发布求助
文献互助 智能选刊 最新文献

Economic Modelling最新文献

筛选
英文 中文
Improving minimum-variance portfolio through shrinkage of large covariance matrices
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2024-12-31 DOI: 10.1016/j.econmod.2024.106981
Fangquan Shi , Lianjie Shu , Fangyi He , Wenpo Huang
{"title":"Improving minimum-variance portfolio through shrinkage of large covariance matrices","authors":"Fangquan Shi ,&nbsp;Lianjie Shu ,&nbsp;Fangyi He ,&nbsp;Wenpo Huang","doi":"10.1016/j.econmod.2024.106981","DOIUrl":"10.1016/j.econmod.2024.106981","url":null,"abstract":"<div><div>The global minimum-variance (GMV) portfolio derived from the sample covariance matrix often performs poorly due to large estimation errors. Linear shrinkage covariance estimators have been extensively studied to address this issue. This study proposes an optimal shrinkage intensity selection for the linear shrinkage estimator family using cross-validated negative log-likelihood function minimization. Moreover, we provide theoretical insights into the selection process. Empirical studies have shown that the proposed approach produces more stable covariance matrix estimators than the Frobenius loss minimization method, resulting in improved GMV portfolios. Furthermore, linear shrinkage estimators that use a diagonal matrix or a matrix based on a one-factor model as the target matrix generally achieve the best performance. They also outperform nonlinear shrinkage covariance estimators, especially with a large number of assets. This superiority is evident in terms of out-of-sample variance, turnover, and the Sharpe ratio.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"144 ","pages":"Article 106981"},"PeriodicalIF":4.2,"publicationDate":"2024-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143344091","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Revisiting the impact of oil price shocks on macroeconomic performance: An international perspective
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2024-12-31 DOI: 10.1016/j.econmod.2024.106964
Yifan Shen , Ziping Gu , Tilak Abeysinghe , Xunpeng Shi
{"title":"Revisiting the impact of oil price shocks on macroeconomic performance: An international perspective","authors":"Yifan Shen ,&nbsp;Ziping Gu ,&nbsp;Tilak Abeysinghe ,&nbsp;Xunpeng Shi","doi":"10.1016/j.econmod.2024.106964","DOIUrl":"10.1016/j.econmod.2024.106964","url":null,"abstract":"<div><div>The existing literature has mainly focused on the direct channel and adopted country-by-country analysis to investigate the oil impact on individual nations, ignoring or at least failing to specify the interplay across countries. Using a large-scale structural vector autoregression (SVAR) model that allows for an evolving parameter structure and that covers 60 oil-importing and -exporting economies, this paper disentangles the direct effect and indirect multiplier effect of oil price shocks on a specific economy. The results show that in addition to the well-documented direct effect, the indirect multiplier effect which works through the international transmission mechanism plays a crucial role in explaining total macroeconomic impacts of oil price swings. This paper also assesses the microstructure of indirect multiplier effect and investigates how it has evolved over the past 30 years. The findings of this paper provide a novel perspective to explain the “curse of natural resources”.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"144 ","pages":"Article 106964"},"PeriodicalIF":4.2,"publicationDate":"2024-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143343897","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Export tax rebates, product ranking, and exports of multi-product firms
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2024-12-30 DOI: 10.1016/j.econmod.2024.106993
Jin Yuan , Qiren Liu , Can Zhao , Jierui Du
{"title":"Export tax rebates, product ranking, and exports of multi-product firms","authors":"Jin Yuan ,&nbsp;Qiren Liu ,&nbsp;Can Zhao ,&nbsp;Jierui Du","doi":"10.1016/j.econmod.2024.106993","DOIUrl":"10.1016/j.econmod.2024.106993","url":null,"abstract":"<div><div>Product-level differentiated export tax rebates may affect product preferences in the export decisions of multi-product firms. However, prior studies focus primarily on export tax rebates’ impact at the product or firm level while ignoring the effect on firm-product export behaviors. Based on the adjustment of China’s export tax rebates, this study fills this gap by analyzing firm-product-destination-time high-dimensional data from 2002 to 2013. We find that an increase in the export tax rebate rate promotes the expansion of export quantity at an intensive margin and this effect increases as product ranking falls. Furthermore, it also promotes the expansion of the number of export destinations at an extensive margin. Additionally, we rationalize the results by introducing a multi-product firm theoretical framework with a “staircase” constant elasticity of substitution utility function. The findings highlight the significant tax-trade relationship and sheds light on the role of tax system in influencing multi-product firms’ exports.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"144 ","pages":"Article 106993"},"PeriodicalIF":4.2,"publicationDate":"2024-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143343894","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Political incentives and pollution reduction in China: Evidence from firm-level emissions data
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2024-12-28 DOI: 10.1016/j.econmod.2024.106987
Charlie Chan , Long Fei , Ivan T. Kandilov , Chi Zhang
