:ehl:lserod:140380 |
| By: | Silviu Pitis |
| Abstract: | The softmax policy $\pi(a \mid s) \propto \exp(\beta Q(s, a))$ is the default model of stochastic choice in reinforcement learning (RL). Various justifications based on robustness, exploration, and optimization have been offered in the RL literature, but none uniquely derives the softmax form from first principles. This leaves a basic tension unresolved: the entropy bonus in the soft Bellman equation violates the Independence axiom that underwrites the Markov decision process (MDP) reward structure. We dissolve this tension by distinguishing two kinds of randomness: chance and choice. By restricting von Neumann-Morgenstern (VNM) Independence to environmental lotteries over base prospects, we show that imposing independence of irrelevant alternatives (IIA) and monotonicity on the policy and value functions at choice nodes uniquely determines the Boltzmann policy, the entropy-regularized representation, and the soft Bellman equation. The choice between the soft and hard Bellman equations thus reduces to a design decision: whether the agent values its own ability to choose. We develop RL-specific consequences, including return monotonicity and convergence under generalized discounting, and synthesize the independent lines from economics and information theory that arrive at the same structure, offering a normative assessment of when IIA is appropriate for agent design. |
| Date: | 2026–07 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2607.17316 |
| By: | Bautista, María Angélica; Galán, Juan Sebastián; Robinson, James A.; Torres, Rafael; Torvik, Ragnar |
| Abstract: | Political leaders make policy choices which are often hard to explain via institutions. We use the behavior of Colombian paramilitary groups as an environment to study non-institutional sources of variation in how public good provision and violence are combined to control populations. We hypothesize that a significant source of variation stems from the social preferences of the paramilitary commanders. Reciprocators adopt a strategy of offering public goods in exchange for support, but also use violence to punish those who do not reciprocate back. Reciprocity, developed via childhood socialization, is a characteristic of rural “peasants†. We develop a model which generates these hypotheses and test them using a unique dataset compiled from transitional justice documents. |
| Keywords: | Leader Behavior; Public goods; Violence; Socialization |
| JEL: | P00 D7 D9 H42 |
| Date: | 2024–09 |
| URL: | https://d.repec.org/n?u=RePEc:cpr:ceprdp:19546 |
| By: | Wayne Yuan Gao; Ming Li |
| Abstract: | We develop a finite-sample valid inference procedure for strategic network formation models in which linking decisions depend on endogenous network statistics (say, the number of common friends). Only a single network is required to be observed, and we restrict neither its density, nor the dependence structure induced by strategic interaction, nor the equilibrium selection mechanism. We exploit a bounding-by-c technique to construct a set of sandwich inequalities that are valid realization by realization, with the middle term involving only the i.i.d. pairwise error. We then average the sandwich inequalities over cells of exogenous covariates, and obtain identifying restrictions under a nonstandard pathwise limit formulation. For inference, we construct test statistics whose finite-sample uncertainty can be controlled by statistics of the exogenous covariates and errors alone, whose conditional distributions are exactly simulable in both semiparametric and parametric settings. Our proposed inference procedure is also computationally tractable, with no need to solve, simulate, or enumerate equilibrium network structures. In simulations, our procedure easily scales to networks of size 10, 000, and yields confidence sets that certifies the sign of the strategic coefficient. In two empirical applications (with network size about 300~9500), we find statistical evidence for positive link interdependence at 95% confidence level. |
| Date: | 2026–07 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2607.27505 |
| By: | Heidhues, Paul; Köster, Mats; Köszegi, Botond |
| Abstract: | We develop a theory of digital ecosystems built on the premise that a multi-market firm can steer users it has in one market toward its products in other markets. Due to this "cross-market leverage, " a leader in an "access-point'' market (where users begin their online journeys) derives a high value from offering services in connected markets (where users continue their journeys), and can thus make profitable takeovers. Indeed, because the firm has the outside option of acquiring, and steering users toward, its target's competitor, it can take over the target at a discount. In contrast, other firms have no or smaller incentives for takeovers, explaining why ecosystems grow out of market leaders at access points. Conversely, cross-market leverage also implies that once an ecosystem has grown, it has an increased value of controlling access points, so it may go to great lengths to dominate these markets. Our theory suggests that ecosystems have mixed implications for consumer welfare. Under plausible assumptions, a to-be ecosystem takes over market leaders, and this consolidation of good services across markets benefits consumers in the short run. But an ecosystem's takeovers and dominance of access points lower incentives for entry and innovation, and lower the efficiency of access-point markets with superior alternatives. Hence, the long-run welfare implications of ecosystems are often negative. |
