This paper investigates the degree of inflation persistence across regions in Portugal by analyzing the Consumer Price Index (CPI) growth rates for NUTS II regions. The study employs the Augmented Dickey-Fuller (ADF) test to determine whether the CPI data for Portugal is stationary or non-stationary. The results of the ADF test reveal that the IPC data for Portugal is non-stationary, indicating that inflation exhibits persistence in the long run. The study further assesses the persistence of inflation by estimating an autoregressive integrated moving average (ARIMA) model for each region. The Ljung-Box test is used to test for autocorrelation in the time series data, and the Hurst exponent is calculated to evaluate the presence of long-term memory in the time series data. The study finds that there is significant autocorrelation in the time series data for all regions, supporting the presence of persistence in inflation at the regional level in Portugal. The Hurst exponent also shows that the time series data for each region exhibits a high degree of persistence in inflation. Finally, the study applies the ARIMA model to each CPI division's data and uses the Ljung-Box test to test for autocorrelation in the time series data. The results show that some CPI divisions exhibited higher levels of persistence compared to others. For example, the "Housing, water, electricity, gas and other fuels" division exhibited high persistence, while the "Communication" division exhibited low persistence. This study contributes to the existing literature by exploring regional inflation persistence in Portugal and its implications for policymaking. The results provide insights into the inflation persistence patterns across regional levels in Portugal, by emphasizing the need to consider regional differences in inflation dynamics when formulating effective policy interventions. Understanding the persistence of inflation is crucial for policymakers to ensure price stability and sustainable economic growth.

Vector Error Correction Models (VECM) have become a standard tool in empirical economics for analyzing nonstationary time series data because they integrate two key concepts in economics: equilibrium and dynamic adjustment in a single model. The current standard VECM procedure is limited to time series data with the same degree of integration, i.e., all I(1) variables. However, empirical studies often involve time series data with different de‐grees of integration, necessitating the simultaneous handling of I(1) and I(0) time series. This paper extends the standard VECM to accommodate mixed I(1) and I(0) variables. The conditions for the mixed VECM are derived, and consequently, we present a test and estimation for the mixed VECM.

The Oswald hypothesis is that home ownership reduces mobility and through that channel results in poorer labor market outcomes. There has been only limited previous evidence on the Australian case. Here we use data from the first four Australian censuses of the twenty-first century, aggregated at the smallest geographical areas for which statistics are released. We propose testing the Oswald hypothesis by estimating the effect of home ownership on the full-time employment rate. Modelling the unemployment rate, as is often done in testing the hypothesis, produces implausible results with respect to the control variables, most likely due to the limitations of the official definition of unemployment. We find that, in modelling the full-time employment rate, the control variables for educational and demographic factors have the theoretically plausible effects, while variables capturing rates for both outright home ownership and with mortgage home ownership are positively related to full-time employment rates, with the effect of the former stronger than the latter. Our findings strongly contradict the Oswald hypothesis.

Previous literature shows that the price-discovery ability of options market varies substantially over time. Using data of Shanghai Stock Exchange 50 exchange-traded fund options, this paper shows that options prices contribute relatively less to price discovery during low-sentiment periods, but the price-discovery ability of options market remains unchanged during high-sentiment periods. These results suggest that change in aggregate investor sentiment is an important source of the time variation in options’ price discovery ability. Moreover, the options market experiences greater bid-ask spreads when investor sentiment is lower, supporting a “transaction costs mechanism.” This paper fulfills related literature on the time variation in options’ price-discovery ability.

In this study, the time-varying pattern of returns with the trading cost is assessed in light of sanctions on the Russia’s economy. The analysis is performed on the Moscow Exchange Index (MOEX) using the ordinary least squares (OLS) method, Bayes’ Theorem technique, and vector error correction model (VECM). Firstly, the transparency of asset’s value in the same trading period was noted to execute the trade with a limited price impact. Thus, the liquidity seems not priced in returns. In addition, the posterior probability of the transparent asset’s value stabilized the market at a limited transaction cost. In this case, there is less likelihood of liquidity acting as a risk element in returns during the same trading session. These results correspond to the era without sanctions, as well as economic restrictions period. Before the economic restrictions, the execution of investment occurred on its real or close value due to the market transparency in the following trading period. This implies, that the past trading cost series is not priced in yields on investment. During the Russia-related sanctions, a higher price impact of transaction was noted due to the ambiguity in the future asset’s value. Therefore, the past liquidity series is a pricing element in the short run and long run. The analysis suggests a potential inference of trading cost to determine the yield on investment.

