Search results for "Econometrics"
showing 10 items of 3730 documents
Utility of the Mantel-Haenszel Procedure for Detecting Differential Item Functioning in Small Samples
2004
Sample-size restrictions limit the contingency table approaches based on asymptotic distributions, such as the Mantel-Haenszel (MH) procedure, for detecting differential item functioning (DIF) in many practical applications. Within this framework, the present study investigated the power and Type I error performance of empirical and inferential criteria for DIF detection in small samples. Sample sizes (50/50, 100/50, 200/50, and 100/100 for the reference and focal groups, respectively), ability distributions (equal and unequal), and amount of DIF (moderate and high) were manipulated. The results show the advantages of employing theMHchi-square statistic using high levels of significance (•…
Income distribution dynamics: monotone Markov chains make light work
1995
This paper considers some aspects of the dynamics of income distributions by employing a simple Markov chain model of income mobility. The main motivation of the paper is to introduce the techniques of “monotone” Markov chains to this field. The transition matrix of a discrete Markov chain is called monotone if each row stochastically dominates the row above it. It will be shown that by embedding the dynamics of the income distribution in a monotone Markov chain, a number of interesting results may be obtained in a straightforward and intuitive fashion.
The inconvenience yield of carbon futures
2021
Abstract Since 2009, the European Carbon Futures Market has been in a permanent contango situation that is characterised by systematic negative convenience yields that allow investors to exploit profitable arbitrage opportunities. The objective of this paper is to analyse the possible drivers of these negative convenience yields. Our empirical results indicate that although some carbon trading variables are behind this contango situation, the carbon inconvenience yield is better explained if other financial markets and variables are considered, suggesting a financialization of the European Carbon Futures Market.
Ética y Responsabilidad Social en las alianzas estratégicas. El caso de las alianzas entre entidades lucrativas y no lucrativas
2021
Las alianzas estratégicas han sido herramientas utilizadas por las organizaciones durante años para garantizar su desarrollo empresarial. En las últimas décadas, las demandas más exigentes de la sociedad han propiciado la necesidad de acuerdos de cooperación destinados a la creación de valor no únicamente para los socios implicados, sino también para los diferentes actores de la comunidad. Con esta finalidad, en el entorno actual se lleva a cabo un mayor número de alianzas estratégica entre entidades lucrativas y sin ánimo de lucro. Éstas no solo propician un impacto positivo para los socios a través de una mejora de su imagen o reputación, sino que también son propulsoras del desarrollo so…
Viral tunes:changes in musical behaviours and interest in coronamusic predict socio-emotional coping during COVID-19 lockdown
2021
AbstractBeyond immediate health risks, the COVID-19 pandemic poses a variety of stressors, which may require expensive or unavailable strategies during a pandemic (e.g., therapy, socialising). Here, we asked whether musical engagement is an effective strategy for socio-emotional coping. During the first lockdown period (April–May 2020), we surveyed changes in music listening and making behaviours of over 5000 people, with representative samples from three continents. More than half of respondents reported engaging with music to cope. People experiencing increased negative emotions used music for solitary emotional regulation, whereas people experiencing increased positive emotions used musi…
Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis
2021
Abstract Motivated by the lack of research on price efficiency dynamics of green bonds and the impact of the COVID-19 on the pricing of fixed-income securities, this study investigates the comparative efficiency of green and conventional bond markets pre- and during the COVID-19 pandemic applying asymmetric multifractal analysis. Specifically, the multifractal scaling behaviour is examined separately during upward and downward trends in bond markets using the asymmetric multifractal detrended fluctuation analysis (A-MF-DFA) approach. The empirical findings confirm the presence of asymmetric multifractality in the green and traditional bond markets. Not surprisingly, inefficiency in both bon…
Fighting the COVID-19 Crisis: Debt Monétisation and EU Recovery Bonds
2020
AbstractThis paper highlights some peculiar characteristics of the economic crisis induced by the spread of COVID-19. It suggests two intertwined policy measures in order to tackle the emergency phase of the crisis and to support the economy in the subsequent recovery phase. The proposed short-term policy measures offer policy responses in the event of a second wave of coronavirus infections in the coming months. In the aftermath of the emergency phase, the current proposal puts forward the implementation of a massive EU-wide recovery plan addressing the long-lasting technological and environmental challenges of these years, which will be financed by European institutions through the issuan…
Risk Management for Sustainable Sovereign Debt Financing
2021
We model sovereign debt sustainability with optimal financing decisions under macroeconomic, financial, and fiscal uncertainty, with endogenous risk and term premia. Using a coherent risk measure we trade-off debt stock and flow risks subject to sustainability constraints. We optimize static and dynamic financing strategies and demonstrate economically significant savings from optimal financing compared with simple rules and consols, and find that optimizing the trade-offs can be critical for sustainability. The model quantifies minimum refinancing risk and maximum rate of debt reduction that a sovereign can achieve given its economic fundamentals, and an extension identifies optimal timing…
Convex costs and the hedging paradox
2010
Accepted version of an article from the journal:Journal of Corporate Finance. Published version available on Science Direct: http://dx.doi.org/10.1016/j.jcorpfin.2009.10.002 Financial theory suggests that hedging can increase shareholder value in the presence of capital market imperfections, including direct and indirect costs of financial distress, costly external financing, and convex tax exposure. The influence of these costs, which are high when profits are low and low or negligible when profits are large, on the extent of firm hedging has not been consistently addressed in the finance literature. In Brown and Toft's (2002) model, more convex costs imply that a firm will decrease the ex…
Opacity of young businesses: Evidence from rating disagreements
2008
Abstract A conventional wisdom in the contemporary corporate finance literature argues that small and medium-sized enterprises (SMEs) are informationally opaque. We use data from two credit information companies and in particular their disagreements over the creditworthiness of SMEs to study the empirical relevance of this often invoked assumption. Our panel data analysis shows that once unobserved firm-effects are controlled for, the disagreements (i.e., rating splits) are inversely related to the age of firms. We are not able to document such a robust relationship between the disagreements and the size of firms. This finding holds a lesson for empirical corporate finance researchers who n…