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Gradual information diffusion across commonly owned firms J. Financ. Econ. (IF 8.238) Pub Date : 2024-04-26 Jie Ying
This paper studies how common institutional ownership (CIO) affects information diffusion in the stock market. My findings suggest that CIO can exacerbate the slow spread of information across firms. With over 50% of institutional investors holding concentrated stock portfolios, I infer a fundamental connection among firms with CIO. These firms exhibit cross-predictability in monthly stock returns
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Consumer Search, Steering, and Choice Overload Journal of Political Economy (IF 9.637) Pub Date : 2024-04-23 Volker Nocke, Patrick Rey
We develop a model of within-firm sequential, directed search and study a firm’s ability and incentive to steer consumers. We find that the firm often benefits from adopting a noisy positioning strategy, which limits the information available to consumers. This induces consumers to keep searching but discourages some of them from visiting the firm. This occurs even though the firm and the consumers
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On the Joint Evolution of Culture and Political Institutions: Elites and Civil Society Journal of Political Economy (IF 9.637) Pub Date : 2024-04-23 Alberto Bisin, Thierry Verdier
We provide an abstract model of the interaction between culture and political institutions. The model is designed to study the political economy of elites and civil society on the determination of long-run socioeconomic activity. We characterize conditions such that the cultural traits of elites and civil society and the institutions determining their relative political power complement (substitute)
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Impact of financial support expansion on restaurant entries and exits during the COVID-19 pandemic Small Bus. Econ. (IF 7.096) Pub Date : 2024-04-23 Masato Oikawa, Koichiro Onishi
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State responses during the COVID-19 pandemic and their impacts on small businesses Small Bus. Econ. (IF 7.096) Pub Date : 2024-04-23 Cathy Yang Liu, Luísa Nazareno
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The role of culture in family firms Small Bus. Econ. (IF 7.096) Pub Date : 2024-04-22 Mario Daniele Amore, Danny Miller
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Are Older People Aware of Their Cognitive Decline? Misperception and Financial Decision-Making Journal of Political Economy (IF 9.637) Pub Date : 2024-04-22 Fabrizio Mazzonna, Franco Peracchi
Journal of Political Economy, Ahead of Print.
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The Microgeography of Housing Supply Journal of Political Economy (IF 9.637) Pub Date : 2024-04-22 Nathaniel Baum-Snow, Lu Han
We perform a comprehensive neighborhood-level analysis of housing supply. Predictions of floor space and housing unit supply elasticities using our estimates average 0.5 and 0.3 across all urban neighborhoods in the United States, exhibiting greater variation within than between metro regions. New construction accounts for about 50% of unit supply responses, with important additional roles for teardowns
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Augmenting State Capacity for Child Development: Experimental Evidence from India Journal of Political Economy (IF 9.637) Pub Date : 2024-04-22 Alejandro J. Ganimian, Karthik Muralidharan, Christopher R. Walters
We use a large-scale randomized experiment to study the impact of augmenting staffing in the world’s largest public early-childhood program: India’s Integrated Child Development Services. Adding a worker doubled net preschool instructional time and led to increases of 0.28σ and 0.46σ in math and language test scores after 18 months for children who remained enrolled in the program and 0.13σ and 0.10σ
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Portfolio management of ESG-labeled energy companies based on PTV and ESG factors Energy Econ. (IF 12.8) Pub Date : 2024-04-22 Antonio Díaz, Carlos Esparcia, Daniel Alonso, Maria-Teresa Alonso
This paper evaluates monthly quartile portfolios of ESG-labeled companies constructed based on their Prospect Theory Value (PTV) and ESG scores in the closely monitored energy sector. Investing in ESG-labeled energy stocks can outperform a value-weighted global energy sector index, according to several out-of-sample performance analyses. The PTV strategy stands out over a sample period of more than
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More is better? The impact of predictor choice on the INE oil futures volatility forecasting Energy Econ. (IF 12.8) Pub Date : 2024-04-20 Tong Fu, Dasen Huang, Lingbing Feng, Xiaoping Tang
This paper aims to address the predictor choice issue in forecasting volatility of INE oil futures by a comprehensive comparative study with a large number of predictive variables and applying machine learning models along with their interpretability tools. The main finding is that the selection of predictors is crucial for improving volatility forecasting accuracy, but it is not always the case that
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Recent Referees Journal of Political Economy (IF 9.637) Pub Date : 2024-04-18
Journal of Political Economy, Volume 132, Issue 4, April 2024.
