Pub Date : 2024-11-01DOI: 10.1016/j.iref.2024.103723
Yong Ma , Shuaibing Li , Mingtao Zhou
In this paper, we introduce an informative uncertainty measure, global financial uncertainty (GFU), for the prediction of crude oil price returns. We find that GFU exhibits significant and remarkable forecasting power for crude oil price returns both in- and out-of-sample with monthly of 13.63% and 11.32%, respectively. This predictive power outperforms and complements those of popular economic variables and uncertainty measures. Further analysis shows that a mean–variance investor can obtain considerable economic gains based on the return forecasts of GFU. By dissecting the GFU’s predictability, we observe that the strong forecasting efficacy of GFU for crude oil price returns may stem from its notable power during high-risk conditions and its significant effects on oil demand dynamics.
{"title":"Forecasting crude oil prices: Does global financial uncertainty matter?","authors":"Yong Ma , Shuaibing Li , Mingtao Zhou","doi":"10.1016/j.iref.2024.103723","DOIUrl":"10.1016/j.iref.2024.103723","url":null,"abstract":"<div><div>In this paper, we introduce an informative uncertainty measure, global financial uncertainty (GFU), for the prediction of crude oil price returns. We find that GFU exhibits significant and remarkable forecasting power for crude oil price returns both in- and out-of-sample with monthly <span><math><msup><mrow><mi>R</mi></mrow><mrow><mn>2</mn></mrow></msup></math></span> of 13.63% and 11.32%, respectively. This predictive power outperforms and complements those of popular economic variables and uncertainty measures. Further analysis shows that a mean–variance investor can obtain considerable economic gains based on the return forecasts of GFU. By dissecting the GFU’s predictability, we observe that the strong forecasting efficacy of GFU for crude oil price returns may stem from its notable power during high-risk conditions and its significant effects on oil demand dynamics.</div></div>","PeriodicalId":14444,"journal":{"name":"International Review of Economics & Finance","volume":"96 ","pages":"Article 103723"},"PeriodicalIF":4.8,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142723268","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-11-01DOI: 10.1016/j.iref.2024.103728
Hongxiang Yu, Ziqi Wang, Yudong Weng, Liying Wang
Using data from Chinese listed companies as samples, this paper explores the impact of guarantee networks on the risk of corporate stock price crashes and the moderating effect of internal control quality on this relationship. The empirical analysis yields the following conclusions: guarantee networks can significantly increase the risk of corporate stock price crashes; internal control quality plays a positive moderating role between guarantee networks and the risk of corporate stock price crashes; there is a difference in the impact of guarantee networks on the risk of stock price crashes between state-owned enterprises and non-state-owned enterprises, with a more significant impact on non-state-owned enterprises; and there are differences in the impact of guarantee networks on the risk of stock price crashes among enterprises at different life cycle stages.
{"title":"The impact of guarantee network on the risk of corporate stock price crash: Discussing the moderating effect of internal control quality","authors":"Hongxiang Yu, Ziqi Wang, Yudong Weng, Liying Wang","doi":"10.1016/j.iref.2024.103728","DOIUrl":"10.1016/j.iref.2024.103728","url":null,"abstract":"<div><div>Using data from Chinese listed companies as samples, this paper explores the impact of guarantee networks on the risk of corporate stock price crashes and the moderating effect of internal control quality on this relationship. The empirical analysis yields the following conclusions: guarantee networks can significantly increase the risk of corporate stock price crashes; internal control quality plays a positive moderating role between guarantee networks and the risk of corporate stock price crashes; there is a difference in the impact of guarantee networks on the risk of stock price crashes between state-owned enterprises and non-state-owned enterprises, with a more significant impact on non-state-owned enterprises; and there are differences in the impact of guarantee networks on the risk of stock price crashes among enterprises at different life cycle stages.</div></div>","PeriodicalId":14444,"journal":{"name":"International Review of Economics & Finance","volume":"96 ","pages":"Article 103728"},"PeriodicalIF":4.8,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142723175","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-11-01DOI: 10.1016/j.iref.2024.103705
Kuang-Cheng Andy Wang , Ping-Yao Chou , Wen-Jung Liang
We examine how the presence of a commodity tax affects the superiority of an antidumping duty and a price undertaking policy under cost asymmetry between the foreign and domestic firms. We obtain several interesting results as follows. First, the domestic welfare under a price undertaking is higher than that under an antidumping duty, if the domestic firm is more efficient than the foreign firm and the normal value is large. Second, the presence of a commodity tax usually leads the domestic government to be more likely to choose an antidumping duty. Third, the presence of a commodity tax leads the foreign firm to prefer a price undertaking to an antidumping duty. The first two results show that the domestic firm's lower efficiency and the commodity tax can explain why the cases involving adopting a price undertaking are far fewer than those concerned with an antidumping duty in the real world.
