Economics Letters最新文献

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IF 1.8 4区经济学 Q2 ECONOMICS

Economics Letters

Pub Date : 2025-11-29 DOI: 10.1016/j.econlet.2025.112749

Ryan Elmore , Jack Strauss

(Kelly et al., 2024) show that increasing complexity in linear models, with potentially thousands of predictors, is “virtuous”. Their work contradicts the dogma of model selection, including the Principles of Parsimony and Occam’s Razor. They find that when the number of predictors far exceeds the number of observations, the bias–variance trade-off breaks down, the variance declines, and the Sharpe ratio increases. In the context of ridge regression, we find that very high complexity coupled with large penalty terms (excessive shrinkage) generate forecasts that converge to a rolling window of past returns. For example, we show the past twelve-month moving average of actual returns is 97.5% correlated to the forecasts from a twelve-month rolling window of random Fourier features with a large penalty. This finding is consistent with the theory of ridge regression. As the penalty term increases, the forecasts closely approximate the mean, and ignore the explanatory variables. Thus, increasing complexity does not outperform the standard ridge regression, and increasing complexity does not generate high Sharpe ratios, abnormal returns, utility gains or profitable investment strategies.

（Kelly et al., 2024）表明，线性模型的复杂性增加，可能有数千个预测器，是“良性的”。他们的工作与模式选择的教条相矛盾，包括节俭原则和奥卡姆剃刀。他们发现，当预测因子的数量远远超过观测值的数量时，偏差-方差权衡就会被打破，方差下降，夏普比率上升。在岭回归的背景下，我们发现非常高的复杂性加上大的惩罚项（过度收缩）产生的预测收敛于过去回报的滚动窗口。例如，我们展示了过去12个月的实际收益移动平均值与来自随机傅立叶特征的12个月滚动窗口的预测有97.5%的相关性。这一发现与脊回归理论相一致。随着惩罚期的增加，预测结果接近均值，忽略解释变量。因此，增加复杂性并不优于标准岭回归，并且增加复杂性不会产生高夏普比率，异常回报，效用收益或有利可图的投资策略。

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引用次数: 0

Speak or wait: Strategic delay and the value of public information 说话还是等待：战略延迟与公共信息的价值

IF 1.8 4区经济学 Q2 ECONOMICS

Economics Letters

Pub Date : 2025-11-27 DOI: 10.1016/j.econlet.2025.112752

Luis Frones

This paper studies a dynamic cheap talk model in which the sender chooses both the content and timing of messages, and the receiver can delay her irreversible action. Partially informative equilibria arise even with state-independent preferences. The prospect of future public information induces more information transmission in equilibrium, and the probability of revelation increases with the signal’s precision. Comparing the most preferred equilibria across environments, both players strictly prefer the setting with public information. The results highlight a novel mechanism for strategic communication based on timing frictions and credible delay.

本文研究了一种动态廉价话模型，该模型中信息的内容和时间由发送方选择，而接收方可以延迟其不可逆行为。即使是独立于国家的偏好，也会出现部分信息均衡。未来公开信息的前景诱导了更多的均衡信息传递，并且随着信号精度的提高，被披露的概率也随之增加。比较不同环境下的最优均衡，双方都更喜欢有公开信息的环境。研究结果强调了一种基于时间摩擦和可信延迟的新型战略沟通机制。

引用次数: 0

Investor behavior and the beta anomaly: Who benefits from betting against beta? 投资者行为与贝塔异常：谁能从做空贝塔中获益？

IF 1.8 4区经济学 Q2 ECONOMICS

Economics Letters

Pub Date : 2025-11-25 DOI: 10.1016/j.econlet.2025.112745

Reza Bradrania, Jose Francisco Veron , Winston Wu

We investigate the relationship between the trading behavior of different investor types and the beta anomaly. Our results show that foreign institutions trade against beta on average, increasing their holdings of low-beta stocks and reducing exposure to high-beta stocks. This effect is most pronounced in the post-GFC period and when the beta anomaly is strong. In contrast, local investors as a group tend to chase beta by favoring high-beta stocks even when these stocks underperform. While local individual investors generally purchase high-beta stocks, they shift toward low-beta stocks when the anomaly generates losses. Our findings highlight how heterogeneous trading behavior across investor types contributes to the persistence of the beta anomaly.