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JPE Turnaround Times Journal of Political Economy (IF 9.637) Pub Date : 2024-04-18
Journal of Political Economy, Volume 132, Issue 4, Page 1389-1389, April 2024.
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Front Matter Journal of Political Economy (IF 9.637) Pub Date : 2024-04-18
Journal of Political Economy, Volume 132, Issue 4, April 2024.
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European SMEs’ growth: the role of market-based finance and public financial support Small Bus. Econ. (IF 7.096) Pub Date : 2024-04-19 Simone Boccaletti, Annalisa Ferrando, Emanuele Rossi, Monica Rossolini
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Clean energy for the Pacific Island countries: Does donor funding promote this transition? Energy Econ. (IF 12.8) Pub Date : 2024-04-19 Seema Narayan, Paresh Kumar Narayan
Donor funding, both grants and concessional loans, on renewable energy projects to Pacific Island countries (PICs) have increased overtime. The goal of this paper is to evaluate the effectiveness of this donor funding on PICs transition to renewable energy. Our hypothesis is that donor funded renewable projects have facilitated transition to clean energy for PICs. Using data for nine PICs, we discover
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Realized dynamic effect of retrofits on energy consumption in Soviet-era multi-apartment buildings Energy Econ. (IF 12.8) Pub Date : 2024-04-18 Andrius Kažukauskas, Xiaoying Li
Retrofit programs for old and highly energy-inefficient housing stock from the Soviet era are widely believed to offer a rare win-win opportunity for mitigating climate change and addressing acute energy poverty issues in Eastern European urban neighborhoods. However, despite government subsidies and a push for greater energy efficiency, many people do not undertake retrofits. This raises the question:
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Volatility spillovers and carbon price in the Nordic wholesale electricity markets Energy Econ. (IF 12.8) Pub Date : 2024-04-18 Chenyan Lyu, Hung Xuan Do, Rabindra Nepal, Tooraj Jamasb
This paper investigates price volatility and spillovers in the Nordic electricity wholesale markets. We use the Time-Varying Parameter Vector Autoregressive (TVP-VAR), Rolling Window-based VAR (RW-VAR), and high dimensional VAR with common factors (VAR-CF) methods and analyze the integration dynamics among these markets and impact of carbon prices on volatility spillovers. We use 107,352 hourly price
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Weathering the policy storm: How climate strategy volatility shapes corporate total factor productivity Energy Econ. (IF 12.8) Pub Date : 2024-04-18 Xiaohang Ren, Yaning An, Chenglu Jin, Cheng Yan
Changes in climate policies have become a critical consideration for businesses, necessitating strategic adaptation and innovation in the face of evolving regulations to achieve long-term success. This study investigates the impact of climate policy uncertainty (CPU) on firm-level total factor productivity (TFP) using a dataset comprising 5954 North American listed companies from 2000 to 2019. Our
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Do macroprudential policies reduce risk spillovers between energy markets?: Evidence from time-frequency domain and mixed-frequency methods Energy Econ. (IF 12.8) Pub Date : 2024-04-18 Qichang Xie, Yu Bai, Nanfei Jia, Xin Xu
Preventing volatility spillovers between energy markets is essential for maintaining financial stability. Macroprudential policies play an invaluable tool in financial risk monitoring and help to reduce the incidence of systemic risk. However, the effectiveness of macroprudential policies on risk spreads in the energy system is still unclear. This article applies the TVP-VAR (time-varying parameter
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Nudges versus prices: Lessons and challenges from a water-savings program Energy Econ. (IF 12.8) Pub Date : 2024-04-18 Francisco Hernández, Marcela Jaime, Felipe Vásquez
This study evaluates the effects of two exogenous interventions targeting residential consumers using both pecuniary and nonpecuniary incentives, with the potential of increasing the moral and monetary costs of water use. The first intervention provided households with personalized reports including normative information regarding household water use compared with neighbors. The second intervention
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The impact of solar PV subsidies on investment over time - the case of Sweden Energy Econ. (IF 12.8) Pub Date : 2024-04-18 Hanna Rydehell, Björn Lantz, Ingrid Mignon, Johan Lindahl
Over the past decade, different economic incentives have been created to increase investments in solar photovoltaics (PV). Although research outlines that investors in renewable electricity technologies (RET) are heterogeneous, policies have not taken this into account when designing subsidy programs. This paper aims to analyse the relationship between policy incentives and the willingness to invest
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Financial Innovation in the Twenty-First Century: Evidence from US Patents Journal of Political Economy (IF 9.637) Pub Date : 2024-04-16 Josh Lerner, Amit Seru, Nicholas Short, Yuan Sun
We explore the evolution of financial innovation using US finance patents. Patented financial innovations are substantial and increasingly economically important. Their subject matter has changed, consistent with the industry’s shift toward household investors and borrowers. Information technology (IT) and other nonfinancial firms drove the surge in financial patenting. The location of innovation shifted
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Mr. Keynes Meets the Classics: Government Spending and the Real Exchange Rate Journal of Political Economy (IF 9.637) Pub Date : 2024-04-16 Benjamin Born, Francesco D’Ascanio, Gernot J. Müller, Johannes Pfeifer
Journal of Political Economy, Ahead of Print.
