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The momentum life cycle re-examined: Using incongruent value-growth to identify the momentum stage of stocks 动量生命周期的再检验：用不一致的价值增长来确定股票的动量阶段
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-04-11 DOI: 10.1016/j.econmod.2025.107109
Carlos Forner
{"title":"The momentum life cycle re-examined: Using incongruent value-growth to identify the momentum stage of stocks","authors":"Carlos Forner","doi":"10.1016/j.econmod.2025.107109","DOIUrl":"10.1016/j.econmod.2025.107109","url":null,"abstract":"<div><div>The momentum life cycle (MLC) hypothesis aims to reconcile short-term momentum and long-term reversion observed in stock returns. While the MLC offers a valuable framework, it faces notable limitations: it fails to account for certain return patterns, and its ability to detect momentum stages may be mostly spurious. Using data from the five largest capital markets in the Eurozone from 1998 to 2014, along with cross-sectional regression and portfolio-based methodologies, this study re-examines the MLC. It introduces the incongruent value/growth (IVG) characteristic as an alternative to the commonly used trading volume to identify momentum stages within the MLC. The results show that using IVG significantly enhances the identification of early- and late-stage momentum stocks. Two key implications emerge: first, strategies that integrate momentum with IVG outperform those that combine momentum with trading volume; second, IVG helps address some of the MLC's key limitations, providing stronger empirical support for the hypothesis.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"149 ","pages":"Article 107109"},"PeriodicalIF":4.2,"publicationDate":"2025-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143870657","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
Microfinance duration and development: The case of three cities in India 小额信贷的存续与发展：以印度三个城市为例
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-04-10 DOI: 10.1016/j.econmod.2025.107105
Radhika Lahiri , Honghong Wei
{"title":"Microfinance duration and development: The case of three cities in India","authors":"Radhika Lahiri ,&nbsp;Honghong Wei","doi":"10.1016/j.econmod.2025.107105","DOIUrl":"10.1016/j.econmod.2025.107105","url":null,"abstract":"<div><div>This study examines the impact of microcredit duration on both pecuniary dimensions of welfare, such as saving and income, and non-pecuniary dimensions such as social capital among microfinance clients, issues that are underexplored in the literature. Using survey data from three cities in India, we employ a Two-Stage Least-Squares model to estimate financial impacts and an Ordered-Probit model to assess social capital outcomes. The findings reveal that longer microcredit duration significantly improves income and savings, with Pune, relative to Mumbai and Satara, showing the strongest effects. However, evidence for social capital formation is mixed, with negligible impacts in most cases and negative outcomes in some, highlighting limitations of joint-liability loan structures in fostering social networks. These results underscore the need for policies that go beyond financial inclusion, focusing on strengthening social capital through tailored programs that promote trust, cooperation, and community engagement, ultimately enhancing the broader developmental impact of microfinance.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"149 ","pages":"Article 107105"},"PeriodicalIF":4.2,"publicationDate":"2025-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143823926","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
Carbon tax in a duopoly with asymmetric spillovers and symmetric contributions 具有非对称溢出和对称贡献的双寡头碳税
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-04-05 DOI: 10.1016/j.econmod.2025.107099
Chenyu Wang , Gamal Atallah
{"title":"Carbon tax in a duopoly with asymmetric spillovers and symmetric contributions","authors":"Chenyu Wang ,&nbsp;Gamal Atallah","doi":"10.1016/j.econmod.2025.107099","DOIUrl":"10.1016/j.econmod.2025.107099","url":null,"abstract":"<div><div>This study constructs a polluting duopoly model characterized by asymmetric environmental research and development (R&amp;D) spillovers with symmetric abatement technology contributions. The study investigates, in the context of environmental regulation, the effects and implications of R&amp;D efficiencies, R&amp;D organizations, and information-sharing schemes on this featured economy's economic and environmental equilibriums. In particular, we (i) compare R&amp;D and profit among the regimes of R&amp;D noncooperation, R&amp;D cooperation, and symmetric research joint venture cartelization; (ii) evaluate the regimes' R&amp;D, emissions, profit, and welfare; and (iii) analyze how R&amp;D efficiencies, spillover asymmetries, and spillover magnitude affect the regimes' economic–environmental performance. Furthermore, we validate the symmetric research joint venture cartelization regarding the symmetric contributions and examine the strategic interaction of R&amp;D among regimes. Fundamentally, this study provides practical insights into the optimal environmental technology policy mix design under a unified analysis framework for government, enterprises, and consumers.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"148 ","pages":"Article 107099"},"PeriodicalIF":4.2,"publicationDate":"2025-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143816315","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
How do social insurance premiums influence corporate underinvestment? Evidence from an emerging market 社会保险费如何影响企业投资不足？来自新兴市场的证据
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-04-04 DOI: 10.1016/j.econmod.2025.107097
