International Review of Economics & Finance最新文献_第2页

Dynamic asymmetric tail dependence structure among multi-asset classes for portfolio management: Dynamic skew-t copula approach 投资组合管理中多资产类别的动态不对称尾依赖结构：动态倾斜-t耦联方法

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance

Pub Date : 2024-11-26 DOI: 10.1016/j.iref.2024.103724

Kakeru Ito , Toshinao Yoshiba

This study proposes AC dynamic skew-

t

copula with cDCC model to capture the dynamic asymmetric tail dependence structure among multi-asset classes (government bonds, corporate bonds, equities, and REITs). We provide new evidence that lower tail dependence coefficients increased compared to upper ones for all pairs in the COVID-19 crash and the recent high inflation period, indicating that the diversification effect through multi-asset investment decreased. Our empirical analysis also shows that in terms of AIC and BIC, dynamic AC skew-

t

copula fits data of multi-asset classes better than other dynamic elliptical copulas because it can consider the above dependence structure characteristics. Furthermore, out-of-sample analysis reveals that considering an asymmetry of tail dependence structure at each point with an AC dynamic skew-

t

copula enhances expected shortfall (ES) estimation accuracy and the performance of a minimum ES portfolio. These results indicate that capturing dynamic asymmetric tail dependence is crucial for multi-asset portfolio management.

本研究提出了AC动态偏态-t耦合与cDCC模型，以捕捉多资产类别（政府债券、公司债券、股票和REITs）之间的动态不对称尾部依赖结构。我们提供的新证据表明，在COVID-19崩盘和最近的高通胀时期，所有对的下尾依赖系数都比上尾依赖系数增加，表明通过多资产投资实现多元化的效果下降。我们的实证分析还表明，在AIC和BIC方面，动态AC斜-t联结比其他动态椭圆联结更好地拟合多资产类别的数据，因为它可以考虑到上述依赖结构特征。此外，样本外分析表明，考虑每个点的尾部依赖结构的不对称性，用交流动态倾斜-t耦联可以提高期望缺口估计的精度和最小ES组合的性能。这些结果表明，捕获动态不对称尾依赖对于多资产组合管理至关重要。

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引用次数: 0

Impact of environmental protection tax on enterprise digital transformation: Evidence from Chinese listed firms 环境保护税对企业数字化转型的影响：来自中国上市公司的证据

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance

Pub Date : 2024-11-23 DOI: 10.1016/j.iref.2024.103743

Xinyu Zhang , Yixuan Liu , Shaoze Yu , Ouwen Lin , Lu Meng

This study investigates the impact of China's Environmental Protection Tax (EPT) on enterprise digital transformation (EDT) using data on 3347 Chinese A-share listed firms from 2013 to 2021. By applying a difference-in-differences model, this study introduces a novel perspective on how EPT hindered EDT via a crowding-out effect on digital investment and reductions in human capital and foreign direct investment. Heterogeneity analysis reveals that the negative impact is more pronounced in regions with higher public environmental concern and firms with lower corporate governance. However, the findings also reveal that despite its negative effects on EDT, the EPT has a positive correlation with improved corporate environmental, social, and governance performance, underscoring an unintended environmental benefit. These insights offer a fresh perspective on the interaction between environmental regulations and digital innovation, with implications for both policymakers and enterprises. This study mainly explores the impact of EPTs on EDT and their mechanisms. The study concludes with policy recommendations to mitigate the adverse effects of the EPT on EDT while leveraging its positive ecological outcomes.

