Studies in Economics and Finance最新文献

Purpose

This study aims to investigate the dynamics between exogenous shocks, financial stress and economic performance in the USA from January 1995 to August 2023.

Design/methodology/approach

Granger-causality tests and impulse response analyses are used to examine causal relationships and dynamic responses among crude oil prices, real M2 money supply, financial stress and key economic indicators.

Findings

This study reveals a significant correlation between elevated financial stress and reduced real output, along with disruptions in the labor market, potentially leading to economic recessionary trends. Failure to address these challenges could perpetuate labor market difficulties, weaken capital accumulation within the loanable funds market and ultimately hinder long-term economic growth prospects in the USA.

Practical implications

This study offers insights for policymakers to mitigate financial stress. Recommendations include enhancing financial surveillance, strengthening regulatory frameworks, promoting economic diversification and implementing countercyclical policies to stabilize the economy and support labor markets. In addition, proactive monitoring of financial stress indicators can serve as early warning signals, aiding in timely interventions and effective risk management strategies.

Originality/value

This research provides a comprehensive analysis of how the financial stress index (FSI) mediates the effects of external shocks on the US economy, addressing a gap in existing literature. The integration of the FSI into the analysis enhances the understanding of the transmission channels through which external shocks influence the economy.

Purpose

As the onset of the Russia–Ukraine military conflict on February 24, 2022, individuals from Ukraine have been relocating in search of safety and refuge. This study aims to investigate how the influx of Ukrainian refugees has impacted the stock markets and exchange rates of Ukraine's neighboring states.

Design/methodology/approach

The authors focused on the neighboring countries that share a western border with Ukraine and have received the highest number of refugees: Hungary, Poland, Romania and Slovakia. The analysis covered the period from April 24 to December 31, 2022. After this period, the influence of the refugees is small, insignificant. Wavelet coherence, wavelet power spectrum and the time-varying parameter vector autoregressions method were used for data processing.

Findings

The key finding are as follows: a link exists between the dynamics of refugees from Ukraine and volatility of the stock indices and exchange rate of the host countries; volatility was significant in the first weeks after the start of the conflict in all the analyzed states; and the highest volatility was recorded in Hungary and Poland; the effect of refugees was stronger on stock indices than that on exchange rates.

Originality/value

To the best of the authors’ knowledge, it is the first research that presents the impact of refugees from Ukraine on stock markets and exchange rates volatility in the countries analyzed.

Purpose

This paper aims to investigate the impact of geopolitical events of the Russia–Ukraine conflict on the stock market volatility of G20 countries. Furthermore, the paper also investigates the possible reasons for any similarities or differences in the results of the three sectors.

Design/methodology/approach

This paper measures the impact of the stock market sectoral index price (SIP) by using the daily closing price as a dependent variable. In addition, this study uses three independent variables: geopolitical risk (GPR), commodity price (CP) and foreign exchange rate (FER). Seventeen countries from the G20 are analyzed using a daily timeframe from September 2021 to August 2022 (before and during the Russian invasion).

Findings

The results revealed that FER, CP and GPR all affect SIP, but the level of significance and positive/negative signs vary in all three sectors. The positive FER affects SIP in all sectors, while the negative CP and GPR significantly impact SIP in the energy and transportation sectors.

Research limitations/implications

This study’s research model is more suited for transportation and energy than consumer goods. Future researchers can enhance the research model for the consumer goods sector by incorporating additional variables to understand their relationship with SIP better.

Originality/value

This study explores the impact of the Russia–Ukraine conflict on the stock market in G20 countries, focusing on the top three most affected sectors.

Purpose

This study aims to assess volatility spillovers and directional connectedness between electricity (EPs) and natural gas prices (GPs) in the Canadian electricity market, based on a hydrothermal power generation market strongly dependent on exogenous variables such as fossil fuel prices and climatology factors.

Design/methodology/approach

The methodology is divided into two stages. First, a quantile vector autoregression model is used to evaluate the direction and magnitude of the influence between natural gas and electricity prices through different quantiles of their distributions. Second, a cross-quantilogram is estimated to measure the directional predictability between these prices. The data set consists of daily electricity and natural gas prices between January 2015 and December 2023.

Findings

The main finding shows that electricity prices are pure shock receivers of volatility from natural gas prices for the different quantiles. In this way, natural gas price fluctuations explain 0.20%, 0.98% and 22.72% of electricity price volatility for the 10th, 50th and 90th quantiles, respectively. On the other hand, a significant and positive correlation is observed in the high quantiles of the electricity prices for any natural gas price value.

Originality/value

The study described the risk to the electricity market caused by nonrenewable source price fluctuations and provided evidence for designing regulatory policies to reduce its exposure in Alberta, Canada. It also allows us to understand the importance of natural gas in the energy transition process and define it as the fundamental determinant of the electricity market dynamic.

Purpose

A review of the literature provides a solid reason to believe that an increase in environmental, social and corporate governance (ESG) activities have a positive impact on banks’ default risk (DR). However, the increasing impact of climate risk on credit, operational and market risks, as well as the reduced availability of funding for banks that underperform in terms of ESG risk, is a concern. Therefore, the purpose of this study is to verify the relevance of the implementation of ESG policies to a bank’s DR, against the background of macroeconomic and bank-specific factors.

Design/methodology/approach

Using a data set of 303 commercial banks from 61 countries from 2012 to 2021 and a panel regression methodology, the empirical importance of ESG activities for bank DR is documented. The two-stage generalized method of moments estimator was used to test the research questions.

