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This paper proposes a new approach for analyzing the dynamic relationships between carbon dioxide (CO2) emissions, energy use, and income for the Middle East and North African (MENA) region. Our study implements a class of regime-switching models, namely a nonlinear panel smooth transition regression (PSTR) framework. Two kinds of estimates for carbon emissions are provided. On the one hand, we measure the impact of energy consumption on CO2 concerning the level of income per capita, as countries with a similar energy usage level would have different levels of energy intensity. On the other hand, we estimate the impact of output growth on emissions concerning energy usage variation, as a higher economic growth does not necessarily mean energy-intensive activities. Our empirical findings support these intuitions as they indicate that pollutant emissions respond nonlinearly to energy consumption and GDP growth. We find an inverted U-shaped pattern for the impact of energy on CO2, in the sense that environmental degradation is declining beyond a given income threshold, which is estimated endogenously within the PSTR model. Also, our results underscore that GDP growth significantly impacts carbon emissions only for higher energy consumption growth.

This paper studies the relationship between CEO elite education and firm hedging decisions. It uses the particular specificities of the French post-secondary educational institutions to examine the effect of CEO educational background on the use of foreign currency derivatives. The results show a positive and significant relationship between education quality and derivatives use. Neither the level nor the type of education has any significant effect. The results also show that the use of derivatives enhances firm performance only when CEOs are from elite institutions. These results are robust to a battery of tests that involve alternative estimation techniques, the use of different subsamples, additional control variables, and control for endogeneity and selection bias.

This paper revisits the exchange rate pass-through (ERPT) for a set of transition economies, namely for 10 new EU Member States (NMS), over the period 1996–2015. As the transition process has entailed a deep transformation in their economies and institutions, the extent of pass-through is expected to be regime-dependent on this changing macroeconomic environment. We propose to implement a nonlinear panel smooth transition regression (PSTR) approach, where transitional factors related to EU accession are captured properly from the data. Our empirical results suggest that the inflation regime is the main macroeconomic driver of the extent of ERPT. When inflation levels exceed the threshold of 4.56 % , i.e., within a high-inflation environment, the degree of pass-through is higher and reaches a full ERPT. However, with the shift towards a stable and low-inflation regime, i.e., when inflation levels are below a threshold of 4.56 % , the extent of pass-through significantly declines in the NMS group. Our findings shed further light on how the credibility gained through the commitment to euro area membership is beneficial and would ensure better control of inflation.

International audience; This paper provides an analysis of crude oil, diesel, and gasoline prices for the period from November 1, 2019 to December 31, 2020. We apply Log Periodic Power-Law Singularity (LPPLS) and Discrete Scale LPPLS bubble indicators to explore the dynamic bubbles of oil prices and predict their crash times. The results indicate that West Texas Light crude oil and North Sea Brent crude oil experienced a statistically significant negative financial bubble during the COVID-19 outbreak. In addition, gasoline and diesel prices are mainly driven by fundamentals. Our findings are expected to be useful to oil market investors, policymakers, and energy experts.

The aim of this paper is to test empirically the conditional liquidity-adjusted capital asset pricing model (L-CAPM) developed by Acharya and Pedersen (2005). Accordingly, we propose to estimate the L-CAPM using unobserved components methodology, which allows us to take into account the main stylized facts characterizing liquidity. Based on a sample of firms listed on the NASDAQ, our empirical analysis reveals several findings. Firstly, we show that liquidity is time-varying and exhibits strong seasonality. Secondly, we highlight the impact of the liquidity level premium on asset prices. Thirdly, we show that the most important liquidity risk is related to the covariance between portfolio illiquidity and market returns. Fourthly, we observe a negative relationship between portfolio returns and market illiquidity. Fifthly, we find that liquidity risk and illiquidity level are not always positively correlated.

This paper investigates the presence of asymmetric volatility dynamics in Bitcoin, Ethereum, Ripple, and Litecoin. Asymmetric effects between good and bad news are traditionally modeled using threshold GARCH models that allow only for two possible variance regimes. We experiment a slightly flexible specification for the conditional variance by using a Smooth Transition GARCH (ST-GARCH) model, where a continuum of intermediate states is allowed between the two extreme volatility regimes. We feature an inverted asymmetric reaction for the majority of cryptocurrencies. The presence of positive return-volatility relationship, which is different from other traditional assets, supports the safe-haven hypothesis in cryptocurrencies.

