Research articles for the 2021-04-05

A Big Data Analysis of the Ethereum Network: from Blockchain to Google Trends
Dorsa Mohammadi Arezooji

First, a big data analysis of the transactions and smart contracts made on the Ethereum blockchain is performed, revealing interesting trends in motion. Next, these trends are compared with the public's interest in Ether and Bitcoin, measured by the volume of online searches. An analysis of the crypto prices and search trends suggests the existence of big players (and not the regular users), manipulating the market after a drop in prices. Lastly, a cross-correlation study of crypto prices and search trends reveals the pairs providing more accurate and timely predictions of Ether prices.

A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition
Masaaki Fujii,Akihiko Takahashi

In this work, we study an equilibrium-based continuous asset pricing problem which seeks to form a price process endogenously by requiring it to balance the flow of sales-and-purchase orders in the exchange market, where a large number of agents are interacting through the market price. Adopting a mean field game (MFG) approach, we find a special form of forward-backward stochastic differential equations of McKean-Vlasov type with common noise whose solution provides a good approximate of the market price. We show the convergence of the net order flow to zero in the large N-limit and get the order of convergence in N under some conditions. We also extend the model to a setup with multiple populations where the agents within each population share the same cost and coefficient functions but they can be different population by population.

An Application of the Arrhenius Equation in Portfolio Modeling
Floros, Christos,Gkillas, Konstantinos,Kountzakis, Christos
The aim of this paper is to provide a modeling of capital transfer between a portfolio consisted by two assets. For this purpose we use the Arrhenius Equation, which is a modeling tool for the specific modeling. We provide a stochastic differential equation of the Arrhenuis equation. We consider a unique uncertainty factor for this purpose, which arises from a generalization of It$\hat{o}$ stochastic integral. The stochastic integral established in this paper, may become a tool of substitution in any application of the It$\hat{o}$ stochastic integral in Finance.

Bayesian prediction of jumps in large panels of time series data
Angelos Alexopoulos,Petros Dellaportas,Omiros Papaspiliopoulos

We take a new look at the problem of disentangling the volatility and jumps processes of daily stock returns. We first provide a computational framework for the univariate stochastic volatility model with Poisson-driven jumps that offers a competitive inference alternative to the existing tools. This methodology is then extended to a large set of stocks for which we assume that their unobserved jump intensities co-evolve in time through a dynamic factor model. To evaluate the proposed modelling approach we conduct out-of-sample forecasts and we compare the posterior predictive distributions obtained from the different models. We provide evidence that joint modelling of jumps improves the predictive ability of the stochastic volatility models.

Corporate Lending In 2020: Growth and Stabilization
Zubov, Sergey
In H1 2020, Russian banks notably increased the volume of corporate lending. This was facilitated by an increase in demand for borrowed funds from enterprises due to a drop in revenue; regulatory measures of the Central Bank that stimulate soft lending; a drop in interest rates as a result of monetary policy easing conducted by the Central Bank; and the accumulated liquidity by the banking sector. In H2 2020, as the economic situation was back on track, the pace of lending declined and began to match the level of 2019. Risks for the banking sector remain due to increased uncertainty about the possible spread of the pandemic, price volatility in the oil market, and the unstable nature of the corporate sector recovery.

Deep Neural Networks for Choice Analysis: Architectural Design with Alternative-Specific Utility Functions
Shenhao Wang,Baichuan Mo,Jinhua Zhao

