International Review of Economics & Finance最新文献

英文中文

Modeling dynamic higher-order comoments for portfolio selection based on copula approach 基于 copula 方法为投资组合选择建立动态高阶漫差模型

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance

Pub Date : 2024-10-11 DOI: 10.1016/j.iref.2024.103668

Yanfeng Wang , Rui Ke , Dong Yang

This paper introduces a novel approach to estimating time-varying higher-order comoments from a theoretical standpoint. We present how to estimate the dynamic higher-order comoments of asset returns under the copula framework, which builds on the ARCD and copula-DCC models to capture the time variation in higher-order moments and correlations of asset returns. Additionally, the elements in the coskewness and cokurtosis matrices are calculated by the double, triple, and quadruple integrals associated with the joint density function of asset returns. The empirical application to five international market indexes shows that the portfolio with time-varying higher-order comoments estimated by the copula approach significantly outperforms equally weighted and mean–variance strategies in economic performance. The robustness analysis verifies the validity and robustness of the proposed estimation method. Our research offers fresh insights for portfolio analysis and risk management decision-making in practical scenarios.

本文从理论角度介绍了一种估算时变高阶矩的新方法。我们介绍了如何在 copula 框架下估计资产收益率的动态高阶矩，该框架建立在 ARCD 和 copula-DCC 模型的基础上，以捕捉资产收益率的高阶矩和相关性的时间变化。此外，余弦矩阵和峰度矩阵中的元素是通过与资产回报联合密度函数相关的二重、三重和四重积分计算得出的。对五个国际市场指数的实证应用表明，用 copula 方法估计的具有时变高阶漫差的投资组合在经济表现上明显优于等权重策略和均值方差策略。稳健性分析验证了所提出的估计方法的有效性和稳健性。我们的研究为实际情况下的投资组合分析和风险管理决策提供了新的见解。

引用次数: 0

Financial inclusion effects of engaging with the fintech ecosystem 参与金融科技生态系统的普惠金融效应

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance

Pub Date : 2024-10-09 DOI: 10.1016/j.iref.2024.103671

Odongo Kodongo

Using the FinAccess Kenya Household Survey dataset, we construct a metric of individual engagement with the fintech ecosystem and examine its linkage with consumption of traditional financial products. Deploying a battery of econometric procedures, we document a pervasive gap in the usage of traditional financial products, ranging from 5.3% to 17.5%, between individuals who engage with the fintech ecosystem and those who do not. Treatment-effects procedures yield evidence that engaging with the fintech ecosystem improves individuals’ usage of traditional financial products by about 4 percentage points. The positive impact of the fintech ecosystem on the usage of traditional financial products is enabled by fintech mitigating the distance barrier. Interestingly, our findings suggest that the fintech ecosystem does not perform well in addressing financial inclusion inequalities facing young adults, women, the less educated and less wealthy people. We offer policy guides and future research suggestions anchored on these findings.

我们利用肯尼亚家庭调查 FinAccess 数据集，构建了个人参与金融科技生态系统的指标，并研究了其与传统金融产品消费之间的联系。通过一系列计量经济学程序，我们记录了参与金融科技生态系统的个人与未参与的个人之间在传统金融产品使用方面普遍存在的差距，差距从 5.3% 到 17.5%不等。处理效应程序得出的证据表明，参与金融科技生态系统可将个人对传统金融产品的使用率提高约 4 个百分点。金融科技生态系统对传统金融产品使用率的积极影响得益于金融科技缓解了距离障碍。有趣的是，我们的研究结果表明，金融科技生态系统在解决青壮年、女性、受教育程度较低和较不富裕人群所面临的金融包容性不平等方面表现不佳。我们根据这些发现提出了政策指南和未来研究建议。

引用次数: 0

Harbor in the storm: How Bitcoin navigates challenges of climate change and global uncertainties 风暴中的港湾比特币如何应对气候变化和全球不确定性带来的挑战

