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on Risk Management |
| By: | Matteo Foglia (Department of Economics and Finance, University of Bari ``Aldo Moro", Italy); Vasilios Plakandaras (Department of Economics, Democritus University of Thrace, Komotini, Greece); Rangan Gupta (Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa); Elie Bouri (School of Business, Lebanese American University, Lebanon) |
| Abstract: | Measuring risk lies at the core of the decision-making process of every financial market participant and monetary authority. However, the bulk of literature treats risk as a function of the second moment (volatility) of the return distribution, based on the implicit unrealistic assumption that asset return are normally distributed. In this paper, we depart from centred moments of distribution by examining risk spillovers involving robust estimates of second and third moments of model-implied distributions of stock returns derived from the quantile autoregressive distributed lag mixed-frequency data sampling (QADL-MIDAS) method. Using a century of data on the stock indices of the G7 and Switzerland over the period May 1917 to February 2023 and applying the multilayer approach to spillovers, we show the following. Firstly, the risk spillover among stock markets is significant within each layer (i.e. volatility and skewness) and across the two layers. Secondly, geopolitical risks have the power to shape both risk layer values, based on an out-of-sample forecasting exercise involving machine-learning methods. Interestingly, the multi-layer approach offers a comprehensive and nuanced view of how risk information is transmitted across major stock markets, while global measures of geopolitical risk affect risk spillovers at shorter horizons up to 6 months, while, at longer horizons, the forecasting exercise is dominated by market-specific characteristics. |
| Keywords: | Risk spillover, advanced stock markets, multi-layer spillover approach, machine learning, geopolitical risks, forecasting |
| JEL: | C22 C32 C53 G15 |
| Date: | 2023–12 |
| URL: | http://d.repec.org/n?u=RePEc:pre:wpaper:202337&r=rmg |
| By: | Anusha Chari; Karlye Dilts Stedman; Christian Lundblad |
| Abstract: | This paper defines risk-on risk-off (RORO), an elusive terminology in pervasive use, as the variation in global investor risk aversion. Our high-frequency RORO index captures time-varying investor risk appetite across multiple dimensions: advanced economy credit risk, equity market volatility, funding conditions, and currency dynamics. The index exhibits risk-off skewness and pronounced fat tails, suggesting its amplifying potential for extreme, destabilizing events. Compared with the conventional VIX measure, the RORO index reflects the multifaceted nature of risk, underscoring the diverse provenance of investor risk sentiment. Practical applications of the RORO index highlight its significance for international portfolio reallocation and return predictability. |
| JEL: | F21 F31 F36 G11 G15 G17 |
| Date: | 2023–11 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:31907&r=rmg |
| By: | Wolf, Elias |
| JEL: | C10 E32 E58 G01 |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:vfsc23:277696&r=rmg |
| By: | Glück, Thorsten; Adams, Zeno |
| JEL: | Q40 Q41 Q43 |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:vfsc23:277600&r=rmg |
| By: | Wang, Ke (Tilburg University, School of Economics and Management) |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:tiu:tiutis:8c076f0d-2c02-40a4-b6d7-e6f682eefca3&r=rmg |
| By: | Stéphane Crépey (LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation - SU - Sorbonne Université - CNRS - Centre National de la Recherche Scientifique - UPCité - Université Paris Cité); Noufel Frikha (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique); Azar Louzi (LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation - SU - Sorbonne Université - CNRS - Centre National de la Recherche Scientifique - UPCité - Université Paris Cité); Gilles Pagès (LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation - SU - Sorbonne Université - CNRS - Centre National de la Recherche Scientifique - UPCité - Université Paris Cité) |
| Abstract: | This article is a follow up to Crépey, Frikha, and Louzi (2023), where we introduced a nested stochastic approximation algorithm and its multilevel acceleration for computing the value-at-risk and expected shortfall of a random financial loss. We establish central limit theorems for the renormalized errors associated with both algorithms and their averaged variations. Our findings are substantiated through numerical examples. |
