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Market-based climate policy with fluctuating fossil energy prices
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-01-06 DOI: 10.1016/j.econmod.2024.106982
Alkis Blanz , Ulrich Eydam , Maik Heinemann , Matthias Kalkuhl
{"title":"Market-based climate policy with fluctuating fossil energy prices","authors":"Alkis Blanz ,&nbsp;Ulrich Eydam ,&nbsp;Maik Heinemann ,&nbsp;Matthias Kalkuhl","doi":"10.1016/j.econmod.2024.106982","DOIUrl":"10.1016/j.econmod.2024.106982","url":null,"abstract":"<div><div>Since market-based climate policies such as carbon pricing affect the cost of using fossil resources, rule-based climate policy adjustments in response to fossil energy price shocks may promote macroeconomic stabilization. This raises the question of whether climate policy should adapt to short-term fluctuations in fossil energy prices. We examine this question by employing a dynamic stochastic general equilibrium (DSGE) model calibrated for the German economy. Our results indicate that the macroeconomic and welfare impacts of rule-based carbon pricing adjustments depend on the share of recycled revenue. If revenue is fully absorbed, lowering emissions prices can stabilize the economy in response to rising energy prices. Conversely, if revenue is at least partially recycled, maintaining a stable carbon price will improve overall welfare. With a stable carbon price, revenue recycling acts as insurance against fluctuating energy prices. This result remains robust across several robustness checks.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"144 ","pages":"Article 106982"},"PeriodicalIF":4.2,"publicationDate":"2025-01-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143344134","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
Decentralized government and firm pollution discharges: Evidence from China’s Province-Managing-County reform
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-01-06 DOI: 10.1016/j.econmod.2024.107005
Xunyong Xiang , Wenjie Luo , Bin Li , Wenquan Liang
{"title":"Decentralized government and firm pollution discharges: Evidence from China’s Province-Managing-County reform","authors":"Xunyong Xiang ,&nbsp;Wenjie Luo ,&nbsp;Bin Li ,&nbsp;Wenquan Liang","doi":"10.1016/j.econmod.2024.107005","DOIUrl":"10.1016/j.econmod.2024.107005","url":null,"abstract":"<div><div>This paper investigates the environmental impact of a decentralization policy, China’s Province-Managing-County (PMC) reform, aimed at stimulating local economic growth by granting counties greater fiscal authority. Leveraging firm-level panel data on pollution emissions, we employ a difference-in-differences method to examine how the PMC affects pollution emissions, providing micro-level evidence to the literature on fiscal policies and environmental outcomes. Our results indicate that the PMC reform leads to increases in water pollution by 36.8% and air pollution by 8.6%. The mechanisms behind these findings are linked to local governments’ incentives to boost tax revenues and economic growth, which drive increased firm output, tax payment, and expanded production capacity. We identify heterogeneity across counties and firms: counties with higher pre-reform fiscal revenue experience less pollution growth, while firms affiliated with county governments show greater increases in emissions. These results highlight the trade-offs between fiscal decentralization and environmental protection, suggesting that policies aimed at economic growth should also incorporate measures to evaluate environmental damages.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"144 ","pages":"Article 107005"},"PeriodicalIF":4.2,"publicationDate":"2025-01-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143343716","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
Bayesian analysis for functional coefficient conditional autoregressive range model with applications
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-01-03 DOI: 10.1016/j.econmod.2024.107003
Bin Wang , Yixin Qian , Enping Yu
{"title":"Bayesian analysis for functional coefficient conditional autoregressive range model with applications","authors":"Bin Wang ,&nbsp;Yixin Qian ,&nbsp;Enping Yu","doi":"10.1016/j.econmod.2024.107003","DOIUrl":"10.1016/j.econmod.2024.107003","url":null,"abstract":"<div><div>Financial market time series exhibit significant nonlinearity and volatility, and investors, with limited attention, are influenced by abnormal fluctuations. We propose the Functional Coefficient Autoregressive Range (FCARR) model, which extends existing asymmetric range volatility models by incorporating varying coefficient functions to better capture dynamic market changes and asymmetries. Through simulations, we show how well the model handles complicated financial data by utilizing Bayesian P-spline techniques for parameter estimation, model selection, and out-of-sample forecasting. The effectiveness of the FCARR model is underscored through its application to the Chinese stock market, confirming its capacity to capture volatility. This versatile tool helps investors and policymakers better understand and predict market dynamics, especially when information access is restricted.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"144 ","pages":"Article 107003"},"PeriodicalIF":4.2,"publicationDate":"2025-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143343898","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
Is monetary policy transmission green?
