Economics Letters最新文献

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The role of agency theory in stock price crashes during the COVID-19 crisis 代理理论在COVID-19危机期间股价暴跌中的作用

IF 1.8 4区经济学 Q2 ECONOMICS

Economics Letters

Pub Date : 2025-11-17 DOI: 10.1016/j.econlet.2025.112730

Panayiotis C. Andreou , Neophytos Lambertides , Marina Magidou

This study tests the empirical relevance of agency theory in explaining stock price crashes in U.S. firms. We construct two novel multidimensional indices of managerial opportunism using a broad set of agency-related variables linked to bad news hoarding. Using the COVID-19 pandemic as a natural experiment, we examine whether crisis-induced survival pressures intensify the relation between agency problems and the release of previously withheld bad news. Contrary to expectations, we find no significant association between the agency-based indices and future crashes. These findings challenge the traditional agency-based crash risk explanations and underscore the need to explore alternative mechanisms.

本研究检验了代理理论在解释美国公司股价暴跌中的实证相关性。我们使用一系列与坏消息囤积相关的代理相关变量，构建了两个新的管理机会主义多维指数。以COVID-19大流行为自然实验，我们研究了危机引发的生存压力是否加剧了机构问题与先前隐瞒的坏消息的发布之间的关系。与预期相反，我们发现基于机构的指数与未来崩盘之间没有显著关联。这些发现挑战了传统的基于机构的崩溃风险解释，并强调了探索替代机制的必要性。

引用次数: 0

Macroeconomic effects of the US quantitative easing during two zero lower bound periods 美国量化宽松在两次零下限期间的宏观经济效应

IF 1.8 4区经济学 Q2 ECONOMICS

Economics Letters

Pub Date : 2025-11-16 DOI: 10.1016/j.econlet.2025.112727

Jihye Ahn , Soyoung Kim

This study investigates the macroeconomic effects of the US quantitative easing (QE) during two zero lower bound (ZLB) periods by employing the structural VAR model with zero and sign restrictions imposed on impulse responses. The key findings, using weekly data, are as follows. First, the QE shocks have significant effects on expected inflation rate and real economic activity during both periods. Second, the effects on real economic activity of the QE shocks during the ZLB period of the COVID-19 recession are stronger than those during the ZLB period of the Great Recession.

本文采用对脉冲响应施加零和符号限制的结构性VAR模型，研究了美国量化宽松（QE）在两个零利率下限（ZLB）时期的宏观经济效应。使用每周数据得出的主要结论如下。首先，在这两个时期，量化宽松冲击对预期通胀率和实体经济活动都有显著影响。其次，在新冠肺炎衰退的ZLB时期，量化宽松冲击对实体经济活动的影响强于大衰退的ZLB时期。

引用次数: 0

A tale of two tails 两个尾巴的故事

IF 1.8 4区经济学 Q2 ECONOMICS

Economics Letters

Pub Date : 2025-11-16 DOI: 10.1016/j.econlet.2025.112729

Jungkyu Ahn , Doowon Lee

This paper investigates the empirical properties of two-sided tail risks in the fixed income market.

Conditional skewness embedded in interest rate derivatives, particularly swap rates, varies systematically. We analyze the dynamics of tail risks in swaptions, while extracting right- and left-hand side tail measures across various expiries and underlying swap maturities. We find that these tail risks respond asymmetrically to uncertainty measures. Specifically, fiscal and sovereign debt-related uncertainties (monetary and trade policy uncertainties) are positively (negatively) associated with excess tail risk. These results provide new insights into the asymmetric behavior of tail risks in fixed income markets

本文研究了固定收益市场双侧尾部风险的实证性质。利率衍生品（尤其是掉期利率）中的条件偏度存在系统性变化。我们分析了互换中尾部风险的动态，同时提取了不同到期日和基础互换到期日的右侧和左侧尾部度量。我们发现这些尾部风险对不确定性度量的响应是不对称的。具体而言，财政和主权债务相关的不确定性（货币和贸易政策的不确定性）与超额尾部风险呈正（负）相关。这些结果为研究固定收益市场尾部风险的不对称行为提供了新的见解

引用次数: 0

Decomposing nominal and real yield curves and inflation forecasting: Evidence from Brazil 名义和实际收益率曲线分解与通胀预测：来自巴西的证据

IF 1.8 4区经济学 Q2 ECONOMICS

Economics Letters

Pub Date : 2025-11-15 DOI: 10.1016/j.econlet.2025.112712

João F. Caldeira , Werley C. Cordeiro

This study decomposes the breakeven inflation rate (BEIR) into inflation expectations (IE) and the inflation risk premium (IRP) using an arbitrage-free affine term structure model to jointly estimate nominal and real yield curves for the Brazilian economy. The findings suggest: (i) the IRP increases with maturity and shows a moderate positive correlation with Brazilian Credit Default Swap (CDS), and (ii) IE improve the accuracy of inflation forecasts from market participant surveys for long horizons. These results reveal a new dimension to improve the central bank’s assessment of inflation expectation anchoring.