| Keywords: | value-at-risk, expected shortfall, nested stochastic approximation, multilevel Monte Carlo, Ruppert & Polyak averaging, convergence rate, central limit theorem |
| Date: | 2023–11–24 |
| URL: | http://d.repec.org/n?u=RePEc:hal:cesptp:hal-04304985&r=rmg |
| By: | Conrad, Christian; Schoelkopf, Julius Theodor; Tushteva, Nikoleta |
| Abstract: | We show that the S&P 500’s instantaneous response to surprises in U.S. macroeconomic announcements depends on the level of long-term stock market volatility. When long-term volatility is high, stock returns are more sensitive to news, and there is a pronounced asymmetry in the response to good and bad news. We explain this by combining the Campbell-Shiller log-linear present value framework with a two-component volatility model for the conditional variance of cash flow news and allowing for volatility feedback. In our model, innovations to the long-term volatility component are the most important driver of discount rate news. Large announcement surprises lead to upward revisions in future required returns, which dampens/amplifies the effect of good/bad news. |
| Keywords: | event study; long- and short-term volatility; macroeconomic announcements; stock market response; time-varying risk premia; volatility feedback effect |
| Date: | 2023–12–05 |
| URL: | http://d.repec.org/n?u=RePEc:awi:wpaper:0739&r=rmg |
| By: | Maxime Markov; Vladimir Markov |
| Abstract: | In this paper, we explore the portfolio allocation problem involving an uncertain covariance matrix. We calculate the expected value of the Constant Absolute Risk Aversion (CARA) utility function, marginalized over a distribution of covariance matrices. We show that marginalization introduces a logarithmic dependence on risk, as opposed to the linear dependence assumed in the mean-variance approach. Additionally, it leads to a decrease in the allocation level for higher uncertainties. Our proposed method extends the mean-variance approach by considering the uncertainty associated with future covariance matrices and expected returns, which is important for practical applications. |
| Date: | 2023–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2311.07478&r=rmg |
| By: | Afees A. Salisu (Centre for Econometrics & Applied Research, Ibadan, Nigeria; Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa); Ahamuefula E. Ogbonna (Centre for Econometrics & Applied Research, Ibadan, Nigeria); Rangan Gupta (Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa); Elie Bouri (School of Business, Lebanese American University, Lebanon) |
| Abstract: | The aim of this paper is to predict the daily return volatility of 28 developed and developing stock markets based on the monthly metrics of corresponding country and global energy-related uncertainty indexes (EUIs) recently proposed in the literature. Using the generalized autoregressive conditional heteroscedasticity-mixed data sampling (GARCH-MIDAS) framework, the results show that country-specific and global EUIs have predictive powers for stock returns volatility for the in-sample periods, with increased levels of EUIs exhibiting the tendency to heighten volatility. This predictability also withstands various out-of-sample forecast horizons, implying that EUI is a statistically relevant predictor of stock returns volatility in the out-of-sample analysis. Moreover, the forecast precision of the GARCH-MIDAS model is improved by incorporating global EUIs relatively more than country-specific EUIs. Our findings are robust to the choice of EUI proxies and sample definition. They have important implications for investors and policymakers concerned with stability in the global financial system and economy. |
| Keywords: | Monthly energy-related uncertainty index, daily stock returns volatility, developed and developing economies, GARCH-MIDAS; predictions |
| JEL: | C32 C53 G15 G17 Q43 |
| Date: | 2023–12 |
| URL: | http://d.repec.org/n?u=RePEc:pre:wpaper:202336&r=rmg |
| By: | Nicole B\"auerle; Anna Ja\'skiewicz |
| Abstract: | The paper provides an overview of the theory and applications of risk-sensitive Markov decision processes. The term 'risk-sensitive' refers here to the use of the Optimized Certainty Equivalent as a means to measure expectation and risk. This comprises the well-known entropic risk measure and Conditional Value-at-Risk. We restrict our considerations to stationary problems with an infinite time horizon. Conditions are given under which optimal policies exist and solution procedures are explained. We present both the theory when the Optimized Certainty Equivalent is applied recursively as well as the case where it is applied to the cumulated reward. Discounted as well as non-discounted models are reviewed |
