North American Journal of Economics and Finance最新文献

英文中文

Global interest rates, US dollar, and global risk 全球利率，美元，全球风险

IF 3.9 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2026-03-01 Epub Date: 2025-12-27 DOI: 10.1016/j.najef.2025.102575

Zekeriya Yildirim, Fuat Erdal

How do world interest rate shocks propagate globally, and what role does the US dollar play in transmitting these shocks and amplifying them through its interaction with global financial risk? This study addresses this question using three classes of VAR models: linear, threshold, and time-varying parameter VARs. We find that world rate shocks have significant adverse effects and that the dollar serves as a key transmission channel. Specifically, these shocks heighten global financial risk and uncertainty, trigger US dollar appreciation, depress global trade, and ultimately contract global GDP.

We emphasize the pivotal role of the dollar in the transmission of such shocks, showing that not only its movements (its appreciation) but also its state (strong vs. weak) matter. Our counterfactuals also reveal a novel amplification mechanism in which the dollar serves as a central actor, operating within a self-reinforcing feedback loop with global financial risk. These counterfactuals further show that global financial risk is a primary driver of dollar appreciation.

Using threshold and time-varying analyses, we document further evidence. Threshold analysis provides strong evidence of the state-dependent effects of world rate shocks, identifying three sources of state dependence: uncertainty state dependence, dollar state dependence, and business-cycle state dependence. It shows that dollar state dependence dominates the remaining sources in global financial dynamics. Time-varying analysis shows that the contractionary effects of such shocks have intensified during the early 2000s and after the global financial crisis, while the dollar’s transmission role has strengthened in the post-GFC period, especially in the post-COVID period.

世界利率冲击是如何在全球范围内传播的？美元通过与全球金融风险的相互作用，在传递和放大这些冲击方面发挥了什么作用？本研究使用三种类型的VAR模型来解决这个问题：线性、阈值和时变参数VAR。我们发现，全球汇率冲击具有显著的不利影响，而美元是一个关键的传导渠道。具体而言，这些冲击加剧了全球金融风险和不确定性，引发美元升值，抑制全球贸易，最终收缩全球GDP。我们强调美元在传递此类冲击中的关键作用，表明不仅其走势（升值）重要，而且其状态（强弱）也很重要。我们的反事实分析还揭示了一种新的放大机制，在这种机制中，美元扮演着核心角色，在一个与全球金融风险相关联的自我强化的反馈循环中运作。这些反事实进一步表明，全球金融风险是美元升值的主要驱动因素。使用阈值和时变分析，我们记录了进一步的证据。阈值分析为世界利率冲击的状态依赖效应提供了强有力的证据，确定了状态依赖的三个来源：不确定性状态依赖、美元状态依赖和商业周期状态依赖。它表明，对美元国家的依赖在全球金融动态的其余来源中占主导地位。时变分析表明，在21世纪初和全球金融危机之后，此类冲击的收缩效应有所加剧，而美元的传导作用在后全球金融危机时期，尤其是在后covid - 19时期得到加强。

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引用次数: 0

How do climate and economic policy uncertainties relate to global fossil fuel price dynamics? 气候和经济政策的不确定性与全球化石燃料价格动态有何关系？

IF 3.9 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2026-03-01 Epub Date: 2026-01-22 DOI: 10.1016/j.najef.2026.102594

Ali Nawaz , Chi Wei Su , Shaher Yar Khan

As climate and economic policies become more volatile, uncertainty pervades global energy markets. Against this backdrop, we investigate how uncertainties in climate and economic policies relate to global fossil fuel prices, focusing on their asymmetric and time frequency associations. To capture complex dependencies, we apply a quantile-on-quantile regression along with a wavelet method to monthly data from January 1991 to September 2024, capturing dynamic relationships across market conditions and timescales. The findings reveal that heightened CPU tends to correlate with increased fossil fuel prices in the short to medium term, as investors delay decisions and incorporate higher risk premiums. However, in the long run, persistent CPU dampens investment in fossil fuel projects, reducing supply capacity and driving prices downward. Conversely, EPU exerts a mixed influence: it suppresses fossil fuel demand during short-term crises but often fuels price volatility and upward pressure over medium horizons. Overall, global fossil fuel prices respond unevenly to policy shocks, highlighting the need for stable and predictable policy frameworks. Clear, consistent climate and economic policies can dampen extreme price swings in oil, gas, and coal, thereby bolstering global energy security and economic resilience.