Yihong Gao
{"title":"How do social insurance premiums influence corporate underinvestment? Evidence from an emerging market","authors":"Yihong Gao","doi":"10.1016/j.econmod.2025.107097","DOIUrl":"10.1016/j.econmod.2025.107097","url":null,"abstract":"<div><div>Social insurance premiums (SIPs) raise labor costs, particularly in labor-intensive firms. The growing body of literature has examined SIPs and labor costs in the context of declining demographic dividends; however, the influence of these factors on corporate underinvestment in emerging markets remains underexplored. Using data from A-share listed firms spanning 2006–2016 and a difference-in-differences methodology within China's Social Insurance Law, this study finds that SIPs enhance corporate underinvestment. Moreover, operating and financing costs exacerbate this effect, especially for state-owned enterprises and firms with high operating pressure, large labor recruitment, and low artificial intelligence application. Labor-intensive firms face significant challenges stemming from operational burdens, underscoring the need for government support during their transformation. This study advances the theoretical and empirical discourse within the fields of corporate finance and labor economics.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"149 ","pages":"Article 107097"},"PeriodicalIF":4.2,"publicationDate":"2025-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143929222","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 a firm's intelligent technological transformation matter for its access to financial resources? 企业的智能技术转型对其获得财务资源有影响吗？
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-04-04 DOI: 10.1016/j.econmod.2025.107100
Kuo Zhou , Zhi Qu , Yiman Guo , Runnian Hu
{"title":"Does a firm's intelligent technological transformation matter for its access to financial resources?","authors":"Kuo Zhou ,&nbsp;Zhi Qu ,&nbsp;Yiman Guo ,&nbsp;Runnian Hu","doi":"10.1016/j.econmod.2025.107100","DOIUrl":"10.1016/j.econmod.2025.107100","url":null,"abstract":"<div><div>We investigate the impact of firms' intelligent technological transformation on their access to financial resources. The existing literature has mostly focused on the effect of external finance on firms' entrepreneurship, productivity, and artificial intelligence; however, research assessing how intelligent technological transformation affects their access to financial resources remains limited. Using China's Smart Manufacturing Pilot Program since 2015, we employ the difference-in-differences model to examine the beneficial effect of intelligent technological transformation on access to bank loans. The findings and results of the channel analysis reveal that firms with intelligent technological transformation have more reputation, strong competitive capabilities, and better access to bank loans.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"149 ","pages":"Article 107100"},"PeriodicalIF":4.2,"publicationDate":"2025-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143823924","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
Migrant remittances and real exchange rate dynamics in developing countries: Evidence of a U-shaped relationship 发展中国家的移民汇款和实际汇率动态：u型关系的证据
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-04-01 DOI: 10.1016/j.econmod.2025.107085
Oussama Ben Atta , Mazhar Yasin Mughal , Serge Rey
{"title":"Migrant remittances and real exchange rate dynamics in developing countries: Evidence of a U-shaped relationship","authors":"Oussama Ben Atta ,&nbsp;Mazhar Yasin Mughal ,&nbsp;Serge Rey","doi":"10.1016/j.econmod.2025.107085","DOIUrl":"10.1016/j.econmod.2025.107085","url":null,"abstract":"<div><div>In this paper, we revisit the relationship between workers’ remittances and the real effective exchange rate. Using the NATREX equilibrium exchange rate framework for a small open economy, we establish the conditions for a non-linear relationship between remittances and the real exchange rate. Econometric estimates based on panel models with a threshold effect on a sample of 40 countries over the period 1980–2019 confirm a non-linear U-shaped relationship. For countries where remittances account for less than five percent of GDP, an increase in remittances results in a real depreciation of the exchange rate. This is reflected in improvement in external competitiveness, which can be attributed to the dominant supply effect stemming from capital accumulation. Conversely, for countries above this threshold, an increase in remittances leads to a real appreciation of the exchange rate, driven by rising domestic prices linked to a dominant demand effect.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"148 ","pages":"Article 107085"},"PeriodicalIF":4.2,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143777306","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
Minimum wage and unemployment in Russia: A new look on an old construct 俄罗斯的最低工资和失业率：旧结构的新面貌
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-04-01 DOI: 10.1016/j.econmod.2025.107086
Gi Khan Ten, Shun Wang