| Date: | 2023–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2311.06896&r=rmg |
| By: | Rangan Gupta (Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa); Damien Moodley (Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa) |
| Abstract: | Recent evidence from a linear econometric framework, tend to suggest that housing search activity, as captured from Google Trends data, can predict housing returns of the overall United States (US), as well as at the regional-level for Metropolitan Statistical Areas (MSAs). Based on search-theory, we, however, postulate that search activity can also predict housing returns volatility. Given this, we use a k-th order nonparametric causality-in-quantiles test, which in turn, allows us to test for predictability in a robust manner over the entire conditional distribution of not only housing price returns, but also its volatility (i.e., squared returns), by controlling for nonlinearity and structural breaks that exists in the data. Using this model, over the monthly period of 2004:01 to 2021:01, we show that while housing search activity continues to predict aggregate US house price returns barring the extreme ends of the conditional distribution, volatility is relatively strongly predicted over the entire quantile range considered. Our results tend to carry over to an alternative (the Generalized Autoregressive Conditional Heteroskedasticity (GARCH)-based) metric of volatility, higher (weekly)-frequency data (over January, 2018-March, 2021), as well as to over 84% of the seventy-seven MSAs considered. Our findings have important implications for investors and policymakers, as well as academics. |
| Keywords: | Housing Search Activity, Housing Returns and Volatility, Higher-Order Nonparametric Causality in Quantiles Test |
| JEL: | C22 R30 |
| Date: | 2023–12 |
| URL: | http://d.repec.org/n?u=RePEc:pre:wpaper:202335&r=rmg |
| By: | Jiaer He; Roberto Rivera |
| Abstract: | Popular investment structured products in Puerto Rico are stock market tied Individual Retirement Accounts (IRA), which offer some stock market growth while protecting the principal. The performance of these retirement strategies has not been studied. This work examines the expected return and risk of Puerto Rico stock market IRA (PRIRAs) and compares their statistical properties with other investment instruments before and after tax. We propose a parametric modeling approach for structured products and apply it to PRIRAs. Our method first estimates the conditional expected return (and variance) of PRIRA assets from which we extract marginal moments through the Law of Iterated Expectation. Our results indicate that PRIRAs underperform against investing directly in the stock market while still carrying substantial risk. The expected return of the stock market IRA from Popular Bank (PRIRA1) after tax is slightly greater than that of investing in U.S. bonds, while PRIRA1 has almost two times the risk. The stock market IRA from Universal (PRIRA2) performs similarly to PRIRA1, while PRIRA2 has a lower risk than PRIRA1. PRIRAs may be reasonable for some risk-averse investors due to their principal protection and tax deferral. |
| Date: | 2023–10 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2311.06282&r=rmg |
| By: | Josep Lluís Carrion-i-Silvestre (AQR-IREA, University of Barcelona); Andreu Sansó (Universitat de les Illes Balears) |
| Abstract: | This paper focuses on testing the stability of the unconditional variance when the stochastic processes may have heavy-tailed distributions. Finite sample distributions that depend both on the effective sample size and the tail index are approximated using Extreme Value distributions and summarized using response surfaces. A modification of the Iterative Cumulative Sum of Squares (ICSS) algorithm to detect the presence of multiple structural breaks is suggested, adapting the algorithm to the tail index of the underlying distribution of the process. We apply the algorithm to eighty absolute log-exchange rate returns, finding evidence of (i) infinite variance in about a third of the cases, (ii) finite changing unconditional variance for another third of the time series - totalling about one hundred structural breaks - and (iii) finite constant unconditional variance for the remaining third of the time series. |
| Keywords: | CUMSUMQ test, Unconditional variance, Multiple structural changes, Heavy tails, Generalized Extreme Value distribution. JEL classification: C12, C22. |
| Date: | 2023–07 |
