We present two approaches to forecasting parameters in the SABR model. The first approach is the vector autoregressive moving-average model (VARMA) for the time series of the in-sample calibrated parameters, and the second is based on machine learning techniques called epsilon-support vector regression (ε-SVR). Using daily data of S&P 500 ETF option prices from January 1, 2014, to December 31, 2018, we first calibrate the daily values of the model parameters from the training sample, then conduct out-of-sample forecasting of parameters and pricing of options. Both approaches produce good fits between the forecasted and calibrated parameters for out-of-sample dates. A comparison study shows that using forecasted parameters as inputs, the SABR model generates better pricing results than assuming constant parameters or using lag parameters. We also discuss the market conditions under which one approach outperforms the other.

This paper describes two novel approaches to cost estimation of manufactured products where a data set of similar products have known manufactured costs. The methods use the notion of piecewise functions and are (1) clustering and (2) splines. Cost drivers are typically a mixture of categorical and numeric data which complicates cost estimation. Both clustering and splines approaches can accommodate this. Through four case studies, we compare our approaches with the often-used regression models. Our results show that clustering especially offers promise in improving the accuracy of cost estimation. While clustering and splines are slightly more complex to develop from both a user and a computational perspective, our approaches are packaged in an open-source software. This paper is the first known to adapt and apply these two well-known mathematical approaches to manufacturing cost estimation.

Traditionally, conditions of sustainability of the public debt have long been related quite exclusively to fiscal policy and to budgetary parameters. However, the interaction between fiscal and monetary policies regarding the fixation of the interest rate is fundamental. Indeed, a simple analytical modelling shows that if the nominal interest rate increases exponentially with the public debt, because of a default (credit) risk premium, if the confidence of investors is fundamental, conditions of sustainability of the public debt could be much more difficult to comply with. Indeed, if the interest rate is risk-free, values for which the public debt can be sustainable are less constraining if the long-term GDP growth rate is high, or if the long-term risk-free nominal interest rate is small. They are also less constraining if the country decides to turn to a non-negligible primary budget surplus in case of a high public debt. However, if the interest rate exponentially increases with the public debt level, in case of a significant importance of the default (credit) risk premium, these parameters have very limited consequences on sustainable and equilibrium public debt levels. The sustainable public debt that a government should target is then much smaller than in absence of this risk premium.

According to economic theory and common sense, the issuance of consumption coupons on one hand stimulated the increasing of residents' consumption, but on the other pushed up the price level. In this paper, using the theory of mechanism design, the game model was built to analyze the relationship between the effect of consumer coupons during the epidemic and the number of merchants participated. The results show that the smaller the merchants’ number, the weaker the coupons’ effect, vice versa. Then, using KNN regression method, combined with the monthly year-on-year data of CPI from 1998 to 2020, this paper analyzes the changes of CPI forecast value and actual value in the first 10 months of 2020, finding that the actual value of CPI is higher than the predicted one during the first two months of 2020, but lower from March 2020 on, which further verifies the conclusion of game analysis.

The purpose of this paper is to examine and elucidate the effect of the announcement of winning a US federal contract by pharmaceutical companies, traded on the NASDAQ stock exchange on the share prices. The analysis is based on a sample of 327 event days from 12 pharmaceutical companies listed on the NASDAQ market for a given period (2010 – 2021). The sample is analysed by using the event study methodology and Capital Asset Pricing Model (CAPM) in order to examine the abnormal returns and cumulative abnormal returns during an event window of 10 days before the event and 10 days after the event. While prior researchers have identified significant positive abnormal returns following different types of contract announcements, this study aims to contribute to the existing literature by exploring the specific impact of the public contract in the pharmaceutical market on market shares. By investigating this unique aspect, the research fills a gap in previous studies and enhances our understanding of the relationship between public contract announcements and market performance. The data collection utilises secondary data from the official open data source of US federal spending information and daily stock prices. The collected data is analysed quantitatively using event study methodology, allowing for statistical examination of abnormal returns, such as ANOVA analysis, t-statistic, beta index, time series analysis and linear regression. The research findings indicate a significant impact of public contract-winning announcements on cumulative abnormal returns, suggesting a positive reaction from the market. However, average abnormal returns within the event window were positive but not statistically significant. These results imply that winning a government contract has a limited impact on the stock market. The implications of this research highlight the importance of public contract announcements in the pharmaceutical industry and their influence on share prices. The findings provide valuable insights for investors and stakeholders, aiding decision-making processes related to investment opportunities and market performance.