International audience; The goal of this paper is to investigate the impact of asymmetric ambiguity on corporate investment and financing strategies. Asymmetric information comes from the fact that insiders know the probability of the growth prospects of the firm while outsiders do not. Also, we assume that there are two types of firms (good and bad types) that differ in the quality of their forecasting of future cash flows. Our numerical simulations reveal that firms with more accurate forecasting of cash flows have an interest in speeding up investment in order to make it more difficult for bad firms to mimic their actions. Moreover, we show that the presence of asymmetric ambiguity leads to costly cash holding. These findings may help firms when making their investment and financing decisions under asymmetric ambiguity.

Purpose Many firms engage in co-opetitive projects during which they have simultaneously competitive and collaborative relationships with many rivals in a complex network. A co-opetitive network offers them access to a large volume of resources and knowledge, for example, to support new markets and/or territories. So, does the network grow with the scope of the co-opetition project? The paper aims to discuss this issue. Design/methodology/approach An empirical study of 106 French boating intermediate-sized enterprises (ETIs) and small and medium enterprises provides a descriptive and explanatory analysis of co-opetitive networks. Findings The results support this definition of a complex co-opetitive network only when the objectives of a firm are part of the geographical expansion of its activities. In contrast, these relations remain simple (dyadic) when a firm favours a strategy of diversifying its activities while maintaining its unique local geographical market. Research limitations/implications First, the work is based on a quantitative methodology, so is static. It would be interesting to analyze the process of the building of co-opetitive relationships and opportunism between rival firms, for example, through a qualitative study. Second, this work focusses on boating companies in France. It may be appropriate to consider the sanctions placed on the opportunism of foreign firms in co-opetition. Third, future work could increase understanding, not only of the nature of reprisals inflicted on individualistic co-opetitors, but also on the structure, objectives and results of these reprisals. Originality/value The study deepens our knowledge of the definition, composition and determinants of co-opetitive networks.

JEL classification: G01; C22; E21, This paper examines the effects of wealth on consumption for the US, the UK and the Euro area using a smooth-transition regression (STR) model. We find evidence of an asymmetric and time-varying relationship between consumption and wealth. Additionally, our model tracks consumption patterns reasonably well during periods of economic downturn, financial instability and housing market corrections. While wealth effects are not significant in the Euro area, they are statistically significant and time-varying in the US and the UK. Interestingly, changes in housing wealth are source of switching between regimes in the US., Feder, Compete 2020, Portugal 2020, FCT

We attempt to establish an integrated portfolio optimization business framework, in order to bridge the underlying gap between the complex mathematical theory of multiobjective mathematical programming and asset management practice. Our aim is to assist practitioners and portfolio managers in formulating successful investment strategies, by providing them with an effective decision support tool. In particular, we propose a multiobjective portfolio model, able to support the simultaneous optimization of multiple investment objectives. We also manage to integrate a set of sophisticated real-world non-convex investment policy limitations, such as the cardinality constraints, the buy-in thresholds, the transaction costs, along with particular normative rules. The underlying investment management rationale of the proposed managerial protocol is displayed through an illustrative business flowchart, while we also provide an analytical step-by-step portfolio management business routine. The validity of the model is verified through an extended empirical testing application on the Eurostoxx 50. According to the results, a sufficient number of efficient or Pareto optimal portfolios produced by the model, appear to possess superior out-of-sample returns with respect to the underlying benchmark. © 2016 Springer Science+Business Media New York 1 22 1-22

International audience; In this paper, we propose an original empirical investigation of the long-run versus short-run impacts of climate change on the Tunisian agricultural sector. Using an original regional database, we apply the panel cointegration tests and estimation of Pedroni (Oxford Bulletin of Economics and Statistics S1 61:653–670, 1999; Review of Economics and Statistics 89:727–731, 2001) to estimate the long-run effects. We find that an increased annual temperature decreases both cereal and date productions, with an exception in highland areas. In addition, the annual rainfall has a positive effect on cereals, but rain shortages in the south affect production negatively in this region. The short-run climate effects are smaller than the long-run effects. The rainfall has a weak positive effect that is counterbalanced by the threat of brutal temperature increases over the last decades. This paper calls for the implementation of a public policy privileging and subsidizing the threatened areas. Adaptation measures should include the implementation of a water demand management system that promotes using scarce water resources more efficiently. Moreover, policy makers should seriously consider encouraging the development of drought-tolerant crops, especially in the south of Tunisia where global warming has caused a severe drought. In the north of Tunisia, adaptation measures may include choosing tree species and forestry practices less vulnerable to storms and fires, especially in Jendouba, the forestry region of Tunisia.