| Date: | 2024–09 |
| URL: | https://d.repec.org/n?u=RePEc:cpr:ceprdp:19524 |
| By: | Goller, Daniel (University of Bern); Lüthi, Samuel (Swiss Coordination Centre for Research in Education); Wolter, Stefan (University of Bern) |
| Abstract: | Practical skills are widely believed to be a key determinant of labor market success, yet credible empirical evidence remains scarce, because these skills are occupation-specific, acquired primarily through workplace experience, and notoriously difficult to measure. We address these challenges using an exceptional dataset covering over 170 occupations. Our measure of practical skills is based on high-stakes expert evaluations of apprentices’ performance in occupation-specific standardized practical examinations, conducted under authentic workplace conditions and lasting from several hours to several weeks. Combined with rich administrative data, this allows us to separate practical skills from general and vocational knowledge. We show that practical skills form a distinct dimension of human capital, only weakly correlated with traditional achievement measures. Practical skills are the strongest predictor of early labor market success, consistently associated with higher first-year earnings, lower NEET risk, greater retention by the training firm, and a higher likelihood of entering tertiary education. These relationships are robust across occupational task groups and by gender. |
| Keywords: | return to skills, practical skills, school-to-work transition, human capital |
| JEL: | J24 I26 J31 |
| Date: | 2026–07 |
| URL: | https://d.repec.org/n?u=RePEc:iza:izadps:dp18848 |
| By: | Paulo Monteiro; Rabee Tourky |
| Abstract: | Let $V$ and $U$ be independent standard normal random variables. For each Borel-measurable function $\phi\colon\mathbb{R}\to\mathbb{R}$, let $P_\phi\colon\mathbb{R}\to\mathbb{R}$ be a Borel version of the inverse regression $y\mapsto\mathbb{E}[V\mid\phi(V)+U=y]$. We prove that $\phi(v)\in\operatorname*{arg\, max}_{x\in\mathbb{R}} \mathbb{E}[(v-P_\phi(x+U))x]$ for every $v\in\mathbb{R}$ if and only if $\phi=\operatorname{id}_{\mathbb{R}}$. The rigidity result implies that the one-period Gaussian Kyle (1985) insider-trading model has a unique Borel-measurable equilibrium strategy, namely Kyle's affine strategy. Building on preliminary results of McLennan, Monteiro, and Tourky (2017), the proof establishes that, at equilibrium, the total expected loss of noise traders attains a sharp universal upper bound and that any strategy attaining this bound must be affine almost everywhere. |
| Date: | 2026–07 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2607.23585 |
| By: | Kaas, Leo; Kocharkov, Georgi; Syrichas, Nicolas |
| Abstract: | We examine the evolution of spatial house price dispersion during Germany's recent housing boom. Using a dataset of sales listings, we find that house price dispersion has significantly increased, which is driven entirely by rising price variation across postal codes. We show that both price divergence across labor market regions and widening spatial price variation within these regions are important factors for this trend. We propose and estimate a directed search model of the housing market to understand the driving forces of rising spatial price dispersion, highlighting the role of housing supply, housing demand and frictions in the matching process between buyers and sellers. While both shifts in housing supply and housing demand matter for overall price increases and for regional divergence, we find that variation in housing demand is the primary factor contributing to the widening spatial dispersion within labor market regions. |
| JEL: | D83 R21 R31 |
| Date: | 2024–08 |
| URL: | https://d.repec.org/n?u=RePEc:cpr:ceprdp:19397 |
| By: | Alejandro Rodriguez Dominguez; Miquel Noguer i Alonso |
| Abstract: | How much capital a trading strategy can absorb before its edge disappears is a causal question about how much is deployed, but it is answered with observational proxies that rest on incompatible assumptions. We ask what experiment would answer it instead, and show that two features of the problem interact to constrain any answer. Deployed capital erodes the edge gradually, so a trial of fixed length measures less than the eventual effect; and parallel implementations of one strategy trade the same securities, so they are not independent units. Comparing implementations on the same date removes market-wide shocks, which is what makes the comparison credible. But the crowding created by the strategy's own accumulated position is common to those implementations too, and an arbitrary date effect absorbs it exactly: the comparison that makes the experiment robust is the one that prevents it from measuring the crowding capacity is about. A same-date design recovers one implementation's private response at the prevailing level of aggregate positioning, and reaching the aggregate effect requires either implementations with deliberately different exposure to that position or variation in it over time. We characterise what each route identifies and what it costs, establish how far a fixed holding period understates the eventual effect and how to correct for it, and show what a finite set of deployment levels can and cannot reveal. A calibration on a purpose-built panel illustrates the resulting design rules and prices a study that would follow them. |