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance

Pub Date : 2024-10-09 DOI: 10.1016/j.iref.2024.103674

Houjian Li, Fangyuan Luo, Lili Guo

Understanding Bitcoin's (BTC) performance and hedging effects under various uncertainties is crucial. This study combines time-varying Granger causality (TVGC) tests and wavelet time-varying parameter vector autoregression (TVP-VAR) methods to examine the relationship between Bitcoin (BTC) and climate uncertainty (SOI), geopolitical risk (GPR), economic policy uncertainty (EPU), crude oil volatility (OVX), and market volatility (VIX) across both time and frequency domains, from December 19, 2017, to October 16, 2023. The results show that in recent years, the long-term impact of SOI on BTC, as well as political and economic uncertainties, is hard to ignore, but BTC cannot serve as a safe-haven asset against SOI. Wavelet decomposition indicates that during extreme events, BTC exhibits a leading positive co-movement with EPU, GPR, VIX, and OVX in the long term, showing potential as a hedging asset. However, TVGC and wavelet decomposition spillover results further suggest that BTC's hedging capacity against different economic and political uncertainties may be limited during certain extreme events.

了解比特币（BTC）在各种不确定因素下的表现和对冲效应至关重要。本研究结合时变格兰杰因果关系（TVGC）检验和小波时变参数向量自回归（TVP-VAR）方法，从2017年12月19日至2023年10月16日，跨时域和频域研究比特币（BTC）与气候不确定性（SOI）、地缘政治风险（GPR）、经济政策不确定性（EPU）、原油波动率（OVX）和市场波动率（VIX）之间的关系。结果显示，近年来，SOI 对 BTC 以及政治和经济不确定性的长期影响难以忽视，但 BTC 无法成为抵御 SOI 的避险资产。小波分解显示，在极端事件发生时，BTC 与 EPU、GPR、VIX 和 OVX 长期呈现领先的正向共振，显示出作为对冲资产的潜力。然而，TVGC 和小波分解溢出结果进一步表明，在某些极端事件中，BTC 针对不同经济和政治不确定性的对冲能力可能有限。

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引用次数: 0

The adoption of blockchain and financing constraints: Evidence from China 区块链的采用与融资约束：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 : 2024-10-09 DOI: 10.1016/j.iref.2024.103672

Dengjia Li , Chaoqun Ma , Hao Li , Jinglan Yang

Despite the recognized significance of blockchain in supply chain management literature, there has been a scarcity of studies empirically exploring the link between blockchain adoption and financing constraints. This paper delves into how blockchain adoption influences financing constraints, considering the moderating effects of environmental and firm-specific factors. Utilizing panel data from A-share listed firms in China over the period 2016–2021, our analysis reveals that blockchain adoption notably eases financing constraints. Additionally, we observe a spillover effect: the adoption of blockchain technology by a central enterprise can alleviate financing constraints for affiliated companies within their supply chain, including upstream and downstream firms. Our heterogeneity analysis indicates that the effectiveness of blockchain in reducing financing constraints is more pronounced in environments with robust internal and external governance and higher levels of marketization. Moreover, blockchain adoption can mitigate traditional finance's ownership bias against non-state-owned enterprises and the bargaining power disparities faced by central firms in the supply chain. In addition, in non-high-tech, non-heavy pollution, and non-manufacturing industries, firms can better alleviate financing constraints after adopting blockchain. These findings offer valuable insights for businesses looking to navigate the challenges and opportunities of mitigating financing constraints through blockchain adoption.