Trust beneficiary protection constitutes an important legal system in the trust industry. This paper, based upon the study approach of the “Theory of Law and Finance”, establishes the trust beneficiary protection index of China. We also test the influence of trust beneficiary protection on the performance of trust companies. As indicated by our study’s results, an “inverted U-shaped” relationship exists between the degree of trust beneficiary protection and the performance of trust companies. In a period when the trust law system has not yet been well established, strengthening trust beneficiary protection could help facilitate the growth of trust company performance. However, this facilitation effect gradually diminishes as the trust law system becomes more perfect. This in turn means that, after reaching a certain peak, conferring the beneficiary with more rights of supervision and participation would cause the performance of trust companies to decline. Improving regional legal environments could also help facilitate the growth of trust company performance. In addition, this facilitation effect is subject to the influence of the nature of trust company controllers. In trust companies controlled by local state-owned capitals, we find that the facilitation effect of the improvement of regional legal environments on trust company performance is inhibited. In trust companies controlled by non-state-owned capitals, however, the facilitation effect of the improvement of regional legal environments on trust company performance is enhanced.

This paper evaluates the use of macro-level insurance to finance post-disaster recovery and reinstatement by investigating the case of the National Disaster Insurance policy implemented by Sri Lanka. The national scheme provided cover for all properties in the country against hazards such as flooding and provided compensation for those affected. Analysis of secondary data obtained from the organisations that managed the scheme showed that the scheme has delivered a much higher return compared to the total insurance premium paid, suggesting that the scheme has delivered a net positive benefit compared to the cost of the premium and can be considered a viable option. However, the existing secondary data did not reveal the values of other costs and indirect benefits associated with the scheme to compute a meaningful benefit-to-cost ratio. Further rigorous, evidence-based cost-benefit analysis is required to assess the cost-effectiveness of a scheme of this nature. A cost-benefit analysis approach based on an analytical hierarchy process is proposed as a possible solution to assess the cost-effectiveness of the scheme, which could be used by government organisations as an alternative, where analytical and research resources may be limited, to evaluate a range of disaster recovery financing options using stakeholder opinion.

This paper evaluates the treatment effect of high-speed rail (HSR) operation on city consumption using the dataset of Chinese cities from 2003 to 2019. Firstly, the applicability of observations is discussed; secondly, observations with no appropriate contrast samples are dropped for more precise empirical results. Then, propensity score matching (PSM) is implied to have the database much more balanced and suitable for the difference-in-difference (DID) framework, that is, the PSM-DID approach. The main results find a novel phenomenon of Simpson's paradox regarding the HSR-consumption nexus, which indicates that even though we can observe the positive effect on the whole, the results argue negative relationships between HSR and consumption within subclass cities. In addition, a dose-response assessment (DR) and some other checks have been proposed to demonstrate robust estimation results.

This paper empirically investigates the relation between firm performance in corporate social responsibility (CSR) and the need and likelihood of external financing to test the predictions of agency and stakeholder theories. Empirical results from Logit, Linear Probability Model, OLS and Firm fixed effects regressions indicate that CSR is negatively related to the likelihood and level of external financing. Further analysis indicates that CSR has a negative and significant effect on both net equity issued (NEI) and net debt issued (NDI), the two components of external financing. Overall, the empirical results support the predictions of agency theory.