{"title":"Political incentives and pollution reduction in China: Evidence from firm-level emissions data","authors":"Charlie Chan ,&nbsp;Long Fei ,&nbsp;Ivan T. Kandilov ,&nbsp;Chi Zhang","doi":"10.1016/j.econmod.2024.106987","DOIUrl":"10.1016/j.econmod.2024.106987","url":null,"abstract":"<div><div>Do local political officials' promotion incentives affect pollution? While previous research has mostly focused on developed countries and employed more aggregate data, we answer this question in the context of China, an emerging economy, using confidential, granular (firm-level) data. Our analysis demonstrates that firms’ sulfur dioxide (SO<sub>2</sub>) emissions as well as emissions of other pollutants decline during periods of heightened promotion incentives for local officials across Chinese cities. The evidence suggests that the reduction in emissions was likely due to end-of-pipe treatments, instead of improvements in production technology. We find that non-state-owned enterprises, which likely have less bargaining power and face stricter regulatory constraints compared to state-owned enterprises, experience a grater reduction in their emissions during the promotion evaluation period for local officials. We document that stricter enforcement of existing environmental regulations is likely driving the decline in emissions, suggesting that perhaps during the promotion period, more pressure is exerted on local environmental protection agencies to monitor pollution.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"144 ","pages":"Article 106987"},"PeriodicalIF":4.2,"publicationDate":"2024-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143343893","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Share repurchases under economic policy uncertainty: Evidence from China
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2024-12-28 DOI: 10.1016/j.econmod.2024.106991
Chenghao Huang , Chenyu Luo , Xuewen Kuang
{"title":"Share repurchases under economic policy uncertainty: Evidence from China","authors":"Chenghao Huang ,&nbsp;Chenyu Luo ,&nbsp;Xuewen Kuang","doi":"10.1016/j.econmod.2024.106991","DOIUrl":"10.1016/j.econmod.2024.106991","url":null,"abstract":"<div><div>This study examines the impact of economic policy uncertainty (EPU) on open market share repurchases, addressing a gap in the literature regarding its signaling role in immature markets. Using quarterly data from Chinese listed firms between 2017 and 2022, our analysis reveals that higher EPU significantly increases both the likelihood and scale of repurchases, driven by heightened information asymmetry and stock price pressure, particularly for privately owned, high-tech, and R&amp;D-intensive firms. EPU also extends repurchase program duration and enhances both announcement and long-term returns. Given the irreversibility of firms' prior investments, EPU exacerbates mispricing risk. Our findings highlight the signaling role of share repurchases in immature markets, in contrast to precautionary motives in developed markets. These findings provide new insights into managing economic policy uncertainty and offer implications for navigating uncertainty through open market share repurchases in immature capital markets.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"144 ","pages":"Article 106991"},"PeriodicalIF":4.2,"publicationDate":"2024-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143344093","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Monetary policy uncertainty and corporate credit financing in China: The role of accounting information quality
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2024-12-27 DOI: 10.1016/j.econmod.2024.106990
Xiao-Lin Li , Miao Yang , Xinyu Ge , Chen Zhao
{"title":"Monetary policy uncertainty and corporate credit financing in China: The role of accounting information quality","authors":"Xiao-Lin Li ,&nbsp;Miao Yang ,&nbsp;Xinyu Ge ,&nbsp;Chen Zhao","doi":"10.1016/j.econmod.2024.106990","DOIUrl":"10.1016/j.econmod.2024.106990","url":null,"abstract":"<div><div>Although existing studies confirm that monetary policy uncertainty (MPU) affects firms' credit financing behaviors, limited knowledge exists about the strategies that firms use to mitigate its adverse effects. This study examines how MPU influences corporate credit financing and analyzes the mediating effect of accounting information quality, using data from China's A-share nonfinancial listed firms from 2007 to 2022. The empirical results show that an increase in MPU significantly reduces corporate credit financing, particularly short-term loans. MPU drives this decline through two potential channels, namely, asset tangibility and financing costs. Furthermore, our analysis shows that high-quality accounting information mitigates the adverse effect of MPU on corporate credit financing. This finding suggests that firms can strengthen their external financing capabilities by improving the quality of information disclosures, especially when MPU increases.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"144 ","pages":"Article 106990"},"PeriodicalIF":4.2,"publicationDate":"2024-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143343895","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Digital finance and retirement planning: The role of information cost reduction and trust enhancement channels
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2024-12-27 DOI: 10.1016/j.econmod.2024.106989
Liang Liu , Zhen Ju
{"title":"Digital finance and retirement planning: The role of information cost reduction and trust enhancement channels","authors":"Liang Liu ,&nbsp;Zhen Ju","doi":"10.1016/j.econmod.2024.106989","DOIUrl":"10.1016/j.econmod.2024.106989","url":null,"abstract":"<div><div>With the rapid development of digitalization, retirement decisions are increasingly being mediated by digital finance platforms, which help individuals in effectively managing and planning their retirement. Existing literature primarily focuses on the impacts of financial literacy, risk attitudes, and awareness of retirement goals. Using data from the 2015 China Household Finance Survey, we investigate the effect of digital finance on household retirement planning. Our analysis reveals that digital payment lowers the acquisition cost of pension finance information, whereas digital wealth management increases financial trust, encouraging involvement in self-funding retirement planning. Digital payment bolsters a proactive approach to self-funding retirement planning and simplifies the conversion of commercial endowment insurance planning into tangible measures. These findings offer new insights into how digital financial instruments can help alleviate the supply–demand pressure on pensions and major implications for the development of the individual retirement account system.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"144 ","pages":"Article 106989"},"PeriodicalIF":4.2,"publicationDate":"2024-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143344092","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Does mobile phone proficiency contribute to stock market participation? The role of payment convenience, liquidity, and social interaction