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Effects of time-of-use pricing for residential customers and wholesale market consequences in South Korea Energy Econ. (IF 12.8) Pub Date : 2024-04-17 Heesun Jang, Seongman Moon, Jihyo Kim
Using a large-scale pilot test on time-of-use (TOU) pricing for residential customers, this study analyzes the effects of TOU pricing on the load patterns of residential customers and on producer surplus in South Korea. We estimate the difference in the electricity demand functions of residential customers across peak, intermediate, and off-peak periods before and after TOU pricing. In addition, we
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The Ant and the Grasshopper: Seasonality and the Invention of Agriculture Q. J. Econ. (IF 13.7) Pub Date : 2024-04-16 Andrea Matranga
The Neolithic revolution saw the independent development of agriculture among at least seven unconnected hunter-gatherer populations. I propose that the rapid spread of agricultural techniques resulted from increased climatic seasonality causing hunter-gatherers to adopt a sedentary lifestyle and store food for the season of scarcity. Their newfound sedentary lifestyle and storage habits facilitated
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On some advantages of convex hull pricing for the European electricity auction Energy Econ. (IF 12.8) Pub Date : 2024-04-16 Nicolas Stevens, Anthony Papavasiliou, Yves Smeers
Since the liberalization of the power sector and the creation of wholesale electricity markets, the question of how to price the non-convexities that are present in the market has attracted the interest of both academics and practitioners. Over the years, US markets have studied and adopted different and evolving pricing rules. Since the “Trilateral Market Coupling” (2006), the European day-ahead market
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Forecasting carbon prices under diversified attention: A dynamic model averaging approach with common factors Energy Econ. (IF 12.8) Pub Date : 2024-04-15 Zhikai Zhang, Yudong Wang, Yaojie Zhang, Qunwei Wang
To improve the predictability of carbon prices under diversified attention, this paper develops a dynamic model averaging approach with common factors (DMA-CF) which uses dimension-reduction techniques to extract factors from all models including the subsets of attention predictors and allows time-varying coefficients and model switching. The in-sample results using univariate models reveal the strong
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Portfolio pumping in mutual fund families J. Financ. Econ. (IF 8.238) Pub Date : 2024-04-15 Pingle Wang
This paper investigates portfolio pumping at the fund family level, where non-star fund managers strategically purchase stocks held by star funds in the family to inflate their quarter-end performance. Star funds that engage in such activities show inflated performance after 2002 when the Securities and Exchange Commission increased regulation on portfolio pumping. Stocks pumped by the strategy show
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Entrepreneurial prototyping: the role of purpose, prototype recycling, and skills bricolage Small Bus. Econ. (IF 7.096) Pub Date : 2024-04-11 Steffen Paust, Steffen Korsgaard, Claus Thrane
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Social enterprise, renewable energy, and cap-and-trade under sustainable insurance Energy Econ. (IF 12.8) Pub Date : 2024-04-12 Shi Chen, Hanhan Bai, Bin Wang, Jyh-Horng Lin
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Measuring macroeconomic tail risk J. Financ. Econ. (IF 8.238) Pub Date : 2024-04-12 Roberto Marfè, Julien Pénasse
This paper estimates consumption and GDP tail risk dynamics over the long run (1900–2020). Our predictive approach circumvents the scarcity of large macroeconomic crises by exploiting a rich information set covering 42 countries. This flexible approach does not require asset price information and can thus serve as a benchmark to evaluate the empirical validity of rare disaster models. Our estimates
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Competition and Information Leakage Journal of Political Economy (IF 9.637) Pub Date : 2024-04-09 Markus Baldauf, Joshua Mollner
When seeking to trade in over-the-counter markets, institutional investors typically restrict both the number of potential counterparties they contact and the information they disclose (e.g., by requesting two-sided rather than one-sided quotes). We rationalize these important facts in a model featuring endogenous front-running. Although an additional contact intensifies competition and aids in finding
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Persuasion for the Long Run Journal of Political Economy (IF 9.637) Pub Date : 2024-04-09 James Best, Daniel Quigley