尽管区块链在供应链管理文献中的重要性已得到公认，但很少有研究对区块链的采用与融资约束之间的联系进行实证探索。本文深入探讨了区块链的采用如何影响融资约束，并考虑了环境和企业特定因素的调节作用。利用 2016-2021 年期间中国 A 股上市公司的面板数据，我们的分析表明，区块链的采用明显缓解了融资约束。此外，我们还观察到一种溢出效应：中央企业采用区块链技术可以缓解其供应链中关联企业（包括上下游企业）的融资约束。我们的异质性分析表明，在内部和外部治理健全、市场化程度较高的环境中，区块链在减少融资约束方面的效果更为明显。此外，区块链的采用可以减轻传统金融对非国有企业的所有权偏见，以及供应链中中心企业所面临的议价能力差异。此外，在非高科技、非重污染和非制造业行业，企业采用区块链后可以更好地缓解融资限制。这些研究结果为企业通过采用区块链缓解融资约束的挑战和机遇提供了宝贵的见解。

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引用次数: 0

Network externalities, strategic delegation and optimal trade policy 网络外部性、战略授权和最优贸易政策

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance

Pub Date : 2024-10-05 DOI: 10.1016/j.iref.2024.103655

Anomita Ghosh , Rupayan Pal , Ruichao Song

This paper examines strategic trade policy for differentiated network-goods oligopolies under alternative scenarios when there is export-rivalry between two countries. We demonstrate that, in the absence of managerial delegation, the optimal trade policy entails an export tax (subsidy) if network externalities are weak (strong). However, when price competition is combined with managerial delegation, the opposite is true. Subsidizing exports, on the other hand, is always optimal under quantity competition. We also show that the welfare consequences of strategic trade policy depend not only on the mode of product market competition, but also on firms’ internal organizations and the strength of network externalities.

本文探讨了在两国之间存在出口竞争的其他情况下，差异化网络商品寡头企业的战略贸易政策。我们证明，在没有管理授权的情况下，如果网络外部性较弱（较强），最优贸易政策需要征收出口税（补贴）。然而，当价格竞争与管理授权相结合时，情况则恰恰相反。另一方面，在数量竞争条件下，补贴出口总是最优的。我们还表明，战略性贸易政策的福利后果不仅取决于产品市场的竞争模式，还取决于企业的内部组织和网络外部性的强度。

引用次数: 0

Re-examining international spillovers: An Asian perspective 重新审视国际溢出效应：亚洲视角

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance

Pub Date : 2024-10-05 DOI: 10.1016/j.iref.2024.103581

Georgios Magkonis , Simon Rudkin , Shuonan Zhang

This study investigates the transmission and the business cycle implications of Chinese export shocks to other Asian economies. Based on a panel vector autoregression (PVAR) model, we provide evidence that a positive export shock originating from China simultaneously stimulates aggregate demands for both China and other Asian economies. The PVAR model takes into account three main sources of potential interactions among ten Asian economies. Simulations from a two-country DSGE model featuring endogenous trade links suggest that positive trade spillover is essential to explain the macroeconomic comovement pattern. Our findings further indicate the importance of the Chinese economy to business cycle synchronization.

本研究探讨了中国出口冲击对其他亚洲经济体的传导和商业周期影响。基于面板向量自回归（PVAR）模型，我们提供的证据表明，来自中国的正向出口冲击会同时刺激中国和其他亚洲经济体的总需求。PVAR 模型考虑了 10 个亚洲经济体之间潜在互动的三个主要来源。以内生贸易联系为特征的两国 DSGE 模型的模拟结果表明，积极的贸易溢出效应对于解释宏观经济的联动模式至关重要。我们的研究结果进一步表明了中国经济对商业周期同步的重要性。

引用次数: 0

Can government-guided funds promote corporate technology innovation? Evidence from the new energy automobile industry 政府引导基金能否促进企业技术创新？来自新能源汽车产业的证据

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance

Pub Date : 2024-10-04 DOI: 10.1016/j.iref.2024.103667

Guangyu Li , Jun Zhang , Yiming Wang , Zijian Zhao

A government-guided fund is a crucial policy instrument for fostering innovation in the new energy automotive industry. This article examines the stimulating impact and underlying mechanisms of government-guided funding on A-share new energy automotive listed firms from 2012 to 2022, using a difference-in-differences (DID) model. The finding suggests that government-guided funds can effectively stimulate corporate technology innovation activities. Mechanism tests reveal that government-guided funds can encourage corporate innovation by alleviating financial constraints and attracting research and development experts. Additionally, government-guided funds have varying effects on the technology innovation of different types of enterprises within the new energy automobile industry chain, including upstream, midstream, and downstream companies. The study's findings have specific policy implications for increasing government-guided fund assistance and optimizing fund investment direction.

