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A Green Wave in Media: A Change of Tack in Stock Markets* 媒体的绿色浪潮股票市场的转变*
IF 1.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2024-01-17 DOI: 10.1111/obes.12597
Marie Bessec, Julien Fouquau
{"title":"A Green Wave in Media: A Change of Tack in Stock Markets*","authors":"Marie Bessec,&nbsp;Julien Fouquau","doi":"10.1111/obes.12597","DOIUrl":"10.1111/obes.12597","url":null,"abstract":"<p>This paper examines the impact of environmental news coverage in US newspapers on stock markets. Using textual analysis with a dictionary-based approach, we obtain several measures of attention, tonality and uncertainty in the coverage of environmental news in major US newspapers. We consider different weighting schemes to account for the visibility and relevance of the text sources, and several sets of newspapers to measure the possible impact of their editorial line. Our results show that greater attention to environmental news in the US media reduced the excess returns of carbon-intensive stocks and increased their volatility over the last decade, especially when the coverage was uncertain. The opposite result holds for the most virtuous green assets. Restricting the corpus of texts to conservative newspapers mitigates the impact of coverage. Overall, our results illustrate how rising environmental concerns lead investors to change their asset allocation.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"86 5","pages":"1026-1057"},"PeriodicalIF":1.5,"publicationDate":"2024-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139481009","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
A Non-parametric Estimation of Productivity with Idiosyncratic and Aggregate Shocks: The Role of Research and Development (R&D) and Corporate Tax 非参数估计具有非同步冲击和总体冲击的生产力：研发（R&D）和公司税的作用
IF 2.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2024-01-12 DOI: 10.1111/obes.12594
Ioannis Bournakis, Mike Tsionas
{"title":"A Non-parametric Estimation of Productivity with Idiosyncratic and Aggregate Shocks: The Role of Research and Development (R&D) and Corporate Tax","authors":"Ioannis Bournakis,&nbsp;Mike Tsionas","doi":"10.1111/obes.12594","DOIUrl":"10.1111/obes.12594","url":null,"abstract":"<p>We develop a non-parametric technique framework for estimating firm-level Total Factor Productivity (TFP). Our paper has two major novelties: first, we propose a modelling of productivity with both firm-idiosyncratic factors and aggregate shocks. Second, we apply the Bayesian Markov Chain Monte Carlo (MCMC) technique that offers a numerical integration of productivity outside the posterior overcoming the restrictive assumptions about the relationship between productivity and variable production inputs. We implement our methodology in a group of 4,286 manufacturing firms from France, Germany, Italy, and the UK (2001–14). The results show that: (i) aggregate shocks matter for firm TFP evolution. The global financial crisis of 2008 caused severe, albeit short, adverse effects on TFP; (ii) there is substantial heterogeneity across countries in the way firms react to changes in R&amp;D and taxation. German and UK firms are more sensitive to fiscal changes than R&amp;D, while the opposite is true for Italian firms. R&amp;D and taxation effects are symmetrical for French firms; (iii) the UK productivity handicap continues for years after the financial crisis; and (iv) there are substantial knowledge spillovers among German and Italian firms.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"86 3","pages":"641-671"},"PeriodicalIF":2.5,"publicationDate":"2024-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139460123","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Global Financial Risk, Equity Returns and Economic Activity in Emerging Countries 新兴国家的全球金融风险、股票回报和经济活动
IF 2.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2024-01-05 DOI: 10.1111/obes.12595
Jaroslav Horvath, Guanyi Yang
{"title":"Global Financial Risk, Equity Returns and Economic Activity in Emerging Countries","authors":"Jaroslav Horvath,&nbsp;Guanyi Yang","doi":"10.1111/obes.12595","DOIUrl":"10.1111/obes.12595","url":null,"abstract":"<p>International financial integration exposes countries to external shocks. This paper identifies the impact and transmission of global financial risk (GFR) shocks to emerging market economies (EMEs). Heightened GFR significantly raises EME borrowing costs and lowers equity returns, reducing domestic economic activity. We document a novel transmission channel of GFR shocks to EMEs via international capital flows. Countries experiencing larger capital inflows are more affected by GFR fluctuations. Exploring the transmission through capital flows, GFR shocks affect EMEs mainly through their effect on equity returns, instead of country spreads. We show that equity returns contain more information about EME macroeconomic fluctuations than sovereign and corporate bond spreads.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"86 3","pages":"672-689"},"PeriodicalIF":2.5,"publicationDate":"2024-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139376325","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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 Financial Markets Respond to Populist Rhetoric? 金融市场会对民粹主义言论做出反应吗？
IF 2.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2023-12-29 DOI: 10.1111/obes.12591
