Climate‐Neutrality Transition and Banks' Loan Pricing
Journal of Financial Research, EarlyView.Abstract In this paper, we propose a novel methodology to quantify firms' climate‐change transition risk (CCTR) and its implications for credit markets. We utilize the regulatory framework of the European Green Deal's 2050 carbon neutrality roadmap, focusing on large Eurozone firms and their banking relationships.
Evangelos Salachas +2 more
wiley +1 more source
Financial Fragility and the Fiscal Multiplier
Journal of Money, Credit and Banking, EarlyView.Abstract We show that undercapitalized banks with large holdings of government bonds subject to sovereign default risk lead to a new crowding‐out channel: deficit‐financed fiscal stimuli lead to higher bond yields, triggering capital losses for the banks. Banks then cut back loans, which reduces fiscal multipliers.
CHRISTIAAN VAN DER KWAAK +1 more
wiley +1 more source
The Evolution of Interest‐Rate Models: From the Yield Curve to the Swaption Cube
Journal of Economic Surveys, EarlyView.ABSTRACT Interest‐rate modelling is often taught as a catalogue of competing stochastic equations, obscuring why models were created and why modern sell‐side desks use several simultaneously. This survey reorganises the field around five layers of a pricing architecture: curve construction; arbitrage‐free dynamics; volatility‐smile representation ...
Xuan Feng +2 more
wiley +1 more source
A Unified Approach to Estimating Production Functions: Proxy Variables and Dynamic Panel Data
The Journal of Industrial Economics, EarlyView.ABSTRACT We propose a new approach to production function estimation that integrates the strengths of the proxy‐variable (PV) and dynamic panel data (DPD) methods. Our framework augments the set of instruments for the level equation in Blundell and Bond [8] with a Berkson‐type instrument motivated by economic theory, following Olley and Pakes [28 ...
Jose Miguel Abito +1 more
wiley +1 more source
Validating HIV Viral Suppression Threshold Adjustments for Comparable Estimates Using Data From Nationally Representative Household Surveys in Sub-Saharan Africa. [PDF]
J Acquir Immune Defic SyndrEdun O +5 more
europepmc +1 more source
Effect of sintering cycle on the strength and translucency of multilayered zirconia
Journal of Prosthodontics, EarlyView.Abstract Purpose A newly introduced sintering protocol promises to offer higher translucency while not significantly compromising the flexural strength of the material. However, the effect of the novel sintering protocol has not been thoroughly validated.
Kedith Sawangsri +3 more
wiley +1 more source
Contingent capital: A tale of two valuations
Journal of Risk and Insurance, EarlyView.Abstract This study investigates the valuation gap between buyers and sellers of insurers' contingent capital, driven by asymmetric exposures to tax benefits, capital injections, and bankruptcy costs. We develop a novel Twin‐Tree Model with Jumps (TTMJ) that models the insurer's asset value dynamics by incorporating catastrophe risk, insolvency risk ...
Tian‐Shyr Dai +3 more
wiley +1 more source
A Bayesian Log-Cauchy Mixture Cure Fraction Model for Heavy-Tailed Survival Data: Implementation via OpenBUGS. [PDF]
Stat MedSalah K.
europepmc +1 more source
The Returns to Education: A Reply
Kyklos, EarlyView.ABSTRACT In this response to Lee Crawfurd's comment on The Returns to Education: A Meta‐Study, we address his three main criticisms. We contend that estimates based on compulsory schooling laws constitute the most reliable evidence on causal returns to education. We show that our parsimonious approach to correcting for publication bias is preferable to
Gregory Clark +1 more
wiley +1 more source
Statistical Variability and Lower-Tail Performance Assessment of Tensile Properties in Flax, Jute, and Carbon Fiber Composite Laminates. [PDF]
Polymers (Basel)Tiwari S, Lee J, Khan MF, Park N.
europepmc +1 more source