{"title":"Cost asymmetry, commodity taxes and antidumping policies","authors":"Kuang-Cheng Andy Wang , Ping-Yao Chou , Wen-Jung Liang","doi":"10.1016/j.iref.2024.103705","DOIUrl":"10.1016/j.iref.2024.103705","url":null,"abstract":"<div><div>We examine how the presence of a commodity tax affects the superiority of an antidumping duty and a price undertaking policy under cost asymmetry between the foreign and domestic firms. We obtain several interesting results as follows. First, the domestic welfare under a price undertaking is higher than that under an antidumping duty, if the domestic firm is more efficient than the foreign firm and the normal value is large. Second, the presence of a commodity tax usually leads the domestic government to be more likely to choose an antidumping duty. Third, the presence of a commodity tax leads the foreign firm to prefer a price undertaking to an antidumping duty. The first two results show that the domestic firm's lower efficiency and the commodity tax can explain why the cases involving adopting a price undertaking are far fewer than those concerned with an antidumping duty in the real world.</div></div>","PeriodicalId":14444,"journal":{"name":"International Review of Economics & Finance","volume":"96 ","pages":"Article 103705"},"PeriodicalIF":4.8,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142698475","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-11-01DOI: 10.1016/j.iref.2024.103689
Vikram Singh , Shveta Singh , Sonali Jain
This paper examines at-issuance yield (price) differential between green and non-green bonds. The paper also checks the sensitiveness of the differentials to the repayment obligation structure of the bonds. For this, we test for differentials in the standard and revenue segments separately. From Bloomberg®, we extract US municipal green bonds from 2014 to 2023 and apply propensity score matching to generate sample sets comprising 26440, 23848, and 11702 bonds. Through univariate tests and OLS linear regression, we document lower yield for green bonds compared to non-greens (i.e., negative yield differential implying the existence of green premium) ranging from 2.7 to 6.9 basis points, implying cost savings to green issuers. The results are robust to alternate measuring variable and surrogate matched samples—the premiums decline in a non-pro-environmental regime and the pandemic. Green investors perceive higher risk in counties with higher pollution index. The premiums enlarge in the standard segment compared to revenue because of greater trust in the recourse feature than revenue stream collaterals. Citing the lack of tangible municipal revenue streams in emerging economies, our findings endorse the standard (general obligation) green bonds to raise finance at initial stages and create revenue-generating infrastructures.