政府引导基金是促进新能源汽车产业创新的重要政策工具。本文利用差分（DID）模型，研究了2012-2022年政府引导基金对A股新能源汽车上市公司的激励作用及其内在机制。研究结果表明，政府引导基金能够有效刺激企业的技术创新活动。机制检验表明，政府引导基金可以通过缓解资金约束和吸引研发专家来鼓励企业创新。此外，政府引导基金对新能源汽车产业链中不同类型企业（包括上游、中游和下游企业）的技术创新具有不同的影响。研究结果对加大政府引导基金扶持力度、优化基金投资方向具有具体的政策指导意义。

引用次数: 0

Media pressure, corporate social responsibility, and the risk of share price crash 媒体压力、企业社会责任与股价暴跌风险

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance

Pub Date : 2024-10-03 DOI: 10.1016/j.iref.2024.103666

Po-yang Wu , Jing Zhang , Siyu Yang

The investigation employs a compilation of data from 5085 listed entities over the period from 2013 to 2022 to explore the dynamics between media coverage, corporate social responsibility initiatives (CSR), and the risk of stock market crashes. The results suggest that greater media focus can elevate the chances of stock value plummeting, whereas robust CSR dedication tends to mitigate such risks. The extent of overall debt funding plays a significant role as an intermediary in the connection between CSR efforts and the threat of equity market meltdowns. Moreover, the influence of the audit services provided by the Big Four firms greatly alters the correlation between CSR endeavors and the probability of market downturns. Additionally, the influence of CSR on the risk of crashes varies based on the profitability of the company. The study proposes that enhancing CSR execution, maintaining moderate levels of financial leverage, and optimizing approaches to media relations can all contribute to reducing the likelihood of stock market crashes.

本研究汇编了 2013 年至 2022 年期间 5085 家上市实体的数据，以探讨媒体报道、企业社会责任举措（CSR）与股市崩盘风险之间的动态关系。研究结果表明，媒体的更多关注会提高股票价值暴跌的几率，而企业社会责任的有力履行往往会降低这种风险。在企业社会责任努力与股票市场崩溃威胁之间的联系中，总体债务融资规模作为中介发挥了重要作用。此外，四大会计师事务所提供的审计服务的影响也极大地改变了企业社会责任努力与市场下滑概率之间的相关性。此外，企业社会责任对崩盘风险的影响因公司盈利能力而异。研究提出，加强企业社会责任的执行、保持适度的财务杠杆水平以及优化媒体关系的方法都有助于降低股市崩盘的可能性。

引用次数: 0

Natural resources and sustainable development: Evidence from the dynamic correlation between crude oil and gold market 自然资源与可持续发展：原油与黄金市场动态相关性的证据

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance

Pub Date : 2024-10-01 DOI: 10.1016/j.iref.2024.103665

Xincheng Zhang , Shaojiang Wu

Amidst the uncertainty in markets spurred by globalization and technological advancements, the volatility of the crude oil and gold markets, which are emblematic of natural resource markets (NRMs), profoundly impacts global economic sustainability. This study innovatively quantifies and contrasts the impact of macroeconomic uncertainty factors on the volatility and dynamic correlation of these pivotal NRMs by extending the GJR-GARCH-MIDAS-X and DCC-MIDAS-RC-X models grounded in global economic policy uncertainty (GEPU), trade policy uncertainty (TPU), monetary policy uncertainty (MPU), and geopolitical risk (GPR). Concurrently, employing principal component analysis (PCA) blends numerous uncertainty factors, heightening the models’ explanatory capacity and predictive precision. Empirical findings suggest that all uncertainty factors exert significant positive effects on both crude oil and gold volatility, albeit with heterogeneity. Furthermore, the correlation between crude oil and gold fluctuates over time under the influence of uncertainty factors. Additionally, this study revealed asymmetric effects on realized volatility between the two NRMs. This research not only provides novel theoretical insights and empirical evidence concerning the intricate dynamic interplay between the two NRMs, but also has significant ramifications for policymakers, market regulators, and investors in crafting effective strategies and decisions amidst market uncertainty.

