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Symmetrized smooth test for the equality of distributions 分布相等性的对称平滑检验
IF 2 4区 经济学
Economics Letters Pub Date : 2026-09-01 Epub Date: 2026-08-29 DOI: 10.1016/j.econlet.2026.113202
Peiwen Jia, Xiaojun Song
{"title":"Symmetrized smooth test for the equality of distributions","authors":"Peiwen Jia,&nbsp;Xiaojun Song","doi":"10.1016/j.econlet.2026.113202","DOIUrl":"10.1016/j.econlet.2026.113202","url":null,"abstract":"<div><div>We develop a novel symmetrized smooth test for the equality of two distributions by incorporating information from two probability integral transform representations in a symmetric manner. This construction eliminates the dependence on the assignment of roles to the two samples. We establish the asymptotic Chi-square null distribution of the proposed symmetrized statistic and characterize its behavior under fixed and local alternatives. Simulation studies demonstrate that the proposed test achieves more stable size control and improved finite-sample performance, particularly when the sample sizes are small or unbalanced.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"268 ","pages":"Article 113202"},"PeriodicalIF":2.0,"publicationDate":"2026-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148951882","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Macroeconomic attention and stock market volatility: Evidence from dynamic forecast combinations 宏观经济关注与股市波动：来自动态预测组合的证据
IF 2 4区 经济学
Economics Letters Pub Date : 2026-09-01 Epub Date: 2026-08-30 DOI: 10.1016/j.econlet.2026.113212
Xue Gong, Rong Ma
{"title":"Macroeconomic attention and stock market volatility: Evidence from dynamic forecast combinations","authors":"Xue Gong,&nbsp;Rong Ma","doi":"10.1016/j.econlet.2026.113212","DOIUrl":"10.1016/j.econlet.2026.113212","url":null,"abstract":"<div><div>We construct macroeconomic attention indicators (MAIs) using daily search engine data. Across multiple dynamic forecast combination approaches, the MAIs demonstrate significant predictive power for the realized volatility of the Chinese stock market. The predictive gains are primarily driven by attention to safe-haven demand (gold) and monetary policy (interest rates), with substantial heterogeneity across sectors. Moreover, MAIs become particularly informative during the high-uncertainty periods, highlighting the state-dependent transmission of macroeconomic attention to financial markets.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"268 ","pages":"Article 113212"},"PeriodicalIF":2.0,"publicationDate":"2026-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148935173","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
An auditable AI agent loop for empirical economics: A case study in forecast combination 实证经济学中可审计的人工智能代理循环：预测组合的案例研究
IF 2 4区 经济学
Economics Letters Pub Date : 2026-09-01 Epub Date: 2026-08-07 DOI: 10.1016/j.econlet.2026.113164
Minchul Shin
{"title":"An auditable AI agent loop for empirical economics: A case study in forecast combination","authors":"Minchul Shin","doi":"10.1016/j.econlet.2026.113164","DOIUrl":"10.1016/j.econlet.2026.113164","url":null,"abstract":"<div><div>AI coding agents, general purpose assistants that write and execute code, make empirical specification search fast and cheap, but they also widen hidden researcher degrees of freedom. This paper adapts an open-source agent-loop architecture to an empirical economics workflow and adds a post-search holdout evaluation. In a forecast-combination illustration, independent agent searches find methods that improve on benchmarks from the original study. Logged search and holdout evaluation together make adaptive specification search more transparent and help distinguish robust improvements from sample-specific discoveries.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"268 ","pages":"Article 113164"},"PeriodicalIF":2.0,"publicationDate":"2026-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148854078","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Multiple testing in rolling-window analysis via p-value combination p值组合滚动窗分析的多重检验
IF 2 4区 经济学
Economics Letters Pub Date : 2026-09-01 Epub Date: 2026-08-31 DOI: 10.1016/j.econlet.2026.113198
Xing Ling, Qian Wu, Kun Chen