我们研究了不同投资者类型的交易行为与贝塔异常之间的关系。我们的研究结果表明，外国机构平均做空贝塔系数，增加低贝塔系数股票的持有量，减少对高贝塔系数股票的敞口。这种影响在后全球金融危机时期和当β异常很强时最为明显。相比之下，本地投资者作为一个整体倾向于通过青睐高贝塔股票来追逐贝塔，即使这些股票表现不佳。虽然本地个人投资者通常会购买高贝塔值的股票，但当异常产生亏损时，他们会转向低贝塔值的股票。我们的研究结果强调了不同投资者类型的异质交易行为是如何导致贝塔异常持续存在的。

引用次数: 0

Did the 2022 inflation cost the Democratic Party the 2024 US presidential election? 2022年的通货膨胀是否让民主党输掉了2024年的美国总统大选？

IF 1.8 4区经济学 Q2 ECONOMICS

Economics Letters

Pub Date : 2025-11-25 DOI: 10.1016/j.econlet.2025.112750

Wisarut Suwanprasert

This paper examines the relationship between inflation perceptions during the 2022 inflationary period, often referred to as “Bidenflation”, and the 2024 US presidential election. Leveraging state-level variations in the Google Search Volume Index (GSVI) as a proxy for inflation awareness, the analysis finds that a one standard deviation increase in a state’s standardized GSVI in 2022 is associated with an 8.5 percentage point shift in vote margins between the 2020 and 2024 elections toward the Republican Party. This shift is driven by a 4.7 percentage point decline in Democratic vote shares and a corresponding 3.8 percentage point increase in Republican vote shares.

本文考察了2022年通胀期（通常被称为“拜登通胀”）与2024年美国总统大选之间的通胀认知关系。利用谷歌搜索量指数（GSVI）的州一级变化作为通货膨胀意识的代表，分析发现，2022年一个州的标准化GSVI每增加一个标准差，2020年和2024年选举中共和党的选票差距就会发生8.5个百分点的变化。这一转变是由民主党选票份额下降4.7个百分点和共和党选票份额相应增加3.8个百分点推动的。

引用次数: 0

Bridging the energy divide: The impact of finance, political regimes, and international sanctions on renewable energy access 弥合能源鸿沟：金融、政治体制和国际制裁对可再生能源获取的影响

IF 1.8 4区经济学 Q2 ECONOMICS

Economics Letters

Pub Date : 2025-11-25 DOI: 10.1016/j.econlet.2025.112747

Rilwan Sakariyahu , Rodiat Lawal , Folorunsho Ajide , Sodiq Oladipupo

Drawing on data from developing countries, this study examines the roles of finance, international sanctions, and political regime types in shaping access to renewable energy. Findings reveal that access to finance significantly improves renewable energy, but its impact weakens under sanctions or in politically constrained environments. Democracies exhibit stronger linkages between finance and renewable energy access, whereas autocratic regimes show a weaker relationship. The findings have vital implications for shaping global renewable energy policies and investment frameworks.

研究结果显示，获得融资可以显著改善可再生能源，但在制裁或政治限制的环境下，其影响会减弱。民主国家在金融和可再生能源获取之间表现出更强的联系，而专制政权则表现出较弱的关系。研究结果对制定全球可再生能源政策和投资框架具有重要意义。

引用次数: 0

Climate physical risks and the vulnerability of global agricultural commodities 气候物理风险和全球农产品的脆弱性

IF 1.8 4区经济学 Q2 ECONOMICS

Economics Letters

Pub Date : 2025-11-24 DOI: 10.1016/j.econlet.2025.112748

Hao Yang , Jie Yang , Yun Feng

This paper focuses on the impacts of climate physical risks on crop prices and proposes a novel method to evaluate the vulnerability of five agricultural commodities, i.e., wheat, maize, soybean, rice, and barley. We identified the high vulnerability of maize and high resistance of rice to shocks of physical risks. During the period from 2020 to 2022, the vulnerability of global agricultural commodity markets sharply rose. The findings provide novel insight into the influence of climate change on agricultural sectors.

本文重点研究了气候物理风险对农作物价格的影响，提出了一种评估小麦、玉米、大豆、水稻和大麦五种农产品脆弱性的新方法。我们确定了玉米对物理风险冲击的高脆弱性和水稻的高抗性。2020年至2022年期间，全球农产品市场的脆弱性急剧上升。这些发现为气候变化对农业部门的影响提供了新的见解。

引用次数: 0

Going green or losing edge: A global investigation into the role of carbon risk on banks' green investments 走向绿色还是失去优势：碳风险对银行绿色投资作用的全球调查

IF 1.8 4区经济学 Q2 ECONOMICS

Economics Letters

Pub Date : 2025-11-24 DOI: 10.1016/j.econlet.2025.112746

Madiha Kiran , Faisal Alnori , Mustafa Raza Rabbani , Oguzhan Cepni

This study examines the impact of carbon risks on green investments in 1501 banks across 106 countries from 2002 to 2023. Building on previous studies examining the effects of carbon risks on financial decisions and portfolio strategies, this study investigates the impact of carbon risk exposure on sustainable lending practices. We find strong evidence that carbon risks are positively associated with banks' green investments. The heterogeneity analysis reveals that carbon risk drives an increase in green investment among banks, regardless of whether their R&D expenditure is high or low. Furthermore, we extend our analysis to five global regions and find that carbon risk significantly boosts green investment among banks. The results are robust to alternative estimation techniques and considering an alternative measure of carbon risk (e.g., Carbon intensity). The outcomes of this study offer unique and new insights for stakeholders and policymakers.