We examine persuasion when the sole source of credibility today is a desire to maintain a public record for accuracy. A long-run sender plays a cheap talk game with a sequence of short-run receivers, who observe some record of feedback about past accuracy. When all feedback is public (as is standard in repeated games), persuasion frequently requires inefficient on-path punishment—even if accuracy is
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Hidden costs of entering self-employment: the spouse’s psychological well-being Small Bus. Econ. (IF 7.096) Pub Date : 2024-04-10 Safiya Mukhtar Alshibani, Ingebjørg Kristoffersen, Thierry Volery
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Financial Access and Entrepreneurship by Gender: Evidence from Rural India Small Bus. Econ. (IF 7.096) Pub Date : 2024-04-10 Sandhya Garg, Samarth Gupta, Sushanta Mallick
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Untangling the complexity of innovativeness in new ventures: The interplay between causal entrepreneurial processes and social capital Small Bus. Econ. (IF 7.096) Pub Date : 2024-04-08 Parisa Haim Faridian, Donald Neubaum, Siri Terjesen
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Oil boom, rent sharing, job prospects and human capital investment: Evidence from Chad Energy Econ. (IF 12.8) Pub Date : 2024-04-09 Mahamat Moustapha
A large body of literature shows that the drop in educational attainment resulting from the resource boom is one of the major drivers of the so-called resource curse. This paper explores how upstream actions can avoid this resource curse and promote human capital development at the local level. Specifically, I examine how a rent-sharing model and the employment opportunities induced by an oil boom
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The carbon tax and the crisis in Australia’s National Electricity Market Energy Econ. (IF 12.8) Pub Date : 2024-04-09 Ricardo Gonçalves, Flávio Menezes
Australia faced a severe energy crisis in 2022, which prompted the Australian Energy Market Operator to halt in National Electricity Market operations from June 15 to June 24. In this study, which examines half-hourly data from Australia’s National Electricity Market between 2010 and 2016, we aim to demonstrate the notable and intended consequences of the carbon tax, which was enacted in 2012 and repealed
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Shattered housing J. Financ. Econ. (IF 8.238) Pub Date : 2024-04-09 Jonas Happel, Yigitcan Karabulut, Larissa Schäfer, Şelale Tüzel
Do negative housing shocks lead to persistent changes in household attitudes toward housing and homeownership? We use the residential destruction of Germany during World War II (WWII) as a quasi-experiment and exploit the reasonably exogenous region-by-cohort variation in destruction exposure. We find that WWII-experiencing cohorts from high destruction regions are significantly less likely to be homeowners
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Examining spillovers and connectedness among commodities, inflation, and uncertainty: A quantile-VAR framework Energy Econ. (IF 12.8) Pub Date : 2024-04-07 Nikolaos Kyriazis, Stephanos Papadamou, Panayiotis Tzeremes, Shaen Corbet
This paper explores dynamic interactions and connectedness between inflation, commodities, and economic and monetary policy uncertainty during various market phases between 1985 and 2022, developing upon the innovative quantile-VAR methodology. Results reveal that inflation exhibits strong interlinkages with money supply, as would be expected, along with the price of gold during periods of low-price
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Price differences within retail gasoline markets Energy Econ. (IF 12.8) Pub Date : 2024-04-06 Carlos Hurtado, Julia González
This paper characterizes fueling stations' pricing strategies to study price differentials within retail gasoline markets. We use a unique dataset with stations' locations and daily gasoline prices in the major cities of the continental U.S. to classify cycler and non-cycler stations. We exploit station-level variability in pricing behavior within retail gasoline markets to show that cyclers charge
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Was Robert Gibrat right? A test based on the graphical model methodology Small Bus. Econ. (IF 7.096) Pub Date : 2024-04-04 Marco Guerzoni, Luigi Riso, Marco Vivarelli
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Effects of immigration on native entrepreneurship in the US: an analysis of self-employment over 1980–2018 Small Bus. Econ. (IF 7.096) Pub Date : 2024-04-03 Bulent Unel