CEM ÇAKMAKLI, SELVA DEMİRALP, GÖKHAN ŞAHİN GÜNEŞ
{"title":"Do Financial Markets Respond to Populist Rhetoric?","authors":"CEM ÇAKMAKLI,&nbsp;SELVA DEMİRALP,&nbsp;GÖKHAN ŞAHİN GÜNEŞ","doi":"10.1111/obes.12591","DOIUrl":"10.1111/obes.12591","url":null,"abstract":"<p>With the global rise in populism over the last decade, there has been an increase in political commentaries (PC) by leaders that criticize their central banks and argue for lower interest rates. We analyse the effects of PCs on exchange rates, bond yields, and the risk premium for six countries that are subject to political pressures. Utilizing a specification with time-varying parameters, we show that PCs affect the level and the volatility of exchange rates, bond yields and the risk premium in Turkey. The response increases over time. In other countries, there is a significant impact on exchange rate volatility.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"86 3","pages":"541-567"},"PeriodicalIF":2.5,"publicationDate":"2023-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139070160","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Global Demand and Supply Sentiment: Evidence From Earnings Calls* 全球需求和供应情绪：盈利电话会议的证据*
IF 2.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2023-12-28 DOI: 10.1111/obes.12587
Franz Ulrich Ruch, Temel Taskin
{"title":"Global Demand and Supply Sentiment: Evidence From Earnings Calls*","authors":"Franz Ulrich Ruch,&nbsp;Temel Taskin","doi":"10.1111/obes.12587","DOIUrl":"10.1111/obes.12587","url":null,"abstract":"<p>This paper quantifies global demand and supply conditions and compares two major global recessions: the 2009 Great Recession and the COVID-19 pandemic. First, we compute demand and supply sentiment by applying Natural Language Processing techniques on earnings call transcripts. Second, we corroborate our sentiment measure by identifying demand and supply shocks using a structural Bayesian vector autoregression model. The results highlight sharp contrast in the size of supply and demand conditions over time and across sectors. While the Great Recession was characterized by weak demand, COVID-19 caused sizable disruptions to both demand and supply, with varying relative importance across major sectors. Furthermore, certain sub-sectors, such as professional and business services, internet retail, and grocery/department stores, fared better than others during the pandemic.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"86 2","pages":"314-334"},"PeriodicalIF":2.5,"publicationDate":"2023-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139051547","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Interpretable Machine Learning Using Partial Linear Models* 使用偏线性模型进行可解释的机器学习*
IF 2.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2023-12-28 DOI: 10.1111/obes.12592
Emmanuel Flachaire, Sullivan Hué, Sébastien Laurent, Gilles Hacheme
{"title":"Interpretable Machine Learning Using Partial Linear Models*","authors":"Emmanuel Flachaire,&nbsp;Sullivan Hué,&nbsp;Sébastien Laurent,&nbsp;Gilles Hacheme","doi":"10.1111/obes.12592","DOIUrl":"10.1111/obes.12592","url":null,"abstract":"<p>Despite their high predictive performance, random forest and gradient boosting are often considered as black boxes which has raised concerns from practitioners and regulators. As an alternative, we suggest using partial linear models that are inherently interpretable. Specifically, we propose to combine parametric and non-parametric functions to accurately capture linearities and non-linearities prevailing between dependent and explanatory variables, and a variable selection procedure to control for overfitting issues. Estimation relies on a two-step procedure building upon the double residual method. We illustrate the predictive performance and interpretability of our approach on a regression problem.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"86 3","pages":"519-540"},"PeriodicalIF":2.5,"publicationDate":"2023-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/obes.12592","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139070216","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Impact of Graduating with Honours on Entry Wages of Economics Majors* 荣誉毕业对经济学专业学生入职工资的影响*
IF 2.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2023-12-25 DOI: 10.1111/obes.12593
Salim Atay, Gunes A. Asik, Semih Tumen
{"title":"Impact of Graduating with Honours on Entry Wages of Economics Majors*","authors":"Salim Atay,&nbsp;Gunes A. Asik,&nbsp;Semih Tumen","doi":"10.1111/obes.12593","DOIUrl":"10.1111/obes.12593","url":null,"abstract":"<p>Employers use various proxies to predict the future labour productivity levels of the job applicants. Success in school, especially in high-level coursework, is among the most widely used proxies to screen entry-level candidates. We estimate the causal effect of graduating with honours (i.e. with a grade point average of 3.00 and above out of 4.00) on the starting wages of economics majors in Türkiye. Using comprehensive micro data on all economics majors between 2014 and 2018, matched with administrative records about their first jobs, we implement a regression discontinuity analysis to investigate whether there is any statistically significant jump in the starting wages at the honours-degree cutoff. We find that graduating with honours increases the wages of males, while there is no impact on females. We further document that the impact on males is almost entirely driven by the graduates of non-elite universities. In particular, graduating with an honours degree increases the entry wages of males from non-elite universities by about 4%, on average. We provide an explanation for these patterns using the theory of statistical discrimination. We discuss the potential reasons behind the heterogeneous signal value of graduating with honours between males vs. females and elite versus non-elite university graduates.