{"title":"Multiple testing in rolling-window analysis via p-value combination","authors":"Xing Ling,&nbsp;Qian Wu,&nbsp;Kun Chen","doi":"10.1016/j.econlet.2026.113198","DOIUrl":"10.1016/j.econlet.2026.113198","url":null,"abstract":"<div><div>Rolling-window methods are widely used to explore time variation in economic relationships. Testing across overlapping windows induces a multiple-testing problem and can inflate the familywise error. Existing corrections are often either overly conservative or computationally intensive. We propose a harmonic mean <span><math><mi>p</mi></math></span>-value procedure that provides a global test together with window-level diagnostics. We establish iterated rejection-tail calibration of the global test and weak familywise error control for the associated diagnostic rule under overlap-induced dependence. Simulations using several standard time-series tests show accurate size, higher power, and substantially lower computational cost than bootstrap-based extreme-statistic procedures.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"268 ","pages":"Article 113198"},"PeriodicalIF":2.0,"publicationDate":"2026-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148935206","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
What ties us together? Explaining synchronized GDP volatility 是什么把我们联系在一起的？解释GDP同步波动
IF 2 4区 经济学
Economics Letters Pub Date : 2026-09-01 DOI: 10.1016/j.econlet.2026.113204
Javier Adrián López Artero, Lorenzo Ductor, Danilo Leiva-León
{"title":"What ties us together? Explaining synchronized GDP volatility","authors":"Javier Adrián López Artero,&nbsp;Lorenzo Ductor,&nbsp;Danilo Leiva-León","doi":"10.1016/j.econlet.2026.113204","DOIUrl":"10.1016/j.econlet.2026.113204","url":null,"abstract":"<div><div>Amidst heightened policy uncertainty, understanding the drivers of global macroeconomic instability becomes increasingly critical. This paper studies the determinants of output volatility synchronization using data for 42 economies worldwide. We construct a bilateral time-varying index of volatility synchronization and infer its drivers using Bayesian Model Averaging, complemented by Weighted Average Least Squares and LASSO. We find that differences in Total Factor Productivity, interest rate, and fiscal policy volatility robustly explain cross-country synchronization, with nuances between developed and developing countries. Overall, the results highlight the role of technological divergence and macroeconomic policy uncertainty in shaping the international co-movement of output volatility.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"268 ","pages":"Article 113204"},"PeriodicalIF":2.0,"publicationDate":"2026-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148935207","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Tourist taxation, Lerner symmetry, and the double dividend 旅游税，勒纳对称，还有双重红利
IF 2 4区 经济学
Economics Letters Pub Date : 2026-09-01 Epub Date: 2026-08-31 DOI: 10.1016/j.econlet.2026.113200
Ayumu Tanaka
{"title":"Tourist taxation, Lerner symmetry, and the double dividend","authors":"Ayumu Tanaka","doi":"10.1016/j.econlet.2026.113200","DOIUrl":"10.1016/j.econlet.2026.113200","url":null,"abstract":"<div><div>This paper studies a tax on tourism services, collected from foreign visitors upon entry, in a two-sector small open economy with congestible public infrastructure. Lerner symmetry implies that the tax raises manufacturing’s relative price and reverses tourism-driven Dutch disease. Tourism tax revenue lowers resident income taxes, while the contraction in tourism output reduces congestion, generating a double dividend.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"268 ","pages":"Article 113200"},"PeriodicalIF":2.0,"publicationDate":"2026-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148935275","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The reverse information paradox: When AI platforms retain too much or too little data 逆向信息悖论：当人工智能平台保留太多或太少的数据时
IF 2 4区 经济学
Economics Letters Pub Date : 2026-09-01 Epub Date: 2026-09-04 DOI: 10.1016/j.econlet.2026.113209
Vijaya Bhaskar Marisetty, Varsha Mamidi
{"title":"The reverse information paradox: When AI platforms retain too much or too little data","authors":"Vijaya Bhaskar Marisetty,&nbsp;Varsha Mamidi","doi":"10.1016/j.econlet.2026.113209","DOIUrl":"10.1016/j.econlet.2026.113209","url":null,"abstract":"<div><div>When do AI platforms retain too much or too little user data? Users disclose proprietary context to obtain useful generative-AI output, but retention of that context creates exposure and may improve future systems. We formalize this user-side analogue of Arrow’s information paradox. The disclosure cap separates two regimes. Outside the capped region, behavioral adjustment is strong enough for equilibrium harm to fall with retention, so the planner’s optimum is a boundary choice. Within the capped region, the ratio of benefit appropriability to harm internalization governs platform retention: the platform under-retains when the ratio is below one and over-retains when it is above one. When retained inputs also raise AI quality, retention and disclosure become complements once quality feedback is sufficiently strong. Retention regulation corrects the platform’s choice; an interior disclosure choice generally requires an additional disclosure-side instrument to implement the joint first best.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"268 ","pages":"Article 113209"},"PeriodicalIF":2.0,"publicationDate":"2026-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148935167","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Different institutions, different finance: Evidence from early twentieth-century China 不同的制度，不同的金融：来自20世纪初中国的证据