Speeding up digital development and building "digital China" is an important strategic deployment of the "14th Five-Year Plan" and a concrete measure to promote the high-quality development of China's sports industry and national health. Based on provincial data in China from 2011 to 2019, an empirical model is used to analyze the relationship between digital construction, sports industry development and national health investment. The results show that digitalization is instrumental for sports industry development and the improvement of national health in China. Digitalization has promoted the healthy development of sports industry and national health by increasing the input of public science and technology.

Based on China's 30 provincial panel data from 2006 to 2018, this paper uses the spatial Durbin model to empirically study the influence path and transmission mechanism of financial development on regional technological innovation, and introduce digital finance environment, marketization degree, and government environmental management as an adjustment variable to verify its regulating effect on financial development and regional technological innovation. The study found that the overall promotion of digital finance to local technological innovation is not significant. Besides, the characteristics of ownership discrimination and weak risk appetite in the bank's medium and long-term credit market have led to its failure to promote regional technological innovation. In contrast, the stock market and bond market in direct financing channels have enhanced local innovation capabilities. When the external environmental system is used as the adjustment variable, the results show that an excellent digital finance development, marketization degree, and government environmental management can effectively and positively regulate the effect of financial development and technological innovation.

This study simultaneously tests Wagner’s law on one hand and Keynes proposition on the other hand related both government spending and output in Ivory Coast that experiencing long run economic growth and widened deficit. That challenges the country’s fiscal sustainability. With annual data from 1980 to 2020, results show that Wagner’s law holds, the elasticity of government spending to output is greater than one. There is bidirectional causality between government size and output validating Keynesian idea that public expenditure is an exogenous factor and a policy instrument for increasing national income. Wagner law and public deficit can justify Ivorian over-indebtedness.

We study analytically the conflict of goals between stabilizing economic activity and public debt sustainability, for the fiscal authorities. In the short run, an active and expansionary fiscal policy, increasing public investment or reducing the labor taxation rate, is growth enhancing. However, as these short term fiscal policies also decrease government revenue and increase the public debt, budgetary and fiscal multipliers are reduced in the long run. In the framework of a potential ZLB constraint for monetary policy, an expansionary fiscal policy is thus appropriate only if long term labor and consumption taxation rates are small, and if the share of public expenditure in GDP is high. On the contrary, fiscal policy should be contractionary, in order to insure the sustainability of the long term public debt, if long term labor and consumption taxation rates are high. A contractionary fiscal policy is then also all the more appropriate as the sensitivity of government expenditure to the public debt is high, and as the labor share in the production function is high.

"Climate Economics and Finance" has risen to prominence as a crucial field, encompassing three primary dimensions: Climate Economics, Climate Finance, and the Intersection of Climate Change and Financial Markets. The adverse externalities arising from climate change, exemplifying a classic instance of "market failure" within market economic frameworks, have garnered global attention. Subsequently, we delve into the literature across three dimensions: the interplay between climate change and macroeconomics, the nexus of climate change and financial markets, and economic or financial resilience. In conclusion, we outline various promising avenues for prospective research in the realm of climate economics and finance.

This study provides insight into CEO compensation dynamics in the public sector and private sector publicly listed firms in New Zealand. This research uses descriptive statistics, OLS regression, and the difference-in-difference method to analyze the compensation-performance relationship for the period 2005 to 2012. Our findings show that CEOs in the private sector publicly listed firms are receiving higher remuneration benefits. Our results suggest that firm sales and past compensation are the most important determinants of CEO cash-based as well as total compensation. Firms with a larger board size and the presence of a formal remuneration committee are likely to provide higher cash compensation than those without.

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.

