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The impact of heterogeneous consumption and productivity expectations on factor risk premia
IF 2.1 4区 经济学
Economics Letters Pub Date : 2025-02-01 DOI: 10.1016/j.econlet.2024.112119
Christian Bauer , Paul Symann , Dennis Umlandt
{"title":"The impact of heterogeneous consumption and productivity expectations on factor risk premia","authors":"Christian Bauer ,&nbsp;Paul Symann ,&nbsp;Dennis Umlandt","doi":"10.1016/j.econlet.2024.112119","DOIUrl":"10.1016/j.econlet.2024.112119","url":null,"abstract":"<div><div>Recent theoretical asset pricing models with heterogeneous agents and recursive utility imply that disagreement in macroeconomic expectations influences financial risk premia. This paper provides empirical support for this hypothesis in a dynamic version of the Fama–French 5 factor model, where risk premia are determined by the cross-sectional variance of professional forecasts. Furthermore, we find that disagreement about future consumption affects stock market returns in general, while disagreement about productivity affects returns especially for stocks with small market capitalization and weak operating profitability.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"247 ","pages":"Article 112119"},"PeriodicalIF":2.1,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143165745","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
Energy uncertainty index and European banks
IF 2.1 4区 经济学
Economics Letters Pub Date : 2025-02-01 DOI: 10.1016/j.econlet.2024.112122
Whelsy Boungou , Bastien Dufau , Mahdi Fawaz , Devi Prasad Dash
{"title":"Energy uncertainty index and European banks","authors":"Whelsy Boungou ,&nbsp;Bastien Dufau ,&nbsp;Mahdi Fawaz ,&nbsp;Devi Prasad Dash","doi":"10.1016/j.econlet.2024.112122","DOIUrl":"10.1016/j.econlet.2024.112122","url":null,"abstract":"<div><div>In this article, we investigate how energy uncertainties influence bank behavior. To achieve this purpose, we use a dataset of 4632 banks in the Eurozone between 2000 and 2022. We observe that, in response to growing energy uncertainties, banks reduce the cost of credit and increase their loan offers (especially corporate loans). This increase in loan supply leads to an increase in customer deposits. This in turn improves the bank's performance.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"247 ","pages":"Article 112122"},"PeriodicalIF":2.1,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143165746","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
The heterogeneous effects of technology shocks. Evidence from the Czech Labour market
IF 2.1 4区 经济学
Economics Letters Pub Date : 2025-02-01 DOI: 10.1016/j.econlet.2024.112161
Monika Junicke , Jakub Matějů , Haroon Mumtaz , Angeliki Theophilopoulou
{"title":"The heterogeneous effects of technology shocks. Evidence from the Czech Labour market","authors":"Monika Junicke ,&nbsp;Jakub Matějů ,&nbsp;Haroon Mumtaz ,&nbsp;Angeliki Theophilopoulou","doi":"10.1016/j.econlet.2024.112161","DOIUrl":"10.1016/j.econlet.2024.112161","url":null,"abstract":"<div><div>This paper uses administrative labour market data from Czechia to investigate the heterogeneous effects of technology shocks. Using a FAVAR, the shock is identified using medium run restrictions à la Uhlig (2004b). The shock has a positive effect on hours for workers with wages at and above the median, while there is some evidence that workers on low wages reduce their hours. Analysis of industrial and demographic groups indicates that the former group is likely to consist of males, to be educated or to work in services.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"247 ","pages":"Article 112161"},"PeriodicalIF":2.1,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143166042","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
Inventory decisions under political violence
IF 2.1 4区 经济学
Economics Letters Pub Date : 2025-02-01 DOI: 10.1016/j.econlet.2024.112158
Cláudia Custódio , Bernardo Mendes , Diogo Mendes
{"title":"Inventory decisions under political violence","authors":"Cláudia Custódio ,&nbsp;Bernardo Mendes ,&nbsp;Diogo Mendes","doi":"10.1016/j.econlet.2024.112158","DOIUrl":"10.1016/j.econlet.2024.112158","url":null,"abstract":"<div><div>We estimate the effect of violent political conflicts on firm inventory purchase decisions using monthly data of 431 clients of a multinational beverage supplier in Mozambique. Firms reduce inventory purchases by up to 19% in response to conflicts occurring within a 10 km radius. This is observed exclusively among small firms, which reduce their purchases by 28%–32% compared to larger firms. Small firms are also more likely to temporarily or permanently halt their purchases. However, conditional on survival, the effect is short-lived. Our results underscore the disproportionate impact of political violence on small firms, potentially widening the gap between small and large businesses in developing economies.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"247 ","pages":"Article 112158"},"PeriodicalIF":2.1,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143166045","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
Corporation social responsibility and dynamic agency under jump risk
IF 2.1 4区 经济学
Economics Letters Pub Date : 2025-02-01 DOI: 10.1016/j.econlet.2024.112148
Yu Shi, Dandan Song, Pengfei Luo
{"title":"Corporation social responsibility and dynamic agency under jump risk","authors":"Yu Shi,&nbsp;Dandan Song,&nbsp;Pengfei Luo","doi":"10.1016/j.econlet.2024.112148","DOIUrl":"10.1016/j.econlet.2024.112148","url":null,"abstract":"<div><div>In this paper, we attempt to clarify how agency conflicts affect the firm’s corporation social responsibility (CSR, henceforth) implementation level by developing a dynamic agency model. Numerical results demonstrate that agency conflicts make the level of CSR lower than that without an agency problem. The optimal level of CSR is high and positive only when it is close to the optimal compensation payoff boundary. Moreover, various factors that may affect the optimal level of CSR are investigated.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"247 ","pages":"Article 112148"},"PeriodicalIF":2.1,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143166168","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
Agent-wise–replication invariance for random allocations