本文利用2013 - 2021年中国a股3347家上市公司的数据，考察了中国环境保护税（EPT）对企业数字化转型（EDT）的影响。通过应用差异中的差异模型，本研究引入了一个新的视角，即EPT如何通过对数字投资的挤出效应、人力资本和外国直接投资的减少来阻碍EDT。异质性分析表明，在公众环境关注程度较高的地区和公司治理水平较低的地区，负面影响更为明显。然而，研究结果还表明，尽管对环境绩效有负面影响，但环境绩效与改善的企业环境、社会和治理绩效呈正相关，强调了意想不到的环境效益。这些见解为环境法规与数字创新之间的相互作用提供了一个新的视角，对政策制定者和企业都有影响。本研究主要探讨EPTs对EDT的影响及其机制。研究最后提出了政策建议，以减轻环境污染对环境保护的不利影响，同时利用其积极的生态成果。

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引用次数: 0

Artificial Intelligence, Wage Dynamics, and Inequality: Empirical Evidence from Chinese Listed Firms 人工智能、工资动态和不平等：来自中国上市公司的经验证据

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance

Pub Date : 2024-11-19 DOI: 10.1016/j.iref.2024.103739

Yongqiu Wu , Zhiwei Lin , Qingcui Zhang , Wei Wang

The impact of artificial intelligence (AI) on employment has attracted widespread attention, but the literature has generally viewed AI as a continuation of automation, arguing that technology will result in wage polarization. However, existing literature overlooks the unique aspects of AI technology. This study proposes new theoretical mechanisms and AI measure method to estimate the impacts of AI on wage dynamics and inequality. Based on an empirical study of data from listed companies in China from 2014 to 2022, we find that AI applications raise wages through three mechanisms: productivity improvement, crowding out low-wage routine jobs, and creating high-wage creative and social jobs. While executive pay does not increase because of AI applications, the pay for regular employees increases through job restructuring. Ultimately, AI applications narrow wage inequality between senior managers and regular employees. This study provides a new quantitative evaluation method for assessing AI progress. It also reveals the unique mechanisms of AI on firms' wage distribution, which differs from that of traditional technologies. These findings deepen our understanding of the complex relationship between AI development and wage changes.

人工智能（AI）对就业的影响已引起广泛关注，但文献普遍将人工智能视为自动化的延续，认为技术将导致工资两极分化。然而，现有文献忽视了人工智能技术的独特性。本研究提出了新的理论机制和人工智能测量方法，以估计人工智能对工资动态和不平等的影响。基于对 2014 年至 2022 年中国上市公司数据的实证研究，我们发现人工智能应用通过三种机制提高工资：提高生产率、挤出低工资的日常工作、创造高工资的创造性和社会性工作。虽然高管的薪酬不会因为人工智能的应用而增加，但普通员工的薪酬会通过工作结构调整而增加。最终，人工智能应用缩小了高级管理人员与普通员工之间的工资不平等。这项研究为评估人工智能的进展提供了一种新的量化评估方法。它还揭示了人工智能对企业工资分配的独特机制，这种机制不同于传统技术。这些发现加深了我们对人工智能发展与工资变化之间复杂关系的理解。

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引用次数: 0

Chinese household finance impacted by climate change - Evidence from stock investment 气候变化对中国家庭金融的影响——来自股票投资的证据

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance

Pub Date : 2024-11-16 DOI: 10.1016/j.iref.2024.103730

Yanyun Chen , XiangYu Liu , Ziyan Yao , Xiaoping Tang

This paper conducts an empirical analysis using data from a survey of Chinese household finance and prefecture-level data of historical temperature. The results show that the impact of temperature fluctuations on household financial behavior reveals a U-shaped relationship, with the inflection point of temperature fluctuations located at 0.5463 °C. The part before the inflection point of the "U" relationship is mainly due to the change in investor mood caused by climate change, which has a negative effect on investment intention. The part after the inflection point is mainly because the rise in temperature significantly increases investors' risk appetite, leading to an increase in investors' willingness to enter the market. The positive effect is greater than the negative one, which leads to an increase in the share of equities in total financial assets. Moreover, we confirm that the household savings level strengthens the inhibition effect of climate change on household financial behavior, while the education level weakens the inhibition effect of climate change on household financial behavior.