| URL: | http://d.repec.org/n?u=RePEc:aqr:wpaper:202305&r=rmg |
| By: | Jacob Smith |
| Abstract: | This paper presents a method for incorporating risk aversion into existing decision tree models used in economic evaluations. The method involves applying a probability weighting function based on rank dependent utility theory to reduced lotteries in the decision tree model. This adaptation embodies the fact that different decision makers can observe the same decision tree model structure but come to different conclusions about the optimal treatment. The proposed solution to this problem is to compensate risk-averse decision makers to use the efficient technology that they are reluctant to adopt. |
| Date: | 2023–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2311.07905&r=rmg |
| By: | Nitzan, Jonathan; Bichler, Shimshon |
| Abstract: | תוך פחות מארבעים שנה הצליחו בעלי הסרטים לא רק להכפיל את הריכוזיות לנקודה שבה כ-90% מהכנסות הסרטים מתקבלות מ-10% בלבד מכלל הסרטים, אלא גם לצמצם פי ארבעה את הסיכון הדיפרנציאלי של רווחיהם • מתוך ספרם של יהונתן ניצן ושמשון ביכלר, ההון ושברו |
| Keywords: | capital as power, capitalization, cinema, creativity, Hollywood, risk, sabotage |
| JEL: | P P1 G32 L82 |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:esprep:280112&r=rmg |
| By: | Alexandre Pannier |
| Abstract: | We regard options on VIX and Realised Variance as solutions to path-dependent PDEs in a continuous stochastic volatility model. The modeling assumption specifies that the instantaneous variance is a $C^3$ function of a multidimensional Gaussian Volterra process; this includes a large class of models suggested for the purpose of VIX option pricing, either rough, or not, or mixed. We unveil the path-dependence of those volatility derivatives and, under a regularity hypothesis on the payoff function, we prove the well-posedness of the associated PDE. The latter is of heat type, because of the Gaussian assumption, and the terminal condition is also path-dependent. Formulae for the greeks are provided and the implied volatility is shown to satisfy a quasi-linear path-dependent PDE. |
| Date: | 2023–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2311.08289&r=rmg |
| By: | Chen, An (Center for Mathematical Economics, Bielefeld University); Ferrari, Giorgio (Center for Mathematical Economics, Bielefeld University); Zhu, Shihao (Center for Mathematical Economics, Bielefeld University) |
| Abstract: | This paper investigates the consumption and investment decisions of an individual facing uncertain lifespan and stochastic labor income within a Black-Scholes market framework. A key aspect of our study involves the agent’s option to choose when to acquire life insurance for bequest purposes. We examine two scenarios: one with a *fixed* bequest amount and another with a *controlled* bequest amount. Applying duality theory and addressing free-boundary problems, we analytically solve both cases, and provide explicit expressions for value functions and optimal strategies in both cases. In the first scenario, where the bequest amount is fixed, distinct outcomes emerge based on different levels of risk aversion parameter $\gamma$: (i) the optimal time for life insurance purchase occurs when the agent’s wealth surpasses a critical threshold if $\gamma \in (0, 1)$, or (ii) life insurance should be acquired immediately if $\gamma>1$. In contrast, in the second scenario with a controlled bequest amount, regardless of $\gamma$ values, immediate life insurance purchase proves to be optimal. |
| Keywords: | Portfolio Optimization, Consumption Planning, Life Insurance, Optimal Stopping, Stochastic Control |
| Date: | 2023–12–07 |
| URL: | http://d.repec.org/n?u=RePEc:bie:wpaper:684&r=rmg |
| By: | Viral V. Acharya; Maximilian Jager; Sascha Steffen |
| Abstract: | Over the past two decades, banks have increasingly focused on offering contingent credit in the form of credit lines as a primary means of corporate borrowing. We review the existing body of research regarding the rationales for banks’ provision of liquidity insurance in the form of credit lines, their significance in managing corporate liquidity, and the reasons and circumstances under which firms opt to utilize them. We emphasize that the options for firms to both draw down and repay credit lines are put options issued by banks, which are exercised by firms in a correlated manner during periods of widespread stress, with adverse affects on bank intermediation thereafter. We discuss the bank capital and the bank funding channels that can drive these effects, contrasting their roles during the Global Financial Crisis and the Covid-19 outbreak. We conclude by discussing the increasing extension of bank credit lines to non-bank financial intermediaries, as well as the role of stress tests and monetary policy in managing the risks of contingent credit under stress. |
