Multi-country event-study methods

We provide the first simulation evidence of event-study test performance in multi-country non-US samples. The nonparametric rank and generalized sign tests are more powerful than two common parametric tests, especially in multi-day windows. The two nonparametric tests are mostly well specified, but neither is perfectly specified in all situations. The parametric standardized cross-sectional test can provide a useful robustness check but is less powerful than the nonparametric tests and rejects too often in single-market samples and when firm-specific events affect the market index. Local-currency market-model abnormal returns using national market indexes are sufficient.     

Options and efficiency in spaces of bounded claims

In a seminal contribution, Ross (1976) showed that a static finite state-space market can be completed by supplementing the primitive securities with ordinary call and put options. Galvani (2009) extends this result to norm separable _Lp$L_p$-spaces, with 1≤p<∞$1\le p<\infty$. This study concludes that options maintain the same spanning power in the space of bounded payoffs topologized by the duality with the space of the state price densities. In particular, under mild assumptions on the probability space, options written on a claim that is a.s. equal to an injective function complete the market.     

Environmental Policy and the International Diffusion of Cleaner Energy Technologies

Technology transfer is an important channel of technological change and sustainable development for countries with less innovative ability than technological leaders. This paper studies whether domestic environmental policies affect the inward technology transfer of cleaner innovation from abroad. We focus specifically on the power sector, for its important role in the decarbonization process, by looking at zero-carbon (renewable) and carbon-saving (efficient fossil) technologies for energy production. Using data on cross-country patent applications, we provide evidence that environmental policy contributes to attracting foreign cleaner technology options to OECD markets but not to non-OECD markets. We show that this is due to the nature of the implemented policy instruments. Market-based approaches positively impact technology transfer to both OECD and non-OECD economies, while non-market based approaches have at best only a weak effect in OECD countries. Domestic environmental policies may provide too weak a signal for foreign innovators in countries off the technological frontier. This calls for a strengthening of policy incentives for technology transfer in light of pressing climate change objectives.     

The economic impact of digital technologies in Europe

This paper analyses the economic impact of digital technologies in Europe distinguishing between different stages/domains of the digitalization process. A set of composite Information and Communication Technologies (ICT) indicators is used for capturing the access to ICTs, the ability to use them and the digital empowerment of individuals in key social and economic domains. We argue that the mere accessibility to ICT facilities is only a pre-condition for moving towards a digitalized society, while the ‘level’ and the ‘quality’ in the use of these technologies, as well as the conditions facilitating or hampering digital empowerment, play a much more important role. Several transmission mechanisms from ICT access, usage and digital empowerment to key macro-economic variables (namely labour productivity, gross domestic product per capita, employment growth and the employment rate) are identified. The econometric evidence supports our hypotheses showing that the usage of ICT, and mostly digital empowerment, exert the major economic effects, especially on employment also favouring the inclusion of ‘disadvantaged’ groups in the labour market. We conclude that digitalization may drive productivity and employment growth and that inclusive policies may effectively contribute to bridge the gap between the most favoured and the disadvantaged parts of the population, thus helping in achieving the 2020 Europe targets.     

Scale economies and input price elasticities in microfinance institutions

We evaluate the efficiency of microfinance institutions (MFIs) using a structural approach which also captures these institutions’ outreach and sustainability objectives. We estimate economies of scale and input price elasticities for lending-only and deposit-mobilizing MFIs using a large sample of high-quality panel data. The results confirm conjectures that improvements in efficiency can come from the growth or consolidations of MFIs, as we find substantial increasing returns to scale for all but profitability-focused deposit-mobilizing MFIs. Our results support the existence of a trade-off between outreach and sustainability. All inputs are inelastic substitutes, but we find differences in own-price elasticities in lending-only and deposit-mobilizing MFIs.     

Analysing the risk premium in the Italian stock market: ARCH-M models versus non-parametric models

This Paper investigates the variability of the risk premium in the Italian stock market, over the period 1978–89. We have modelled voatility using two different approaches: ARCH-M models and non-parametric models. The estimate of the ARCH-M models confirm the existence of both an ARCH process in the variance and a time-varying risk premium. Also the non-parametric specification confirms the existence of a time varying risk premium. Moreover in both models the acceleration in the inflation rate has a negative effect on stock prices.