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Negative interest rate policy and banks' earnings management Econ. Lett. (IF 1.469) Pub Date : 2024-03-11 Whelsy Boungou, Francis Osei-Tutu, Daniel Taylor
Using bank-level data from 35 OECD countries over the period 2011-2018, we examine the impact of the introduction of negative interest rate policy (NIRP) on banks' earnings management. Overall, our findings underscore the unintended positive consequence of unconventional economic policy and austerity measures aimed at stimulating the economy on the earnings quality of banks.
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Hedging investment-grade and high-yield bonds with credit VIX Econ. Lett. (IF 1.469) Pub Date : 2024-03-11 Elie Bouri, Naif Alsagr
The existing literature lacks evidence of the ability of newly introduced credit VIXs to hedge investment-grade and high-yield corporate bond indices. A dynamic hedging analysis shows that credit VIX is an effective hedge for its corresponding bond index, but the hedging ability of high-yield credit VIX for high-yield bonds is more stable and effective than that of investment-grade credit VIX for investment-grade
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Pollution, severe health conditions, and extreme right-wing ideology: a tale of three contemporary challenges Econ. Lett. (IF 1.469) Pub Date : 2024-03-08 Morakinyo O. Adetutu, Simona Rasciute
By exploiting the microgeography of local air pollution at the 1km-by-1km grid-level, we link local air quality to the voting intentions of a nationally-representative sample of 27,000 UK residents. We find a causal link between air pollution and support for far-right parties: a unit increase in pollution leads to a 3% rise in the probability to support these parties. These intentions are stronger
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Consumer Sentiment: The Influence of Social Media Econ. Lett. (IF 1.469) Pub Date : 2024-03-08 Zhengfa Zhang, Kevin Keasey, Costas Lambrinoudakis, Danilo V. Mascia
Since the late 1940s consumer sentiment has been used by policy makers, companies and investors as an indicator of economic mood. However, the rapid growth and spread of social media has changed the landscape of the consumer. By using a unique hand-collected dataset of more than 11 million influencers’ posts, we test whether consumer sentiment is related to social media influencer sentiment. We find
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Climate distance and bilateral trade Econ. Lett. (IF 1.469) Pub Date : 2024-03-08 Emilia Lamonaca, Martina Bozzola, Fabio Gaetano Santeramo
Climate conditions are sources of comparative advantages and may foster trading opportunities. Through a gravity-type approach we show that overtime variations in climate differences correlate with bilateral trade values. Intuitively, these differences may be associated with diverse productivity levels, a plausible channel through which climate distance affects trade.
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Top-down and bottom-up information acquisition: Application to financial markets Econ. Lett. (IF 1.469) Pub Date : 2024-03-08 S, t, e, v, e, , H, e, i, n, k, e
Recent studies confirm the main prediction of the rational inattention framework that the perceived value of information (top-down) as a key driver of attention. However, these investigations also report stimulus-driven salience effects (bottom-up) that counteract the framework’s predictions. In this manuscript, I propose an extension to the standard rational inattention model by incorporating bottom-up
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Do supercycles dominate commodity price movements? Econ. Lett. (IF 1.469) Pub Date : 2024-03-06 John Baffes, Alain Kabundi
This study utilizes a frequency domain approach to decompose the prices of 21 primary commodities into transitory, supercycle, and permanent components from 1900 to 2022. The results reveal the presence of four heterogenous supercycles, with an average duration of 24 years. These cycles, however, contribute only modestly to price variability while the permanent component contributes the most. The paper
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Winter weather on exam dates and matriculation for a prestigious university in Japan Econ. Lett. (IF 1.469) Pub Date : 2024-03-06 M, i, z, u, h, i, r, o, , S, u, z, u, k, i
Whereas there are growing numbers of studies on how heat affects cognitive performance at high-stakes settings, the effect of cold weather has been less studied. To fill this gap, I analyze the effects of winter weather on exam dates on performance at the centralized exam for university admission in Japan. Since students take the exam in their own prefectures, they are exposed to different weather
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Monetary policy shocks and corporate cash holdings: New European evidence Econ. Lett. (IF 1.469) Pub Date : 2024-03-05 N, i, c, h, o, l, a, s, , A, p, e, r, g, i, s
This paper explores the effect of ECB monetary policy shocks on eurozone corporate cash holdings. Through the identification approach, we document that shocks have mixed effects, while previous research was supporting either direction.