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"86 3","pages":"606-640"},"PeriodicalIF":2.5,"publicationDate":"2023-12-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/obes.12593","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139051425","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Value-at-Risk under Measurement Error 测量误差下的风险价值
IF 2.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2023-12-11 DOI: 10.1111/obes.12589
Mohamed Doukali, Xiaojun Song, Abderrahim Taamouti
{"title":"Value-at-Risk under Measurement Error","authors":"Mohamed Doukali,&nbsp;Xiaojun Song,&nbsp;Abderrahim Taamouti","doi":"10.1111/obes.12589","DOIUrl":"10.1111/obes.12589","url":null,"abstract":"<p>We propose a method for estimating Value-at-Risk that corrects for the effect of measurement errors in stock prices. We show that the presence of measurement errors might pose serious problems for estimating risk measures. In particular, when stock prices are contaminated, existing estimators of Value-at-Risk are inconsistent and might lead to an underestimation of risk, which can result in extreme leverage ratios within the held portfolios. Using a Fourier transform and a deconvolution kernel estimator of the probability distribution function of actual latent prices, we derive a robust estimator of Value-at-Risk in the presence of measurement errors. Monte Carlo simulations and real data analysis illustrate satisfactory performance of the proposed method.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"86 3","pages":"690-713"},"PeriodicalIF":2.5,"publicationDate":"2023-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/obes.12589","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138576630","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Peer Migration in China 中国的同辈移民
IF 2.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2023-12-11 DOI: 10.1111/obes.12588
Yuyu Chen, Ginger Zhe Jin, Yang Yue
{"title":"Peer Migration in China","authors":"Yuyu Chen,&nbsp;Ginger Zhe Jin,&nbsp;Yang Yue","doi":"10.1111/obes.12588","DOIUrl":"10.1111/obes.12588","url":null,"abstract":"<p>With over 290 million rural labourers transitioning to urban areas in 2019, China is experiencing an unparalleled scale of internal migration, the largest in human history. Employing instrumental variables (IVs) gleaned from the 2006 China Agricultural Census (CAC), we find that a 10 percentage point increase in the migration rate among co-villagers amplifies an individual's probability of migrating by 7.13 percentage points. Influencing factors such as information dissemination at the origin and cost efficiencies at the destination likely contribute to the observed clustering of migration by age, destination and industrial sector. Intriguingly, migration seems to exert a negligible influence on the agricultural productivity of those who remain, which may be due to substantial labour redundancy at the point of origin and potentially higher productivity among migrants.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"86 2","pages":"257-313"},"PeriodicalIF":2.5,"publicationDate":"2023-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138576647","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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
Solving the Forecast Combination Puzzle Using Double Shrinkages* 利用双重缩水* 解决预测组合难题
IF 2.5 3区 经济学
Oxford Bulletin of Economics and Statistics Pub Date : 2023-12-09 DOI: 10.1111/obes.12590
Li Liu, Xianfeng Hao, Yudong Wang
{"title":"Solving the Forecast Combination Puzzle Using Double Shrinkages*","authors":"Li Liu,&nbsp;Xianfeng Hao,&nbsp;Yudong Wang","doi":"10.1111/obes.12590","DOIUrl":"10.1111/obes.12590","url":null,"abstract":"<p>This study develops a new approach that shrinks the forecast combination weights towards equal weights by using weighted least squares and towards zero weight by using regularization constraints. We reveal the significant predictability of excess returns to the S&amp;P500 index that can be achieved by using this double shrinkage combination (DSC). Furthermore, our DSC approach significantly outperforms the naïve equal-weighted combination, solving the combination puzzle. The equal-weight shrinkage has greater effect in economic recessions, whereas the zero-weight shrinkage dominates in economic expansions. The DSC's superior performance over that of the naïve combination is observed in the application of forecasting macroeconomic indicators.</p>","PeriodicalId":54654,"journal":{"name":"Oxford Bulletin of Economics and Statistics","volume":"86 3","pages":"714-741"},"PeriodicalIF":2.5,"publicationDate":"2023-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138562830","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"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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