本研究考察了2002年至2023年间106个国家1501家银行的碳风险对绿色投资的影响。在以往研究碳风险对金融决策和投资组合策略影响的基础上，本研究调查了碳风险暴露对可持续贷款实践的影响。我们发现强有力的证据表明，碳风险与银行的绿色投资呈正相关。异质性分析表明，无论银行研发支出高还是低，碳风险都推动了银行绿色投资的增加。此外，我们将分析扩展到全球五个地区，发现碳风险显著促进了银行的绿色投资。该结果对于替代估算技术和考虑碳风险的替代度量（例如碳强度）具有鲁棒性。本研究的结果为利益相关者和政策制定者提供了独特的新见解。

引用次数: 0

Price dispersion in pure strategies 纯策略中的价格分散

IF 1.8 4区经济学 Q2 ECONOMICS

Economics Letters

Pub Date : 2025-11-24 DOI: 10.1016/j.econlet.2025.112742

Georgii Kozin , Alex Suzdaltsev

We revisit Anderson and de Palma (2005)’s model of firm pricing when searching consumers follow simple reservation price rules. In this model, any pure-strategy equilibrium, if exists, features different prices set by identical firms, i.e., price dispersion may arise without randomization. However, the existence of such an equilibrium has not been established beyond simple examples as profit functions in this model are naturally not quasiconcave. We show that in a duopoly a (dispersed) pure-strategy equilibrium always exists—despite the non-quasiconcavity—under any reservation price distribution with monotone hazard rate. This may help explain persistent price dispersion.

我们重新审视安德森和德帕尔马（2005）的企业定价模型，当搜索消费者遵循简单的保留价格规则时。在该模型中，任何纯策略均衡（如果存在）都以相同企业设定的不同价格为特征，即价格离散可能不随机化。然而，除了简单的例子之外，这种均衡的存在还没有建立起来，因为这个模型中的利润函数自然不是准凹形的。我们证明了在双寡头市场中，在任何具有单调风险率的保留价格分布下，一个（分散的）纯策略均衡总是存在的。这可能有助于解释持续的价格差异。

引用次数: 0

Danish flexicurity and occupational mobility: A comparison with the United States 丹麦的灵活性和职业流动性：与美国的比较

IF 1.8 4区经济学 Q2 ECONOMICS

Economics Letters

Pub Date : 2025-11-21 DOI: 10.1016/j.econlet.2025.112743

Carlos Carrillo-Tudela , Saman Darougheh , Ludo Visschers

We provide a detailed international comparison of the occupational mobility of employer switchers using the US Current Population Survey and Danish administrative data (2011–2019). Comparability and measurement issues have stood in the way of good comparisons of occupational mobility rates between the US and European countries more generally. Making progress towards addressing these, we find that the proportion of employer changers that switches occupations is about 20% lower in Denmark, but at occupation-level quite correlated across both countries. Net mobility rates are also positively correlated, but overall lower in Denmark than in the United States.

我们使用美国当前人口调查和丹麦行政数据（2011-2019）对雇主转换者的职业流动性进行了详细的国际比较。可比性和衡量问题阻碍了对美国和欧洲国家之间的职业流动性进行更广泛的比较。在解决这些问题的过程中，我们发现，在丹麦，换雇主的比例要低20%左右，但在职业水平上，两国之间的相关性很强。净流动率也正相关，但总体而言丹麦低于美国。

引用次数: 0

Estimation of high order simultaneous equations spatial autoregressive model: An efficient Bayesian approach 高阶联立方程空间自回归模型的估计：一种有效的贝叶斯方法

IF 1.8 4区经济学 Q2 ECONOMICS

Economics Letters

Pub Date : 2025-11-19 DOI: 10.1016/j.econlet.2025.112741

Zhengzheng Cai , Xiaoyi Han , Jianchao Zhuo

We consider the Bayesian estimation of high order simultaneous equations spatial autoregressive model for large scale spatial data sets, which tackles the computational difficulty of the constrained optimization problem over multiple spatial parameters from different outcome equations in the traditional likelihood-based method. We further propose an efficient Markov Chain Monte Carlo (MCMC) algorithm utilizing the exchange algorithm to address the computational challenges associated with evaluating the Jacobian determinant with a large number of parameters under a large sample size. Monte Carlo experiments demonstrate our proposed Bayesian methods exhibit good performance in finite samples, and the exchange algorithm manages to reduce computation time by approximately two-thirds compared to a typical Bayesian MCMC method.

研究了大规模空间数据集的高阶联立方程空间自回归贝叶斯估计模型，解决了传统基于似然的方法中不同结果方程的多空间参数约束优化问题的计算困难。我们进一步提出了一种有效的马尔可夫链蒙特卡罗（MCMC）算法，利用交换算法来解决在大样本量下计算具有大量参数的雅可比行列式的计算挑战。蒙特卡罗实验表明，我们提出的贝叶斯方法在有限样本中表现出良好的性能，与典型的贝叶斯MCMC方法相比，交换算法可以减少大约三分之二的计算时间。

引用次数: 0

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