{"title":"Green bond premium diagnosis: An interplay of repayment obligation structure","authors":"Vikram Singh , Shveta Singh , Sonali Jain","doi":"10.1016/j.iref.2024.103689","DOIUrl":"10.1016/j.iref.2024.103689","url":null,"abstract":"<div><div>This paper examines at-issuance yield (price) differential between green and non-green bonds. The paper also checks the sensitiveness of the differentials to the repayment obligation structure of the bonds. For this, we test for differentials in the standard and revenue segments separately. From Bloomberg®, we extract US municipal green bonds from 2014 to 2023 and apply propensity score matching to generate sample sets comprising 26440, 23848, and 11702 bonds. Through univariate tests and OLS linear regression, we document lower yield for green bonds compared to non-greens (i.e., negative yield differential implying the existence of green premium) ranging from 2.7 to 6.9 basis points, implying cost savings to green issuers. The results are robust to alternate measuring variable and surrogate matched samples—the premiums decline in a non-pro-environmental regime and the pandemic. Green investors perceive higher risk in counties with higher pollution index. The premiums enlarge in the standard segment compared to revenue because of greater trust in the recourse feature than revenue stream collaterals. Citing the lack of tangible municipal revenue streams in emerging economies, our findings endorse the standard (general obligation) green bonds to raise finance at initial stages and create revenue-generating infrastructures.</div></div>","PeriodicalId":14444,"journal":{"name":"International Review of Economics & Finance","volume":"96 ","pages":"Article 103689"},"PeriodicalIF":4.8,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142586400","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-11-01DOI: 10.1016/j.iref.2024.103697
Qianqun Ma , Qi Wang , Kongwen Wang , Chong Wu
By examining the effects of media coverage and legal environment and the modifying effect of auditors' market shares, this paper investigates whether reduced boilerplate of key audit matters (KAMs) reflects increased audit effort. Our findings indicate that auditors can change boilerplate of KAMs according to the tone of media coverage: auditors may reduce boilerplate of KAMs when firms are exposed to more negative media coverage and may increase boilerplate of KAMs when firms are exposed to more positive media coverage. Auditors of firms that are exposed to weaker legal environment reduce boilerplate of KAMs. Boilerplate of KAMs disclosed by audit firms with larger market shares is more significantly influenced by negative media coverage and legal environment than those with smaller market shares. Additionally, the effects of media coverage and legal environment on boilerplate of KAMs are only significant for the sub-samples with non-state-owned enterprises (non-SOEs) and higher information symmetry. These results prove that reduced boilerplate of KAMs reflects increased audit effort.
通过研究媒体报道和法律环境的影响以及审计师市场份额的调节作用，本文探讨了关键审计事项（KAMs）模板的减少是否反映了审计工作的增加。我们的研究结果表明，审计师可以根据媒体报道的基调改变关键审计事项的模板：当公司受到更多负面媒体报道时，审计师可能会减少关键审计事项的模板；当公司受到更多正面媒体报道时，审计师可能会增加关键审计事项的模板。法律环境较弱的公司的审计师会减少 KAMs 的模板。与市场份额较小的公司相比，市场份额较大的审计公司披露的关键审计变量的模板受负面媒体报道和法律环境的影响更大。此外，媒体报道和法律环境对 KAMs 模板的影响仅在非国有企业和信息对称性较高的子样本中显著。这些结果证明，减少 KAM 的模板反映了审计工作的增加。
{"title":"Does reduced boilerplate of KAMs indicate increased audit effort? Evidence from China","authors":"Qianqun Ma , Qi Wang , Kongwen Wang , Chong Wu","doi":"10.1016/j.iref.2024.103697","DOIUrl":"10.1016/j.iref.2024.103697","url":null,"abstract":"<div><div>By examining the effects of media coverage and legal environment and the modifying effect of auditors' market shares, this paper investigates whether reduced boilerplate of key audit matters (KAMs) reflects increased audit effort. Our findings indicate that auditors can change boilerplate of KAMs according to the tone of media coverage: auditors may reduce boilerplate of KAMs when firms are exposed to more negative media coverage and may increase boilerplate of KAMs when firms are exposed to more positive media coverage. Auditors of firms that are exposed to weaker legal environment reduce boilerplate of KAMs. Boilerplate of KAMs disclosed by audit firms with larger market shares is more significantly influenced by negative media coverage and legal environment than those with smaller market shares. Additionally, the effects of media coverage and legal environment on boilerplate of KAMs are only significant for the sub-samples with non-state-owned enterprises (non-SOEs) and higher information symmetry. These results prove that reduced boilerplate of KAMs reflects increased audit effort.</div></div>","PeriodicalId":14444,"journal":{"name":"International Review of Economics & Finance","volume":"96 ","pages":"Article 103697"},"PeriodicalIF":4.8,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142586401","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-11-01DOI: 10.1016/j.iref.2024.103706
Ali Uyar , Ali Meftah Gerged , Cemil Kuzey , Amal Hamrouni , Abdullah S. Karaman
Few studies have examined whether corporate social responsibility (CSR) engagement, reporting, and report attributes help companies win awards and whether award winners continue to maintain their CSR efforts after being recognized. We address this gap by conducting an empirical analysis using social reputation, signaling theory, and impression management theory. The logistics regression analysis is based on a sample of 45,840 firm-year observations from various sectors and countries between 2002 and 2019. Our results show that CSR engagement, CSR reporting, external CSR report assurance, and adoption of Global Reporting Initiative (GRI) guidelines all help companies win awards. Additionally, companies that win awards tend to maintain their commitment to CSR engagement, reporting, third-party CSR report assurance, and GRI adoption after being awarded. This finding implies that CSR-awarded firms do not consider CSR commitment and reporting a tactical commitment but rather a strategic purpose, ruling out the possibility of impression management.