| JEL: | G01 G21 G23 G32 |
| Date: | 2023–11 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:31909&r=rmg |
| By: | Joseph S. Briggs; David Cesarini; Sean Chanwook Lee; Erik Lindqvist; Robert Östling |
| Abstract: | We investigate the impact of financial windfalls on household portfolio choices and risk exposure. Exploiting the randomized assignment of lottery prizes in three Swedish lotteries, we find a windfall gain of $100K leads to a 5-percentage-point decrease in the risky share of household portfolios. We show theoretically that negative wealth effects are consistent with both constant and decreasing relative risk aversion and analyze how our empirical estimates help distinguish between competing models of portfolio choice. We further show our results are quantitatively aligned with the predictions of a calibrated dynamic portfolio choice model with nontradable human capital and consumption habits. |
| JEL: | G11 G5 |
| Date: | 2023–11 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:31864&r=rmg |
| By: | Garbarino, Nicola; Lee, Jonathan; Guin, Benjamin |
| JEL: | G21 Q54 |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:vfsc23:277665&r=rmg |
| By: | Yoshiki Ando; Dirk Krueger; Harald Uhlig |
| Abstract: | In this paper we study the neoclassical growth model with idiosyncratic income risk and aggregate risk in which risk sharing is endogenously constrained by one-sided limited commitment. Households can trade a full set of contingent claims that pay off depending on both idiosyncratic and aggregate risk, but limited commitment rules out that households sell these assets short. The model results, under suitable restrictions of the parameters of the model, in partial consumption insurance in equilibrium. With log-utility and idiosyncratic income shocks taking two values one of which is zero (e.g., employment and unemployment) we show that the equilibrium can be characterized in closed form, despite the fact that it features a non-degenerate consumption- and wealth distribution. We use the tractability of the model to study, analytically, inequality over the business cycle and asset pricing, and derive conditions under which our model has identical, as well as conditions under which it has lower/higher risk premia than the corresponding representative agent version of the model. |
| JEL: | D15 D31 E21 E23 |
| Date: | 2023–11 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:31903&r=rmg |
| By: | Thomas Chalaux; David Turner |
| Abstract: | This paper describes an algorithm, “DoomBot”, which selects parsimonious models to predict downturns over different quarterly horizons covering the ensuing two years for 20 OECD countries. The models are country- and horizon-specific and are automatically updated as the estimation sample period is extended, so facilitating out-of-sample evaluation of the algorithm. A limited combination of explanatory variables is chosen from a much larger pool of potential variables that include those that have been most useful in predicting downturns in previous OECD work. The most frequently selected variables are financial variables, especially those relating to credit and house prices, but also include equity prices and various measures of interest rates (such as the slope of the yield curve). Business cycle variables -- survey measure of capacity utilisation, industrial production, GDP and unemployment -- are also selected, but more frequently at very short horizons. The variables selected do not just relate to the domestic economy of the country being considered, but also international aggregates, consistent with findings from previous OECD work. The in-sample fit of the models is very good on standard performance metrics, although the out-of-sample performance is less impressive. The models do, however, provide a clear out-of-sample early warning of the Global Financial Crisis (GFC), especially when considered collectively, although they do generate ‘false alarms’ just ahead of the crisis. The models are less good at predicting the euro area crisis out-of-sample, but it is clear from the evolution of the choice of variables that the algorithm learns from this episode, for example through the more frequent selection of a variable measuring euro area sovereign bond spreads. The latest out-of-sample predictions made in mid-2023, suggest the probability of a downturn is at its greatest and most widespread since the GFC, with the largest contributions to such risks coming from house prices, interest rate developments (as measured by the slope of the yield curve and the rapidity of the change in short rates) and oil prices. On the other hand, warning signals from business cycle variables and equity prices, which are often good downturn predictors at short horizons, are conspicuously absent. |