Whereas deep neural network (DNN) is increasingly applied to choice analysis, it is challenging to reconcile domain-specific behavioral knowledge with generic-purpose DNN, to improve DNN's interpretability and predictive power, and to identify effective regularization methods for specific tasks. This study designs a particular DNN architecture with alternative-specific utility functions (ASU-DNN) by using prior behavioral knowledge. Unlike a fully connected DNN (F-DNN), which computes the utility value of an alternative k by using the attributes of all the alternatives, ASU-DNN computes it by using only k's own attributes. Theoretically, ASU-DNN can dramatically reduce the estimation error of F-DNN because of its lighter architecture and sparser connectivity. Empirically, ASU-DNN has 2-3% higher prediction accuracy than F-DNN over the whole hyperparameter space in a private dataset that we collected in Singapore and a public dataset in R mlogit package. The alternative-specific connectivity constraint, as a domain-knowledge-based regularization method, is more effective than the most popular generic-purpose explicit and implicit regularization methods and architectural hyperparameters. ASU-DNN is also more interpretable because it provides a more regular substitution pattern of travel mode choices than F-DNN does. The comparison between ASU-DNN and F-DNN can also aid in testing the behavioral knowledge. Our results reveal that individuals are more likely to compute utility by using an alternative's own attributes, supporting the long-standing practice in choice modeling. Overall, this study demonstrates that prior behavioral knowledge could be used to guide the architecture design of DNN, to function as an effective domain-knowledge-based regularization method, and to improve both the interpretability and predictive power of DNN in choice analysis.

Deep Neural Networks for Choice Analysis: Extracting Complete Economic Information for Interpretation
Shenhao Wang,Qingyi Wang,Jinhua Zhao

While deep neural networks (DNNs) have been increasingly applied to choice analysis showing high predictive power, it is unclear to what extent researchers can interpret economic information from DNNs. This paper demonstrates that DNNs can provide economic information as complete as classical discrete choice models (DCMs). The economic information includes choice predictions, choice probabilities, market shares, substitution patterns of alternatives, social welfare, probability derivatives, elasticities, marginal rates of substitution (MRS), and heterogeneous values of time (VOT). Unlike DCMs, DNNs can automatically learn the utility function and reveal behavioral patterns that are not prespecified by domain experts. However, the economic information obtained from DNNs can be unreliable because of the three challenges associated with the automatic learning capacity: high sensitivity to hyperparameters, model non-identification, and local irregularity. To demonstrate the strength and challenges of DNNs, we estimated the DNNs using a stated preference survey, extracted the full list of economic information from the DNNs, and compared them with those from the DCMs. We found that the economic information either aggregated over trainings or population is more reliable than the disaggregate information of the individual observations or trainings, and that even simple hyperparameter searching can significantly improve the reliability of the economic information extracted from the DNNs. Future studies should investigate other regularizations and DNN architectures, better optimization algorithms, and robust DNN training methods to address DNNs' three challenges, to provide more reliable economic information from DNN-based choice models.

Dynamic Default Contagion in Heterogeneous Interbank Systems
Zachary Feinstein,Andreas Sojmark

In this work we provide a simple setting that connects the structural modelling approach of Gai-Kapadia interbank networks with the mean-field approach to default contagion. To accomplish this we make two key contributions. First, we propose a dynamic default contagion model with endogenous early defaults for a finite set of banks, generalising the Gai-Kapadia framework. Second, we reformulate this system as a stochastic particle system leading to a limiting mean-field problem. We study the existence of these clearing systems and, for the mean-field problem, the continuity of the system response.

Economics in Nouns and Verbs
W. Brian Arthur

Standard economic theory uses mathematics as its main means of understanding, and this brings clarity of reasoning and logical power. But there is a drawback: algebraic mathematics restricts economic modeling to what can be expressed only in quantitative nouns, and this forces theory to leave out matters to do with process, formation, adjustment, creation and nonequilibrium. For these we need a different means of understanding, one that allows verbs as well as nouns. Algorithmic expression is such a means. It allows verbs (processes) as well as nouns (objects and quantities). It allows fuller description in economics, and can include heterogeneity of agents, actions as well as objects, and realistic models of behavior in ill-defined situations. The world that algorithms reveal is action-based as well as object-based, organic, possibly ever-changing, and not fully knowable. But it is strangely and wonderfully alive.

