Search Results (5)

Russia is taking the first steps in the formation of an emissions trading system. In this article, we studied the impact of carbon risk on Russian stock returns. We link carbon risk to CO₂ emissions and air protection costs. We suggest that carbon firms are exposed to carbon risk and hence require a premium in stock returns. We use an approach based on the asset pricing methodology for carbon, carbon-free, and “carbon-minus-carbon-free” portfolios. Based on the Newey–West estimate, we perform a linear regression analysis for the period from January 2014 to December 2021. We find a positive and statistically significant carbon premium. This means that carbon firms show higher expected returns. Carbon risk does not have a statistically significant impact on the carbon premium. The carbon firms’ stock returns are not sensitive to CO₂ emissions and air protection costs. Our analysis shows that a quarter of the carbon premium is explained by the market premium and is not sensitive to size, value, and momentum premiums. Our results inform policymakers and investors about the implications of environmental regulation. Policymakers should take into account the results obtained in the development of national climate and, in general, environmental policies. Full article

The environmental regulations–ecological footprint nexus is occupying an important space in the current debate of energy economics. As a counter measure to environmental degradation, implementing environmental regulations remains on the agenda of scholars and policymakers alike, but whether these regulations have a reducing impact on the ecological footprint remains open since the literature on the topic, and empirical evidence, remains fragmented and dissimilar. The current approach aimed to investigate this for five member countries of the Union for the Mediterranean with panel data econometric techniques. Panel data from France, Italy, Portugal, Spain, and Türkiye were considered for 1992–2015 and were tested for cross-sectional dependence, unit roots, and cointegration. Panel fixed effect regression estimations were conducted, also with Newey-West and Driscoll-Kraay standard errors. In addition, a country-level analysis was conducted by using fully modified ordinary least squares estimation. The results showed that energy consumption and trade increased the environmental footprint, but for environmental regulations, no conclusive effect was identified. The country-level analysis indicated that there is a divergent situation for environmental regulations among the five member countries, where only one out of five member countries showed a significant negative effect. This new empirical evidence for Union for the Mediterranean member countries highlights the importance of a common regulatory policy framework to combat the negative impacts of environmental degradation. Full article

In this research, a new uncertainty method has been developed and applied to forecasting the hotel accommodation market. The simulation and training of Time Series data are from January 2001 to December 2018 in the Spanish case. The Log-log BeTSUF method estimated by GMM-HAC-Newey-West is considered as a contribution for measuring uncertainty vs. other prognostic models in the literature. The results of our model present better indicators of the RMSE and Ratio Theil’s for the predictive evaluation period of twelve months. Furthermore, the straightforward interpretation of the model and the high descriptive capacity of the model allow economic agents to make efficient decisions. Full article

The impact of economic growth on unemployment is commonly agreed and extensively studied. However, how age and gender shape this relationship is not as well explored, while there is an absence of research on whether education plays a role. We apply Okun’s law, aiming to estimate age-, gender- and educational attainment level-specific unemployment rate sensitivity to cyclical output fluctuations. Since the empirical literature provides evidence in favour of the non-linear impact of output change on the unemployment rate, supporting higher effects of recessions than that of expansions, we aim to enrich this analysis by estimating how the impact of positive/negative output change on the specific unemployment rate varies with the level of the total unemployment. The analysis is based on 28 European Union (EU) countries and covers the period of 1995–2019. The equations are estimated by least-squares dummy variables (LSDV), using Prais–Winsten standard errors. For the robustness check, we alternatively used Newey–West standard errors to address serial-correlations and heteroscedasticity, and the Arellano–Bond estimator for some specifications that assume dynamics in the panel. The results support previous findings of male- and youth-specific Okun’s coefficients and reveal that they significantly stand out just over the periods of negative output change. Additionally, we find that educational attainment level is an important factor explaining the heterogeneity of unemployment reaction to output change. Full article

This paper considers the algorithmic implementation of the heteroskedasticity and autocorrelation consistent (HAC) estimation problem for covariance matrices of parameter estimators. We introduce a new algorithm, mainly based on the fast Fourier transform, and show via computer simulation that our algorithm is up to 20 times faster than well-established alternative algorithms. The cumulative effect is substantial if the HAC estimation problem has to be solved repeatedly. Moreover, the bandwidth parameter has no impact on this performance. We provide a general description of the new algorithm as well as code for a reference implementation in R. Full article