本研究使用无套利仿射期限结构模型将盈亏平衡通胀率（BEIR）分解为通胀预期（IE）和通胀风险溢价（IRP），共同估计巴西经济的名义和实际收益率曲线。研究结果表明：(i) IRP随着期限的增加而增加，并与巴西信用违约掉期（CDS）显示出适度的正相关关系，（ii） IE提高了市场参与者调查的长期通胀预测的准确性。这些结果揭示了央行评估通胀预期锚定的新维度。

引用次数: 0

Recursive utility under the ICAPM: Is it relevant? ICAPM下的递归实用程序：是否相关？

IF 1.8 4区经济学 Q2 ECONOMICS

Economics Letters

Pub Date : 2025-11-15 DOI: 10.1016/j.econlet.2025.112724

Paulo Maio

I show that, under the benchmark homoskedastic framework in Campbell (1993) (C93), the assumption of recursive utility is unnecessary to derive the ICAPM pricing equation. That is, by assuming the standard power utility one obtains the same exact pricing equation. This also holds when deriving the (heteroskedastic) three-factor ICAPM of Campbell, Giglio, Polk, and Turley (2018). The assumption of recursive utility in C93 is no longer innocuous under heteroskedasticity. However, the respective ICAPM is not empirically testable unless one is willing to impose ad-hoc restrictions. Overall, recursive utility is largely irrelevant to obtaining Campbell’s ICAPM and its various extensions.

我表明，在Campbell (1993) （C93）的基准同方差框架下，推导ICAPM定价方程不需要递归效用假设。也就是说，通过假设标准电力效用，我们可以得到相同的精确定价方程。在推导Campbell、Giglio、Polk和Turley（2018）的（异方差）三因子ICAPM时也是如此。C93的递归效用假设在异方差下不再是无害的。然而，除非愿意施加特别的限制，否则相应的ICAPM不能进行经验测试。总的来说，递归实用程序在很大程度上与获得Campbell的ICAPM及其各种扩展无关。

引用次数: 0

Investment adjustment costs and growth dynamics 投资调整成本与增长动态

IF 1.8 4区经济学 Q2 ECONOMICS

Economics Letters

Pub Date : 2025-11-12 DOI: 10.1016/j.econlet.2025.112726

Rangan Gupta , Wei Ma

We develop a monetary endogenous growth overlapping generations model characterized by investment adjustment costs as a negative function of productive government expenditures, and an inflation-targeting central bank. We show that growth dynamics arise, otherwise not possible in a standard monetary endogenous growth model with a money growth-rule and an exogenous adjustment cost parameter. Furthermore, hinging crucially on the strength of the response of the adjustment cost to productive public spending, single or multiple equilibria emerge, with the high-growth (low-growth) equilibrium in the latter case being stable (unstable), but locally indeterminate (locally determinate).

我们建立了一个货币内生增长重叠代模型，其特征是投资调整成本作为生产性政府支出的负函数，并建立了一个以通胀为目标的中央银行。我们证明了增长动态的出现，否则不可能在标准的货币内生增长模型与货币增长规则和外生调整成本参数。此外，关键取决于调整成本对生产性公共支出的反应强度，会出现单一或多重均衡，后一种情况下的高增长（低增长）均衡是稳定的（不稳定的），但局部不确定的（局部确定的）。

引用次数: 0

Trade policy uncertainty and bank lending in the euro area 欧元区贸易政策的不确定性和银行贷款

IF 1.8 4区经济学 Q2 ECONOMICS

Economics Letters

Pub Date : 2025-11-12 DOI: 10.1016/j.econlet.2025.112690

Pauline Avril , Aoife Horan , Cosimo Pancaro

We provide evidence on the impact of a trade policy uncertainty shock on euro area bank lending using panel local projections. We show that an increase in trade policy uncertainty reduces bank lending, but the effect is relatively short-lived. We also show that the lending of banks that have greater exposure to firms that are more reliant on input from or on export to markets outside of the European Union declines more materially after a trade policy uncertainty shock. Finally, we find that this shock has a significant effect only on the lending of banks with lower capital buffers.