{"title":"CSR awarding: A test of social reputation and impression management","authors":"Ali Uyar , Ali Meftah Gerged , Cemil Kuzey , Amal Hamrouni , Abdullah S. Karaman","doi":"10.1016/j.iref.2024.103706","DOIUrl":"10.1016/j.iref.2024.103706","url":null,"abstract":"<div><div>Few studies have examined whether corporate social responsibility (CSR) engagement, reporting, and report attributes help companies win awards and whether award winners continue to maintain their CSR efforts after being recognized. We address this gap by conducting an empirical analysis using social reputation, signaling theory, and impression management theory. The logistics regression analysis is based on a sample of 45,840 firm-year observations from various sectors and countries between 2002 and 2019. Our results show that CSR engagement, CSR reporting, external CSR report assurance, and adoption of Global Reporting Initiative (GRI) guidelines all help companies win awards. Additionally, companies that win awards tend to maintain their commitment to CSR engagement, reporting, third-party CSR report assurance, and GRI adoption after being awarded. This finding implies that CSR-awarded firms do not consider CSR commitment and reporting a tactical commitment but rather a strategic purpose, ruling out the possibility of impression management.</div></div>","PeriodicalId":14444,"journal":{"name":"International Review of Economics & Finance","volume":"96 ","pages":"Article 103706"},"PeriodicalIF":4.8,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142586402","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-11-01DOI: 10.1016/j.iref.2024.103707
Jianhao Xue , Xingyu Dai , Dongna Zhang , Xuan-Hoa Nghiem , Qunwei Wang
This paper explores the tail risk spillover patterns among eight US green bond, energy, and agricultural commodity markets conditional on different extreme weather conditions, using a proposed conditional tail Diebold Yilmaz spillover network. The results of the empirical analysis, conducted using data from 2013 to 2023, indicates that, firstly, as weather conditions transit from normal to extreme risk state, the complexity and magnitude of tail risk spillovers increase, particularly affecting the relationships between different markets and sectors. Under most extreme weather risk scenarios, the energy market predominantly acts as a risk transmitter. Conversely, the agricultural market, more often emerges as a risk receiver. Secondly, of all the extreme weather scenarios considered, the US commodity markets achieve lowest in total risk spillover (TRS) in the extreme snow weather scenarios and this is the only case that is almost no more than the unconditional weather scenario over the sample period. Finally, the tail returns of most US commodity markets are more sensitive to tail movements in extreme total precipitation and extreme runoff weather conditions.