本文利用中国家庭金融调查数据和地级市历史温度数据进行实证分析。结果表明，温度波动对家庭金融行为的影响呈u型关系，温度波动的拐点位于0.5463℃。“U”型关系拐点前的部分主要是由于气候变化引起的投资者情绪变化，对投资意愿产生负向影响。拐点之后的部分主要是因为气温的上升显著增加了投资者的风险偏好，导致投资者的入市意愿增加。正面效应大于负面效应，导致权益占总金融资产的比重增加。此外，我们证实了家庭储蓄水平增强了气候变化对家庭金融行为的抑制作用，而教育水平削弱了气候变化对家庭金融行为的抑制作用。

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引用次数: 0

Chairperson gender, policy compliance and ESG performance of family firms 家族企业的董事长性别、政策合规性和环境、社会和公司治理绩效

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance

Pub Date : 2024-11-01 DOI: 10.1016/j.iref.2024.103714

Hong Wang , Wei Wang

Compared to other types of companies, family businesses tend to be more dominated by the traditional notion of familialism, believing that women should be more responsible for handling family affairs rather than being involved in business operations and decision-making. Yet there is still a controversy about whether female chairpersonship is more favorable to enterprise development than male chairpersonship. Driven by the globalization process and sustainable development strategies, ESG has become an important indicator for evaluating corporate sustainability and social responsibility. This paper empirically investigates the effect and mechanism of the gender of the chairperson on the ESG performance of family firms by using A-share family firms in China from 2009 to 2022 as the research sample. The results show that female chairpersonship significantly enhances the ESG performance of family firms, and this facilitating effect mainly focuses on the social and governance dimensions, and policy compliance is an important reason why female chairpersonship promotes the ESG performance of family firms. The study also finds that female chairpersons contribute more to family firms’ ESG performance in family firms whose chairpersons are from outside the family, those are indirectly founded, those with a high degree of ownership and control rights disparity, and those with single actual controller. This paper provides a framework for the study of the gender of chairpersons on the ESG performance of family firms, and also provides useful references for the professional equality between males and females and the selection of chairpersons in the real economy.

与其他类型的公司相比，家族企业往往更受传统家庭主义观念的支配，认为女性应更多地负责处理家庭事务，而不是参与企业运营和决策。然而，关于女性担任董事长是否比男性担任董事长更有利于企业发展的问题仍存在争议。在全球化进程和可持续发展战略的推动下，ESG 已成为评价企业可持续发展和社会责任的重要指标。本文以2009-2022年中国A股家族企业为研究样本，实证研究了董事长性别对家族企业ESG绩效的影响及机制。研究结果表明，女性董事长身份显著提升了家族企业的ESG绩效，这种促进作用主要集中在社会和治理维度，而政策合规性是女性董事长身份促进家族企业ESG绩效的重要原因。研究还发现，在董事长来自家族外、间接创立、所有权与控制权高度不对等以及实际控制人单一的家族企业中，女性董事长对家族企业的环境、社会和治理绩效贡献更大。本文为研究董事长性别对家族企业环境、社会和治理绩效的影响提供了一个框架，也为实体经济中的男女职业平等和董事长选拔提供了有益的参考。

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引用次数: 0

The local government fiscal pressure's effect on green total factor productivity: Exploring mechanisms from the perspective of government behavior 地方政府财政压力对绿色全要素生产率的影响：从政府行为的角度探索机制

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance

Pub Date : 2024-11-01 DOI: 10.1016/j.iref.2024.103702

Song Nie , Gang Zeng , Hongying Zhang , Jianwen Ji

Local government fiscal pressure can change government behavior, which in turn affects corporate performance to a certain extent. However, the research on how fiscal pressure affect green economy is scarce. We adopt the city-level green total factor productivity (GTFP) index to measure the green economy in China and verifies fiscal pressure's negative effect on GTFP from the new perspective of government behavior. We find that fiscal pressure reduces GTFP by leading to short-sighted government actions which inhibit the industrial upgrading and reduce green innovation capacity. In addition, the negative impact varies heterogeneously with different economic development and geographic location. Furthermore, green finance, slight tax burden, and fiscal decentralization can alleviate the negative impact of fiscal pressure on GTFP. This study not only provides guidance on fiscal governance, but also provides a reference for the synergistic promotion of environmental governance and economic development in developing countries.