Equity Impacts of Dollar Store Vaccine Distribution
Judith A. Chevalier,Jason L. Schwartz,Yihua Su,Kevin R. Williams

We use geospatial data to examine the unprecedented national program currentlyunderway in the United States to distribute and administer vaccines against COVID-19. We quantify the impact of the proposed federal partnership with the companyDollar General to serve as vaccination sites and compare vaccine access with DollarGeneral to the current Federal Retail Pharmacy Partnership Program. Although dollarstores have been viewed with skepticism and controversy in the policy sector, we showthat, relative to the locations of the current federal program, Dollar General stores aredisproportionately likely to be located in Census tracts with high social vulnerability;using these stores as vaccination sites would greatly decrease the distance to vaccinesfor both low-income and minority households. We consider a hypothetical alternativepartnership with Dollar Tree and show that adding these stores to the vaccinationprogram would be similarly valuable, but impact different geographic areas than theDollar General partnership. Adding Dollar General to the current pharmacy partnersgreatly surpasses the goal set by the Biden administration of having 90% of the popu-lation within 5 miles of a vaccine site. We discuss the potential benefits of leveragingthese partnerships for other vaccinations, including against influenza.

Estimating Production Functions with Partially Latent Inputs
Minji Bang,Wayne Yuan Gao,Andrew Postlewaite,Holger Sieg

This paper develops a new method for identifying and estimating production functions with partially latent inputs. Such data structures arise naturally when data are collected using an "input-based sampling" strategy, e.g., if the sampling unit is one of multiple labor input factors. We show that the latent inputs can be nonparametrically identified, if they are strictly monotone functions of a scalar shock a la Olley & Pakes (1996). With the latent inputs identified, semiparametric estimation of the production function proceeds within an IV framework that accounts for the endogeneity of the covariates. We illustrate the usefulness of our method using two applications. The first focuses on pharmacies: we find that production function differences between chains and independent pharmacies may partially explain the observed transformation of the industry structure. Our second application investigates skill production functions and illustrates important differences in child investments between married and divorced couples.

Financial replicator dynamics: emergence of systemic-risk-averting strategies
Indrajit Saha,Veeraruna Kavitha

We consider a random financial network with a large number of agents. The agents connect through credit instruments borrowed from each other or through direct lending, and these create the liabilities. The settlement of the debts of various agents at the end of the contract period can be expressed as solutions of random fixed point equations. Our first step is to derive these solutions (asymptotically), using a recent result on random fixed point equations. We consider a large population in which agents adapt one of the two available strategies, risky or risk-free investments, with an aim to maximize their expected returns (or surplus). We aim to study the emerging strategies when different types of replicator dynamics capture inter-agent interactions. We theoretically reduced the analysis of the complex system to that of an appropriate ordinary differential equation (ODE). We proved that the equilibrium strategies converge almost surely to that of an attractor of the ODE. We also derived the conditions under which a mixed evolutionary stable strategy (ESS) emerges; in these scenarios the replicator dynamics converges to an equilibrium at which the expected returns of both the populations are equal. Further the average dynamics (choices based on large observation sample) always averts systemic risk events (events with large fraction of defaults). We verified through Monte Carlo simulations that the equilibrium suggested by the ODE method indeed represents the limit of the dynamics.

Fiscal stimulus as an optimal control problem
Philip A. Ernst,Michael B. Imerman,Larry Shepp,Quan Zhou

During the Great Recession, Democrats in the United States argued that government spending could be utilized to "grease the wheels" of the economy in order to create wealth and to increase employment; Republicans, on the other hand, contended that government spending is wasteful and discouraged investment, thereby increasing unemployment. Today, in 2020, we find ourselves in the midst of another crisis where government spending and fiscal stimulus is again being considered as a solution. In the present paper, we address this question by formulating an optimal control problem generalizing the model of Radner & Shepp (1996). The model allows for the company to borrow continuously from the government. We prove that there exists an optimal strategy; rigorous verification proofs for its optimality are provided. We proceed to prove that government loans increase the expected net value of a company. We also examine the consequences of different profit-taking behaviors among firms who receive fiscal stimulus.