IF 2 4区 经济学
Economics Letters Pub Date : 2026-09-01 DOI: 10.1016/j.econlet.2026.113216
Wanda Wang
{"title":"Different institutions, different finance: Evidence from early twentieth-century China","authors":"Wanda Wang","doi":"10.1016/j.econlet.2026.113216","DOIUrl":"10.1016/j.econlet.2026.113216","url":null,"abstract":"<div><div>Institutional legacies are associated not only with the scale of finance but also with the organizational forms that emerge. Using prefecture-level data from early twentieth-century China, where indigenous money houses based on relational contracting coexisted with modern banks operating under codified law, we document that prefectures more deeply embedded in the imperial administrative system had more money houses and lower private borrowing costs, consistent with lower information and enforcement costs in relational finance. Treaty-port prefectures instead had more modern banks, with this concentration widening from 1910 to 1935. The analysis is descriptive and does not establish causality.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"268 ","pages":"Article 113216"},"PeriodicalIF":2.0,"publicationDate":"2026-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148935169","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Do stock markets price words or actions? President Donald Trump´s geopolitical signals and conflict risk 股票市场是为言论定价还是为行动定价？特朗普总统的地缘政治信号和冲突风险
IF 2 4区 经济学
Economics Letters Pub Date : 2026-09-01 DOI: 10.1016/j.econlet.2026.113206
Boris Pastén-Henríquez, Carlos P. Maquieira
{"title":"Do stock markets price words or actions? President Donald Trump´s geopolitical signals and conflict risk","authors":"Boris Pastén-Henríquez,&nbsp;Carlos P. Maquieira","doi":"10.1016/j.econlet.2026.113206","DOIUrl":"10.1016/j.econlet.2026.113206","url":null,"abstract":"<div><div>Geopolitical tensions and military threats increasingly shape global financial markets. Using geopolitical threat signals associated with President Donald Trump, we distinguish between threats that later escalated into military action and those that did not. We find a clear asymmetry in stock market responses. Threats that do not materialize are associated with positive abnormal returns, whereas threats followed by military escalation generate weaker or negative effects, particularly in Latin American stock markets, while responses in G7 economies remain muted. These findings suggest that markets price not only geopolitical threats themselves, but also their perceived credibility and eventual realization, highlighting the role of credibility in asset pricing.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"268 ","pages":"Article 113206"},"PeriodicalIF":2.0,"publicationDate":"2026-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148935170","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Short-term reversal persists globally—If properly measured 如果衡量得当，全球短期逆转仍将持续
IF 2 4区 经济学
Economics Letters Pub Date : 2026-07-01 Epub Date: 2026-06-26 DOI: 10.1016/j.econlet.2026.113113
Jan Stosik, Adam Zaremba
{"title":"Short-term reversal persists globally—If properly measured","authors":"Jan Stosik,&nbsp;Adam Zaremba","doi":"10.1016/j.econlet.2026.113113","DOIUrl":"10.1016/j.econlet.2026.113113","url":null,"abstract":"<div><div>Short-term reversal appears to have weakened in international equity markets because standard measures mix firm-specific and industry-wide returns. When evaluated relative to industry peers, the reversal persists. Using data from 64 countries, the conventional strategy delivers negligible returns, whereas an industry-adjusted strategy earns 0.53% per month with a Sharpe ratio of 0.74. The effect reflects the reversal of firm-specific shocks masked by persistent industry components. A regret-based signal captures the same industry-relative variation, adding no incremental return. Reversal did not disappear; it was mismeasured.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"267 ","pages":"Article 113113"},"PeriodicalIF":2.0,"publicationDate":"2026-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148500697","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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