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"Pascalau, Razvan"
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Would economic growth affect air pollution in light of the potential transatlantic trade and investment partnership?
This paper examines the impact of income per capita on five air pollutants, respectively. It employs a dataset of the twenty-eight EU members and of the U.S. over a twenty-five-year period. The results provide robust evidence consistent with the Environmental Kuznets Curve argument for CO2, CH4, and HFCs/PFCs/SF6, respectively. The results yield practically a monotonically increasing relationship between per capita income and per capita emissions of GHGs and N2O, respectively, when including the trade variables related to the possible implementation of the Transatlantic Trade and Investment Partnership. Thus, this study suggests that policymakers in both sides of the Atlantic could take into consideration that a future trade deal between the U.S. and the EU may contribute to increasing the depletion of the ozone layer.
Journal Article
Transatlantic Trade and Investment Partnership, and Environmental Consequences
We empirically investigate the effect of the Transatlantic Trade and Investment Partnership on the per capita emissions of eight air pollutants and municipal waste. By introducing the same explanatory variables and applying the same empirical strategy and methodologies as in Qirjo and Pascalau (2019), we provide robust evidence suggesting that the implementation of the partnership could be beneficial to the environment because it may reduce per capita emissions of CH₄, hydrofluorocarbons/ perfluorinated chemicals/ SF₆, N₂O, NH₃, and SF₆ for a typical partnership member. This result is based on statistically significant evidence showing that, on average, the pollution haven motive based on national per capita income variations is dominated by the factor endowment argument based on the Heckscher-Ohlin trade theory and the pollution haven motive originating from an inverse measurement of national population density differences. However, we also report statistically significant evidence that the implementation of the partnership could denigrate the environment by increasing per capita emissions of SO₂ and municipal waste.
Journal Article
The impacts of CETA on air pollutants
This article empirically explores the potential effects of CETA (Comprehensive Economic and Trade Agreement) on per capita emissions of 4 air pollutants. It shows statistically significant evidence suggesting that more trade between the EU and Canada could help reduce per capita emissions of CO2, CH4, and N2O in a typical CETA member, respectively. However, it finds unambiguous empirical evidence implying that Canada may act as Pollution Haven for CH4 because it has more land per capita than any EU member. Moreover, it provides clear empirical evidence suggesting that 8 former Communist EU members (and Malta only for F-Gases may act as Pollution Havens for N2O and F-Gases because they are poorer than Canada.
Journal Article
The Low-Risk Anomaly: How Much Is a Good Risk Estimate Worth?
Many academics and practitioners rely on standard, relatively basic methods to estimate and manage portfolio risk. This can affect an investment manager's ability to accurately target lower volatility stocks designed to exploit the well-documented low-risk anomaly. This article finds a hybrid risk estimate that mixes short-, medium-, and long-term variances leads to superior ex post information ratios and alphas by properly aligning securities in the correct order (low risk to high risk). This risk estimate may be worth between $420 million and $1.9 billion annually, calculated from the overall size ($75 billion) of the market. The significance of this estimate survives transaction costs, various time periods, and risk factor exposures.
Journal Article
The Role of TTIP on the Environment
The current study empirically investigates and shows that, on average, the possible implementation of the Transatlantic Trade and Investment Partnership (TTIP) would generally help in the fight against global warming. In particular, the study finds that a 1% increase in the bilateral trade between the United States and the typical EU member would reduce annual per capita emissions of CO₂ and GHGs in the typical TTIP member by about 2.7% and 2.4%, respectively. However, results also show that TTIP may increase annual per capita emissions of GHGs in the United States by about 2.5% per year. These results stand because the factor endowment hypothesis and the pollution haven hypothesis based on population density variations appear to dominate the pollution haven hypothesis based on national income differences.
Journal Article
An Empirical Analysis of U.S. Dollar-Trading Newcits
The present article uses a sample of only 66 US dollar-trading newcits to find that the adjusted risk performance of some of the strategies employed by UCITS (i.e., equity-long bias, fund of funds (FOF), fixed income, and sector specific) outperformed their corresponding traditional hedge fund indices over the January 2006-March 2010 period. However, with the exception of the fixed-income classification, all other strategies produced a higher volatility than that of the index. The FOF classification had a risk similar to that of the index. Overall, the fixed-income and FOF strategies appear to have delivered the best risk-adjusted performance at a comparable or lower risk than the market. Based on the geographical focus, it appears that Asia-related newcits underperformed. Newcits with a global focus had a superior performance than the global BarclayHedge traditional HF Index with the exception of the financial crisis period when it underperformed. Unfortunately, this worse performance also produced higher volatility.
Journal Article
A joint survival analysis of hedge funds and funds of funds using copulas
Purpose - The purpose of this paper is to propose that simple measures of linear association are unable to capture accurately the dependence between the survival of hedge funds and funds of funds, respectively. The paper then aims to advocate the use of copulas to model the joint survival of hedge funds and funds of funds managed by the same manager.Design methodology approach - The paper uses both a one-step approach where the margins and the copula parameters are estimated jointly, and a two-step approach where the margins are fitted first and the copula parameter is estimated thereafter given the fixed margins. The margins are estimated non-parametrically, semi-parametrically, and parametrically, respectively.Findings - First, the paper finds that Kendall's tau and Spearman's rho are anywhere between three and eight times larger than the corresponding sample based measures when various families of copulas are employed. Second, additional tests show that the two survival functions are strongly dependent, with the degree of nonlinear association increasing in the lower left quadrant.Originality value - This is the first paper to use copulas to model the joint survival of hedge funds and funds of funds. The results highlight the asymmetric dependence between hedge funds and funds of funds, which has implications for risk management practices.
Journal Article