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-01-03 DOI: 10.1016/j.econmod.2024.106992
Inessa Benchora , Aurélien Leroy , Louis Raffestin
{"title":"Is monetary policy transmission green?","authors":"Inessa Benchora ,&nbsp;Aurélien Leroy ,&nbsp;Louis Raffestin","doi":"10.1016/j.econmod.2024.106992","DOIUrl":"10.1016/j.econmod.2024.106992","url":null,"abstract":"<div><div>This paper examines whether traditional monetary policy affects firms differently based on their carbon emissions—a previously unexplored driver of monetary policy non-neutrality. We develop a theoretical model predicting that carbon-intensive (”brown”) firms are more sensitive to monetary policy shocks due to investor preferences for ”green” assets. We test this prediction using stock price data from U.S. firms between 2010 and 2019. Our findings confirm that brown firms are more sensitive to monetary policy shocks than green firms. This heightened sensitivity persists even after controlling for financial constraints and intensifies with rising climate awareness among investors. Our results suggest that traditional monetary policy is not carbon-neutral and unintentionally amplifies biases related to carbon emissions, highlighting important considerations for policymakers.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"144 ","pages":"Article 106992"},"PeriodicalIF":4.2,"publicationDate":"2025-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143344133","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
Imported intermediate goods, intellectual property protection, and innovation in Chinese manufacturing firms
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-01-02 DOI: 10.1016/j.econmod.2024.106960
Jie Xie , Jiayu Tian , Yong Hu , Quan Wang , Zhaoqiong Dai
{"title":"Imported intermediate goods, intellectual property protection, and innovation in Chinese manufacturing firms","authors":"Jie Xie ,&nbsp;Jiayu Tian ,&nbsp;Yong Hu ,&nbsp;Quan Wang ,&nbsp;Zhaoqiong Dai","doi":"10.1016/j.econmod.2024.106960","DOIUrl":"10.1016/j.econmod.2024.106960","url":null,"abstract":"<div><div>As China continues to open up, its innovation output continues to grow. What role do imported inputs play in this circumstance? Based on an extended theoretical model and an empirical analysis using Chinese firm-level data, we found that firms using more imported inputs have higher innovation output. More imported inputs require government to improve the strength of intellectual property protection (IPP), which brings legal security for technology transfer and cooperation attached to imported inputs, accelerating innovation. However, we found that only when the strength of IPP is below a certain threshold, IPP enhances the positive impact of imported inputs on innovation output; when the strength of IPP exceeds this threshold, it hinders this positive impact. Kernel density analysis showed that China's average IPP strength remains below certain thresholds. Heterogeneity analysis was conducted based on innovation motivation, passthrough effects, and firm location. Finally, a multigroup multiperiod DID analysis confirmed our findings.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"144 ","pages":"Article 106960"},"PeriodicalIF":4.2,"publicationDate":"2025-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143343896","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 the digital sector affiliation matter for the productivity of multinational firms?
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-01-01 DOI: 10.1016/j.econmod.2024.107002
Yan Wu , Peiyuan Niu , Yunqiao Wu
{"title":"Does the digital sector affiliation matter for the productivity of multinational firms?","authors":"Yan Wu ,&nbsp;Peiyuan Niu ,&nbsp;Yunqiao Wu","doi":"10.1016/j.econmod.2024.107002","DOIUrl":"10.1016/j.econmod.2024.107002","url":null,"abstract":"<div><div>We explore the extent to which multinational performance is determined by subsidiary productivity and their digital sector affiliations. Drawing on more than 6000 multinational parent companies and their over 17,000 foreign subsidiaries in 61 countries, we find that the effect of foreign subsidiary productivity on multinational performance is highest when parent and subsidiary firms are in the digital sector. The effect is weakened when the parent company is in the digital sector but the subsidiary is not, and vice-versa. This suggests that the relatedness between the parent and subsidiary firms in terms of their digital sector affiliations is important for the productivity effect. In addition, the productivity effect is more pronounced even during times of uncertainty, such as the recent global pandemic, suggesting a greater connectedness due to globalisation. We show that multinational parents are able to mitigate the adverse effect of high wage cost through the performance of subsidiaries.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"144 ","pages":"Article 107002"},"PeriodicalIF":4.2,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143344135","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
Do supply chain pressures affect consumer prices in major economies? New evidence from time-varying causality analysis
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-01-01 DOI: 10.1016/j.econmod.2024.106914
Zouhair Mrabet, Mouyad Alsamara, Karim Mimouni, Abdulkareem Awwad
{"title":"Do supply chain pressures affect consumer prices in major economies? New evidence from time-varying causality analysis","authors":"Zouhair Mrabet,&nbsp;Mouyad Alsamara,&nbsp;Karim Mimouni,&nbsp;Abdulkareem Awwad","doi":"10.1016/j.econmod.2024.106914","DOIUrl":"10.1016/j.econmod.2024.106914","url":null,"abstract":"<div><div>This study explores the dynamic causality between the consumer price index and supply chain pressure index in two large economies. Despite extensive research into the role of supply chains at the firm level, the literature on their impact on time-varying inflation and macroeconomic stability is scarce. Using data from the United States and the European Union from January 2000 to December 2021, we employ novel time-varying causality techniques to examine the evolving relationships among inflation, supply chains, real gross domestic product, interest rates, and oil prices. Our findings show that supply chains have a significant dynamic relationship with consumer prices, particularly during economic crises like the 2008 global financial crisis and the COVID-19 pandemic. Robustness tests including impulse response functions and the autoregressive distributed lag model confirm this causality. These results are critical for policymakers, emphasizing the importance of supply chains in controlling inflation and achieving global economic resilience and stability.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"142 ","pages":"Article 106914"},"PeriodicalIF":4.2,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143164964","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
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
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