| Date: | 2026–08 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2608.08405 |
| By: | Bai, Jennie; Massa, Massimo |
| Abstract: | We investigate information substitutability in the financial market using a quasi-natural experiment: the pandemic-triggered lockdown that has restricted people’s physical interactions, affecting their ability to collect, process, and transmit interaction-based information. By leveraging cross-sectional and time-series variations in the lockdown and its impact on proximate investment, we explore how the challenges of gathering information through physical interactions have led to a shift towards electronic interactions, including both synchronous interactions like virtual meetings and asynchronous ones such as collecting information from the internet. We show that funds that relied more on physical interactions for information before the pandemic experienced even worse performance than other funds during the lockdown. The loss of their information advantage prompted these funds to rebalance portfolios towards distant stocks, aiming to diversify portfolios and reduce risk. These results suggest that physical-interaction-based and electronic-based information are not fully substitutable. Furthermore, we identify the origin of the advantages of human-interaction-based information as stemming from physical contacts, primarily in venues such as cafes, restaurants, bars, and fitness centers. Additionally, we demonstrate that the virtual world based on Zoom/Skype/Teams can provide a buffer but cannot fully replace in-person meetings in generating sufficient information. |
| Keywords: | COVID-19 |
| JEL: | G12 G14 G23 |
| Date: | 2024–08 |
| URL: | https://d.repec.org/n?u=RePEc:cpr:ceprdp:19394 |
| By: | Igor Halperin |
| Abstract: | We present a simple framework for dynamic portfolio management that uses nothing but daily prices, trading volumes, and market capitalizations. Its state is three fixed-size matrices built from the price history: the distance matrix of the return correlations and the transition matrices of two Markov chains that rank the S\&P 500 names monthly by trailing return and by trailing volatility. These three matrices rest on the price history alone, the same information Markowitz mean-variance optimization draws on, but they replace its expected-return vector and covariance matrix. Our method requires no matrix inversion, works on outlier-robust cross-sectional ranks, and is dynamic rather than single-period. Empirically the volatility rank is forecastable one step ahead while the return rank stays close to unforecastable. A portfolio built on the forecasts, a market-neutral momentum long-short blended with an opportunistic long-only sleeve, beats the market on two non-overlapping out-of-sample test sets, January 2022 to December 2024 and January 2025 to July 2026, at Sharpes of $1.06$ and $1.32$ against the market's $0.78$ and $1.14$, respectively, net of a five-basis-point trading cost and marked to market daily. It also outperforms the classical minimum-variance and maximum-diversification portfolios. Diversifying the long sleeve by residual distance adds a further edge on both periods, lifting the Sharpe to $1.08$ and $1.44$ and the annualized return from $18\%$ to $20\%$ and from $44\%$ to $56\%$, respectively. A convex information-leader overlay separately insures the market-neutral sleeve, buying convexity and a shallower drawdown at a small cost in return, the Sharpe unchanged. |
| Date: | 2026–07 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2607.27461 |
| By: | Lyn Craig (School of Social and Political Sciences, Faculty of Arts, The University of Melbourne,); Irma Mooi-Reci (Melbourne Institute of Applied Economic and Social Research, The University of Melbourne); Federico Zilio (Melbourne Institute of Applied Economic and Social Research, The University of Melbourne) |
| Keywords: | Work from home, Gendered paid and unpaid work, COVID-19 pandemic, Time use, Flexible work arrangements. |
| JEL: | D13 J16 J22 |
| Date: | 2026–08 |
| URL: | https://d.repec.org/n?u=RePEc:iae:iaewps:wp2026n12 |
| By: | Schüler, Ruth M.; Seele, Stefanie |
| Abstract: | Von allen Babyboomern, die bereits ihre jeweilige gesetzliche Regelaltersgrenze erreicht haben, ist mehr als jeder zweite Altersrentner vorzeitig in Rente gegangen. Diese Frührenten untergraben das ursprüngliche Ziel der Politik, durch die Anhebung der Regelaltersgrenze die Lebensarbeitszeit zu erhöhen. Folgerichtig schlägt die Alterssicherungskommission vor, Frührenten einzuschränken. |