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Overlapping ownership, pass-through, and product differentiation Econ. Lett. (IF 1.469) Pub Date : 2024-03-05 T, e, i, s, , L, u, n, d, e, , L, ø, m, o
Overlapping ownership can lead firms to raise prices, but what determines the magnitude of this effect? I study how the price effect of overlapping ownership depends on demand and cost conditions and the degree of product differentiation in a Bertrand oligopoly. I do so by extending Weyl and Fabinger’s (2013) conduct parameter approach which highlights the importance of pass-through.
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Foreign ownership and green innovation Econ. Lett. (IF 1.469) Pub Date : 2024-03-05 T, r, u, n, g, , K, ., , D, o
Foreign-owned firms typically have access to more resources and expertise, which can aid in modernizing and upgrading local technologies. Additionally, foreign investment has the potential to attract highly skilled workers, thereby facilitating an increase in green innovation in host countries.
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Heterogeneous responsiveness of consumers’ medium-term inflation expectations Econ. Lett. (IF 1.469) Pub Date : 2024-03-05 Ewa Stanisławska, Maritta Paloviita
Using a large euro area survey, we study the responsiveness of consumers’ medium-term inflation expectations to changes in actual inflation and short-term inflation expectations. We find that high trust in the central bank and high financial literacy lower this responsiveness.
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Risk and the allocation of talent in the Roy model Econ. Lett. (IF 1.469) Pub Date : 2024-03-04 German Cubas, Pedro Silos, Vesa Soini
With risk-averse workers and uninsurable earnings shocks, competitive markets allocate too few workers to risky jobs. Using an equilibrium Roy model with incomplete markets, we show that in competitive equilibrium, risky occupations are inefficiently small and hence talent is misallocated.
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Emergence of trust in the trust game under best experienced payoff dynamics Econ. Lett. (IF 1.469) Pub Date : 2024-03-04 Srinivas Arigapudi, Ratul Lahkar
The subgame perfect equilibrium (SPE) of the trust game is Pareto inferior. In that equilibrium, player 2 will not honor player 1’s trust and hence, player 1 will not trust player 2. We consider a large population version of the trust game. We apply a population game dynamic called the ‘best experienced payoff’ dynamic to this game. We establish conditions under which the SPE outcome in the trust game
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Optimal policy against distortions caused by monopolistic competition and variable markup pricing Econ. Lett. (IF 1.469) Pub Date : 2024-03-04 A, t, s, u, s, h, i, , T, a, d, o, k, o, r, o
This study investigates the optimal policy design against distortions under monopolistic competition with firm heterogeneity and variable markups. In this framework, distortions arise from differences in markups across firms, necessitating sophisticated policy interventions to eliminate all markup differences. This study shows that simultaneous implementation of ad valorem tax and per-unit subsidy
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Monetary policy spillovers through debt currencies Econ. Lett. (IF 1.469) Pub Date : 2024-03-02 Y, a, n, c, h, e, n, g, , Q, i, u
Using high-frequency measures of monetary policy shocks, I show that stock returns for non-US firms with a higher foreign debt ratio systematically respond more to US monetary policy via the exchange rate channel, especially for those firms with dollar-denominated bonds. I do not find similar transmission effects from European Central Bank monetary policy shocks to firms with euro-denominated debt
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A model of economic integration with ownership structure in general equilibrium oligopoly Econ. Lett. (IF 1.469) Pub Date : 2024-02-29 K, e, i, t, a, , K, a, m, e, i
This study analyzes the impact of economic integration on employment and wage levels under international oligopolistic competition, focusing on oligopolistic firms with monopolistic power in both goods and labor markets. By extending the oligopolistic general equilibrium model of Azar and Vives (2021) to an economic integration framework, the paper highlights the potential decrease in employment levels
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Speculative and non-speculative equity premia Econ. Lett. (IF 1.469) Pub Date : 2024-02-29 Soroush Ghazi, Mark Schneider, Zachary Dorobiala
We decompose the equity premium into speculative and non-speculative premia. The non-speculative premium (14.7% annualized) renders the equity risk premium a bigger puzzle. Market volatility and the variance risk premium predict the non-speculative premium. Market sentiment predicts the speculative premium.