Geometric Brownian Motion under Stochastic Resetting: A Stationary yet Non-ergodic Process
Viktor Stojkoski,Trifce Sandev,Ljupco Kocarev,Arnab Pal

We study the effects of stochastic resetting on geometric Brownian motion (GBM), a canonical stochastic multiplicative process for non-stationary and non-ergodic dynamics. Resetting is a sudden interruption of a process such that the dynamics is renewed intermittently. Quite surprisingly, although resetting renders GBM stationary, the resulting process remains non-ergodic. We observe three different long-time regimes: a quenched state, an unstable and a stable annealed state depending on the resetting strength. Crucially, the regimes are well separated by a self-averaging time period which can be minimized by an optimal resetting rate. Our results can be useful to interpret data emanating from stock market collapse or reconstitution of investment portfolios.

Gift Contagion in Online Groups: Evidence From WeChat Red Packets
Yuan Yuan,Tracy Liu,Chenhao Tan,Qian Chen,Alex Pentland,Jie Tang

Gifts are important instruments for forming bonds in interpersonal relationships. Our study analyzes the phenomenon of gift contagion in online groups. Gift contagion encourages social bonds of prompting further gifts; it may also promote group interaction and solidarity. Using data on 36 million online red packet gifts on China's social site WeChat, we leverage a natural experimental design to identify the social contagion of gift giving in online groups. Our natural experiment is enabled by the randomization of the gift amount allocation algorithm on WeChat, which addresses the common challenge of causal identifications in observational data. Our study provides evidence of gift contagion: on average, receiving one additional dollar causes a recipient to send 18 cents back to the group within the subsequent 24 hours. Decomposing this effect, we find that it is mainly driven by the extensive margin -- more recipients are triggered to send red packets. Moreover, we find that this effect is stronger for "luckiest draw" recipients, suggesting the presence of a group norm regarding the next red packet sender. Finally, we investigate the moderating effects of group- and individual-level social network characteristics on gift contagion as well as the causal impact of receiving gifts on group network structure. Our study has implications for promoting group dynamics and designing marketing strategies for product adoption.

Hedge Fund Treasury Trading and Funding Fragility: Evidence from the COVID-19 Crisis
Kruttli, Mathias S.,Monin, Phillip,Petrasek, Lubomir,Watugala, Sumudu W.
Hedge fund gross US Treasury (UST) exposures doubled from 2018 to February 2020 to $2.4 trillion, primarily driven by relative value arbitrage trading and supported by corresponding increases in repo borrowing. In March 2020, amid unprecedented UST market turmoil, the average UST trading hedge fund had a return of -7% and reduced its UST exposure by close to 20%, despite relatively unchanged bilateral repo volumes and haircuts. Analyzing hedge fund-creditor borrowing data, we find the large, more regulated dealers provided disproportionately more funding during the crisis than other creditors. Overall, the step back in hedge fund UST activity was primarily driven by fund-specific liquidity management rather than dealer constraints. Hedge funds exited the turmoil with 20% higher cash holdings and smaller, more liquid portfolios, despite low contemporaneous outflows. This precautionary flight to cash was more pronounced among funds exposed to greater redemption risk through shorter share restrictions. Hedge funds predominantly trading the cash-futures basis faced greater margin pressure and reduced UST exposures and repo borrowing the most. After the market turmoil subsided following Fed intervention, hedge fund returns recovered quickly, but UST exposures did not revert to pre-shock levels even months afterwards.