| Date: | 2026 |
| URL: | https://d.repec.org/n?u=RePEc:zbw:iwkkur:342590 |
| By: | Castro, Rui; Kim, Jiyoung; Lange, Fabian; Larivière, Jérôme; Poschke, Markus |
| Abstract: | A small group of people accounts for a large majority of flows between labor market states and of spells in un- and non-employment. In this paper, we ask whether it is possible to identify those weakly attached to the labor market during their prime working-age years using information available early in their lives. First, we use information on labor force transitions between ages 30 and 50 contained in the long panel provided by the NLSY79 to identify those weakly connected to the labor market during their prime age. To do so, we use k-means clustering on moments describing observed spells in employment, unemployment, and non-employment between 30 and 50. This points to a group of less attached individuals who are disproportionally female, less educated, and in poor health. In a second step we predict, using information collected at various points before age 30 - which we do not use in clustering - whether individuals will turn out to belong to the weakly attached type in their prime age. We find that information from ages 22 to 29 allows predicting membership of the low-attachment group with high precision. Particularly influential is information on early labor market experiences and health. The fact that we can predict weak and strong labor market attachment during prime working age using variables observed in individuals' twenties suggests the presence of persistent heterogeneity that shapes labor market experiences throughout the life cycle. |
| Date: | 2026 |
| URL: | https://d.repec.org/n?u=RePEc:zbw:clefwp:342490 |
| By: | Gurkirat Wadhwa; Veeraruna Kavitha |
| Abstract: | Suppliers often encroach downstream by operating in-house production-units while continuing to supply independent production-units. We study the optimal configuration, including optimal pricing, for an encroaching supplier that balances these dual roles through a Stackelberg game. The integrated supplier determines the wholesale price charged to the outsourced production unit and the retail price of its own product, while the outsourced unit responds optimally. Customer demand-response incorporates both price-based substitutions (of the two production-units) and loyalty (towards individual units). With strong customer loyalty and luxury products, at the optimal choice for the coalition, both units co-exist profitably. In contrast, when the products become essential, the optimal strategy depends upon customer-fallback rates (fraction of the exiting production-unit's market that falls-back to other). Under low fallback, the coalition either sustains co-existence at maximum prices or disciplines the out-house to operate at break-even---with high fallback it is optimal to shut-down the in-house or eliminate the out-house---we derive two factors that identify the above. We further develop a numerical procedure to identify the optimal regime for any given set of parameters. Two surprising results are---higher market potential of the out-house can become a reason for it to operate at break-even---and the coalition may find it beneficial to operate its in-house at losses, particularly for products that are neither highly essential nor in the luxury category. |
| Date: | 2026–07 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2607.22846 |
| By: | Adsera, Alicia (Princeton University); Arenas, Andreu (University of Barcelona); Boix, Carles (Princeton University) |
| Abstract: | We examine how individuals value political and economic goods and institutions through a conjoint experiment in eight countries: Argentina, urban China, India, Mexico, the Philippines, Singapore, South Africa, and the United States. Respondents choose between societies that randomly vary in personal and country income, inequality, social mobility, safety, public healthcare, and free elections. We estimate marginal effects and willingness to pay for outcomes at the country and respondent levels. Valuations of personal and country incomes and safety are similar across countries. By contrast, the value of democracy, defined as free elections, varies substantially. The average Chinese respondent is willing to give up democracy for an increase in individual income equal to one quarter of average country income, whereas the average American would do so only for twice the U.S. average country income. Unlike income and safety, for which most individual-level variation is explained by personal characteristics, variation in preferences for free elections is substantially explained by respondents’ country. Our findings contribute to research on human preferences, demand for democratic institutions, and policy and redistributive preferences. |
| Keywords: | democracy, safety, willingness to pay, conjoint experiment, income |
| JEL: | H11 H51 I13 |
| Date: | 2026–07 |
| URL: | https://d.repec.org/n?u=RePEc:iza:izadps:dp18844 |
| By: | Tarik Jellouli (USMBA - Université Sidi Mohamed Ben Abdellah); Hamza Ousi Moh (USMBA - Université Sidi Mohamed Ben Abdellah) |