This paper provides an update on the exchange rate pass-through (ERPT) estimates for 12 euro area (EA) countries. First, based on quarterly data over the 1990-2012 period, our study does not find a significant heterogeneity in the degree of pass-through across the monetary union members, in contrast to previous empirical studies. As we use a longer time span for the post-EA era than existing studies, this is not surprising, since the process of monetary union has entailed some convergence towards more stable macroeconomic conditions across EA member states. Second, when assessing the stability of pass-through elasticities, we find very weak evidence of a decline around the inception of the euro in 1999. However, our results reveal that a downtrend in ERPT estimates became apparent starting from the beginning of the 1990s. This observed decline was synchronous to the shift towards reduced inflation regimes in our sample of countries. Finally, we notice that the distinction between “peripheral” and “core” EA economies in terms of pass-through has significantly decreased over the last two decades.; Dans ce papier, nous étudions le niveau de rapprochement des économies du Maghreb vers les économies de l’Europe de l’Ouest. Nous faisons également une comparaison avec le niveau de convergence des Pays d’Europe Centrale et Orientale PECO-5 vers les pays de la zone euro. Pour ce faire, nous utilisons une modélisation VAR Structurelle pour l’identification des chocs d’offre et des chocs de demande. Nous faisons également appel à l’Analyse en composante Principale ACP dans l’étude de la dynamique de convergence. Nos résultats montrent un niveau différencié de rapprochement des économies des pays du Maghreb vers l’Europe : la Tunisie et le Maroc dans une moindre mesure, sont sur le sentier de la convergence et à un niveau qui se rapproche de celui des PECO-5 ; l’Algérie et la Libye restent très éloignés de la convergence en dépit de leur capacités. Ce résultat confirme le rôle important joué par le commerce bilatéral et plus particulièrement celui des produits manufacturés. La convergence de la Tunisie et du Maroc est également le fruit d’une dé-spécialisation de production des secteurs agroalimentaire et textile vers des secteurs moyennement et hautement technologiques.

To investigate the main impacts of the recent increase of oil price on oil exporting economies, we estimate a DSGE model for a sample of 16 oil exporting countries (Algeria, Argentina, Ecuador, Gabon, Indonesia, Kuwait, Libya, Malaysia, Mexico, Nigeria, Oman, Russia, Saudi Arabia, United Arab Emirates, and Venezuela) over the period from 1980 to 2010, except for Russia where our sample begins in 1992. In order to distinguish between high-dependent and low-dependent countries, we use two indicators: the ratio of fuel exports to total merchandise export and the ratio of oil exports to GDP. We verify if the first group is more sensitive to the Dutch disease effect. We also assess the role of monetary policy.Our main findings are twofold. First, our results confirm the fact that the Dutch disease occurs mainly in high oil dependent countries. More precisely, we find that the manufacturing production decreases in the aftermath of a positive oil price shock in six countries (on eight) of our first sample while only Mexico suffers from a Dutch disease in the sample of low oil dependent economies. Second, the appropriate monetary policy rule -exchange rate rule versus inflation targeting one-to prevent the Dutch disease differs according to the countries. In other words, the best monetary rule is specific to each country.

International audience; This book discusses market microstructure environment within the context of the global financial crisis. In the first part, the market microstructure theory is recalled and the main microstructure models and hypotheses are discussed. The second part focuses on the main effects of the financial downturn through an examination of market microstructure dynamics. In particular, the effects of market imperfections and the limitations associated with microstructure models are discussed. Finally, the new regulations and recent developments for financial markets that aim to improve the market microstructure are discussed. Well-known experts on the subject contribute to the chapters in the book. A must-read for academic researchers, students and quantitative practitioners.

This paper presents a development accounting framework in order to quantify the determinants of disparities in GDP per hour worked within the EU in 2016. Its originality is twofold insofar as, on the one hand, it theoretically extends the existing framework from 2 factors up to $$n$$ explanatory factors and on the other, it numerically illustrates this same framework in case where $$n=3$$ factors. This illustration is made macro-economically between 19 EU countries—representing 90% of its aggregate GDP—and sectorally between their market, state, and mixed sectors. The calibration data come from the latest EU-KLEMS and PWT versions. Examination of the results by decomposition shows a strong proximity of macroeconomic standard deviations ($ 13.74/h) and the market (13.38) and non-market (12.34) spheres. The differences between countries are fundamentally (around 90% according to each of the three spheres) explained by the disparities in labor quality (and around 10% by the disparities in capital deepening). The profile, however, is not at all the same in real estate activities (mixed sector) whose GDP per hour’ standard deviation reaches $ 570.28/h and is completely explained by the disparities in capital deepening.