Identification and Estimation in Many-to-one Two-sided Matching without Transfers
YingHua He,Shruti Sinha,Xiaoting Sun

In a setting of many-to-one two-sided matching with non-transferable utilities, e.g., college admissions, we study conditions under which preferences of both sides are identified with data on one single market. The main challenge is that every agent's actual choice set is unobservable to the researcher. Assuming that the observed matching is stable, we show nonparametric and semiparametric identification of preferences of both sides under appropriate exclusion restrictions. Our identification arguments are constructive and thus directly provide a semiparametric estimator. In Monte Carlo simulations, the estimator can perform well but suffers from the curse of dimensionality. We thus adopt a parametric model and estimate it by a Bayesian approach with a Gibbs sampler, which works well in simulations. Finally, we apply our method to school admissions in Chile and conduct a counterfactual analysis of an affirmative action policy.

JDOI Variance Reduction Method and the Pricing of American-Style Options
Auster Johan,Mathys Ludovic,Maeder Fabio

The present article revisits the Diffusion Operator Integral (DOI) variance reduction technique originally proposed in Heath and Platen (2002) and extends its theoretical concept to the pricing of American-style options under (time-homogeneous) L\'evy stochastic differential equations. The resulting Jump Diffusion Operator Integral (JDOI) method can be combined with numerous Monte Carlo based stopping-time algorithms, including the ubiquitous least-squares Monte Carlo (LSMC) algorithm of Longstaff and Schwartz (cf. Carriere (1996), Longstaff and Schwartz (2001)). We exemplify the usefulness of our theoretical derivations under a concrete, though very general jump-diffusion stochastic volatility dynamics and test the resulting LSMC based version of the JDOI method. The results provide evidence of a strong variance reduction when compared with a simple application of the LSMC algorithm and proves that applying our technique on top of Monte Carlo based pricing schemes provides a powerful way to speed-up these methods.

Legal Aspects of the Single Monetary Policy in the Euro Area: From the Establishment of the Eurosystem to the Current Pandemic Crisis
Gortsos, Christos
The present University notes contain a brief presentation and analysis of the legal framework governing the single monetary policy in the euro area, as this developed from the establishment of the Eurosystem until today. It is structured in four Sections: Section A deals with the definition of the single monetary policy in the Eurosystem after a brief presentation of the notions of monetary system and (conventional and unconventional) monetary policy. Particular emphasis is given to the definition of price stability in the euro area. The legal framework governing the implementation of the single monetary policy is discussed in Section B. In this respect, the instruments for the implementation of monetary policy (i.e., open market operations, standing facilities and minimum reserves), the eligible counterparties and the assets eligible as collateral in the Eurosystem are discussed in turn.The focus in Section C is on the implementation of the single monetary policy following the recent (2007-2009) global financial crisis (GFC) and the subsequent fiscal crisis in the euro area, discussing in detail the ECB asset purchase programmes (APPs) and the programme for targeted longer-term refinancing operations (TLTROs). Section D reviews then the developments relating to the implementation of the single monetary policy since the outbreak of the current pandemic crisis, discussing, inter alia, the pandemic emergency longer-term refinancing operations (PELTROs), the Pandemic Emergency Purchase Programme (PEPP) and the amendments introduced to other APPs. Finally, the Excursus at the end of the notes briefly presents the newly introduced euro short-term rate (€STR). It is noted that Tables 5 and 6 present (respectively) the evolution of the Eurosystem’s consolidated balance sheet during the period 2007-2017, to highlight the impact of the measures taken after the 2007-2009 GFC and the subsequent euro area fiscal crisis, as well as during the period December 2019 â€" March 2021 to show the impact of the measures taken amidst the pandemic crisis.

Liquidations: DeFi on a Knife-edge
Daniel Perez,Sam M. Werner,Jiahua Xu,Benjamin Livshits

The trustless nature of permissionless blockchains renders overcollateralization a key safety component relied upon by decentralized finance (DeFi) protocols. Nonetheless, factors such as price volatility may undermine this mechanism. In order to protect protocols from suffering losses, undercollateralized positions can be liquidated. In this paper, we present the first in-depth empirical analysis of liquidations on protocols for loanable funds (PLFs). We examine Compound, one of the most widely used PLFs, for a period starting from its conception to September 2020. We analyze participants' behavior and risk-appetite in particular, to elucidate recent developments in the dynamics of the protocol. Furthermore, we assess how this has changed with a modification in Compound's incentive structure and show that variations of only 3% in an asset's dollar price can result in over 10m USD becoming liquidable. To further understand the implications of this, we investigate the efficiency of liquidators. We find that liquidators' efficiency has improved significantly over time, with currently over 70% of liquidable positions being immediately liquidated. Lastly, we provide a discussion on how a false sense of security fostered by a misconception of the stability of non-custodial stablecoins, increases the overall liquidation risk faced by Compound participants.