{"title":"Tail risk spillover network among green bond, energy and agricultural markets under extreme weather scenarios","authors":"Jianhao Xue , Xingyu Dai , Dongna Zhang , Xuan-Hoa Nghiem , Qunwei Wang","doi":"10.1016/j.iref.2024.103707","DOIUrl":"10.1016/j.iref.2024.103707","url":null,"abstract":"<div><div>This paper explores the tail risk spillover patterns among eight US green bond, energy, and agricultural commodity markets conditional on different extreme weather conditions, using a proposed conditional tail Diebold Yilmaz spillover network. The results of the empirical analysis, conducted using data from 2013 to 2023, indicates that, firstly, as weather conditions transit from normal to extreme risk state, the complexity and magnitude of tail risk spillovers increase, particularly affecting the relationships between different markets and sectors. Under most extreme weather risk scenarios, the energy market predominantly acts as a risk transmitter. Conversely, the agricultural market, more often emerges as a risk receiver. Secondly, of all the extreme weather scenarios considered, the US commodity markets achieve lowest in total risk spillover (TRS) in the extreme snow weather scenarios and this is the only case that is almost no more than the unconditional weather scenario over the sample period. Finally, the tail returns of most US commodity markets are more sensitive to tail movements in extreme total precipitation and extreme runoff weather conditions.</div></div>","PeriodicalId":14444,"journal":{"name":"International Review of Economics & Finance","volume":"96 ","pages":"Article 103707"},"PeriodicalIF":4.8,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142698478","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-11-01DOI: 10.1016/j.iref.2024.103722
Jiayi Wu , Aolin Lai , Zhenran Li , Qunwei Wang
Previous research has focused on the impacts of air pollution on individual health and economic development, but has not considered its impacts on the investment efficiency of renewable energy enterprise (IERE). Therefore, this paper empirically analyzes the impact of air pollution on IERE using panel data for 200 non-hydroelectric renewable energy (RE) firms listed on China's A-share market from 2008 to 2021. This study shows that air pollution improves investment efficiency by mitigating under-investment in wind and photovoltaic enterprises. This effect is not significant in biomass energy enterprises. Investor attention and enterprise environmental engagement are the mechanisms by which air pollution improves IERE. In addition, the impact of air pollution on IERE is higher for state-owned enterprises, companies with environmentally background executives, areas with less market segmentation, and areas with higher levels of environmental justice. RE policies and media attention can increase the positive impact of air pollution on IERE. This study clarifies the relationship between air pollution and IERE, and highlights important implications for improving the RE policy system and informing corporate investment decisions.
{"title":"Investment efficiency of renewable energy enterprises when exposed to air pollution: Evidence from China","authors":"Jiayi Wu , Aolin Lai , Zhenran Li , Qunwei Wang","doi":"10.1016/j.iref.2024.103722","DOIUrl":"10.1016/j.iref.2024.103722","url":null,"abstract":"<div><div>Previous research has focused on the impacts of air pollution on individual health and economic development, but has not considered its impacts on the investment efficiency of renewable energy enterprise (IERE). Therefore, this paper empirically analyzes the impact of air pollution on IERE using panel data for 200 non-hydroelectric renewable energy (RE) firms listed on China's A-share market from 2008 to 2021. This study shows that air pollution improves investment efficiency by mitigating under-investment in wind and photovoltaic enterprises. This effect is not significant in biomass energy enterprises. Investor attention and enterprise environmental engagement are the mechanisms by which air pollution improves IERE. In addition, the impact of air pollution on IERE is higher for state-owned enterprises, companies with environmentally background executives, areas with less market segmentation, and areas with higher levels of environmental justice. RE policies and media attention can increase the positive impact of air pollution on IERE. This study clarifies the relationship between air pollution and IERE, and highlights important implications for improving the RE policy system and informing corporate investment decisions.</div></div>","PeriodicalId":14444,"journal":{"name":"International Review of Economics & Finance","volume":"96 ","pages":"Article 103722"},"PeriodicalIF":4.8,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142698473","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-11-01DOI: 10.1016/j.iref.2024.103740
Ameet Kumar Banerjee , Ahmet Sensoy , John W. Goodell
Geopolitical risk notably affects cross-market linkages and risk spillovers. However, the void remains in the extant literature, providing little empirical evidence on the risk spillover influences of geopolitical crises on different segments of financial markets. Employing a time-varying VAR framework to model a risk spillover network, this paper examines the risk spillover across geopolitical risk, stocks, bonds, forex, gold, and energy markets from crisis and long-term perspectives. Results show that the bond market plays a significant role in the spillover network. Results also identify more risk spillover during military conflicts than during the COVID-19 pandemic. Geopolitical risk intensifies under geopolitical threats and conflicts, amplifying cross-market spillovers, with geopolitical risk acting as a risk transmitter. Gold is a risk receiver in both the long-term and crisis periods, with risk spillovers from geopolitical risk to market segments being asymmetric. These findings have significant implications for policymakers and market participants.