Cryptocurrencies have gained popularity over the past five to six years. Most recently, events like the FTX bankruptcy fueled the interest in regulation. Moreover, it is possible that the FTX event disrupting the cryptocurrency market was a factor in Silicon Valley Bank's failure. While several countries consider regulation, from soft regulation, like Japan, to more rigid standards, like the total ban in China, we study the effect of other news or events on cryptocurrency prices. This paper looks at historical closing prices for Bitcoin, the largest of the cryptocurrencies, and how prices react to various events. Then we focus on modeling the time series considering an 'event,' China's ban on cryptocurrency exchanges, using intervention analysis. We find that intervention analysis provides a reliable approach to quantifying the impact regulation may have on cryptocurrency pricing.

The precise prediction of carbon emissions trading prices is the foundation for the stable and sustainable development of the carbon financial market. In recent years, influenced by a combination of factors such as the pandemic, trading regulations, and policies, carbon prices have exhibited strong random volatility and clear non-stationary characteristics. Traditional single-perspective prediction methods based on conventional statistical models are increasingly inadequate due to the homogenization of features and are struggling to adapt to China's regional carbon emissions trading market. Therefore, this paper proposes a multi-perspective fusion-based prediction method tailored to the Chinese market. It leverages carbon emissions trading information from key cities as relevant features to predict the price changes in individual cities. Inspired by the development of artificial intelligence, this paper implements various time series models based on deep neural networks. The effectiveness of the multi-perspective approach is validated through multiple metrics. It provides scientific decision-making tools for domestic carbon emissions trading investors, making a significant contribution to strengthening carbon market risk management and promoting the establishment and rational development of a unified carbon market in China.

Bank deposit is closely related to systemic risks. In addition, considering that resident deposits in China have significant seasonal characteristics, this paper focuses on which component of deposits drives the systemic risk volatility, that is, it can supplement the existing forecast information. We use X-13ARIMA-SEATS to decompose deposit into three subsequences. The research findings show that the forecast effect of subsequence models is better than that of benchmark series. Most importantly, the model with trend component has the best forecast performance.

With the daily data from Nov 20, 2019 to Oct 31, 2022, this paper examines the dynamic nonlinear effects of RCEP on Dual Circulation and Greater Bay Area stock market from a quantile perspective. The rolling window quantile regressions detect the positive effects of RCEP on Dual Circulation and Greater Bay Area stock markets with significant time-varying characteristics. Meanwhile, QQ results show that the impacts from RCEP index are more significant under extreme conditions. In addition, we further use a nonparametric QC test to provide evidence on the predictive power of RCEP for Dual Circulation and Greater Bay Area with stock market.

Information leakage in the stock market has been widely proven. Information disclosure is sometimes uneven, and there is significant information asymmetry between ordinary investors and professional institutional investors. In this paper, Regression Discontinuity design (RDD) model is first employed to analyze the information leakage issues. Based on the daily closing stock prices of 15 capital service listed companies, we analyze the difference between the market reaction time and the disclosure time of two stamp tax policies. We found that the sample policies information may leaked to the market about two days earlier. This paper provides a new method analyzing information leakage.

Energy Performance Certificates are a key tool for achieving energy efficiency in the building sector. The existence of this type of legislation provides incentives for the energy renovation of buildings, increases energy-efficiency investments, and improves social welfare. At the same time, informational asymmetries are mitigated and energy consumption is reduced. However, the decarbonization of the building sector might influence regional energy poverty, especially because the rural energy poor are more vulnerable to energy price increases than their urban counterparts. Empirical research on rural-urban differences and the effects of Energy Performance Certificates is urgently needed, given the rising fuel prices and vulnerabilities of the energy market.

The current study examines the performance of 76 Japanese equity Exchange Traded Funds (ETFs) over the period 1/1/2018-12/31/2022. Performance is estimated in several ways, that is, raw returns, alphas from single- and multi-factor regression models, and risk-adjusted returns. The market timing skills of ETF managers are examined too. The results reveal that, on average, the examined ETFs do not produce any material alpha. The results also indicate that the risk factors suggested by Fama and French (1993 & 2015) are more or less capable of explaining the performance of the Japanese ETFs. Finally, the findings show that 21% of ETF managers possess some sort of market timing skills. However, the managers fail to time the volatility of the stock market.

This work investigates the strength and the pattern of linkages among the three markets of qualitatively differentiated milk (i.e., conventional, organic without heymilk, and organic with heymilk) in Austria using the flexible TVP-VAR frequency connectedness approach and information on prices from 2018 to 2023. The main empirical findings are: (a) Taken together, the markets have maintained a moderate degree of connectedness to each other.  (b) Price linkages have been frequency-dependent; much of the adjustments to incoming information have been completed within 3 months. (c) Connectedness has been asymmetric; the highest quality (organic with heymilk) has been a net transmitter of price shocks to organic without heymilk. (d) The intensity of connectedness has been time-varying; however, the internal structure of the market network (i.e., the net transmitters and receivers of price shocks) has remained fairly stable.