Monte Carlo Simulation of SDEs using GANs
Jorino van Rhijn,Cornelis W. Oosterlee,Lech A. Grzelak,Shuaiqiang Liu

Generative adversarial networks (GANs) have shown promising results when applied on partial differential equations and financial time series generation. We investigate if GANs can also be used to approximate one-dimensional Ito stochastic differential equations (SDEs). We propose a scheme that approximates the path-wise conditional distribution of SDEs for large time steps. Standard GANs are only able to approximate processes in distribution, yielding a weak approximation to the SDE. A conditional GAN architecture is proposed that enables strong approximation. We inform the discriminator of this GAN with the map between the prior input to the generator and the corresponding output samples, i.e. we introduce a `supervised GAN'. We compare the input-output map obtained with the standard GAN and supervised GAN and show experimentally that the standard GAN may fail to provide a path-wise approximation. The GAN is trained on a dataset obtained with exact simulation. The architecture was tested on geometric Brownian motion (GBM) and the Cox-Ingersoll-Ross (CIR) process. The supervised GAN outperformed the Euler and Milstein schemes in strong error on a discretisation with large time steps. It also outperformed the standard conditional GAN when approximating the conditional distribution. We also demonstrate how standard GANs may give rise to non-parsimonious input-output maps that are sensitive to perturbations, which motivates the need for constraints and regularisation on GAN generators.

Occupational Mobility: Theory and Estimation for Italy
Irene Brunetti,Davide Fiaschi

This paper presents a model where intergenerational occupational mobility is the joint outcome of three main determinants: income incentives, equality of opportunity and changes in the composition of occupations. The model rationalizes the use of transition matrices to measure mobility, which allows for the identification of asymmetric mobility patterns and for the formulation of a specific mobility index for each determinant. Italian children born in 1940-1951 had a lower mobility with respect to those born after 1965. The steady mobility for children born after 1965, however, covers a lower structural mobility in favour of upper-middle classes and a higher downward mobility from upper-middle classes. Equality of opportunity was far from the perfection but steady for those born after 1965. Changes in income incentives instead played a major role, leading to a higher downward mobility from upper-middle classes and lower upward mobility from the lower class.

Optimal parking provision in multi-modal morning commute problem considering ride-sourcing service
Qida Su

Managing morning commute traffic through parking provision management has been well studied in the literature. However, most previous studies made the assumption that all road users require parking spaces at CBD area. However, in recent years, due to technological advancements and low market entry barrier, more and more e-dispatch FHVs (eFHVs) are provided in service. The rapidly growing eFHVs, on one hand, supply substantial trip services and complete the trips requiring no parking demand; on the other hand, imposes congestion effects to all road users. In this study, we investigate the multi-modal morning commute problem with bottleneck congestion and parking space constraints in the presence of ride-sourcing and transit service. Meanwhile, we derive the optimal number of parking spaces to best manage the commute traffic. One interesting finding is that, in the presence of ride-sourcing, excessive supply of parking spaces could incur higher system commute costs in the multi-modal case.

Persuasion Produces the (Diamond) Paradox
Mark Whitmeyer

This paper extends the sequential search model of Wolinsky (1986) by allowing firms to choose how much match value information to disclose to visiting consumers. This restores the Diamond paradox (Diamond 1971): there exist no symmetric equilibria in which consumers engage in active search, so consumers obtain zero surplus and firms obtain monopoly profits. Modifying the scenario to one in which prices are advertised, we discover that the no-active-search result persists, although the resulting symmetric equilibria are ones in which firms price at marginal cost.