| Keywords: | Downturn, forecast, GDP growth, recession, risk |
| JEL: | E01 E17 E65 E66 E58 |
| Date: | 2023–12–12 |
| URL: | http://d.repec.org/n?u=RePEc:oec:ecoaaa:1780-en&r=rmg |
| By: | Fiedler, Jakob; Schorn, André; Herstatt, Cornelius |
| Abstract: | User innovation contributes significantly to societal advancement, particularly in developing novel products and services, offering substantial financial potential, and fostering the common good. This is particularly evident in medical science, where it addresses diverse needs and is often shared at minimal or no cost. However, the diffusion of user-innovated products remains limited and research on the perception of user-innovated products is rather scarce, reducing their potential contributions to the common good. This paper investigates end-users' perceptions of user innovation, a critical yet underexplored aspect of diffusion. Specifically, using a mixed-methods approach, we examine the influence of product risk classification and community development on the perception of user-innovated medical devices. This study combines qualitative research through semi-structured interviews (n=5) and quantitative research using a 2x3 (User Innovation vs. Producer Innovation; Product risk classification I, II, III) between-subject experiment (n=301). Our findings reveal that end-users evaluate user-innovated and traditionally-innovated products differently based on various criteria. User-innovated products are perceived as more pleasant and attractive, while traditionallyinnovated products are viewed as safer and of higher value. This effect is more pronounced for products with higher risk classifications. However, the perceived lower safety and value of user innovation products result in a reduced willingness to purchase among end-users. Additionally, we find that community-developed user-innovated products consistently outperform in all evaluation categories compared to "pure" user-innovated products. |
| Keywords: | User Innovation, Medical Engineering, Diffusion of Innovation, MMR, Consumer Acceptance |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:tuhtim:280409&r=rmg |
| By: | Ngai, L. Rachel (London School of Economics); Sheedy, Kevin D. (London School of Economics) |
| Abstract: | The housing market is subject to search frictions in buying and selling houses. This paper documents the role of inflows (new listings) and outflows (sales) in explaining the volatility and co-movement of housing-market variables. An 'ins versus outs' decomposition shows that both inflows and outflows are quantitatively important in understanding fluctuations in houses for sale. The correlations between sales, prices, new listings, and time-to-sell are shown to be stable over time, while the signs of their correlations with houses for sale are found to be time varying. A calibrated search-and-matching model with endogenous inflows and outflows and shocks to housing demand matches many of the stable correlations and predicts that correlations with houses for sale depend on the source and persistence of shocks. |
| Keywords: | housing-market cyclicality, inflows and outflows, search frictions, match quality |
| JEL: | E32 E22 R21 R31 |
| Date: | 2023–11 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp16603&r=rmg |
| By: | Pablo Garcia-Sanchez; Olivier Pierrard |
| Abstract: | We build a life cycle model to study the implications of two types of lifetime uncertainty on investment in health and welfare. We show that when the hazard rate of death depends on age, uncertainty increases health investment. Instead, when hazard rate depends on human frailty, uncertainty decreases health investment. In both cases, uncertainty reduces welfare. The size of the effects depends on an aggregate parameter related to the natural increase in human frailty with age, to the marginal return on health investment and to the rate of time preference. We first derive the main results from a small model which admits an analytical solution, before generalizing them in a larger model using numerical simulations. |
| Keywords: | life cycle, uncertainty, health, welfare. |
| JEL: | C60 D15 D81 I12 I18 |
| Date: | 2023–11 |
| URL: | http://d.repec.org/n?u=RePEc:bcl:bclwop:bclwp178&r=rmg |