| SEMINAR ŞTIINŢIFIC MONEDA, FINANŢE, BĂNCI – SEMINAR ȘTIINȚIFIC |
The Perils of Fiscal Feedback Rules
Marți, 28 aprilie 2026 – ora 16:00 – sala 3M4 (etaj 1, clădirea Moxa)
Alexandru Minea
University of Orléans, University Clermont Auvergne, and Carleton University; alexandru.minea@uca.fr
Abstract:
This paper introduces a fiscal feedback rule (FFR) in an endogenous growth model with public debt dynamics. We assume that part of the debt burden is covered by tax increases (we name this “sterilization”), while the remaining part is financed by issuing new debt. We show that while low sterilization does not ensure the existence of a long-run steady state, high sterilization can lead to multiple steady states and aggregate instability in the form of local and global indeterminacy, potentially condemning the economy to a low-growth/high-debt trap steady state and long-lasting public debt cycles. By combining econometric estimations and a calibration exercise on developed economies, we highlight that these various perils can occur for empirically plausible values of the sterilization coefficient.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: TBD
The Intelligent Skewness Factor
Marți, 5 mai 2026 – ora 16:00 – sala 3M4 (etaj 1, clădirea Moxa)
Dan Gabriel Anghel
Bucharest University of Economic Studies and Institute for Economic Forecasting, Romanian Academy; dan.anghel@fin.ase.ro
Abstract:
The paper revisits the role of systematic skewness (coskewness) in asset pricing by introducing the intelligent Persistent Systematic Skewness (iPSS) factor. Motivated by the fact that coskewness pricing depends critically on its measurement, we employ flexible machine learning models to forecast future coskewness using market information, capturing nonlinear and complex patterns in the data. The resulting factor exhibits strong incremental performance in parsimonious asset pricing models and captures economically meaningful variation in returns. However, similar to existing measures, its contribution weakens in richer models, suggesting partial overlap with standard factors. Overall, nonlinear prediction enhances the identification of coskewness risk and provides new insights into investor preferences for higher moments.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: TBD
The Use of Latent Variables to Measure Individuals’ Risk Profile
Marți, 12 mai 2026 – ora 16:00 – sala 3M4 (etaj 1, clădirea Moxa)
Razvan Uifalean
Bucharest University of Economic Studies; uifaleanrazvan17@stud.ase.ro
Abstract:
This study addresses a fundamental measurement challenge in behavioral finance: the absence of a unified analytical framework capable of simultaneously capturing the objective behavioral and subjective perceptual dimensions of individual financial risk profiles. Leveraging the 2023 Flash Eurobarometer 525, a harmonized cross-country dataset of approximately 26,000 observations across the European Union, the study integrates Item Response Theory (IRT), Latent Class Analysis (LCA), Graded Response Models (GRM), and Polychoric Principal Component Analysis to reconstruct latent risk structures from large-scale survey data. The IRT analysis establishes a hierarchical sophistication ladder across seven financial products, while LCA identifies three behaviorally coherent archetypes – Investors (16.7%), Traditionalists (21.2%), and Minimalists (62.1%) – revealing deep structural heterogeneity in European financial participation. A Speculative Leapfrogging effect among Minimalists provides empirical support for risk-seeking behavior under structural exclusion, consistent with Prospect Theory. The categorical rejection of subjective risk unidimensionality, confirmed through GRM diagnostics, antagonistic Polychoric PCA factor loadings, and a statistically significant Wilcoxon shift, establishes that short-term financial fragility and long-term retirement confidence constitute fundamentally distinct psychological dimensions rather than a unified risk trait. Building on these findings, the study introduces a Discrepancy Index, a diagnostic metric quantifying the calibration gap between objective financial positioning and subjective risk perception, with direct implications for financial literacy policy and consumer protection regulation within the EU.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: TBD
A Unified Framework for Anomalies based on Daily Returns
Marți, 19 mai 2026 – ora 16:00 – sala 3M4 (etaj 1, clădirea Moxa)
Adam Zaremba
MBS School of Business & Poznan University of Economics and Business & Monash University; adam.zaremba@ue.poznan.pl
Abstract:
Numerous cross-sectional equity anomalies draw on the same underlying information: the sequence of daily returns over the previous month. Using a data-driven approach, we estimate the empirical mapping from the distribution of last month’s daily returns to future performance without imposing functional forms. The resulting Daily Return Information Factor (DRIF) earns economically large premia, holds across subsamples and research designs, and remains significant after controlling for the modern factor zoo. DRIF subsumes most short-horizon and lottery-style anomalies and emerges as a key factor in asset pricing tests.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: TBD
TBA
Marți, 26 mai 2026 – ora 16:00 – sala 3M4 (etaj 1, clădirea Moxa)
Alexandru Todea
Facultatea de Stiinte Economice si Gestiunea Afacerilor, Universitatea Babes Bolyai; alexandru.todea@econ.ubbcluj.ro
Abstract:
TBA.
Zoom:
https://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09
Activitate de socializare: TBD