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Solving the Diamond–Mortensen–Pissarides model: A hybrid perturbation approach Econ. Lett. (IF 1.469) Pub Date : 2024-02-29 M, a, t, t, h, i, a, s, , H, ä, n, s, e, l
Projection methods are deemed necessary to accurately solve various variants of the Diamond–Mortensen–Pissarides model used in business cycle research. This paper argues that hybrid perturbation, once combined with a non-linear change of variable, can provide an alternative, producing accurate solutions while retaining most of the simplicity of standard perturbation: Applying the method to the Hagedorn
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Do paid maternity leave mandates affect corporate cash holdings? Econ. Lett. (IF 1.469) Pub Date : 2024-02-25 Shangyi Gao, Chee Seng Cheong, Ralf Zurbruegg
This study examines whether paid maternity leave laws affect corporate cash holdings. Using a difference-in-differences approach, we find the staggered introduction of these laws significantly reduce firm cash reserves, especially in labor-intensive industries. Further analysis indicates that increased employee productivity post-adoption associates with declining cash holdings, representing a channel
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Does tackling poverty related barriers to education improve school outcomes? Evidence from the North East of England. Econ. Lett. (IF 1.469) Pub Date : 2024-02-24 Morgan Beeson, Josephine M. Wildman, John Wildman
Poverty related barriers to education perpetuate inequalities in educational attainment which lead to inequalities in income, health, and happiness in later life. While schools cannot tackle poverty directly, they can implement policies that tackle the stigma of poverty and ensure that the school day is more equitable. This study estimates the effect of a programme delivered to schools in North East
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Sustainable investments in the face of social unrest and risk: A new perspective on corporate social responsibility Econ. Lett. (IF 1.469) Pub Date : 2024-02-24 Yutaro Oga, Kazuya Ito, Ryuta Takashima
In recent years, corporate social responsibility (CSR) activities have become increasingly prevalent as corporate initiatives, owing to their influence on companies and their societal dimensions. To address the gap in the literature on the effect of CSR activities on firms and their value, this study develops a theoretical model of real options considering market uncertainty and analyzes the relationship
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The impact of borrowing concentration on innovation: When is one not just enough? Econ. Lett. (IF 1.469) Pub Date : 2024-02-23 Michael Machokoto, Oluwatoba James Omotilewa
Using a survey dataset of small and medium-sized enterprises (SMEs) in Tanzania and Kenya, we find that nearly half of these SMEs concentrate their borrowings exclusively with a single bank. These SMEs rely heavily on internal financing, have limited access to external finance, and are less likely to introduce new or improved products, processes, or services in both local and international markets
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The multidimensional Mundlak estimator Econ. Lett. (IF 1.469) Pub Date : 2024-02-22 B, a, d, i, , H, ., , B, a, l, t, a, g, i
Mundlak (1978) shows that the fixed effects estimator is equivalent to the random effects estimator in the one-way error component model once the random individual effects are modeled as a linear function of all the averaged regressors over time. In the spirit of Mundlak, this paper shows that this result also holds for the multidimensional error component model. This is a generalization of Baltagi
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Computational dynamics of information ratios Econ. Lett. (IF 1.469) Pub Date : 2024-02-21 Benjamin R. Auer, Marcel Marohn
The information ratio is one of the most important measures when choosing among investment funds. We show numerically and analytically that the classic single-index definition of this performance measure suffers from a computational defect which unfavorably affects investment decisions by singling out exceptionally good funds. Specifically, we highlight that high positive fund returns, which are in
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They didn’t know what they got till the crowd was gone Econ. Lett. (IF 1.469) Pub Date : 2024-02-21 J, a, n, , C, ., , v, a, n, , O, u, r, s
This paper revisits the relationship between Covid-19-related full and partial absence of stadium attendance and match outcomes, analyzing five seasons of the top tier of professional football in the Netherlands. Empty stadiums caused home advantages to disappear completely due to home teams scoring fewer goals. Additionally, in empty stadiums, away teams received fewer yellow cards. This persisted