随着气候和经济政策变得更加不稳定，全球能源市场充满了不确定性。在此背景下，我们研究了气候和经济政策的不确定性与全球化石燃料价格的关系，重点关注它们的不对称和时频关联。为了捕获复杂的依赖关系，我们对1991年1月至2024年9月的月度数据应用分位数对分位数回归和小波方法，捕获市场条件和时间尺度之间的动态关系。研究结果显示，由于投资者推迟决策并纳入更高的风险溢价，在中短期内，CPU的升高往往与化石燃料价格的上涨相关。然而，从长远来看，持续的CPU抑制了对化石燃料项目的投资，减少了供应能力并推动价格下跌。相反，EPU的影响好坏参半：它在短期危机期间抑制化石燃料需求，但在中期往往加剧价格波动和上涨压力。总体而言，全球化石燃料价格对政策冲击的反应不均衡，凸显了建立稳定和可预测的政策框架的必要性。明确、一致的气候和经济政策可以抑制石油、天然气和煤炭价格的极端波动，从而增强全球能源安全和经济弹性。

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引用次数: 0

Environmental performance and institutions quality in Europe: A Bayesian model averaging approach 欧洲的环境绩效和制度质量：贝叶斯模型平均方法

IF 3.9 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2026-03-01 Epub Date: 2026-01-14 DOI: 10.1016/j.najef.2026.102591

Alessandra Canepa , Bodgan Dima

In this paper, we examine the relationship between institutional quality and environmental performance using a Bayesian Model Averaging framework. This approach allows us to define model weights as posterior probabilities, which are consistent across a large number of specified models. Consequently, the methodology enables us to explore the impact of various cofactors that also contribute to the environmental performance of EU countries. Our findings indicate that different aspects of democracy, access to information, the creation and dissemination of knowledge, renewable energy consumption, health expenditures, and financial stability are among the most significant explanatory variables for environmental protection performance in European Union countries. Additionally, we identify at least three groups of countries within the European Union when the most relevant environmental protection variables are used to characterize member countries’ profiles. Our results appear robust to the selection of different prior distributions for regression coefficients.

在本文中，我们使用贝叶斯模型平均框架来检验制度质量与环境绩效之间的关系。这种方法允许我们将模型权重定义为后验概率，这在大量指定模型中是一致的。因此，该方法使我们能够探索各种辅助因素的影响，这些因素也有助于欧盟国家的环境绩效。我们的研究结果表明，民主、信息获取、知识的创造和传播、可再生能源消费、卫生支出和金融稳定等不同方面是欧盟国家环境保护绩效的最重要解释变量。此外，当使用最相关的环境保护变量来描述成员国的概况时，我们确定了欧盟内至少三组国家。我们的结果对选择不同的回归系数先验分布具有稳健性。

引用次数: 0

Extreme weather events as the main driver of electricity price volatility in Italy: A GARCH-MIDAS approach with machine learning-based variable selection 极端天气事件是意大利电价波动的主要驱动因素：基于机器学习变量选择的GARCH-MIDAS方法

IF 3.9 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2026-01-01 Epub Date: 2025-08-13 DOI: 10.1016/j.najef.2025.102512

Marco Guerzoni , Luigi Riso , M. Grazia Zoia

This paper investigates the impact of extreme weather events on electricity price volatility in Italy, employing a novel combination of advanced econometric techniques and a robust variable selection process. First, we provide empirical evidence that extreme weather events significantly predict electricity price volatility. We compile a comprehensive set of economic and financial variables known in the literature to influence electricity price volatility and apply the Best Path Algorithm (BPA) for variable selection, identifying the most relevant predictors. A Granger causality analysis of the selected variables confirms that extreme weather events not only emerge as the primary factor driving volatility but also exhibit a clear unidirectional causal relationship.

Second, we integrate weather variables into a GARCH-MIDAS model, to combine high-frequency electricity price data with low-frequency climate data, thereby capturing both short- and long-term volatility components. Additionally, we incorporate external shocks—such as the Russia–Ukraine war—as exogenous variables to account for broader geopolitical influences on the energy market. Our findings underscore the substantial predictive power of extreme weather events and external shocks on electricity price dynamics.