Liquidity can be a real phenomenon for execution of the financial holding. Its risk falls in debate to impose a conditional cost on the counterparty. The time-varying liquidity is often linked to the expected fundamental value of an investment. In this work, the microblogging-based informed transaction is examined as a determinant of the liquidity-facilitating cost. Most importantly, this study investigates the economic blockade era and post-pandemic uncertainty. The sentiment indicators were found to be determinants of liquidity. These findings were consistent in the post-pandemic period. However, the investor pessimistic sentiment was a priced risk factor in liquidity during the economic blockade period. Based on the Bayesian theorem, a relativeness was reported between sentiment indicators and the liquidity-facilitating cost. The same findings were depicted in environments of the pandemic era. Nevertheless, the posterior probability indicated an occurrence of the liquidity-associated cost in response to the pessimistic sentiments during the economic blockade period. This quantification may have potential implications in terms of exploring liquidity from the microblogging perceptive.

This paper specifically underscores the disparities among various ESG rating systems in China, highlighting their varied interpretations and emphasis on corporate financial factors. Analyzing data on Chinese listed firms from 2009-2022, we observe that while company size and leverage ratio uniformly correlate with ESG scores across rating agencies such as Bloomberg, Huazheng, Wind, and Hexun, the influence of factors like return on assets, cash flow, company age, and Tobin's Q is markedly inconsistent among these agencies. For instance, while operational cash flow and company age are positively associated with ESG ratings from Bloomberg, Huazheng, and Wind, they hold an inverse relationship with Hexun's ratings. This divergence underscores the unique data collection, weighting, and evaluation methodologies employed by each rating system. The study emphasizes the criticality of comprehending the nuances of each rating agency's approach when interpreting ESG scores and crafting ESG strategies. Moreover, it advocates for integrating insights from multiple rating systems to cater to the diverse expectations of stakeholders.

The workforce participation rate, and hence the level of employment, for women in Pakistan is among the lowest in South Asia – standing at 25 percent in 2023. Conventional explanations attribute this to poor skills and cultural norms of families and society at large. Empirical work has established that low levels of education, and community attitudes regarding gender roles, hinder women's labor force participation. Ethnographic work suggests that household rules – family culture – on who makes decisions about opportunities for married women to work outside of the home for pay – profoundly impact female employment. This is due to the limited availability of data pertaining to explicit assessments of familial traditions that are pertinent to women's participation in the workforce beyond their domestic sphere. Drawing on data from the Pakistan Social and Living Standards Measurement Survey (PSLM): 2005-2006 – which provides information, from married women, on who in the family decides if they can work – we address this shortcoming in the literature. We find that in families where the decision lies clearly, and exclusively, in the hands of males, married women are 18-19 percent less likely to be employed than if the family culture is for married women – alone – to make this decision. Moreover, this is a much larger deterrent to work than poor education and residential location.

The Weibull distribution is extensively useful in the field of finance, insurance and natural disasters. Recently, It has been considered as one of the most frequently used statistical distributions in modelling and analyzing stock pricing movement and uncertain prediction in financial and investment data sets, such as insurance claims distribution. It is well known that the Bayes estimators of the two-parameter Weibull distribution do not have a compact form and the closed-form expression of the Bayes estimators cannot be obtained. In this paper and the Bayesian setting, it is assumed that the scale parameter of the Weibull model has a gamma prior under the assumption that its shape parameter is known. A simulation study is performed using random claims amount to compare the performance of the Bayesian approach with traditional maximum likelihood estimators in terms of Root Mean Square Errors (RMSE) and Mean Absolute Error (MAE) for different sample sizes, with specific values of the scale parameter and shape parameters. The results have been compared with the estimated result via the maximum likelihood method. The result revealed that the Bayesian approach behaves similarly to the maximum likelihood method when the sample size is small. Nevertheless, in all cases for both methods, the RMSE and MAE decrease as the sample size increases. Finally, applications of the proposed model to the insurance claim data set have been presented.

This research letter investigates hedonic and utilitarian orientations to Online shopping. The data highlight a positive correlation of hedonism with both the length and the frequency of connection to the Internet. It considers two products, jeans and personal computers, that previous literature had identified as being characterized by utilitarian and hedonic features. The results show that consumers prefer to buy products and brands on the Web if they have already seen and experienced them Offline.

This paper estimates panel vector autoregressions to analyze the endogenous connection between COVID-19 and non-communicable diseases (NCDs). Using weekly, US state-level data, the study finds evidence of a significant positive effect of NCD-related mortality on deaths due to COVID-19. I find this effect to be higher for males than females. Results are robust to several sensitivity checks, so large deviations are unexpected.

This paper deals with the gender gap in accessing and using financial services provided by mobile money and financial institutions. Using data from ECOWAS member countries, we applied the Fairlie decomposition method to estimate and decompose the gender gap. The results show that mobile money contributes to improving of the use of services compared to financial institutions. However, it also increases the gender gap in women's disadvantages in accessing and using these services. The difference in the level of education and income between males and females is the main factor explaining the gender gap.