IF 2.1 4区 经济学
Economics Letters Pub Date : 2025-02-01 DOI: 10.1016/j.econlet.2024.112087
Eun Jeong Heo
{"title":"Agent-wise–replication invariance for random allocations","authors":"Eun Jeong Heo","doi":"10.1016/j.econlet.2024.112087","DOIUrl":"10.1016/j.econlet.2024.112087","url":null,"abstract":"<div><div>We study the problem of allocating objects via lotteries when agents report their strict preferences over the objects. In combination with standard axioms of efficiency, fairness, and incentive, we explore implications of agent-wise–replication invariance (Thomson, 2024), an axiom pertaining to variable populations through replication. We first show that the equal-division lower-bound and consistency jointly imply agent-wise–replication invariance. We also provide a characterization of the serial rule (Bogomolnaia and Moulin, 2001). It is the only rule satisfying efficiency, the equal-division lower-bound, bounded invariance, and agent-wise–replication invariance.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"247 ","pages":"Article 112087"},"PeriodicalIF":2.1,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143166697","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
Ethereum's Merge: Market liquidity, efficiency and volatility in the Proof of Stake Era
IF 2.1 4区 经济学
Economics Letters Pub Date : 2025-02-01 DOI: 10.1016/j.econlet.2025.112202
Bin Liu , Tina Prodromou , Sandy Suardi , Caihong Xu
{"title":"Ethereum's Merge: Market liquidity, efficiency and volatility in the Proof of Stake Era","authors":"Bin Liu ,&nbsp;Tina Prodromou ,&nbsp;Sandy Suardi ,&nbsp;Caihong Xu","doi":"10.1016/j.econlet.2025.112202","DOIUrl":"10.1016/j.econlet.2025.112202","url":null,"abstract":"<div><div>This study analyzes the impact of Ethereum's Merge upgrade on market liquidity, efficiency and volatility in cryptocurrency markets. The Merge, which transitioned Ethereum from Proof of Work to Proof of Stake, aimed to improve scalability, security, and energy efficiency. Findings show a significant improvement in Ether's liquidity and a slight enhancement in market efficiency post-Merge, along with reduced trading activity and intraday volatility compared to Bitcoin. These results offer insights into investor behavior, confidence, and external market influences, relevant for market participants and policymakers.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"247 ","pages":"Article 112202"},"PeriodicalIF":2.1,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143167009","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
Supply-side elasticities as determinants of optimal carbon taxation
IF 2.1 4区 经济学
Economics Letters Pub Date : 2025-02-01 DOI: 10.1016/j.econlet.2025.112194
Simon Christiansen , Cecilie Marie Løchte Jørgensen
{"title":"Supply-side elasticities as determinants of optimal carbon taxation","authors":"Simon Christiansen ,&nbsp;Cecilie Marie Løchte Jørgensen","doi":"10.1016/j.econlet.2025.112194","DOIUrl":"10.1016/j.econlet.2025.112194","url":null,"abstract":"<div><div>Consider an open economy with two polluting production inputs, whose policymakers decide to implement a unilateral carbon tax on the use of the inputs. The one-sided policy introduces a leakage externality whose magnitude depends on the price responses of the polluting inputs. We show that the optimal tax on a polluting input decreases when the relative supply-price elasticity increases. The intuition is that inputs with low supply-price elasticities experience larger price decreases in response to taxes, which incentivises the producers in the non-taxing country to use more of them. The policymaker avoids this by taxing the elastic inputs the most.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"247 ","pages":"Article 112194"},"PeriodicalIF":2.1,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143127961","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 balance of probabilities vs. the balance of harms in merger control
IF 2.1 4区 经济学
Economics Letters Pub Date : 2025-02-01 DOI: 10.1016/j.econlet.2025.112167
Yossi Spiegel
{"title":"The balance of probabilities vs. the balance of harms in merger control","authors":"Yossi Spiegel","doi":"10.1016/j.econlet.2025.112167","DOIUrl":"10.1016/j.econlet.2025.112167","url":null,"abstract":"<div><div>I examine the difference between the balance of probabilities and the balance of harms standards in merger control. I show that both standards take into account the entire distribution of post-merger outcomes, but the former focuses on the median outcome whereas the latter focuses on the mean outcome. Consequently, a shift from a balance of probabilities to a balance of harms standard broadens the set of mergers that are blocked if the distribution of post-merger outcomes is skewed to the left and conversely if it is skewed to the right.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"247 ","pages":"Article 112167"},"PeriodicalIF":2.1,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143165986","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
120 years of insight: Geopolitical risk and bank solvency
IF 2.1 4区 经济学
Economics Letters Pub Date : 2025-02-01 DOI: 10.1016/j.econlet.2025.112168
Markus Behn, Jan Hannes Lang, Alessio Reghezza
{"title":"120 years of insight: Geopolitical risk and bank solvency","authors":"Markus Behn,&nbsp;Jan Hannes Lang,&nbsp;Alessio Reghezza","doi":"10.1016/j.econlet.2025.112168","DOIUrl":"10.1016/j.econlet.2025.112168","url":null,"abstract":"<div><div>What do 120 years of data say about the relationship between geopolitical risk and bank solvency? We find that a two standard deviation increase in a geopolitical risk index is associated with a decrease in the bank capital-to-asset ratio of around 0.2 percentage points. The effect is non-linear: only very high geopolitical risk leads to a sizeable decline in bank capitalisation, while more moderate increases of the index exert a negligible impact. This suggests that only major geopolitical events are likely to affect bank solvency to a degree that can endanger financial stability.</div></div>","PeriodicalId":11468,"journal":{"name":"Economics Letters","volume":"247 ","pages":"Article 112168"},"PeriodicalIF":2.1,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143166046","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
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