| Abstract: | Credit risk represents the primary source of vulnerability for banking institutions and constitutes a central concern within contemporary prudential frameworks. In this context, the introduction of the Internal Ratings-Based (IRB) approach under the Basel II framework, and its subsequent reinforcement under Basel III, has profoundly transformed the mechanisms used to measure and manage credit risk. This article provides a critical and integrative review of the academic literature examining the impact of internal rating systems on credit risk management. Based on a structured analysis of theoretical and empirical studies published over the past two decades, the paper investigates the contributions of the IRB system in improving risk measurement—particularly through the estimation of key parameters such as the probability of default (PD), loss given default (LGD), and exposure at default (EAD). It also explores the role of internal rating systems in optimizing the allocation of both regulatory and economic capital, as well as in refining risk-based pricing strategies. The literature review highlights that internal models enhance the differentiation of risk profiles and promote a more efficient allocation of financial resources, thereby improving risk-adjusted performance. However, the existing body of research also identifies several significant limitations, including model procyclicality, excessive reliance on historical data, methodological complexity, risks of regulatory arbitrage, and governance-related issues associated with the discretionary use of internal parameters. Lessons drawn from the 2008 global financial crisis have led to the strengthening of the prudential framework and greater harmonization of practices, notably through the introduction of mechanisms such as the regulatory output floor. The article concludes that the effectiveness of internal rating systems does not depend solely on their technical sophistication but also on the quality of banking governance, the robustness of internal control mechanisms, and the strength of regulatory oversight. Finally, the study proposes an integrative conceptual framework linking internal ratings, governance, and banking performance, thereby opening new avenues for future research, particularly in emerging economies. |
| Abstract: | Le risque de crédit constitue la principale source de vulnérabilité des établissements bancaires et représente un enjeu central dans les dispositifs prudentiels contemporains. Dans ce contexte, l'introduction du système de notation interne (Internal Rating Based – IRB) dans le cadre des accords de Bâle II puis son renforcement sous Bâle III ont profondément transformé les mécanismes de mesure et de gestion du risque de crédit. Cet article propose une revue critique et intégrative de la littérature académique consacrée à l'impact du système de notation interne sur la gestion du risque de crédit. À partir d'une analyse structurée des travaux théoriques et empiriques publiés au cours des deux dernières décennies, l'étude examine les apports du système IRB en matière d'amélioration de la mesure du risque (probabilité de défaut, perte en cas de défaut, exposition au défaut), d'optimisation de l'allocation du capital réglementaire et économique, ainsi que d'affinement de la tarification fondée sur le risque. La revue met en évidence que les modèles internes permettent une meilleure différenciation des profils de risque et une allocation plus efficiente des ressources, contribuant ainsi à la performance ajustée au risque. Cependant, la littérature souligne également plusieurs limites majeures : procyclicité des modèles, dépendance excessive aux données historiques, complexité méthodologique, risques d'arbitrage réglementaire et problèmes de gouvernance liés à l'utilisation discrétionnaire des paramètres internes. Les enseignements tirés de la crise financière de 2008 ont notamment conduit à un renforcement du cadre prudentiel et à une harmonisation accrue des pratiques via l'introduction de mécanismes tels que l'output floor. L'article conclut que l'efficacité du système de notation interne ne dépend pas uniquement de sa sophistication technique, mais également de la qualité de la gouvernance bancaire, du dispositif de contrôle interne et de l'encadrement réglementaire. Il propose enfin un cadre conceptuel intégratif reliant notation interne, gouvernance et performance bancaire, ouvrant ainsi des perspectives de recherche futures, notamment dans les économies émergentes. |
| Keywords: | Internal rating system, Credit risk, Internal ratings-Based approach, Basel accords, Bank risk management, Risque de crédit, Approche IRB, Accords de Bale, Gestion du risque bancaire, Système de notation interne |
| Date: | 2026 |
| URL: | https://d.repec.org/n?u=RePEc:hal:journl:hal-05649272 |
| By: | Michael Cai |