地方政府的财政压力可以改变政府行为，进而在一定程度上影响企业绩效。然而，有关财政压力如何影响绿色经济的研究却很少。我们采用城市级绿色全要素生产率（GTFP）指数来衡量中国的绿色经济，并从政府行为的新视角来验证财政压力对 GTFP 的负面影响。我们发现，财政压力会导致政府短视行为，抑制产业升级，降低绿色创新能力，从而降低全要素生产率。此外，这种负面影响随经济发展水平和地理位置的不同而存在差异。此外，绿色金融、轻税负和财政分权可以减轻财政压力对 GTFP 的负面影响。本研究不仅为财政治理提供了指导，也为发展中国家协同推进环境治理与经济发展提供了参考。

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引用次数: 0

How does data factor utilization stimulate corporate total factor productivity: A discussion of the productivity paradox 数据要素利用率如何刺激企业全要素生产率：关于生产力悖论的讨论

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance

Pub Date : 2024-11-01 DOI: 10.1016/j.iref.2024.103681

Yuheng Ren , Jue Zhang , Xin Wang

Stimulating total factor productivity through the utilization of data factors is a crucial concern for companies operating in the digital era. This study employs data from A-share listed firms from 2011 to 2022 to examine the impact and mechanisms of data utilization on corporate total factor productivity. The findings reveal that effective data utilization can significantly improve corporate total factor productivity, but no evidence supports the productivity dilemma. The stimulating effects are achieved by alleviating investment inefficiency and resource redundancy. Further analysis verifies that firms’ financial performance and life cycle can lead to heterogeneous effects. Specifically, the positive impact is more pronounced in firms with lower operational performance and in periods of maturity and recession.

通过利用数据要素激发全要素生产率是数字时代企业经营的重要关注点。本研究采用2011年至2022年A股上市公司的数据，考察数据利用对企业全要素生产率的影响和机制。研究结果表明，有效的数据利用能显著提高企业全要素生产率，但没有证据支持生产率困境。刺激效应是通过缓解投资低效和资源冗余实现的。进一步的分析验证了企业的财务表现和生命周期会导致异质性效应。具体而言，对经营业绩较差的企业以及成熟期和衰退期企业的积极影响更为明显。

引用次数: 0

Enterprise digital transformation and employee treatment: Evidence from China 企业数字化转型与员工待遇：来自中国的证据

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance

Pub Date : 2024-11-01 DOI: 10.1016/j.iref.2024.103738

Xuanhao Huang , Linping Zhu , Qiuyi Yang , Xuemei Xiong

Enterprise digital transformation can reshape corporate internal governance models, but it may also influence the workforce in the firms. This study explores the impact of enterprise digital transformation on employee treatment. We find that, enterprise digital transformation significantly promotes better employee treatment. Mechanism analysis reveals that the improvement of internal control and labor income share are potential pathways. Furthermore, the positive correlation between digital transformation and employee treatment is more pronounced in non-state-owned enterprises, technology-oriented firms, and firms with higher operational risk. Moreover, the results suggest that enterprise digital transformation can further enhance corporate value by improving employee treatment. The research suggests that the improvement of digital transformation can be an effective factor for the firms to enhance labor relations.

企业数字化转型可以重塑企业内部治理模式，但也可能影响企业的员工队伍。本研究探讨了企业数字化转型对员工待遇的影响。我们发现，企业数字化转型能显著提高员工待遇。机制分析表明，内部控制和劳动收入份额的改善是潜在的途径。此外，数字化转型与员工待遇之间的正相关在非国有企业、技术型企业和经营风险较高的企业中更为明显。此外，研究结果表明，企业数字化转型可以通过提高员工待遇进一步提升企业价值。研究表明，数字化转型的改善可以成为企业提升劳动关系的有效因素。

引用次数: 0

Technology transfer and global value chain upgrading of manufacturing firms: Evidence from China 制造业企业的技术转让与全球价值链升级：来自中国的证据