Findings

Comparing different factors, the results highlight the positive impact of ESG activities on the bank’s DR. However, this relationship varies according to the specific pillars of the bank’s sustainability policies and changes into negative ones.

Originality/value

This paper fits the domain of DR management research, investigating whether ESG performance affects bank DR while controlling macroeconomic and market drivers. Prior literature has shown evidence on the relationship between macro and market forces and a bank’s risk profile while a limited one on the non-market drivers. The main contribution is to consider ESG (in total and as separate pillars) as independent drivers of the bank risk profile.

Purpose

This paper aims to improve how investors can better manage their exposure to bitcoin (BTC), given the growing importance of BTC and the accompanying high volatility of BTC. This paper tests whether altcoins can serve as safe havens and diversifiers against exposure to BTC.

Design/methodology/approach

Using daily returns of altcoins and BTC from 2014 to early 2022, this paper examines the relationship between altcoins and BTC in a GARCH regression framework.

Findings

This paper finds that altcoins act as reliable safe havens during periods of extremely negative BTC returns and provide BTC investors with diversification benefits during normal periods. The safe haven effect of altcoins is superior to that of conventional assets. This paper presents evidence that this safe haven property of altcoins can be attributed to the informational efficiency channel, which arose from the increased adoption of BTC by institutional investors.

Research limitations/implications

The study uses a data set from 2014 to early 2022. While the sample is among the largest samples in the literature on crypto assets and includes adequate BTC tail events to test the hypotheses, it may not capture more recent changes in the crypto markets.

Practical implications

The findings suggest that BTC investors can enjoy diversification and safe haven protections by including altcoins in their portfolios.

Originality/value

This paper’s focus on alternative cryptocurrencies (altcoins) as potential diversifiers and safe havens is original. The hypothesis about altcoins being better alternatives during extreme negative movements in BTC prices is a unique contribution. The test of the role of the information efficiency channel further enhances the paper’s originality.

Purpose

This study aims to examine the long-run relationship between macroeconomic and financial conditions and the aggregate number of mergers and acquisitions (M&As) in the USA, drawing on data spanning from 1928 to 2019.

Design/methodology/approach

The study estimated a Vector Error Correction Model (VECM) encompassing four variables: the aggregate number of M&As, industrial production, the rates on three-month U.S. treasury bills and the closing price of the Dow Jones Industrial Average.

Findings

There exists a long-run relationship among the four variables. An increase in industrial production is associated with a fall in M&A transactions, reflecting a tendency for M&A waves to start during economic downturns. Similarly, contractionary monetary policy, which often happens during good economic and financial times, leads to a decline in M&A activity. When the equilibrium among the four variables is disrupted, the aggregate number of M&As, along with financial conditions, works to restore the equilibrium.

Originality/value

To the best of the authors’ knowledge, this is the first study to examine the long-run relationship between macroeconomic and financial conditions using data spanning nearly a century.

Purpose

The purpose of this paper is to explore the degree of inflation persistence across all US metro areas over the post-pandemic period.

Design/methodology/approach

Both the Multivariate Core Trend (MCT) model and a fractional integration model, that is the Multivariate Unobserved-Components Stochastic Volatility Outlier-adjusted (MUCSVO) model are estimated.

Findings

The findings provide clear evidence of a significant inflation persistence in ten metro areas and the absence of persistence in the remaining areas, implying that in the former areas, inflation clearly indicates a strong persistent pattern. In other words, in these ten areas, the persistent component dominates the evolution of the trend and stands as a significant driver of inflation.

Research limitations/implications

The findings have important implications for US policymakers to consider implementing more targeted policies to address inflation in specific metro areas to reduce the overall inflation rate, or they may need to consider tailoring fiscal policies to address inflationary pressures in specific metro areas. The findings illustrate the need for targeted policy interventions to address inflationary pressures in specific areas, as well as the importance of understanding the drivers of inflation persistence to develop effective policy responses. The findings also provide insights to firms on how to mitigate the risks of inflation. They may need to diversify their products or supplier base so that they do not rely on areas experiencing persistent inflation.

Originality/value

This paper contributes to the literature by extending the discussion of the impact of the recent pandemic crisis on US regional inflation. The findings have important implications for US policymakers to consider implementing more targeted policies to address inflation in specific metro areas to reduce the overall inflation rate, or they may need to consider tailoring fiscal policies to address inflationary pressures in specific metro areas. The findings illustrate the need for targeted policy interventions to address inflationary pressures in specific areas, as well as the importance of understanding the drivers of inflation persistence to develop effective policy responses. The findings also provide insights to firms on how to mitigate the risks of inflation. They may need to diversify their products or supplier base so that they do not rely on areas experiencing persistent inflation.

Purpose

This paper aims to examine the relationships among environmental, social and governance (ESG) practices, innovation and economic growth in five Asian countries from 1990 to 2020.

Design/methodology/approach

The study innovatively constructed the ESG index at the country level by using frequency statistics on text mining and factor analysis for each country over time. In addition, this study used the autoregressive distributed lag method to establish a long-term relationship.

Findings

The authors discovered that ESG practices among corporate entities significantly impact economic growth in Malaysia, the Philippines and Singapore. Specifically, the environmental component positively affects the growth of Malaysia, Thailand and the Philippines, while the governance components of ESG contribute to Thailand’s economic growth. The authors also discovered that innovation improves countries’ economic growth, thus offering policy insights into promoting ESG practices and stimulating the ecosystem for innovation.

Originality/value

The paper fills the gap left in previous inconclusive findings on the association between ESG practices and country growth.