Publications

Abstract Purpose The blue and green firms are notable contributors to sustainable development. Similar to other businesses in circular economies, blue and green firms also face financing constraints. This paper aims to assess whether blue and green lending help in optimizing the interest rate spreads and the likelihood of default. Design/methodology/approach This analysis is based on an unbalanced panel of banks from 20 eurozone countries for eleven years between 2012 and 2022. The key indicators of banking include interest rate spread and a market-based probability of default. The paper assesses how these indicators are influenced by exposure to green and blue firms after controlling for several exogenous factors. Findings The results show a positive relationship between green and blue lending and spread, while there is a negative link with the probability of default. This confirms that the blue and green exposure positively supports the credit portfolio both in terms of profitability and risk management. Originality/value The banking system is among the key contributors to corporate finance and to enable continuous access to sustainable finance, the banking firms must be incentivized. While many studies analyze the impact of green lending, to the best of the authors’ knowledge, this study is among the very few that extend this analysis to blue economy firms
Keywords Blue economy, Green lending, Credit portfolios, Probability of default
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Abstract When can exogenous changes in beliefs generate endogenous fluctuations in rationalexpectation models? We analyze this question in the canonical one-sector and two-sector models of the business cycle with increasing returns to scale. A key feature of ouranalysis is that we express the uniqueness/multiplicity condition of equilibirum pathsin terms of restrictions on five critical and economically interpretable parameters: theFrisch elasticities of the labor supply curve with respect to the real wage and to themarginal utility of wealth, the intertemporal elasticity of substitution in consumption,the elasticity of substitution between capital and labor, and the degree of increasingreturns to scale. We obtain two clear-cut conclusions: belief-driven fluctuations cannotexist in the one-sector version of the model for empirically consistent values for thesefive parameters. By contrast, belief-driven fluctuations are a robust property of thetwo-sector version of the model—with differentiated consumption and investmentgoods—, as they now emerge for a wide range of parameter values consistent withavailable empirical estimates. The key ingredients explaining these different outcomesare factor reallocation between sectors and the implied variations in the relative priceof investment, affecting the expected return on capital accumulation.
Keywords Income effect, Expectations, Endogenous fluctuations, Belief-driven business cycles
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Abstract We present an overview of selected contributions of the Journal of Mathematical Economics’ authors to growth theory in the last half century. We start with the classical optimal growth theory within a benchmark multisector model and outline the successive developments in the analysis of this model, including the turnpike theory. Different refinements of the benchmark are considered along the way. We then survey the abundant literature on endogenous fluctuations in two-sector models. We conclude with two strong trends in the recent growth literature: green growth and infinite-dimensional growth models.
Keywords Growth theory, Multisector models, Turnpike theory, Green growth, Infinite dimensional growth models, Optimization
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Abstract div>We study a simple model in which two vertically differentiated firms compete in prices and mass advertising on an initially uninformed market. Consumers differ in their preference for quality.There is an upper bound on prices since consumers cannot spend more on the good than a fixed amount (say, their income). Depending on this income and on the ratio between the advertising cost and quality differential (relative advertising cost), either there is no equilibrium in pure strategies or there exists one of the following three types: (1) an interior equilibrium, where both firms have positive natural markets and charge prices lower than the consumer's income; (2) a constrained interior equilibrium, where both firms have positive natural markets, and the high-quality firm charges the consumer's income or (3) a corner equilibrium, where the low-quality firm has no natural market selling only to uninformed customers. We show that no corner equilibrium exists in which the high-quality firm would have a null natural market. At an equilibrium (whenever there exists one), the high-quality firm always advertises more, charges a higher price and makes a higher profit than the low-quality one. As the relative advertising cost goes to infinity, prices become equal and the advertising intensities converge to zero as well as the profits. Finally, the advertising intensities are, at least globally, increasing with the quality differential. Finally, in all cases, as the advertising parameter cost increases unboundedly, both prices converge increasingly towards the consumer's income.
