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on Network Economics |
| By: | Guo, Li; Härdle, Wolfgang; Tao, Yubo |
| Abstract: | Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a timevarying network for cryptocurrencies, based on the evolution of return cross-predictability and technological similarities. We develop a dynamic covariate-assisted spectral clustering method to consistently estimate the latent community structure of cryptocurrencies network that accounts for both sets of information. We demonstrate that investors can achieve better risk diversification by investing in cryptocurrencies from different communities. A cross-sectional portfolio that implements an inter-crypto momentum trading strategy earns a 1.08% daily return. By dissecting the portfolio returns on behavioral factors, we confirm that our results are not driven by behavioral mechanisms. |
| Keywords: | Community detection,Dynamic stochastic blockmodel,Covariates,Co-clustering,Network risk,Momentum |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:irtgdp:2021016&r= |
| By: | Rosanna Grassi; Paolo Bartesaghi; Gian Paolo Clemente; Duc Thi Luu |
| Abstract: | We analyse the multilayer architecture of the global input-output network using sectoral trade data (WIOD, 2016 release). With a focus on the mesoscale structure and related properties, we find that the multilayer analysis that takes into consideration the splitting into industry-based layers is able to catch more peculiar relationships between countries that cannot be detected from the analysis of the single-layer aggregated network. We can identify several large international communities in which some countries trade more intensively in some specific layers. However, interestingly, our results show that these clusters can restructure and evolve over time. In general, not only their internal composition changes, but the centrality rankings of the members inside are also reordered, with the diminishing role of industries from some countries and the growing importance of those from some other countries. These changes in the large international clusters may reflect the outcomes and the dynamics of cooperation as well as competition among industries and among countries in the global input-output network. |
| Date: | 2021–09 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2109.02946&r= |
| By: | Rodrigo Dorantes-Gilardi (El Colegio de México); Aurora A. Ramírez-Álvarez (El Colegio de México); Diana Terrazas-Santamaría (El Colegio de México) |
| Abstract: | Several inequalities between genders have been reported over the last decades in academia. Female researchers tend to have a lower pay, write fewer articles and receive fewer cites than their male counterparts, among other disparities. Co-authorship with highly cited scholars tend to give an advantage to early career researchers. Indeed, the impact of researchers that collaborate with super-cited (SC) authors at their early career stage tends to be greater than for those scientists who do not. The question of whether this advantage is favors male or female scientists has not been addressed yet. By conditioning on career length (at least ten years), we study the effect on male and female economists from collaborating with a SC author within the first five years of their career. Since collaboration is not likely random, we employ a matching model using pre-collaboration network characteristics to compare similar authors. We find a positive effect on the impact and the probability of being SC afterward; however, this effect is not statistically different between men and women. On the productivity side, we do not find an effect for any gender. To further explore these results, we study whether repeated collaboration with SC co-authors may be a possible mechanism in the years that follow. |
| Keywords: | super-cited authors, gender inequality, collaboration network, economics. |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:emx:ceedoc:2021-05&r= |
| By: | Pauline Pedehour (Université de Nantes); Lionel Richefort (Université de Nantes) |
| Abstract: | This study develops a model of water extraction with endogenous social norms. Many users are connected by a unique shared resource that can become scarce in case of over-exploitation. Preferences of individuals are guided by their extraction values and their taste for conformity to social norms which provide incentives to follow others. As the main result of this study, the uniqueness of the Nash equilibrium is established under a sufficient condition. Afterward, some comparative statics analysis shows the effects of change in individual heterogeneous parameters, conformism, and density of the network on the global quantity extracted. Welfare and social optimum properties are established to avoid the tragedy of the commons and sub-optimal consumptions of water. Lastly, this theoretical framework is completed by extensions to highlight levers of water preservation, including the calibration of social norm incentives. |
| Keywords: | Comparative statics, Conformism, Nash equilibrium, Network, Social norms, Water extraction |
| JEL: | D04 D80 Q01 Q25 |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:fem:femwpa:2021.20&r= |