Reddit's Self-Organized Bull Runs
Valentina Semenova,Julian Winkler

Tracking endogenous fluctuations in stock prices emerged as a key challenge for empirical work in behavioural and evolutionary finance. This paper uses new data from an online discussion forum, Reddit, to quantify social contagion, or 'hype,' in specific stock market movements, using state of the art opinion dynamics modelling and sentiment analysis. The influence between users on the WallStreetBets (WSB) subreddit is measured by tracing the probability of a user starting a fresh discussion on an asset given their previous involvement in a discussion on the same asset, measured by their comment history. This paper finds that users who comment on one discussion involving a particular asset are approximately four times more likely to start a new discussion about this asset in the future, with the probability increasing with each additional discussion the user engages in. This is a strong indication that investment strategies are reproduced through social interaction. This is further validated by findings that sentiments expressed in the linked submissions are strongly correlated in a set of spatial regression models. In particular, bearish sentiments seem to spread more than their bullish counterparts.

Risk Sharing in Currency Unions: The Migration Channel
Kohler, Wilhelm,Müller, Gernot,Wellmann, Susanne
Country-specific business cycle fluctuations are potentially very costly for member states of currency unions because they lack monetary autonomy. The actual costs depend on the extent to which consumption is shielded from these fluctuations and thus on the extent of risk sharing across member states. The literature to date has focused on financial and credit markets as well as on transfer schemes as channels of risk sharing. In this paper, we show how the standard approach to quantify risk sharing can be extended to account for migration as an additional channel of cross-country risk sharing. In theory, migration should play a key role when it comes to insulating per capita consumption from aggregate fluctuations, and our estimates show that it does so indeed for US states, but not for the members of the Euro area (EA). Consistent with these results, we also present survey evidence which shows that migration rates are about 20 times higher in the US. Lastly, we find, in line with earlier work, that risk sharing is generally much more limited across EA members.

Sectoral slowdowns in the UK: Evidence from transmission probabilities and economic linkages
Janssens, Eva,Lumsdaine, Robin
This paper studies shock transmission across macroeconomic sectors in the UK, using data from the Bank of England's Flow of Funds statistics. We combine two different approaches to quantify the spread of shocks to assess whether sectors with large bilateral economic linkages as measured through network data have a greater statistical likelihood of shock transmission between them. The combination of both approaches reveals the Monetary Financial Institutions sector's role as shock absorber, and identifies the most important channels of shock transmission. The inferential discrepancies between network data and the actual spillovers highlight the contribution of the proposed methodology.

Shareholder Litigation and Workplace Safety
Gong, Ning,Guo, Lixiong,Wang, Zhiyan
Using the staggered state adoption of Universal Demand (UD) law that lowers shareholder derivative litigation risk to identify the impact of shareholder litigation on workplace safety, we find that weakened shareholder litigation rights compromise workplace safety. The impact is more pronounced for firms with weak governance, in less competitive, low union coverage, or low skilled industries. Furthermore, firms in UD law states exhibit higher COVID-19 exposure, more negative sentiments and greater uncertainty about the impact of COVID-19 on their operations than firms in non-UD law states. Overall, our findings suggest that the threat of shareholder litigation incentivizes corporate officials to invest more in workplace safety.