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Belief Overreaction and Stock Market Puzzles Journal of Political Economy (IF 9.637) Pub Date : 2024-04-05 Pedro Bordalo, Nicola Gennaioli, Rafael La Porta, Andrei Shleifer
We construct an index of long-term expected earnings growth for S&P 500 firms and show that it has remarkable power to jointly predict future errors in expectations and stock returns, in both the aggregate market and the cross section. The evidence supports a mechanism whereby good news causes investors to become too optimistic about long-term earnings growth. This leads to inflated stock prices and
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Consumption smoothing or consumption binging? The effects of government-led consumer credit expansion in Brazil J. Financ. Econ. (IF 8.238) Pub Date : 2024-04-05 Gabriel Garber, Atif Mian, Jacopo Ponticelli, Amir Sufi
Brazil initiated a major credit expansion program through government banks in 2011. The program primarily targeted public sector workers with offers of payroll-backed loans. Using individual-level administrative data we find that the program led to a 15 percentage point rise in debt to initial income for public sector workers. We develop a new method for estimating workers' expected income growth,
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In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models J. Financ. Econ. (IF 8.238) Pub Date : 2024-04-04 Raymond Kan, Xiaolu Wang, Xinghua Zheng
Using available return data, many multi-factor asset pricing models present impressive in-sample Sharpe ratios, significantly surpassing that of the market portfolio. Such a performance, however, contradicts the conventional wisdom in finance. Investors cannot realistically attain the in-sample Sharpe ratios. They obtain the out-of-sample Sharpe ratios, which are significantly lower. Estimation risk
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Food, energy, and water nexus: A study on interconnectedness and trade-offs Energy Econ. (IF 12.8) Pub Date : 2024-04-03 Bikramaditya Ghosh, Mariya Gubareva, Anandita Ghosh, Dimitrios Paparas, Xuan Vinh Vo
This study finds interesting outcomes regarding the interlinkage between the food, energy, and water sectors. The UN's Food and Agriculture Organization data from January 1961 till January 2023 are employed for six variables, namely Total Renewable Water resources per capita (TRW), Total Internal Renewable Water resources per capita (TIRW), Total Water Withdrawal per capita (TWW), Global Food Consumption
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Robust green Schumpeterian endogenous growth model and spatial Kuznets curve Energy Econ. (IF 12.8) Pub Date : 2024-04-03 Yuwen Zhou, Lixin Tian, Xiaoguang Yang, Bingyue Wan
This paper examines the green Schumpeterian endogenous growth model is robust. The principal findings of this paper can be summarized as follows. Firstly, diverging from the knife-edge condition typical in endogenous growth theory, the study reveals that the green Schumpeterian model exhibits dual knife-edge conditions. However, the dual knife-edge conditions are not necessary conditions for the emergence
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Exploring non-linear causal nexus between economic growth and energy consumption across various R&D regimes: Cross-country evidence from a PSTR model Energy Econ. (IF 12.8) Pub Date : 2024-04-03 Mohsen Khezri, Jamal Mamkhezri, Almas Heshmati
This study endeavors to elucidate the divergent conclusions encountered in empirical research regarding the interplay of Economic Growth (EG) and Energy Consumption (EC). For this purpose, we employ the Panel Smooth Threshold Regression (PSTR) model to intricately examine the non-linear impacts of independent variables on EC and EG within a dataset encompassing 46 countries over the period from 1996
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Mitigating energy instability: The influence of trilemma choices, financial development, and technology advancements Energy Econ. (IF 12.8) Pub Date : 2024-04-03 Chien-Chiang Lee, Farzan Yahya
This research investigates the applicability of the renowned “impossible trinity” hypothesis within the context of energy instability, contributing a unique perspective to the relevant literature. Through asymmetrical analysis of the optimal trilemma policy choices aimed at mitigating energy volatility, we dissect energy instability into three dimensions: consumption, generation, and price volatility
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The timing of voluntary delisting J. Financ. Econ. (IF 8.238) Pub Date : 2024-04-03 Alcino Azevedo, Gonul Colak, Izidin El Kalak, Radu Tunaru
