Isabel Casas

We ask whether Sustainable Finance Disclosure Regulation (SFDR) labels certify pre-existing portfolio differences or induce portfolio change. We match 718 Article 8 and Article 9 funds to never-classified peers on size, age, fees, and flows, and compare portfolio composition and trading direction across 4,666 European UCITS equity funds over 33 quarters of position-level holdings data. Labeled funds hold cleaner portfolios. Their carbon intensity is 26.1 tonnes of CO2 per million dollars of investee revenue lower and their ESG risk percentile is 6.2 points lower, and both differences are significant at the 1 percent level. They do not rebalance more or hold more concentrated portfolios. Instead, they allocate 0.8 percentage points more of their rebalancing activity to buying green names, while showing no significant difference in brown holdings or brown selling relative to peers. These gaps were already visible before SFDR enforcement, when no fund yet carried an SFDR label. The evidence points to certification of pre-existing portfolio substance rather than regulation-induced portfolio change.

Summary: We propose a panel data model for nonstationary variables with interactive fixed effects and coefficients that may vary over time and use it to examine time variation in the income elasticity of health expenditures in the OECD and the Eurozone. Our empirical analysis shows that the income elasticity of healthcare expenditure slightly increased in the OECD and the Eurozone during 1995–2004 but remained below one. This finding suggests that healthcare is not a luxury good in these countries.

This paper provides a detailed analysis of the asymptotic properties of a kernel estimator for a seemingly unrelated regression equations model with time-varying coefficients (tv-SURE) under general conditions. Theoretical results together with a simulation study differentiate the cases for which the estimation of a tv-SURE outperforms the estimation of a single regression equations model with time-varying coefficients. The study shows that Zellner’s results cannot be straightforwardly extended to the time-varying case. The tv-SURE is applied to the Fama and French five-factor model using data from four different international markets. Finally, we provide the estimation under cross-restriction and discuss a testing procedure.

Income elasticity dynamics of health expenditure is considered for the OECD and the Eurozone over the period 1995-2014. This paper studies a novel non-linear cointegration model with fixed effects, controlling for cross-section dependence and unobserved heterogeneity. Most importantly, its coefficients can vary over time and its variables can be non-stationary. The resulting asymptotic theory is fundamentally different with a faster rate of convergence to similar kernel smoothing methodologies. A fully modified kernel regression method is also proposed to reduce the asymptotic bias. Results show a steep increase in the income elasticity for the OECD and a small increase for the Eurozone.

This study compared receptive English grammar skills of two groups of 7‐ and 9‐year‐old Danish children at the beginning of second language (L2) instruction in English, and two groups of Spanish/Catalan children of the same age after several years of instruction. The study examined the influence of two language‐related factors (receptive vocabulary skills, cognate linguistic distance) and two context‐related factors (amount of formal instruction, frequency of exposure to English outside school), additionally focusing on the gender variable. Results revealed that the amount of formal instruction had a lesser role in the children's receptive grammar knowledge than cognate linguistic distance and out‐of‐school contact with English (particularly with audiovisual material). These factors may explain why Danish children's receptive knowledge of English prior to school instruction is largely similar to that of Spanish children after several years of instruction, revealing a sharp contrast in their respective starting points for L2 learning.

This paper provides a detailed analysis of the asymptotic properties of a kernel estimator for a Seemingly Unrelated Regression Equations model with time-varying coefficients (tv-SURE) under very general conditions. Theoretical results together with a simulation study differentiates the cases for which the estimation of a tv-SURE outperforms the estimation of a Single Regression Equations model with time-varying coefficients (tv-SRE). The study shows that Zellner's results cannot be straightforwardly extended to the time-varying case. The tv-SURE is applied to the Fama and French five-factor model using data from four different international markets. Finally, we provide the estimation under cross-restriction and discuss a testing procedure.