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Impact of macroprudential policies on house price expectations- evidence from survey data Econ. Lett. (IF 1.469) Pub Date : 2024-02-20 Debasis Rooj, Anurag Banerjee, Reshmi Sengupta
This paper investigates the impact of macroprudential policies (MPP) on house price expectations using novel data from the Inflation Expectation of Households survey across 19 major Indian cities released by the Reserve Bank of India. MPP negatively impacts house price expectations, especially borrower-based macroprudential policies. We also find that tightening MPP impacts the retired group more than
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Beyond climate change risk: Biodiversity and corporate cash holdings Econ. Lett. (IF 1.469) Pub Date : 2024-02-19 Muhammad Farooq Ahmad, Ahmet Karpuz
We document that firms’ exposure to biodiversity risk is positively associated with corporate cash holdings. The positive effect is distinct from the influence of firm's exposure to climate change risk. Further, our findings are more pronounced for firms in industries highly exposed to biodiversity risks, facing large financial constraints or exposed to high competition. Overall, the results support
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Geopolitical tensions and sovereign credit risks Econ. Lett. (IF 1.469) Pub Date : 2024-02-19 Sercan Demiralay, Said Kaawach, Erhan Kilincarslan, Artur Semeyutin
This paper investigates the impact of country-specific geopolitical risks (CS_GPR) on credit default swaps (CDS). Using a dataset from 39 countries globally from 2006 to 2022, we find that idiosyncratic geopolitical shocks heighten the sovereign risk of the home country, causing significant increases in CDS spreads. The impact of CS_GPR on CDS becomes more pronounced during the periods of higher geopolitical
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Does carbon risk travel along the supply chain? Evidence from corporate default risk Econ. Lett. (IF 1.469) Pub Date : 2024-02-16 Chenhao Guo, Sirui Zhang, Sian Chen
This study examines the effects of major customers’ carbon risk on the default risk of a firm. We find that a firm's default risk measured by distance-to-default is positively associated with its major customers’ carbon risk. Further analysis shows that this positive relationship is stronger for firms with weak fundamentals or heavy reliance on major customers. Our findings highlight the externality
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Multiplayer boycotts in convex games Econ. Lett. (IF 1.469) Pub Date : 2024-02-15 Robbert Fokkink, Hans de Munnik
We extend the notion of boycotts between players in cooperative games to boycotts between coalitions. We prove that convex games offer a proper setting for studying these games. Boycotts have a heterogeneous effect. Individual players that are targeted by many-on-one boycotts suffer most, while non-participating players may actually benefit from a boycott.
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Consumer data and price discrimination by consideration sets Econ. Lett. (IF 1.469) Pub Date : 2024-02-13 I, o, a, n, a, , C, h, i, o, v, e, a, n, u
In a homogeneous product oligopoly with probabilistic consideration, identical retailers compete in prices over two periods. In period two, purchase history data enables price discrimination based on consumers’ consideration patterns. Retailers discriminate by conditioning prices on a consumer’s period one supplier. Endogenously acquired consumer information is asymmetric across firms. Price discrimination
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Firm-fit transparency and incentives Econ. Lett. (IF 1.469) Pub Date : 2024-02-13 A, b, h, i, s, h, e, k, , R, a, m, c, h, a, n, d, a, n, i
Firms vary in whether they are transparent with employees about their “fit” within the firm. We build an analytical model to provide an explanation for these variations. The trade-off in our setting is that transparency motivates the “good-fit” employee and demotivates the “bad-fit” employee. Our main result shows that a firm commits to a policy of transparency (secrecy) only when employee success
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The impact of blockchain adoption on corporate investment efficiency Econ. Lett. (IF 1.469) Pub Date : 2024-02-13 Mostafa Harakeh, Malek El Diri, Costas Lambrinoudakis, Nikolaos Tsileponis
This study investigates the impact of blockchain technology adoption on corporate investment efficiency. Utilizing a difference-in-differences methodology on an international sample of Forbes Global 2000 companies between 2012 and 2021, we find that firms implementing blockchain exhibit significantly higher investment efficiency post-adoption compared to non-adopters. This effect is more pronounced
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Simple contracts with double-sided moral hazard and adverse selection Econ. Lett. (IF 1.469) Pub Date : 2024-02-12 Lihua Tan, Zhaojun Yang