For many firms, voluntarily delisting from a stock exchange can be optimal. We model an entrepreneur's incentives to voluntarily delist the firm as a trade-off between consumption of private benefits when listed and expected improvements in the firm's performance after delisting. Our model allows for heterogeneity across firms and countries, and various micro and macro shocks affect the delisting decision
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Price ceilings, market structure, and payout policies J. Financ. Econ. (IF 8.238) Pub Date : 2024-04-01 Xiongshi Li, Mao Ye, Miles Zheng
To prevent issuers from inflating their share prices, SEC Rule 10b-18 sets price ceilings on share repurchases through open markets. We find that market-structure reforms in the 1990s and 2000s dramatically increased share repurchases because they relaxed constraints on issuers competing with other buyers under price ceilings. The Tick Size Pilot Program, a controlled experiment that partially reversed
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The energy efficiency gap and barriers to investments: Evidence from a firm survey in The Netherlands Energy Econ. (IF 12.8) Pub Date : 2024-03-29 Leon Bremer, Sacha den Nijs, Henri L.F. de Groot
This study investigates the energy efficiency (EE) gap, referring to private agents who are not making seemingly profitable investments to reduce energy use. We deploy a questionnaire among firms in The Netherlands in which we ask them about investment behavior and barriers to investing in EE. A set of 16 barriers is constructed based on the literature. We find that most firms (70%) have made EE investments
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Assessing the vulnerability of oil-dependent countries in Europe Energy Econ. (IF 12.8) Pub Date : 2024-03-29 Carla Oliveira Henriques, Alexandre Lima, Duc Khuong Nguyen, Maria Elisabete Neves
In this article, we attempt to assess the vulnerability of European oil-dependent countries, using the Weighted Russell Directional Distance Model, which provides a composite index and allows for the analysis of adjustments in different proportions for the evaluation factors to reduce oil vulnerability. Our empirical findings show heterogeneous degrees of vulnerability to oil across countries due to
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Do institutional dimensions matter at different stages of the entrepreneurial process? A multi-country study Small Bus. Econ. (IF 7.096) Pub Date : 2024-03-27 Claudia Alvarez, Tatiana Lopez, David Urbano
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Mediated Collusion Journal of Political Economy (IF 9.637) Pub Date : 2024-03-27 Juan Ortner, Takuo Sugaya, Alexander Wolitzky
Cartels and bidding rings are often facilitated by intermediaries, who recommend prices/bids to firms and can impose penalties (such as reverting to competitive behavior in future interactions) if these recommendations are not followed. Motivated by such cases, we study correlated equilibria in first-price procurement auctions with complete information, where bidders who disobey their recommendations
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Re-examining crude oil and natural gas price relationship: Evidence from time-varying regime-switching models Energy Econ. (IF 12.8) Pub Date : 2024-03-27 Mübariz Hasanli
In this paper, we re-examine the relationship between crude oil and natural gas prices. Using a more flexible modelling approach, we find that the relationship between these two prices are more complex than previously documented. Specifically, we find that both the short-run and long-run relationships are highly nonlinear and shifted considerably over time. The effects of oil prices on gas prices fell
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Monetary policy uncertainty and the price bubbles in energy markets Energy Econ. (IF 12.8) Pub Date : 2024-03-27 Jinyu Yang, Dayong Dong, Chao Liang, Yang Cao
We examine the relationship between the monetary policy uncertainty (MPU) and the price bubbles in U.S. oil futures, including WTI crude oil future, heating oil future, and gasoline future. The Log Periodic Power Law Singularity (LPPLS) model is firstly used to analyze and validate the price bubbles of U.S. oil futures. We find that (1) the timing of local peaks of MPU closely aligns with the occurrence
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The pricing of U.S. Treasury floating rate notes J. Financ. Econ. (IF 8.238) Pub Date : 2024-03-27 Jonathan S. Hartley, Urban J. Jermann
Since January 2014, the U.S. Treasury has been issuing floating rate notes (FRNs). These notes pay quarterly interest based on an average of the constant maturity rates of newly issued three-month T-bills during the quarter. We show how to price such FRNs. We estimate that they have been paying excess interest between 3 and 42 basis points above the implied interest of other Treasury securities. We