| Abstract: | Benchmark macroeconomic models require additional frictions to explain the sluggish response of aggregate variables to sudden shocks or changes in policy. I show that standard heterogeneous agent (HA) models, the Blanchard (1985) perpetual youth and Bewley (1986) incomplete markets models, are consistent with aggregate consumption inertia without the use of habit preferences or any specific model of expectation underreaction to dampen the responsiveness of consumption savings decisions. I instead replicate observed consumption inertia in standard HA models by directly substituting survey expectations of income and interest rates for agents' expectations. I propose a new theory of macroeconomic inertia that rationalizes the observed extrapolation bias in survey expectations by embedding an unobserved components model of expectations into a tractable HA general equilibrium environment. Inertia results when expectations imperfectly account for the equilibrium amplification of shocks, which is large in HA economies. This imperfect inference causes expectations to gradually unanchor as agents repeatedly misattribute large responses of equilibrium outcomes simply to larger shocks. This theory also illustrates a novel drawback to inertial monetary policy rules and the delayed financing of fiscal deficits: Policy regimes that act more gradually experience longer transmission lags due to their decreased effectiveness at anchoring expectations. |
| Date: | 2026–07 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2607.27548 |
| By: | César Osta (Uruguay. Ministerio de Industria, Energía y Minería); Pablo Blanchard (Universidad de la República (Uruguay). Facultad de Ciencias Económicas y de Administración. Instituto de Economía); Rodrigo Ceni González |
| Abstract: | Why do electricity systems maintain costly thermal capacity that appears difficult to justify under standard market criteria, and what are the welfare consequences of doing so? We address this question by interpreting thermal backup capacity as a form of reliability insurance against high-impact, low-probability scarcity events. Building on the model of Joskow and Tirole (2007), we incorporate social risk aversion into the capacity-planning problem, allowing investment decisions to reflect not only expected welfare losses but also society’s concern about extreme scarcity events. Using detailed data from the Uruguayan electricity system, we estimate the degree of social risk aversion implicit in observed capacity choices and evaluate the resulting welfare distribution across consumers with different sensitivities to real-time prices. We find that a risk-neutral framework can explain most generation capacity but fails to account for more than 60% of the system’s fossil thermal capacity. The observed capacity plan is instead consistent with a planning criterion that places substantial weight on welfare losses associated with extreme scarcity events. Additional thermal capacity increases welfare for both consumer groups. Price-insensitive consumers benefit primarily through reduced exposure to electricity shortages, while price-sensitive consumers benefit through lower expected electricity costs and reduced reliance on self-generation. However, the costs and benefits of this reliability insurance are unevenly distributed. Although the welfare gain for price-insensitive consumers is substantially larger, they finance most of the additional investment through higher electricity prices, generating significant welfare transfers toward price-sensitive consumers. |
| Keywords: | Real-time price sensitivity, Rationing welfare loss, Reliableness, High-impact low-probability events |
| JEL: | L11 L52 L94 |
| Date: | 2026–06 |
| URL: | https://d.repec.org/n?u=RePEc:ulr:wpaper:dt-08-26 |
| By: | Becker, Bo; Josephson, Jens |
| Abstract: | Many countries' insolvency systems focus on restructuring financial liabilities, and ignore operational liabilities such as leases and long-term supplier contracts. We model insolvency procedures with and without operational restructuring options. Such options avoid excessive liquidation of firms with significant non-financial obligations. Ex-ante, this option should increase debt capacity, especially in industries with inputs supplied under executory contract. We test this hypothesis around the introduction of a new law in Israel which facilitated the rejection of contracts, and by comparing capital structures for industries with high lease obligations between the U.S. and other countries. Empirical results confirm that operating restructuring is a key aspect of insolvency. |
| Keywords: | Insolvency; Bankruptcy; Restructuring |
| JEL: | G30 G32 G33 |
| Date: | 2024–09 |
| URL: | https://d.repec.org/n?u=RePEc:cpr:ceprdp:19449 |
| By: | Long, Joe; Medici, Carlo; Qian, Nancy; Tabellini, Marco |
| Abstract: | This paper investigates the economic consequences of the 1882 Chinese Exclusion Act, which banned immigration from China. The Act reduced the number of Chinese workers of all skill levels living in the United States. It also reduced the labor supply and the quality of jobs held by white and U.S.-born workers, the intended beneficiaries of the Act, and reduced manufacturing output. The results suggest that the Chinese Exclusion Act slowed economic growth in western states until at least 1940. |
| JEL: | J15 J21 N32 |
| Date: | 2024–09 |
| URL: | https://d.repec.org/n?u=RePEc:cpr:ceprdp:19541 |