We examine a linear contract model involving a risk-neutral venture capitalist (VC) hiring a risk-averse manager to run a project. The project output is determined by the joint efforts of both parties, the manager’s private ability and a random shock. We explicitly derive a truth-telling menu of contracts, which explain that the incentives provided by VC increase with the manager’s ability, under the
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EU ETS phase IV and Industrial performance Econ. Lett. (IF 1.469) Pub Date : 2024-02-11 Whelsy Boungou, Bastien Dufau
This article studies the reaction of sectors regulated by the European Emissions Trading Scheme (EU ETS) to the announcement of Phase IV. Using a Difference-in-Differences approach and data from 347 sectors located within the OECD over the period 1995–2019, we show that regulated sectors reacted immediately after the announcement by gradually increasing their R&D spending. Furthermore, these increases
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Shorter can be better: Balancing length and predictive power when measuring noncognitive skills to predict academic outcomes Econ. Lett. (IF 1.469) Pub Date : 2024-02-09 Shuaizhang Feng, Yu Gan, Yujie Han, Tim Kautz
We develop shorter versions of a Big Five survey designed to measure students’ noncognitive skills and predict students’ later academic outcomes. We find that measures with fewer items can better predict students’ outcomes, suggesting that using shorter versions of a Big Five Inventory may be cost-effective in large-scale social surveys.
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Corrigendum to “Income assistance programs and population health – The dual impact of minimum wages and the earned income tax credit” [Economics Letters, Volume 234, January 2024, 111508] Econ. Lett. (IF 1.469) Pub Date : 2024-02-08 Otto Lenhart, Kalyan Chakraborty
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Sequential change-point detection in time series models with conditional heteroscedasticity Econ. Lett. (IF 1.469) Pub Date : 2024-02-08 Youngmi Lee, Sungdon Kim, Haejune Oh
In this study, we investigate a sequential procedure for the early detection of parameter changes in conditionally heteroscedastic time series models. We introduce the detectors based on the cumulative sum of score vectors and residuals for this procedure. The asymptotic properties of the monitoring procedures are established under the null and alternative hypotheses. Simulation results are provided
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Growth accelerations and takeoffs: Is there a role for capital accumulation? Econ. Lett. (IF 1.469) Pub Date : 2024-02-07 Antonio Pietro Federico, Carmelo Pierpaolo Parello
This paper investigates the extent to which the determinants of worldwide accelerations in GDP per capita growth since the 1950s are sensitive to changes in the penalty parameter of the HP filter. When using values for the penalty parameter typically assumed consistent with annual data, the paper finds that physical capital accumulation exerts a positive effect on the probability that a country may
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Pronoun usage and gender identity's effects on market outcomes: Evidence from a preregistered field experiment Econ. Lett. (IF 1.469) Pub Date : 2024-02-07 B, r, y, a, n, , T, o, m, l, i, n
A pre-registered field experiment was conducted to test of the effects that including one's preferred pronouns – and in doing so signaling whether one is cisgender or transgender – has on a landlord's decision to further pursue a rental inquiry. Focusing on small landlords seeking tenants for separate units located on their property (ADUs), the study finds that – relative to applicants who did not
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An impossibility theorem concerning positive involvement in voting Econ. Lett. (IF 1.469) Pub Date : 2024-02-06 W, e, s, l, e, y, , H, ., , H, o, l, l, i, d, a, y
In social choice theory with ordinal preferences, a voting method satisfies the axiom of if adding to a preference profile a voter who ranks an alternative uniquely first cannot cause that alternative to go from winning to losing. In this note, we prove a new impossibility theorem concerning this axiom: there is no ordinal voting method satisfying positive involvement that also satisfies the Condorcet
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A robust Beveridge–Nelson decomposition using a score-driven approach with an application Econ. Lett. (IF 1.469) Pub Date : 2024-02-06 F. Blasques, J. van Brummelen, P. Gorgi, S.J. Koopman
The equivalence of the Beveridge–Nelson decomposition and the trend-cycle decomposition is well established. In this paper we argue that this equivalence is almost immediate when a Gaussian score-driven location model is considered. We also provide a natural extension towards heavy-tailed distributions for the disturbances which lead to a robust version of the Beveridge–Nelson decomposition.
