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In this paper, we investigate the relation between buildings' energy efficiency and the probability of mortgage default. To this end, we construct a novel panel dataset by combining Dutch loan-level mortgage information with provisional building energy ratings that are calculated by the Netherlands Enterprise Agency. By employing the Logistic regression and the extended Cox model, we find that buildings' energy efficiency is associated with lower likelihood of mortgage default. The results hold for a battery of robustness checks. Additional findings indicate that credit risk varies with the degree of energy efficiency.
This paper compares the dynamics of the financial integration process as described by different empirical approaches. To this end, a wide range of measures accounting for several dimensions of integration is employed. In addition, we evaluate the performance of each measure by relying on an established international finance result, i.e., increasing financial integration leads to declining international portfolio diversification benefits. Using monthly equity market data for three different country groups (i.e., developed markets, emerging markets, developed plus emerging markets) and a dynamic indicator of international portfolio diversification benefits, we find that (i) all measures give rise to a very similar long-run integration pattern; (ii) the standard correlation explains variations in diversification benefits as well or better than more sophisticated measures. These Findings are robust to a battery of robustness checks.
his paper examines whether investor mood, driven by World Health Organization (WHO) alerts and media news on globally dangerous diseases, is priced in pharmaceutical companies' stocks in the United States. We concentrate on irrational investors who buy and sell pharmaceutical companies' stocks guided by beliefs as opposed to rational expectations. We argue that disease-related news (DRNs) should not trigger rational trading. We find that DRNs have a positive and significant sentiment effect among investors (on Wall Street). The effect is stronger (weaker) for small (large) companies, who are less (more) likely to engage in the development of new vaccines in the wake of DRNs. A potential negative mood (on Main Street) – induced by disease related fear – does not alter the positive sentiment effect. Our findings give rise to profitable trading strategies leading to significantly positive performances. Overall, this unparalleled research shows that large events of devastating nature to the economy can be considered as good news to some groups of interest, such as stock market traders.
This paper examines the welfare implications of rising temperatures. Using a standard VAR, we empirically show that a temperature shock has a sizable, negative and statistically significant impact on TFP, output, and labor productivity. We rationalize these findings within a production economy featuring long-run temperature risk. In the model, macro-aggregates drop in response to a temperature shock, consistent with the novel evidence in the data. Such adverse effects are long-lasting. Over a 50-year horizon, a one-standard deviation temperature shock lowers both cumulative output and labor productivity growth by 1.4 percentage points. Based on the model, we also show that temperature risk is associated with non-negligible welfare costs which amount to 18.4% of the agent's lifetime utility and grow exponentially with the size of the impact of temperature on TFP. Finally, we show that faster adaptation to temperature shocks results in lower welfare costs. These welfare benefits become substantially higher in the presence of permanent improvements in the speed of adaptation.
We build a novel leading indicator (LI) for the EU industrial production (IP). Differently from previous studies, the technique developed in this paper is able to produce an ex-ante LI that is immune to “overlapping information drawbacks”. In addition, the set of variables composing the LI relies on a dynamic and systematic criterion. This ensures that the choice of the variables is not driven by subjective views. Our LI anticipates swings (including the 2007-2008 crisis) in the EU industrial production – on average – by 2 to 3 months. The predictive power improves if the indicator is revised every five or ten years. In a forward-looking framework, via a general-to-specific procedure, we also show that our LI represents the most informative variable in approaching expectations on the EU IP growth.
We study how the Eurosystem Collateral Framework for corporate bonds helps the European Central Bank (ECB) fulfill its policy mandate. Using the ECBs eligibility list, we identify the first inclusion date of both bonds and issuers. We find that due to the increased supply and demand for pledgeable collateral following eligibility, (i) securities lending market trading activity increases, (ii) eligible bonds have lower yields, and (iii) the liquidity of newly-issued bonds declines, whereas the liquidity of older bonds is una↵ected/improves. Corporate bond lending relaxes the constraint of limited collateral supply, thereby making the market more cohesive and complete. Following eligibility, bond-issuing firms reduce bank debt and expand corporate bond issuance, thus increasing overall debt size and extending maturity.