This study enhances forecasting capabilities for policymakers and energy stakeholders, highlighting the urgent need for resilient energy market planning. Future research may extend this methodology to other regions and incorporate additional variables to further improve predictive accuracy.

本文研究了极端天气事件对意大利电价波动的影响，采用了先进计量经济学技术和稳健变量选择过程的新颖组合。首先，我们提供了极端天气事件显著预测电价波动的实证证据。我们编制了一套全面的经济和金融变量在文献中已知的影响电价波动，并应用最佳路径算法（BPA）进行变量选择，确定最相关的预测因子。对所选变量的格兰杰因果分析证实，极端天气事件不仅是波动率的主要驱动因素，而且表现出明显的单向因果关系。其次，我们将天气变量整合到GARCH-MIDAS模型中，将高频电价数据与低频气候数据结合起来，从而捕获短期和长期波动成分。此外，我们将外部冲击（如俄乌战争）纳入外生变量，以解释更广泛的地缘政治对能源市场的影响。我们的研究结果强调了极端天气事件和外部冲击对电价动态的实质性预测能力。本研究提高了决策者和能源利益相关者的预测能力，强调了弹性能源市场规划的迫切需要。未来的研究可能会将这种方法扩展到其他地区，并纳入额外的变量，以进一步提高预测的准确性。

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引用次数: 0

Simultaneous inference in testing conditional alphas of momentum portfolios 同时推理在动量组合条件阿尔法检验中的应用

IF 3.9 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2026-01-01 Epub Date: 2025-12-04 DOI: 10.1016/j.najef.2025.102557

Jinyong Kim , Yongsik Kim , Seunghyun Lee

We evaluate the conditional performance of intermediate and recent past momentum portfolios using nonparametric estimation and simultaneous inference. The outperformance of intermediate past momentum is driven by the relative performance of winners. The largest contributors to the outperformance are negative and positive exposures of the intermediate and recent past momentum to the value factor, respectively, which are strengthened when the market risk premium is high and coincide with the significant outperformance of the intermediate momentum. These contrasting signs of exposures are robust to a sub-period analysis and controls for the January effect. The outperformance disappears when prior Months 12 and 2 are excluded from constructing the momentum portfolios, due to changes in losers’ returns. However, the opposing exposures to the value factor remain consistent.

我们使用非参数估计和同步推理来评估中间和最近的过去动量组合的条件性能。中间过去势头的优异表现是由赢家的相对表现驱动的。表现优异的最大贡献者分别是中期和最近的过去势头对价值因素的负和正风险敞口，当市场风险溢价较高并与中期势头的显著表现相吻合时，这种风险敞口得到加强。这些对比鲜明的暴露迹象对于1月效应的子周期分析和控制是稳健的。当之前的第12个月和第2个月被排除在动量投资组合之外时，由于输家回报的变化，优异的表现就会消失。然而，对价值因素的相反敞口保持一致。

引用次数: 0

Physical climate risk and banks’ credit risk: Worldwide evidence 物理气候风险与银行信用风险：全球证据

IF 3.9 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2026-01-01 Epub Date: 2025-11-13 DOI: 10.1016/j.najef.2025.102550

Isabel Abinzano, Pilar Corredor, José Manuel Mansilla-Fernández

This paper examines the impact of physical climate risk on banks’ credit risk and, by extension, on global financial stability. We use the S&P Physical Risk Index as a proxy for banks’ exposure to physical climate risk. Credit risk is measured using the forward-looking probability of default from the Chan-Lau and Sy (2007) model, which adapts the structural Black–Scholes–Merton framework to the banking context. Based on a worldwide sample of 374 listed banks, our results show that physical climate risk increases banks’ credit risk. This effect is particularly pronounced for banks with greater informativeness, intrinsically vulnerable, and operating in more fragile countries. The findings provide empirical support for the financial regulators’ proposal to incorporate climate risks into capital requirements to more effectively manage climate-related financial risks. Importantly, the results indicate that such regulatory adjustments should be calibrated to each bank’s specific characteristics and operating environment.