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Credit card debt puzzle: Evidence from the euro area Econ. Lett. (IF 1.469) Pub Date : 2024-02-05 G, i, u, s, e, p, p, e, , P, u, l, i, n, a
This paper documents the simultaneous accumulation of liquid assets and credit card debt in euro area countries. Despite its significantly lower prevalence compared to the US, results underscore similarities in the fundamental role of credit constraints and preferences toward risk. Contrary to previous findings with US data, tertiary education does not appear to significantly mitigate this puzzling
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Does mandating disclosure on dividend payout policy benefit shareholder? Econ. Lett. (IF 1.469) Pub Date : 2024-02-05 Pratibha Kumari, Rajesh Pathak
Shareholders constantly face the challenge of determining optimal dividends. While other emerging markets rely on fixed dividend regulations to ensure shareholders’ right for dividends, India adopts a disclosure-based approach. SEBI's regulation 43(A), 2016, mandates Indian firms to disclose their dividend distribution policies. We show that mandating firms to disclose their dividend distribution policies
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Non-cognitive peer effects in early education: The influence of children born to teenage mothers on peers’ behavioral problems Econ. Lett. (IF 1.469) Pub Date : 2024-02-04 Jessica Gagete-Miranda, Elena Meschi, Laura Pagani
This paper investigates the influence of early exposure to peers born to teenage mothers on young children's behavioral problems. We use data from a nationally representative sample of US children and exploit the quasi-random allocation of children across classes within schools during the first year of kindergarten to estimate causal effects. The results indicate that exposure to peers born to teenage
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Unobservable costly effort in security design Econ. Lett. (IF 1.469) Pub Date : 2024-01-30 Matthew J. Robertson
I introduce unobservable costly effort into the canonical signalling model of security design. The choice of effort determines the quality of the security and creates an additional optimisation problem the firm must solve. My main result is that both optimal effort and optimal profits are decreasing in the firm’s preference for liquidity. I also show that optimal effort is greater under symmetric information
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The merger of populations as a revision of comparison space: Repercussions for social stress and income inequality Econ. Lett. (IF 1.469) Pub Date : 2024-02-03 Oded Stark, Wiktor Budzinski
The merger of populations expands the comparison space of incomes. As a result, measures of the income-based social stress and of the income inequality of the constituent populations need to be replaced by new measures. To this end, we develop a procedure for calculating the aggregate social stress and the Gini coefficient of the merged population. We show that to calculate the aggregate social stress
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The tipping point of electricity price attention: When a problem becomes a problem Econ. Lett. (IF 1.469) Pub Date : 2024-01-29 Erik Haugom, Štefan Lyócsa, Martina Halousková
We study the relationship between Norwegian electricity prices and the public’s attention towards these using data from i) all Norwegian newspapers, ii) Norwegian Tweets, and iii) (Norwegian) Google searches over a sample period from 2014-2022. Our results suggest that attention is non-linearly related to both the electricity price level and its volatility. Using threshold auto-regressive models, we
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Bayesian mode inference for discrete distributions in economics and finance Econ. Lett. (IF 1.469) Pub Date : 2024-02-02 Jamie L. Cross, Lennart Hoogerheide, Paul Labonne, Herman K. van Dijk
We propose a straightforward technique for mode inference in discrete data distributions which involves fitting a mixture of novel shifted-Poisson distributions. The credibility and utility of our approach is demonstrated through applications pertaining to loan default risk and inflation expectations.