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance

Pub Date : 2024-11-01 DOI: 10.1016/j.iref.2024.103678

Zichun Yan , Yuqi Wang , Jingjia Zhang , He Ma

Breaking through the predicament of "low-end lock-in" and achieving the upgrading of enterprises within the global value chain (GVC) is a critical issue in the study of internationalization strategies for enterprises in emerging economies. This paper uses China, a quintessential representative of such economies, as a case to explore how technology transfer can facilitate the upgrading of enterprises' GVCs. This research aims to reshape the international strategic positioning of Chinese enterprises by promoting the integration and development of technology transfer and the GVC. Utilizing patent data from Chinese manufacturing enterprises, as well as data from Chinese industrial enterprises and customs records from 2004 to 2014, this study empirically examines the relationship between technology transfer and the upgrading of enterprises' GVCs. Additionally, the moderating effect of industrial agglomeration is incorporated into the research framework.The findings reveal that both technology transfer in and technology transfer out significantly positively influence the upgrading of enterprises' GVCs, highlighting the crucial role of technological knowledge flow in enhancing enterprise positioning within the GVC. Furthermore, industrial agglomeration is shown to exert a positive moderating effect on GVC upgrading as a result of technology transfer out. This study provides valuable insights for policymakers, enterprise managers, and academics, enabling a more nuanced understanding of the pivotal role of technology transfer in reshaping GVCs. Consequently, it offers robust support for the internationalization strategies of Chinese enterprises.

突破 "低端锁定 "的困境，实现企业在全球价值链（GVC）中的升级，是新兴经济体企业国际化战略研究中的一个关键问题。本文以新兴经济体的典型代表中国为例，探讨技术转让如何促进企业在全球价值链中的升级。本研究旨在通过促进技术转让与全球价值链的融合与发展，重塑中国企业的国际战略定位。本研究利用中国制造业企业的专利数据，以及 2004 年至 2014 年中国工业企业和海关记录数据，实证检验了技术转让与企业全球价值链升级之间的关系。研究结果表明，技术转入和技术转出均对企业全球价值链升级产生显著的正向影响，凸显了技术知识流动对提升企业在全球价值链中的定位所起的关键作用。此外，研究还表明，由于技术转出，产业集聚对全球价值链升级产生了积极的调节作用。这项研究为政策制定者、企业管理者和学术界提供了宝贵的见解，使他们能够更细致地理解技术转让在重塑全球价值链中的关键作用。因此，它为中国企业的国际化战略提供了有力支持。

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引用次数: 0

Digital village construction and the quality of life of rural residents 数字乡村建设与农村居民的生活质量

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance

Pub Date : 2024-11-01 DOI: 10.1016/j.iref.2024.103729

Changyi Bai , Wen Guan , Dawei Wang , Xiyi Chen

Digital villages have become an important starting point for rural revitalization, an important link in promoting Chinese-style modernization, and a key means to realize the needs of rural residents for a better life. Based on the data of CGSS survey in 2021, this paper explores the impact and mechanism of digital village construction and the quality of life of rural residents. The results show that the construction of digital villages has a positive effect on the quality of life of rural residents, but with the gradual improvement of economic development, the promotion effect of digital village construction on the quality of life of rural residents will show a marginal decline. From the perspective of education level, the group receiving higher education has a negative effect, and furthermore, there is an inverted U-shaped relationship between digital village construction and the quality of life of rural residents, that is, there is an optimal level of digital village construction. Deviating from the optimal digital village construction will have a negative impact on the quality of life of rural residents.

数字乡村已成为乡村振兴的重要抓手、推进中国式现代化的重要环节、实现农村居民美好生活需要的重要途径。本文基于2021年CGSS调查数据，探讨了数字乡村建设与农村居民生活质量的影响和作用机制。结果表明，数字乡村建设对农村居民生活质量有积极的促进作用，但随着经济发展水平的逐步提高，数字乡村建设对农村居民生活质量的促进作用会出现边际递减。从受教育程度来看，受教育程度较高的群体具有负效应，而且数字村庄建设与农村居民生活质量之间存在倒 "U "型关系，即数字村庄建设存在一个最优水平。偏离最佳数字村庄建设水平将对农村居民的生活质量产生负面影响。

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引用次数: 0