{"title":"Minimum wage and unemployment in Russia: A new look on an old construct","authors":"Gi Khan Ten,&nbsp;Shun Wang","doi":"10.1016/j.econmod.2025.107086","DOIUrl":"10.1016/j.econmod.2025.107086","url":null,"abstract":"<div><div>We investigate the unemployment effects of the minimum wage policy in Russia, focusing on possible reasons for the heterogeneity of the effects documented in previous literature. Using region-level data, we show that the policy increases both the unemployment rate among young workers and the rate of informality. We corroborate these findings by leveraging a sudden increase in the minimum wage in Kamchatka as a natural experiment. Next, we show that the magnitude of employment responses to minimum wage changes depends on the elasticity of capital-labor substitution, with stronger effects observed in industries where capital and labor are more substitutable. When substitution is not feasible, employers respond to the policy by hiring workers informally. Consistent with revealed separations and informal recruitment, we find limited income effects of the policy. These findings highlight the importance of accounting for existing production technologies and the extent of non-compliance when raising the wage floor.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"148 ","pages":"Article 107086"},"PeriodicalIF":4.2,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143808671","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
Stock prices and monetary policy: Analysis of a Bayesian DSGE model 股票价格与货币政策：贝叶斯DSGE模型的分析
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-03-28 DOI: 10.1016/j.econmod.2025.107075
Satoshi Hoshino , Daisuke Ida
{"title":"Stock prices and monetary policy: Analysis of a Bayesian DSGE model","authors":"Satoshi Hoshino ,&nbsp;Daisuke Ida","doi":"10.1016/j.econmod.2025.107075","DOIUrl":"10.1016/j.econmod.2025.107075","url":null,"abstract":"<div><div>This study evaluates the reaction of stock prices to monetary policy in Japan during the 1980s. We employ Bayesian estimation of the dynamic stochastic general equilibrium model, revealing the presence of the wealth channel from increased stock prices in Japan. We argue that the Bank of Japan (BOJ) may have implemented its monetary policy by targeting stock price stability, inflation and the output gap. Our results indicate that, while the BOJ may have reacted to stock prices, a monetary contraction could not prevent deviations from their fundamental values.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"148 ","pages":"Article 107075"},"PeriodicalIF":4.2,"publicationDate":"2025-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143737319","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
Adaptive local VAR for dynamic economic policy uncertainty spillover 动态经济政策不确定性溢出的自适应局部VAR
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-03-28 DOI: 10.1016/j.econmod.2025.107079
Niels Gillmann , Ostap Okhrin
{"title":"Adaptive local VAR for dynamic economic policy uncertainty spillover","authors":"Niels Gillmann ,&nbsp;Ostap Okhrin","doi":"10.1016/j.econmod.2025.107079","DOIUrl":"10.1016/j.econmod.2025.107079","url":null,"abstract":"<div><div>Economic uncertainty has far-reaching global effects, especially during major crises. This paper introduces an adaptive local vector autoregressive (VAR) model to better understand how uncertainty spreads across countries. The proposed model identifies periods when economic spillovers remain stable, allowing for more precise estimation of their dynamics. Unlike traditional approaches that rely on fixed rolling windows or use all past data, our method adjusts to current conditions, reducing bias and improving accuracy. Using monthly data on Economic Policy Uncertainty (EPU), we show that this approach captures dynamic spillovers more effectively, particularly during unprecedented events like the COVID-19 pandemic and the Global Financial Crisis (GFC). These findings highlight the need for flexible tools in policy-making to address rapidly changing global risks. These findings underscore the importance of flexible tools for analyzing spillovers and allow for further exploration of adaptive methods in economic uncertainty analysis.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"148 ","pages":"Article 107079"},"PeriodicalIF":4.2,"publicationDate":"2025-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143738398","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
Risk-incentive trade-off in moral hazard with risk management: Theoretical analysis and empirical verification 风险管理下道德风险的风险激励权衡：理论分析与实证验证
IF 4.2 2区 经济学
Economic Modelling Pub Date : 2025-03-27 DOI: 10.1016/j.econmod.2025.107083
Zheng Dou , Chong Lai
{"title":"Risk-incentive trade-off in moral hazard with risk management: Theoretical analysis and empirical verification","authors":"Zheng Dou ,&nbsp;Chong Lai","doi":"10.1016/j.econmod.2025.107083","DOIUrl":"10.1016/j.econmod.2025.107083","url":null,"abstract":"<div><div>This study incorporates risk management into a continuous-time principal–agent model based on moral hazard, analyzing how risk and incentives interact when preferences are risk-sensitive. We focus on how principal adjust compensation, comprising performance pay, risk penalties, and basic salaries, to incentivize agents under hidden information. Our findings confirm the classic negative trade-off between risk and incentives, alongside a novel positive relationship between risk and risk–penalty sensitivity. In high-risk environments, the principal frequently seeks out more skilled agents and offer them greater incentives, thus disrupting the relationship between risk and compensation sensitivities. Our empirical analysis underscores the significance of adaptive compensation strategies in improving agent behavior in the face of escalating risks, supporting these theoretical predictions. These insights underline the potential for refining incentive structures to better align with varying levels of firm risk.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"148 ","pages":"Article 107083"},"PeriodicalIF":4.2,"publicationDate":"2025-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143760999","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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