在全球化和技术进步带来的市场不确定性中，作为自然资源市场（NRMs）代表的原油和黄金市场的波动深刻影响着全球经济的可持续性。本研究通过扩展以全球经济政策不确定性（GEPU）、贸易政策不确定性（TPU）、货币政策不确定性（MPU）和地缘政治风险（GPR）为基础的 GJR-GARCH-MIDAS-X 和 DCC-MIDAS-RC-X 模型，创新性地量化和对比了宏观经济不确定性因素对这些关键自然资源市场的波动性和动态相关性的影响。同时，采用主成分分析法（PCA）混合了众多不确定性因素，提高了模型的解释能力和预测精度。实证研究结果表明，所有不确定性因素都对原油和黄金的波动性产生了显著的积极影响，尽管存在异质性。此外，在不确定性因素的影响下，原油和黄金之间的相关性随时间而波动。此外，本研究还揭示了两种非线性机制对已实现波动率的不对称影响。这项研究不仅为两种非线性机制之间错综复杂的动态相互作用提供了新颖的理论见解和经验证据，而且对政策制定者、市场监管者和投资者在市场不确定性中制定有效的战略和决策具有重要意义。

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引用次数: 0

Can Chinese investors manage climate risk domestically and globally? 中国投资者能否管理好国内和全球的气候风险？

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance

Pub Date : 2024-10-01 DOI: 10.1016/j.iref.2024.103664

Yike Liu, Zihan Xu, Xiaoyun Xing, Yuxuan Zhu

Climate risk is increasing and poses a risk for investors in China’s traditional stock market. In this paper, we construct a TVP-VAR-DY model and use benchmark regression and asset portfolio to explore the impact of climate risk on the Chinese stock market and whether assets with risk aversion attributes or green and low-carbon features can effectively manage climate risk. In particular, we compare China’s climate risk with global climate risk and explore transition and physical risks separately. The results show that climate risk does affect the Chinese stock market and that Chinese climate risk has a greater impact on the stock market than global climate risk. However, the good news is that the metal assets, as well as the equity-type and bond-type green assets, are effective in reducing cross-market spillovers under China’s climate risk, indicating that these assets can provide diversification benefits against climate-driven risks domestically. We also find that the metals and the equity-type assets could dampen the spillover effect against global transition risk, and the bond-type ones serve this function against global physical risk. The results further show that, for China’s stock market investors, adding green bonds to their portfolios could reduce the downside risk, regardless of climate risk type or origin. In addition, we can infer that investors are suggested to use traditional safe-haven assets and bond-type green ones to manage climate risk.

气候风险不断增加，给中国传统股市的投资者带来了风险。本文构建 TVP-VAR-DY 模型，利用基准回归和资产组合，探讨气候风险对中国股市的影响，以及具有风险规避属性或绿色低碳特征的资产能否有效管理气候风险。其中，我们将中国的气候风险与全球气候风险进行了比较，并分别探讨了转型风险和实体风险。结果表明，气候风险确实会影响中国股市，而且中国气候风险对股市的影响要大于全球气候风险。不过，好消息是，金属资产以及股票型和债券型绿色资产能够有效降低中国气候风险下的跨市场溢出效应，这表明这些资产能够为国内气候驱动的风险提供分散化收益。我们还发现，金属和股票类资产可以抑制全球转型风险的溢出效应，而债券类资产则具有抑制全球实物风险的功能。结果进一步表明，对于中国股市投资者而言，无论气候风险的类型或来源如何，在投资组合中加入绿色债券都可以降低下行风险。此外，我们还可以推断，建议投资者使用传统的避险资产和债券型绿色资产来管理气候风险。

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