Spatial parking planning design with mixed conventional and autonomous vehicles
Qida Su,David Z.W. Wang

Travellers in autonomous vehicles (AVs) need not to walk to the destination any more after parking like those in conventional human-driven vehicles (HVs). Instead, they can drop off directly at the destination and AVs can cruise for parking autonomously. It is a revolutionary change that such parking autonomy of AVs may increase the potential parking span substantially and affect the spatial parking equilibrium. Given this, from urban planners' perspective, it is of great necessity to reconsider the planning of parking supply along the city. To this end, this paper is the first to examine the spatial parking equilibrium considering the mix of AVs and HVs with parking cruising effect. It is found that the equilibrium solution of travellers' parking location choices can be biased due to the ignorance of cruising effects. On top of that, the optimal parking span of AVs at given parking supply should be no less than that at equilibrium. Besides, the optimal parking planning to minimize the total parking cost is also explored in a bi-level parking planning design problem (PPDP). While the optimal differentiated pricing allows the system to achieve optimal parking distribution, this study suggests that it is beneficial to encourage AVs to cruise further to park by reserving less than enough parking areas for AVs.

Tail Properties of Distributions and Applications
Floros, Christos,Gkillas, Konstantinos,Kountzakis, Christos
In this paper we deduce some useful results about Tail Properties of Distributions and their applications in risk theory and risk management.

The COVID-19 Global Debt Crisis: How to Avoid It
Ozili, Peterson K
This paper analyse the looming COVID-19 global debt crisis. It suggests some actions to be taken by richer countries, heavily indebted countries and international finance corporations to mitigate the looming COVID-19 global debt crisis. It shows that the high debt incurred in the pandemic period by many countries combined with financial tightening conditions such as increase in interest rate can trigger a global debt crisis for heavily indebted countries.

The Covid-19 Pandemic and the Degree of Persistence of Us Stock Prices and Bond Yields
Caporale, Guglielmo Maria,Gil-Alana, Luis A.,Poza, Carlos
This paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966-December 2020 and then a recursive approach is taken to examine whether or not persistence has changed during the following pandemic period. We find that the unit root hypothesis cannot be rejected for stock prices while for bond yields the results differ depending on the maturity date and the specification of the error term. In general, bond yields appear to be more persistent, although there is evidence of mean reversion in case of 1-year yields under the assumption of autocorrelated errors. The recursive analysis shows no impact of the Covid-19 pandemic on the persistence of stock prices, whilst there is an increase in the case of both 10- and 1- year bond yields but not of their spread.

The Non-Linear Impact of Digitization on Remittances Inflow: Evidence from the BRICS
Emara, Noha,Zhang, Yuanhao
Due to the impact of COVID-19, it is important now more than ever to analyze the relationship between the improvement in digitization and the flow of remittances in order to fill the void that has come as a result of stay at home and quarantine orders. Using a comprehensive measure of digitization that encompasses the commonly used proxies of financial technology (Fintech) and employing a System Generalized Method of Moments (GMM) panel estimation methodology on annual data over the period 2004â€"2018, this paper examines the impact of digitization, as a proxy of Fintech, on the inflow of remittances for a sample of 34 developed and developing countries. Our analysis provides an interesting case study on Brazil, Russia, India, China and South Africa (BRICS), known as five emerging markets with a great number of workers out of abroad but below the average level of digital transfers. Using the Digital ecosystem Development Index developed by Katz and Calorda (2018), the results of the paper uncover a statistically significant nonlinear relationship between the improvement in digitization measures and the inflow of remittances with an exact threshold level. More specifically, our results for the full sample indicate that improvement in digitization may initially increase the remittances inflow leading to an increase in the stock of remittances received. Nevertheless, once the digitization index reaches its threshold level further improvement in digitization tends decrease as penetration increases, giving rise to a decline in the rate of remittances inflow. This result implies that the marginal effect of the digital penetration is larger when at its lower level, before the threshold level. For countries such as the BRICS, with a level of digitization below the average of our sample, policy makers should apply more aggressive and comprehensive policies to recoup the maximum gains of a digital ecosystem. Hence, our policy implications are directed towards increasing the investments in developing human capacity including carrying different skill development training programs to prepare individuals for the information age, expanding the internet coverage and speed especially in educational establishments, encouraging the use and access of electronic banking by consumers, producers, and governments, and taking cyber security and fraud protection more seriously to encourage the flow of remittances, especially in light of its renewed utility due to the recent pandemic.