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Forecasting inflation using sentiment Econ. Lett. (IF 1.469) Pub Date : 2024-02-02 Patrick Eugster, Matthias W. Uhl
Using algorithmically scored sentiment of almost 730.000 news articles between Q1 2003 and Q4 2021, we construct an index and analyze its predictive power for US inflation for up to eight quarters. In a pseudo out-of-sample setting, we show that sentiment is able to forecast inflation more accurately than a naïve random walk with root mean squared errors that are around 30 percent lower depending on
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On the interpretation of the Intergenerational Elasticity and the Rank–Rank coefficients for cross country comparison Econ. Lett. (IF 1.469) Pub Date : 2024-02-02 N, a, d, a, v, , K, u, n, i, e, v, s, k, y
This paper investigates Intergenerational Elasticity (IGE) and Rank–Rank coefficients, employing Yitzhaki’s theorem to express them as weighted averages of underlying causal mechanisms driving mobility. We highlight the challenges of interpreting cross-country comparisons using IGE or Rank–Rank coefficients due to the regression weighting scheme. We also show that, while the Rank–Rank coefficient is
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Nowcasting the output gap with shadow rates Econ. Lett. (IF 1.469) Pub Date : 2024-02-02 Tore Dubbert, Bernd Kempa
In a recent paper, Berger et al. (2023) employ the Beveridge–Nelson trend-cycle decomposition based on a mixed-frequency Bayesian vector autoregressive model to nowcast the U.S. output gap, producing more timely estimates compared to a set of alternative measures. Applying the model to a much shorter and slightly modified data set, we show that utilizing shadow interest rates instead of the federal
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The volatility connectedness of US industries: The role of investor sentiment Econ. Lett. (IF 1.469) Pub Date : 2024-02-01 Dan Gabriel Anghel, Petre Caraiani
We investigate the influence of investor sentiment on the high-frequency volatility connectedness of US industry stock portfolios. Using a time series network approach, we find that two connectedness lags and triangular peer effects explain a significant amount of the network’s variability. We further find that squared investor sentiment is associated with a significant positive increase in the contribution
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Additive growth? Not always Econ. Lett. (IF 1.469) Pub Date : 2024-01-29 James Sampi
This paper explores cross country total factor productivity (TFP) time series data to determine whether growth is additive or not. There is supportive evidence that TFP growth is additive in most high-income countries. However, limited evidence for middle-income countries.
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Is more always better? Information acquisition and stock price crash risk Econ. Lett. (IF 1.469) Pub Date : 2024-01-29 Simon Yu Kit Fung, Ankit Jain, Moumita Tiwari
We posit that high search intensity on a firm's SEC filings creates capital market pressure on managers to withhold bad news. Using the count of non-robot EDGAR downloads of SEC filings as a proxy for search intensity, we find that high search intensity is related to higher future crash risk. The result is cross-sectionally stronger for firms with higher transient institutional holdings, overconfident
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Can We Price Beauty? Aesthetics and Digital Art Markets Econ. Lett. (IF 1.469) Pub Date : 2024-01-28 Sarah Alsultan, Apostolos Kourtis, Raphael N. Markellos
What is the relation between the aesthetic value of art and its market price? We address this question in the context of digital art markets by employing data from the popular CryptoPunks NFT art collection. We quantify the visual attractiveness of NFTs using four aesthetic measures that are associated with emotional effects in the cultural economics literature. Using a hedonic pricing model, we identify
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A note on the measurement of poverty persistence Econ. Lett. (IF 1.469) Pub Date : 2024-01-28 A, n, t, o, n, i, o, , V, i, l, l, a, r
This paper introduces a poverty index that incorporates poverty persistence as an integral part of poverty measurement within a multiperiod framework. Using familiar tools (logarithmic utilities and a utilitarian social welfare function) we obtain a mathematically straightforward poverty index, which can be interpreted as an estimate of the social cost of poverty. This index can be neatly decomposed
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Present bias and endogenous growth Econ. Lett. (IF 1.469) Pub Date : 2024-01-28 Minwook Kang, Eungsik Kim
This paper examines the impact of present bias on growth rates by incorporating quasi-hyperbolic discounting preferences into a two-sector endogenous growth model. Our analysis demonstrates that, under equal patience levels as an exponential economy, the quasi-hyperbolic economy exhibits a lower (equal or higher) growth rate compared to the exponential economy if the intertemporal elasticity of substitution