本文考察了物理气候风险对银行信用风险的影响，进而对全球金融稳定的影响。我们使用s&p；P物理风险指数作为银行对物理气候风险敞口的代理。信用风险是使用Chan-Lau和Sy（2007）模型的前瞻性违约概率来衡量的，该模型将结构性布莱克-斯科尔斯-默顿框架适用于银行环境。基于全球374家上市银行的样本，我们的研究结果表明，物理气候风险增加了银行的信用风险。这种影响对于那些信息量更大、本质上脆弱、在更脆弱的国家经营的银行尤为明显。研究结果为金融监管机构将气候风险纳入资本要求以更有效地管理气候相关金融风险的建议提供了实证支持。重要的是，结果表明，这种监管调整应根据每家银行的具体特点和经营环境进行校准。

引用次数: 0

Enhancing financial stability through prospective resilience: Insights from the EN-VAR-DY-PR framework in international stock market networks 通过预期弹性增强金融稳定：来自国际股票市场网络EN-VAR-DY-PR框架的见解

IF 3.9 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2026-01-01 Epub Date: 2025-09-19 DOI: 10.1016/j.najef.2025.102539

Jiang-Cheng Li , Yi-Zhen Xu , Chen Tao , Guang-Yan Zhong

The increasing interconnectedness and systemic vulnerabilities of financial networks underscore the necessity of enhancing their resilience to shocks and ensuring the stability of the global financial system. This paper proposes the EN-VAR-DY-PR framework, which integrates Elastic Net (EN) regularization, Vector Autoregression (VAR), and the Diebold–Yilmaz (DY) index. This novel approach enables the dynamic assessment of prospective resilience (PR) in complex financial networks, capturing both temporal and structural dimensions of risk. Focusing on three scenarios – economic blockade, financial liberalization, and random behavior – this research examines the dynamic evolution of network prospective resilience across three distinct periods marked by major market crises. Empirical analysis of 40 countries reveals that while economic blockade temporarily enhances network resilience, it undermines long-term shock absorption. Conversely, financial liberalization consistently improves network stability, and an optimal level of randomness significantly improve the resilience of financial networks and strengthen overall financial stability. Additionally, over the three periods, the clustering of the network decreases and the network becomes more homogeneous, suggesting heightened risk concentration and intensified interconnectedness. The significant growth in both the prospective resilience and volatility of network modularity underscores an escalating systemic vulnerability and a weakening of overall network stability. This study provides a novel perspective on financial stability, demonstrating how network science can effectively identify systemic vulnerabilities and inform strategies to mitigate systemic risks.

金融网络的互联性和系统性脆弱性日益增强，凸显了增强金融网络抵御冲击能力和确保全球金融体系稳定的必要性。本文提出了EN-VAR-DY- pr框架，该框架集成了弹性网络（EN）正则化、向量自回归（VAR）和Diebold-Yilmaz （DY）指数。这种新颖的方法能够动态评估复杂金融网络中的预期弹性（PR），同时捕获风险的时间和结构维度。本研究着眼于经济封锁、金融自由化和随机行为三种情景，考察了网络预期弹性在三个以重大市场危机为标志的不同时期的动态演变。对40个国家的实证分析表明，虽然经济封锁暂时增强了网络弹性，但它破坏了长期的冲击吸收。相反，金融自由化持续提高网络稳定性，最优随机性水平显著提高金融网络的弹性，增强整体金融稳定性。此外，在这三个时期，网络的聚类性降低，网络变得更加均匀，表明风险集中度提高，互联性增强。网络模块化的预期弹性和波动性的显著增长强调了系统脆弱性的升级和整体网络稳定性的减弱。这项研究为金融稳定提供了一个新的视角，展示了网络科学如何有效地识别系统脆弱性，并为减轻系统风险的策略提供信息。

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引用次数: 0

On the non-neutrality of socially responsible investing in the presence of a greenium 论社会责任投资的非中立性

IF 3.9 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2026-01-01 Epub Date: 2025-12-15 DOI: 10.1016/j.najef.2025.102567

Fabian Alex

The neutrality of SRI in the AD-GE model by Arnold (2023) ceases to hold once the law of one price is violated for an asset that sufficiently many individuals (a single one may suffice) are not indifferent towards. The introduction of a green bond priced at a premium leads to an illusory gain, that is, a pure utility gain accompanied by a reduction of consumption, of green investors. Their financial losses are allocated to those that were sufficiently un-green to not buy too many green bonds themselves. To profit financially this way, an individual needs to start out as (partial) owner of a firm that “turns out” to be a green bond issuer. Impact investing still does not generate environmental impact in this model.