地缘政治风险显著影响跨市场联系和风险溢出效应。然而，现有文献中仍存在空白，几乎没有提供关于地缘政治危机对金融市场不同部分的风险溢出影响的经验证据。本文采用时变 VAR 框架建立风险溢出网络模型，从危机和长期角度研究了地缘政治风险、股票、债券、外汇、黄金和能源市场之间的风险溢出。结果表明，债券市场在溢出网络中发挥着重要作用。结果还发现，军事冲突期间的风险溢出比 COVID-19 大流行期间更大。在地缘政治威胁和冲突下，地缘政治风险加剧，放大了跨市场溢出效应，地缘政治风险成为风险传递者。在长期和危机时期，黄金都是风险接收器，地缘政治风险对细分市场的风险溢出是不对称的。这些发现对政策制定者和市场参与者具有重要意义。
{"title":"Volatility connectedness between geopolitical risk and financial markets: Insights from pandemic and military crisis periods","authors":"Ameet Kumar Banerjee , Ahmet Sensoy , John W. Goodell","doi":"10.1016/j.iref.2024.103740","DOIUrl":"10.1016/j.iref.2024.103740","url":null,"abstract":"<div><div>Geopolitical risk notably affects cross-market linkages and risk spillovers. However, the void remains in the extant literature, providing little empirical evidence on the risk spillover influences of geopolitical crises on different segments of financial markets. Employing a time-varying VAR framework to model a risk spillover network, this paper examines the risk spillover across geopolitical risk, stocks, bonds, forex, gold, and energy markets from crisis and long-term perspectives. Results show that the bond market plays a significant role in the spillover network. Results also identify more risk spillover during military conflicts than during the COVID-19 pandemic. Geopolitical risk intensifies under geopolitical threats and conflicts, amplifying cross-market spillovers, with geopolitical risk acting as a risk transmitter. Gold is a risk receiver in both the long-term and crisis periods, with risk spillovers from geopolitical risk to market segments being asymmetric. These findings have significant implications for policymakers and market participants.</div></div>","PeriodicalId":14444,"journal":{"name":"International Review of Economics & Finance","volume":"96 ","pages":"Article 103740"},"PeriodicalIF":4.8,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142699107","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-11-01DOI: 10.1016/j.iref.2024.103708
Hebo Li , Yulin Liu , Zhuocheng Lu
Intergenerational hierarchical solidification threatens the sustainable development of economies and societies in countries worldwide. In this paper, we match macro data on digital factor participation at the city level with micro data from the Chinese Family Panel Studies (CFPS) from 2010 to 2018 to explore whether digital factor participation can break hierarchical solidification and create opportunities for “rags to riches” on the basis of the perspective of intergenerational income mobility. We find that digital factor participation contributes to facilitating upwards income mobility between generations, alleviating intergenerational hierarchical solidification. Additionally, its marginal effects are most pronounced in the low-income groups, indicating that digital factor participation serves as a booster for “poor second generations” to leapfrog rather than an accelerator for wealth accumulation among the “wealthy second generations”. Furthermore, our research reveals that digital factor participation potentially facilitates intergenerational occupational vertical “shift” channels and promotes the horizontal migration of the labour force, which in turn weakens intergenerational transmission effects, promotes intergenerational income mobility, and breaks intergenerational hierarchical solidification. Our study highlights the importance of seizing the opportunities presented by digital factor participation, as such participation offers more equitable opportunities for the lower class, which is particularly concerning in the context of the intensifying global trend of social stratification.
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