#20-001 -- Dinghai Xu
Canadian Stock Market Volatility under COVID-19
Abstract
This paper focuses on investigating the impacts of the novel coronavirus (COVID-19) on the Canadian stock market volatility from a time-varying parameter volatility model point of view.
JEL Classification
C22; C58; G18
#20-002 -- Sara Aghakazemjourabbaf and Margaret Insley
Leaving your tailings behind: Environmental bonds,bankruptcy and waste cleanup
Abstract
The paper studies the impacts of an environmental bond, which fully covers waste cleanup costs, on a mining firm's optimal actions when bankruptcy may shift cleanup costs to the government. A firm's stochastic optimal control problem is described by an HJB equation with the resource price modelled as an Ito process. A theoretical result is derived, showing that when a firm does not have the option to declare bankruptcy, the bond has no impact on the optimal controls. In contrast, if a firm does have a bankruptcy option and if no environmental bond is required, the firm produces too much waste relative to a benchmark case, resulting in an effciency loss and a cleanup liability imposed on government. In the presence of a bankruptcy option, a bond ensures that the firm acts optimally and no effciency loss is imposed on society. A numerical solution of the HJB equation is implemented for a hypothetical copper mine and results are analyzed for two different models of bankruptcy risk.
JEL Classification
C61; D81; K32; Q52; Q58
#20-003 -- Yichun Huang and Margaret Insley
The economics of water conservation regulations under uncertainty: An application to Alberta's Lower Athabasca River Region
Abstract
Large water demands by the mining industry are of increasing concern around the world. Command and control water regulations may be highly inefficient. The cost of a specific command and control water management policy is studied for an oil sands mining operation in Canada, where restrictions on water withdrawals vary with fluctuations in the river. A dynamic stochastic optimal control model is specified for a firm choosing production, water use, and the timing to build a water storage facility, under conditions of uncertain oil prices and uncertain water withdrawal limits. A numerical solution of an HJB equation is implemented to determine the difference in value and optimal controls for the oil-producing asset, with and without water restrictions. The cost of the restrictions is estimated to be quite small given the current reserve base and capacity of the industry. The marginal cost of tightening restrictions is non-monotonic with respect to price volatility.
JEL Classification
Q30; Q40; C61; C63
#20-004 -- Alicia Adsera, Ana Ferrer and Virginia Herranz
Descriptive labour market outcomes of immigrant women across Europe
Abstract
We consider the job progression of immigrant women in five European countries: France, Italy, Spain, Sweden and the UK. We complement data from the European Labour Force Survey (2005-2015), with information about the skills contained in the jobs held by women, using data from the O*Net. In particular, we focus on analytical and strength skills in immigrant´s jobs and compare them to those required by jobs held by similar native women. Even though immigrants experience upon arrival a gap in participation relative to the native born, they gradually increase participation during the first ten years spent in the country (approximately, 1% per year in Spain, Italy and the UK, and 2% and 4 % per year in France and Sweden respectively). Our results reveal significant differences across countries of origin as well as differences within countries over the period of analysis. Recent immigrant women show relatively large gaps in the analytical skill content of the jobs they held relative to native-born women across our host countries. Further, with the exception of immigrants to Spain, they also work jobs with higher requirements of strength than their native-born counterparts do. Although educated immigrants show a different pattern in most countries (included Spain). We find differences within countries over the period of analysis that may be consistent with the variation of incentives to move depending on the business cycle at arrival - particularly given the meager opportunities in many destination countries during aftermath of the recent great recession.