Keywords Vertical differentiation, Advertising cost, Random advertising
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Abstract Salience theory relies on the assumption that not only the marginal distribution of lotteries, butalso the correlation of payoffs across states impacts choices. Recent experimental studies on saliencetheory seem to provide evidence in favor of such correlation effects. However, these studies failto control for event-splitting effects (ESE). In this paper, we seek to disentangle the role of corre-lation and event-splitting in two settings: 1) the common consequence Allais paradox as studiedby Bordalo et al. (2012), Bruhin et al. (2022), and Frydman and Mormann (2018); 2) choicesbetween Mao pairs as studied by Dertwinkel-Kalt and K¨oster (2020). In both settings, we findevidence suggesting that recent findings supporting correlation effects are largely driven by ESE.Once controlling for ESE, we find no consistent evidence for correlation effects. Our results thusshed doubt on the validity of salience theory in describing risky behavior.
Keywords Salience, Event-splitting, Probability weighting, Concordance, Experiment
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Abstract We show that least-squares cross-validation methods share a common structure that has an explicit asymptotic solution, when the chosen kernel is asymptotically separable in bandwidth and data. For density estimation with a multivariate Student-t(ν) kernel, the cross-validation criterion becomes asymptotically equivalent to a polynomial of only three terms. Our bandwidth formulae are simple and noniterative, thus leading to very fast computations, their integrated squared-error dominates traditional cross-validation implementations, they alleviate the notorious sample variability of cross-validation and overcome its breakdown in the case of repeated observations. We illustrate our method with univariate and bivariate applications, of density estimation and nonparametric regressions, to a large dataset of Michigan State University academic wages and experience.
Keywords Academic wage distribution, Bandwidth choice, Cross-validation, Explicit analytical solution, Nonparametric density estimation
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Abstract We propose Fieller-type methods for inference on generalized entropy inequality indices in the context of the two-sample problem which covers testing the statistical significance of the difference in indices, and the construction of a confidence set for this difference. In addition to irregularities arising from thick distributional tails, standard inference procedures are prone to identification problems because of the ratio transformation that defines the considered indices. Simulation results show that our proposed method outperforms existing counterparts including simulation-based permutation methods and results are robust to different assumptions about the shape of the null distributions. Improvements are most notable for indices that put more weight on the right tail of the distribution and for sample sizes that match macroeconomic type inequality analysis. While irregularities arising from the right tail have long been documented, we find that left tail irregularities are equally important in explaining the failure of standard inference methods. We apply our proposed method to analyze income per-capita inequality across U.S. states and non-OECD countries. Empirical results illustrate how Fieller-based confidence sets can: (i) differ consequentially from available ones leading to conflicts in test decisions, and (ii) reveal prohibitive estimation uncertainty in the form of unbounded outcomes which serve as proper warning against flawed interpretations of statistical tests.
Keywords Inequality, Generalized entropy, Two samples, Fieller, Identification-robust
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Abstract Abstract Some complex models are frequently employed to describe physical and mechanical phenomena. In this setting, we have an input in a general space, and an output where is a very complicated function, whose computational cost for every new input is very high, and may be also very expensive. We are given two sets of observations of , and of different sizes such that only is available. We tackle the problem of selecting a subset of smaller size on which to run the complex model , and such that the empirical distribution of is close to that of . We suggest three algorithms to solve this problem and show their efficiency using simulated datasets and the Airfoil self‐noise data set.
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Abstract This paper investigates the dynamic effects of weather shocks on monthly agricultural production in Peru, using a Local Projection framework. An adverse weather shock, measured by an excess of heat or rain, always generates a delayed negative downturn in agricultural production. The magnitude and duration of this downturn depend on several factors, including the type of crop and the timing of the shock. On average, a weather shock—a temperature shock—can cause a monthly decline of 5% to 15% in agricultural production. The response exhibit important heterogeneity across time, crop, and season dimensions, with hysteresis suggesting farmers’ adaptation over time. At the macroeconomic level, weather shocks are recessionary and entail a decline in inflation, agricultural production, exports, exchange rate and GDP.
Keywords Weather shocks, Agriculture, Local projections, VAR
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