Energy efficiency represents one of the key planned actions aiming at reducing greenhouse emissions and the consumption of fossil fuel to mitigate the impact of climate change. In this paper, we investigate the relationship between energy efficiency and the borrower’s solvency risk in the Italian market. Specifically, we analyze a residential mortgage portfolio of four financial institutions which includes about 70,000 loans matched with the energy performance certificate of the associated buildings. Our findings show that there is a negative relationship between a building’s energy efficiency and the owner’s probability of default. Findings survive after we account for dwelling, household, mortgage, market control variables, and regional and year fixed effect. Additionally, a ROC analysis shows that there is an improvement in the estimation of the mortgage default probability when the energy efficiency characteristic is included as a risk predictor in the model.
Measurements of the production cross sections of prompt D0, D+, D∗+, D+s, Λ+c, and Ξ+c charm hadrons at midrapidity in proton−proton collisions at s√=13 TeV with the ALICE detector are presented. The D-meson cross sections as a function of transverse momentum (pT) are provided with improved precision and granularity. The ratios of pT-differential meson production cross sections based on this publication and on measurements at different rapidity and collision energy provide a constraint on gluon parton distribution functions at low values of Bjorken-x (10−5−10−4). The measurements of Λ+c (Ξ+c) baryon production extend the measured pT intervals down to pT=0(3)~GeV/c. These measurements are used to determine the charm-quark fragmentation fractions and the cc¯¯ production cross section at midrapidity (|y|<0.5) based on the sum of the cross sections of the weakly-decaying ground-state charm hadrons D0, D+, D+s, Λ+c, Ξ0c and, for the first time, Ξ+c, and of the strongly-decaying J/psi mesons. The first measurements of Ξ+c and Σ0,++c fragmentation fractions at midrapidity are also reported. A significantly larger fraction of charm quarks hadronising to baryons is found compared to e+e− and ep collisions. The cc¯¯ production cross section at midrapidity is found to be at the upper bound of state-of-the-art perturbative QCD calculations.
Measurements of the production cross sections of prompt D0, D+, D∗+, D+s, Λ+c, and Ξ+c charm hadrons at midrapidity in proton−proton collisions at s√=13 TeV with the ALICE detector are presented. The D-meson cross sections as a function of transverse momentum (pT) are provided with improved precision and granularity. The ratios of pT-differential meson production cross sections based on this publication and on measurements at different rapidity and collision energy provide a constraint on gluon parton distribution functions at low values of Bjorken-x (10−5−10−4). The measurements of Λ+c (Ξ+c) baryon production extend the measured pT intervals down to pT=0(3)~GeV/c. These measurements are used to determine the charm-quark fragmentation fractions and the cc¯¯ production cross section at midrapidity (|y|<0.5) based on the sum of the cross sections of the weakly-decaying ground-state charm hadrons D0, D+, D+s, Λ+c, Ξ0c and, for the first time, Ξ+c, and of the strongly-decaying J/psi mesons. The first measurements of Ξ+c and Σ0,++c fragmentation fractions at midrapidity are also reported. A significantly larger fraction of charm quarks hadronising to baryons is found compared to e+e− and ep collisions. The cc¯¯ production cross section at midrapidity is found to be at the upper bound of state-of-the-art perturbative QCD calculations.
The Chiral Magnetic Wave (CMW) phenomenon is essential to provide insights into the strong interaction in QCD, the properties of the quark-gluon plasma, and the topological characteristics of the early universe, offering a deeper understanding of fundamental physics in high-energy collisions. Measurements of the charge-dependent anisotropic flow coefficients are studied in Pb-Pb collisions at center-of-mass energy per nucleon-nucleon collision sNN−−−√= 5.02 TeV to probe the CMW. In particular, the slope of the normalized difference in elliptic (v2) and triangular (v3) flow coefficients of positively and negatively charged particles as a function of their event-wise normalized number difference, is reported for inclusive and identified particles. The slope rNorm3 is found to be larger than zero and to have a magnitude similar to rNorm2, thus pointing to a large background contribution for these measurements. Furthermore, rNorm2 can be described by a blast wave model calculation that incorporates local charge conservation. In addition, using the event shape engineering technique yields a fraction of CMW (fCMW) contribution to this measurement which is compatible with zero. This measurement provides the very first upper limit for fCMW, and in the 10-60% centrality interval it is found to be 26% (38%) at 95% (99.7%) confidence level.