PurposeThis paper aims to study the stock market reaction to sporting results of European listed football clubs. Specifically, it tries to examine the impact of the sporting results on the stock market valuation in terms of abnormal returns and trading volume around the dates of matches.Design/methodology/approachThis paper undertakes an event study around the dates of 745 matches played by European listed football clubs.FindingsThe empirical analysis shows that the sporting results of listed football clubs affect both the abnormal returns and the trading volume around the dates of matches. The movement (positive or negative) and the time when the impact occurs (before or after the match) differ according to the nature of the result (defeat, draw or win) and the match venue (home or away). Findings in this study imply that the success of investments in listed football clubs requires a regular follow‐up of their sporting performances.Originality/valueThis paper is one of the first to take into consideration the nature of sporting results (defeat, draw or win) according to the match venue (home or away) in order to study the market reaction in terms of both abnormal returns and trading volume. Unlike some previous studies, it is not limited to studying a single specific context but considers listed football clubs from all over Europe.

International audience; Le Revenue Management présente deux leviers essentiels : la gestion optimisée du prix ou pricing et la gestion des capacités. Le pricing est le moyen d’action qui présente le plus rapidement des résultats tangibles en matière de rentabilité. Dans l’industrie du tourisme, le pricing est passé d’une recherche mécanique de maximisation du profit par unité disponible, à la prise en compte systématique de la valeur du client sur toute sa durée de vie. Le système de pricing de Disneyland Resort Paris illustre cette nouvelle approche basée sur la théorie prospective (Prospect Theory), théorie axée sur la psychologie du client. Les consommateurs sont plus irrationnels que rationnels dans leur prise de décision, mais cette irrationalité suit un schéma spécifique qui peut être modélisé. La compréhension de leur comportement permet à l’entreprise de proposer des offres multiservices renforçant la loyauté du consommateur que les pratiques traditionnelles du Revenue Management ont tendance à détruire. Mots-clés : Pricing, Profitabilité, Revenue Management, Théorie prospective, Valeur-vie du client.

International audience; To date, entrepreneurship researchers have tended to avoid state-of-the-art artificial intelligence techniques; in this paper, we fill that gap. Based on eclectic entrepreneurship theory, we present an original work that uses artificial intelligence to forecast the macrolevel determinants of entrepreneurial opportunity. Modern artificial intelligence could open new areas for future research opportunities in entrepreneurship and help close the gap between theory and practice. Our empirical analysis offers two major results by using a panel dataset of 149 countries covering 2007–2018 and six machine-learning models. First, entrepreneurs prefer to exploit opportunities in countries with stable economic governance that provide high education standards, health, social capital, and a safe, natural environment. Second, CatBoost regression performs better in predicting entrepreneurial opportunity compared to linear regression and more advanced machine-learning models. Recommendations for policy-makers and managers and directions for future studies are also discussed.

This research note addresses for the first time the issue of capital constraint and credit rationing for craftsmen cooperatives, which are small to medium grassroots cooperatives. We estimate an ECM (Error correction model) using various specifications as robustness checks on an exhaustive French cooperative database. We find empirical evidence of an impact of crisis on cooperative financial constraint, but we highlight that this constraint is more stringent for cooperatives with medium volume of cash flow. This result leads to the question of cooperatives financing during the period of a global economic downturn.

International audience; —Based on a survey of 203 Insurance equities from European capital markets over the 2001-2014 period, this article analyses the role of idiosyncratic risk in the pricing of European insurance equities. The capital asset pricing model predicts that in equilibrium, investors should hold the market portfolio. As a result, investors should only be rewarded for carrying undiversifiable systematic risk and not for diversifiable idiosyncratic risk. The framework of Fama and MacBeth is employed. Regressions of the cross-section of expected equity excess returns on idiosyncratic risk and other firm characteristics such as beta, size, book-to-market equity (BE/ME), momentum, liquidity and co-skewness are performed. The empirical models reveal that the largest part of total volatility is idiosyncratic and therefore firm specific in nature. Simple cross-correlations indicate that high beta, small size, high BE/ME, low momentum, low liquidity and high co-skewness equities have higher idiosyncratic risk.