Governance of tax courts

This paper attempts to penetrate the “black box” of the judiciary through an empirical investigation of the Italian tax courts of first instance. Both judicial delay and two-stage Data Envelopment Analysis approach with bootstrap are used to measure the efficiency of the court system and to further identify the main determinants of efficiency which, in line with the previous literature, seem to be mostly related to the judges’ effort. The study also takes advantage of an idiosyncratic feature of this branch of the Italian judiciary—in which judges are temporarily appointed and can continue to practice an external (though not conflicting) profession—to assess the impact of opportunity costs on the behavior of judges. The overall outcome confirms that judges maximize utility “the same as everybody else does” (Posner, Supreme Court Econ Rev 3:1–41, 1993).     

The European Monetary Policy Responses During the Pandemic Crisis

This paper uses an event-based analysis to describe how the European Central Bank’s (ECB’s) policy responses to the pandemic crisis have affected the European financial and economic system. The result of our exercise, which is based on the examination of the main measures taken by the ECB during 2020, is that these responses have positively affected the European economic system by improving banks’ lending activity and by indirectly creating room for expansionary fiscal policies in the euro area’s high-debt countries that do not have fiscal capacity.

     

Assessing skewness in financial markets

It is a matter of common observation that investors value substantial gains but are averse to heavy losses. Obvious as it may sound, this translates into an interesting preference for right-skewed return distributions, whose right tails are heavier than their left tails. Skewness is thus not only a way to describe the shape of a distribution, but also a tool for risk measurement. We review the statistical literature on skewness and provide a comprehensive framework for its assessment. Then, we present a new measure of skewness, based on the decomposition of variance in its upward and downward components. We argue that this measure fills a gap in the literature and show in a simulation study that it strikes a good balance between robustness and sensitivity.     

An Options Game approach to valuate broadband projects in a smart city context

Quality & Quantity - Broadband projects nowadays represent a valid investment alternative to pursuing smart city goals, particularly considering the rapid development that has affected the...     

COVID-19, ESG investing,and the resilience of more sustainable stocks: Evidence from European firms

Following the COVID-19 outbreak, orientation toward sustainability is a critical factor in ensuring firm survival and growth. Using a large sample of 1,204 firms in Europe during the year 2020, this study investigates how more sustainable firms fare during the pandemic compared with other firms in terms of risk–return trade-off and stock market liquidity. We also highlight the drivers of the resilience of more sustainable firms to the pandemic. Particularly, we document that higher levels of cash holdings and liquid assets in the pre-COVID period help these firms to perform and absorb the COVID-19 externalities better than other firms. Our results are robust to a host of econometric models, including GMM estimations and several measures of stock market performance. These findings contribute to the theoretical and empirical debate on the role of the sustainability as a source of corporate resilience to unexpected shocks.     

UNCERTAINTY AND MONETARY POLICY DURING THE GREAT RECESSION

We employ a nonlinear proxy-VAR approach to document the large response of real activity to a financial uncertainty shock during and in the aftermath of the Great Recession. We replicate this evidence with an estimated DSGE framework that we employ to quantify the output loss due to the large uncertainty shock that materialized in 2008Q4. We find such a shock to be able to explain about 60% of the output loss in the 2008–2014 period. Our model also points to the powerful role played by the Federal Reserve's systematic monetary policy in limiting the loss of output during the Great Recession.     

Global financial uncertainty

We estimate a novel measure of global financial uncertainty (GFU) with a dynamic factor framework that jointly models global, regional, and country-specific factors. We quantify the impact of GFU shocks on global output with a VAR analysis that achieves set identification via a combination of narrative, sign, ratio, and correlation restrictions. We find that the contraction in world output during the Great Recession would have been 13% milder in absence of GFU shocks. We also find support for a global finance uncertainty multiplier: the more global financial conditions deteriorate after a GFU shock, the larger the world output contraction is.     

Estimating Lower Tail Dependence Between Pairs of Poverty Dimensions in Europe

This article provides an innovative method for measuring the dependence between pairs of poverty dimensions using a semiparametric copula approach that permits us to account for the importance of extreme low values. The association between pairs of poverty dimensions at the lower tail is easily measured using the parameter estimates of the specified parametric copula, and no further calculations are needed. This approach is used to measure the bivariate lower tail dependence between the dimensions of the AROPE rate in Europe at two time points (2009 and 2018). The findings reveal a statistically significant increase in the lower tail dependence between 2009 and 2018 in several European countries.