Sustainable development and financial institutions: Do banks' environmental policies influence customer deposits?

This paper investigates the relationship between the environmental policies taken by financial institutions and the choice of depositors on where to save their money. Prior research has shown that increases in the number of customers making deposits are driven by bank pricing policy and switching costs for depositors. By employing a dynamic panel data model, this study empirically tests how environmental performance influences the depositors' choice on where to put their money in a sample of worldwide financial institutions from 2011 to 2018. The main results suggest that there is a negative relationship between banks' environmental performance and customers' deposits. Furthermore, the banks that are the best at managing carbon emissions and at pursuing sustainable development pay lower interest rates on customer deposits.     

Regional Integration and the Co-ordination of Capital Income Taxation

This paper addresses the question of the need for income tax harmonization in the context of regional integration. It analyses the international distortions and fiscal interdependence arising in the presence of tax rate differentials both under a theoretical and an empirical perspective, and with reference to actual experiences of harmonization attempts. Attention is also paid to the influence of the countries' size on the results, to the strategic behaviour of countries under different international taxations rules, and to the relationships with the countries excluded by the integration process. International tax uniformity does not appear to be the preferable solution, even if some form of concerted agreements might help in reducing inefficiencies deriving from taxation differentials. For instance, in the case of highly mobile factors, like financial capital, if the integrating countries apply the source principle and the interest rate is the same across them, the source-based tax rate on non residents must equal the residence country tax rate on residents. Such a rule would allow the countries to set autonomously their tax rate and, at the same time, eliminate cross-border effects. If there are more than two integrating countries, the tax rates on non residents should discriminate according to the internal tax rate of the residence country.
(J.E.L.: H87, F20, H20).     

The Poisson Log-Bilinear Lee-Carter Model

Abstract

Life insurance companies deal with two fundamental types of risks when issuing annuity contracts: financial risk and demographic risk. Recent work on the latter has focused on modeling the trend in mortality as a stochastic process. A popular method for modeling death rates is the Lee-Carter model. This methodology has become widely used, and various extensions and modifications have been proposed to obtain a broader interpretation and to capture the main features of the dynamics of mortality rates. In order to improve the measurement of uncertainty in survival probability estimates, in particular for older ages, the paper proposes an extension based on simulation procedures and on the bootstrap methodology. It aims to obtain more reliable and accurate mortality projections, based on the idea of obtaining an acceptable accuracy of the estimate by means of variance reducing techniques. In this way the forecasting procedure becomes more efficient. The longevity question constitutes a critical element in the solvency appraisal of pension annuities. The demographic models used for the cash flow distributions in a portfolio impact on the mathematical reserve and surplus calculations and affect the risk management choices for a pension plan. The paper extends the investigation of the impact of survival uncertainty for life annuity portfolios and for a guaranteed annuity option in the case where interest rates are stochastic. In a framework in which insurance companies need to use internal models for risk management purposes and for determining their solvency capital requirement, the authors consider the surplus value, calculated as the ratio between the market value of the projected assets to that of the liabilities, as a meaningful measure of the company’s financial position, expressing the degree to which the liabilities are covered by the assets.     

Singular risk-neutral valuation equations

Many risk-neutral pricing problems proposed in the finance literature do not admit closed-form expressions and have to be dealt with by solving the corresponding partial integro-differential equation. Often, these PIDEs have singular diffusion matrices and coefficients that are not Lipschitz-continuous up to the boundary. In addition, in general, boundary conditions are not specified. In this paper, we prove existence and uniqueness of (continuous) viscosity solutions for linear PIDEs with all the above features, under a Lyapunov-type condition. Our results apply to European and Asian option pricing, in jump-diffusion stochastic volatility and path-dependent volatility models. We verify our Lyapunov-type condition in several examples, including the arithmetic Asian option in the Heston model.     

A Simple Panel‐CADF Test for Unit Roots*

In this paper, we propose a simple extension to the panel case of the covariate‐augmented Dickey–Fuller (CADF) test for unit roots developed in Hansen (1995) . The panel test we propose is based on a P values combination approach that takes into account cross‐section dependence. We show that the test has good size properties and gives power gains with respect to other popular panel approaches. An empirical application is carried out for illustration purposes on international data to test the purchasing power parity (PPP) hypothesis.     

How state influence on project work organization both drives and mitigates gendered precarity in cultural and creative industries

This article develops an understanding of gendered precarity in project work by considering how the transfer of risk from employer to worker is shaped by the contextual pressures of state policy and the organization of the industrial field. The focus is the organization of project work as a condition underpinning the shifting of this risk in a mature field of precarious employment, the cultural and creative industries (CCIs). Our empirical exploration in Film/TV in the UK and Germany, and Dance in Sweden and the Netherlands, examines the dynamic interplay between state policy domains (cultural, social and regulatory), industry-level funding bodies or ‘transaction organizers’ and the cultural processes of CCI project networks. We argue that state-led influences both drive and mitigate the transfer of risk in project work as gendered, racialized and classed. Our framework contributes to broadening employment literature on risk and the disadvantaging capacity of networks to hoard opportunities in project-based labour markets.