在Arnold（2023）的AD-GE模型中，一旦有足够多的个人（一个人可能就足够了）对一项资产并不漠不关心，那么一价定律就被违反了，SRI的中立性就不再成立了。引入溢价定价的绿色债券会导致绿色投资者获得虚幻的收益，即纯粹的效用收益伴随着消费的减少。他们的经济损失被分配给了那些不够环保的人，他们自己也不会购买太多的绿色债券。要想以这种方式在经济上获利，个人需要从一家公司（部分）的所有者开始，而这家公司“最终”成为了一家绿色债券发行人。在这个模型中，影响力投资仍然不会产生环境影响。

引用次数: 0

Time-frequency quantile effect of global uncertainty on stock markets: evidence from wavelet decomposition 全球不确定性对股票市场的时频分位数效应：来自小波分解的证据

IF 3.9 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2026-01-01 Epub Date: 2025-11-15 DOI: 10.1016/j.najef.2025.102554

Jiayuan Yuan , Weineng Zhu , Zishan Huang , Huiming Zhu

This study explores the time–frequency effect of the World Uncertainty Index (WUI) on the stock markets across quantile levels.We utilize wavelet decomposition and quantile regression to measure the time–frequency relationship between WUI and stock markets. Our empirical results are as follows. First, there exists a significant long-term Granger causality between WUI and stock markets. Second, the impacts of WUI on stock markets change with time-scales, the short term impacts being more intense than that of the other time scale. Third, there is significant asymmetric impacts of WUI on the stock markets. At extreme quantile levels, the absolute values of quantile regression coefficients become significantly larger relationship, indicating the relationship between the two becomes more pronounced. Overall, our findings provide a investors and policymakers with a more deeper perspective on dynamic market risk management.

本研究探讨了世界不确定性指数（WUI）对股票市场的时频效应。我们利用小波分解和分位数回归来衡量WUI与股票市场之间的时频关系。我们的实证结果如下：首先，WUI与股市之间存在显著的长期格兰杰因果关系。第二，WUI对股票市场的影响随时间尺度变化，短期影响强于其他时间尺度。第三，WUI对股票市场存在显著的不对称影响。在极端分位数水平上，分位数回归系数的绝对值关系变得显著变大，表明两者之间的关系变得更加明显。总体而言，我们的研究结果为投资者和政策制定者提供了更深入的动态市场风险管理视角。

引用次数: 0

Geopolitical crises, financial markets, and intraday volatility spillovers 地缘政治危机、金融市场和日内波动溢出效应

IF 3.9 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2026-01-01 Epub Date: 2025-12-17 DOI: 10.1016/j.najef.2025.102571

Yusaku Nishimura , Yang Ji , Bianxia Sun

This paper examines intraday volatility spillovers in global financial markets in the context of recent geopolitical crises. We extend the intraday volatility spillover index (IVSI) framework to analyze high-frequency transmission patterns across financial markets during two recent geopolitical events, Russia-Ukraine war and the Israel-Hamas conflict. Our findings reveal that the Russia-Ukraine war significantly amplified volatility spillovers, particularly during periods of heightened market stress. In contrast, the Israel-Hamas conflict exhibited more limited spillover effects. Notably, we observe that geopolitical risk surged prior to February 2022, suggesting that markets had partially priced in the impending conflict. To capture nonlinear dynamics under varying risk conditions, we further employ a quantile vector autoregression (QVAR) model, which uncovers asymmetric spillover patterns across quantiles. These results underscore the importance of accounting for both the intensity and nature of geopolitical shocks when assessing financial contagion in high-frequency environments.

本文考察了近期地缘政治危机背景下全球金融市场的日内波动溢出效应。我们扩展了日内波动溢出指数（IVSI）框架，以分析最近两个地缘政治事件——俄罗斯-乌克兰战争和以色列-哈马斯冲突——期间金融市场的高频传导模式。我们的研究结果表明，俄乌战争显著放大了波动性溢出效应，尤其是在市场压力加剧的时期。相比之下，以色列-哈马斯冲突的溢出效应更为有限。值得注意的是，我们观察到地缘政治风险在2022年2月之前飙升，这表明市场已经部分消化了即将到来的冲突。为了捕捉不同风险条件下的非线性动态，我们进一步采用了分位数向量自回归（QVAR）模型，该模型揭示了跨分位数的不对称溢出模式。这些结果强调了在评估高频环境中的金融传染时，考虑地缘政治冲击的强度和性质的重要性。

引用次数: 0

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