我们使用小组本地预测提供了贸易政策不确定性冲击对欧元区银行贷款影响的证据。我们表明，贸易政策不确定性的增加减少了银行贷款，但这种影响相对短暂。我们还表明，在受到贸易政策不确定性冲击后，对那些更依赖欧盟以外市场投入或出口的公司有更大敞口的银行的贷款下降幅度更大。最后，我们发现这种冲击只对资本缓冲较低的银行的贷款有显著影响。

引用次数: 0

The rise and demise of the Net-Zero Banking Alliance: Did the markets care? 净零银行联盟的兴起和消亡：市场关心吗？

IF 1.8 4区经济学 Q2 ECONOMICS

Economics Letters

Pub Date : 2025-11-12 DOI: 10.1016/j.econlet.2025.112721

Canan Yildirim, Dieter Vanwalleghem

This paper examines financial market reactions to the rise and collapse of the Net-Zero Banking Alliance, a major voluntary climate initiative launched in April 2021. Using an event study, we find that only founding members experienced significant negative stock price reactions, with average declines of 2% upon joining, suggesting investors viewed the commitments as credible but costly. Later signings and exits had no significant effect, reflecting declining credibility as the alliance weakened its governance amid political pressure and member departures. These findings underscore the role of institutional context and internal governance in shaping market responses to voluntary environmental commitments in banking.

本文考察了金融市场对净零银行联盟（Net-Zero Banking Alliance）兴起和崩溃的反应，该联盟是2021年4月发起的一项重大自愿气候倡议。通过事件研究，我们发现只有创始成员经历了显著的负面股价反应，加入后平均下跌2%，这表明投资者认为这些承诺是可信的，但代价高昂。后来的签约和退出没有产生重大影响，反映出在政治压力和成员离开的情况下，该联盟的治理能力遭到削弱，可信度下降。这些发现强调了制度背景和内部治理在塑造市场对银行业自愿环境承诺的反应方面的作用。

引用次数: 0

Runs, transparency and regulation: On the optimal design of stablecoin frameworks 运行，透明度和监管：关于稳定币框架的优化设计

IF 1.8 4区经济学 Q2 ECONOMICS

Economics Letters

Pub Date : 2025-11-12 DOI: 10.1016/j.econlet.2025.112720

Olli Castrén , Riccardo Russo

Stablecoin issuers can become subject to runs, just like banks. In the absence of adequate regulation, issuers are incentivised to hold disproportionate amounts of high–yielding but illiquid assets in their reserve portfolios. The value of such reserve assets may be overly volatile, thus inducing investors to suddenly redeem their stablecoins. To mitigate the risk of runs and exposure to exogenous shocks, recent regulatory initiatives both in the EU and in the US propose that reserve–asset portfolios should be overcollateralized, and that stablecoin issuers provide sufficient disclosure to holders about their composition. We formalize these points in a theoretical model, highlighting how they would mitigate the risk of runs on the stablecoin issuer and its potential bankruptcy ex–ante.

稳定币发行人可能会像银行一样受到挤兑的影响。在缺乏适当监管的情况下，发行者会受到激励，在其储备投资组合中持有不成比例的高收益但非流动性资产。这些储备资产的价值可能会过度波动，从而诱使投资者突然赎回他们的稳定币。为了减轻挤兑风险和受外部冲击的风险，欧盟和美国最近的监管举措都建议，储备资产组合应被过度抵押，稳定币发行人应向持有人充分披露其构成。我们将这些观点形式化在一个理论模型中，强调它们将如何减轻稳定币发行人的挤兑风险及其潜在的事前破产。

引用次数: 0

Monetary/fiscal policy dominance and conflicts: Evidence from crises 货币/财政政策主导与冲突：来自危机的证据

IF 1.8 4区经济学 Q2 ECONOMICS

Economics Letters

Pub Date : 2025-11-11 DOI: 10.1016/j.econlet.2025.112713

Francesco Giuli , Serena Ionta , Valeria Patella

We estimate a system of fiscal and monetary policy rules with Markov-switching interaction regimes to study policy coordination and conflict in the United States and the Euro Area during the Global Financial Crisis and the COVID-19 crisis. In the United States, we find shifts between policy coordination regimes, with both crises occurring under fiscal dominance. In contrast, the Euro Area displays persistent monetary dominance, despite temporary crisis-induced deviations. A country-level analysis shows that Germany follows the aggregate Euro Area pattern, while France and Italy exhibit policy conflict regimes, reflecting heterogeneity within the monetary union.

我们估计了一个具有马尔可夫转换交互机制的财政和货币政策规则体系，以研究全球金融危机和新冠肺炎危机期间美国和欧元区的政策协调和冲突。在美国，我们发现政策协调机制之间发生了转变，两次危机都是在财政主导下发生的。相比之下，欧元区表现出持续的货币主导地位，尽管有暂时的危机引发的偏差。国家层面的分析表明，德国遵循欧元区总体模式，而法国和意大利则表现出政策冲突机制，反映了货币联盟内部的异质性。

引用次数: 0

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