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2024-12-26 DOI: 10.1016/j.econmod.2024.106988
Shumaila Fatima, Madhumita Chakraborty
{"title":"Does mobile phone proficiency contribute to stock market participation? The role of payment convenience, liquidity, and social interaction","authors":"Shumaila Fatima,&nbsp;Madhumita Chakraborty","doi":"10.1016/j.econmod.2024.106988","DOIUrl":"10.1016/j.econmod.2024.106988","url":null,"abstract":"<div><div>Limited stock market participation is a matter of concern for both academia and policymakers, whereas the role of mobile devices in financial inclusion has gained increasing attention. Existing literature has identified various factors of stock market participation (SMP), yet the critical intersection between technology and economy, particularly mobile phone proficiency (MPP), remains underexplored. This study utilizes data from the 2018 Financial Inclusion Insights (FII) survey of India, funded by the Bill and Melinda Gates Foundation, to examine the impact of MPP on SMP. Results suggest that MPP has a positive influence on SMP, with payment convenience, liquidity, and social interaction being essential channels in this mechanism. Our findings are robust to alternate measures and instrumental variable analysis. The outcomes remain consistent on using financial market participation (FMP) as the dependent variable. The results underscore the need for policy measures to enhance proficiency in using mobile phones to promote SMP.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"144 ","pages":"Article 106988"},"PeriodicalIF":4.2,"publicationDate":"2024-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143344095","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Household inflation heterogeneity and the relative price elasticity channel of monetary policy
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2024-12-24 DOI: 10.1016/j.econmod.2024.106980
Ulrike Neyer, Daniel Stempel
{"title":"Household inflation heterogeneity and the relative price elasticity channel of monetary policy","authors":"Ulrike Neyer,&nbsp;Daniel Stempel","doi":"10.1016/j.econmod.2024.106980","DOIUrl":"10.1016/j.econmod.2024.106980","url":null,"abstract":"<div><div>This paper shows that considerable differences in inflation rates exist among households in the United States. Against this background, we theoretically show that a central bank that considers household inflation heterogeneity can stabilize overall inflation more effectively. Using a tractable, multi-sector New Keynesian model with a low- and a high-income household, we show that a central bank that reacts to the inflation rate of the household less affected by price changes can achieve lower deviations of all households’ inflation rates from their steady states. The reason is that a weaker central bank reaction dampens an adverse relative price elasticity channel of monetary policy, allowing for more favorable relative price adjustments. The strength of this channel depends on household heterogeneity.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"144 ","pages":"Article 106980"},"PeriodicalIF":4.2,"publicationDate":"2024-12-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143344094","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Cross-country heterogeneity in production–environment nexus and international trade
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2024-12-12 DOI: 10.1016/j.econmod.2024.106973
Gang Li , Akihiko Yanase
{"title":"Cross-country heterogeneity in production–environment nexus and international trade","authors":"Gang Li ,&nbsp;Akihiko Yanase","doi":"10.1016/j.econmod.2024.106973","DOIUrl":"10.1016/j.econmod.2024.106973","url":null,"abstract":"<div><div>This study examines the interplay between international trade and the environment using a dynamic two-country, two-sector model that captures the impact of economic activities on environmental quality and the subsequent feedback on resource-good sector productivity. We focus on the scenario in which two countries differ in sectoral ranking of environmental impacts and export their respective “dirtier” goods under trade. We show that in this context, trade harms long-term environmental quality in both countries, and the welfare effects of trade depend on the magnitude of productivity and terms-of-trade changes. Smaller pre-trade comparative advantages and greater trade-induced environmental deterioration increase the likelihood of welfare loss. The presence of such cross-country differences can result in multiple equilibria under trade, with contrasting welfare implications. We calibrate the model using data from China and Ghana to demonstrate its real-world relevance. These findings highlight the importance of considering country-specific characteristics of production–environment relationships in assessing trade impacts and designing policies.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"144 ","pages":"Article 106973"},"PeriodicalIF":4.2,"publicationDate":"2024-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143343712","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
首页 上一页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信