The paper addresses the alternative policy options available to address the question of lives versus livelihood in an SIRD model augmented with a macroeconomic structure. An important contribution of the paper lies in designing the policy of lockdown dependent on the extent of the constraint on the health facilities. The paper supplements the literature with a less stringent version of the lockdown policy, viz. soft lockdown policy which is shown to be more attractive from a public policy standpoint and has actually been practised in many countries across the globe during the recent pandemic. Finally, the optimal policy derived on the basis of the level of lockdown and adjustment of the binding constraint on health facilities depends on the objective of policy makers contingent on the relative weights of lives versus livelihood.

The digital economy industry plays a transformative role in reshaping the global production networks, the local division of production, and the integration and innovation of business forms. However, to what extent the industry enables the high-quality development and upgrading of urban economies is unclear. Based on the census data of digital economy enterprises in Hangzhou in 2008, 2013 and 2018, this paper verifies the characteristics of the digital economy industry and its enabling mechanism for high-quality urban economic development. It is found that: firstly, the digital economy industry has three main forms for the economy, namely, the sharing, scale and scope economy. Secondly, the industry has four major mechanisms to improve the quality of urban economies. That is, it can restructure the global industrial division of labor and value chains, promote the transformation of scale economy from the supply side to the demand side, enable the softening and servitization of industrial structure, and generate the scale of economies. This paper thus contributes to understanding the evolution of enterprise organizational structure and industrial competitiveness and the endogenous technological change under the digital economy.

The sensitive nature of interest rate has spurred empirical interests on the factors that determine it. This paper examined the joint impact of exchange rate and foreign direct investment inflows on interest rate in Nigeria over the period from 1981-2022. The study made use of the auto regressive distributed lag (ARDL) bounds test and results of findings reveal that in both the short-run and the long-run the impact of the interaction between FDI inflows and exchange rate on real interest rate was negative and significant. Also, while credit to the private sector was found to have significant positive impact on real interest rate in both the time horizons, the impact of consumer price index was negative only in the short. Oil revenue was found to impact positively on real interest rate only in the long-run, but the impact of broad money supply was negative and significant in both the short-run and the long-run. The study suggests that policies to regulate domestic interest rate should focus on joint regulation of both exchange rate and FDI inflows and this requires a synergy between monetary and fiscal policies.

Many of Keynes´s ideas and concepts are proven correct in this paper. The demand side, mainly business investments, drives the economy. Business firms steer the business cycle via profit expectations and animal spirits. Injections to and withdrawals from the circular flow of income are multiplied throughout the economy in accordance with Keynes´s multiplier. A sudden and sharp rise in households´ saving rates has a detrimental effect on aggregate demand, in line with Keynes´s paradox of thrift. Finance, not saving in the S=I sense, is the necessary condition for business investments and economic growth to be realized. Keynes´s finance motive thus makes money endogenous, contradicting the textbook result that exogenous money steers aggregate demand, contradicting the mainstream loanable funds theory and putting into question the Keynesian theory of sticky prices as a condition for real growth. However, a crucial omission in Keynes´s productive writings is the lack of an accelerator tying income to investment. Some of his followers such as Paul Samuelson tried to remedy that by developing multiplier-accelerator models. The problem with them is that the accelerator lacks micro foundations, in specific disregarding business confidence. Linking macro accounting identities with empirical national accounts data for five major economies produces the finding that business firms explain more than all aggregate expenditure growth during a 25-year period. Thus, it is concluded that business confidence is the root of the business cycle. Making the accelerator account for business confidence casts new light on the perhaps most well-known Keynesian “truth”: active fiscal policy as a main force stabilizing the business cycle. With business confidence being the endogenous and ubiquitous variable driving the business cycle, it turns out that any exogenous factor has the possibility to affect it. Policy needs to be viewed as a competing factor to the factor(s) driving the cycle in the other, destabilizing direction. The more powerful those factors are (e.g., a deadly virus), the tougher it gets for policy to “win” the competition, turning business confidence around. This leads up to the paper´s main conclusion: the worse the economy, the stronger is the case for active fiscal policy, but the lesser is the chance for it to succeed.