Pub Date : 2025-01-01DOI: 10.1016/j.najef.2025.102364
Jostein Tvedt
The link between the shape of the US government bond yield curve and future economic growth is analysed using a novel real economy endowment model. The model suggests that the predictive power of bond market prices relies on the entire yield curve, i.e., on the long run interest rate level, the short-dated bond yield, the forecast horizon specific term spread and term premiums. A forecast horizon specific, maturity weighted, term spread is suggested as a supplement to extant one-factor term-spread models. The endowment model offers a theoretical basis for the findings of the recent empirical literature, which indicate predictive power of both the slope and curvature of the yield curve. The paper’s empirical section supports the observation that, in recent decades, the slope and curvature are predictors of US economic growth.
{"title":"A predictive term-spread model in the age of inflation targeting","authors":"Jostein Tvedt","doi":"10.1016/j.najef.2025.102364","DOIUrl":"10.1016/j.najef.2025.102364","url":null,"abstract":"<div><div>The link between the shape of the US government bond yield curve and future economic growth is analysed using a novel real economy endowment model. The model suggests that the predictive power of bond market prices relies on the entire yield curve, i.e., on the long run interest rate level, the short-dated bond yield, the forecast horizon specific term spread and term premiums. A forecast horizon specific, maturity weighted, term spread is suggested as a supplement to extant one-factor term-spread models. The endowment model offers a theoretical basis for the findings of the recent empirical literature, which indicate predictive power of both the slope and curvature of the yield curve. The paper’s empirical section supports the observation that, in recent decades, the slope and curvature are predictors of US economic growth.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102364"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143094286","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-01-01DOI: 10.1016/j.najef.2024.102309
Patric Papenfuß, Amelie Schischke, Andreas Rathgeber
There are numerous forecasting studies on commodity prices using various micro- and macroeconomic indicator sets. However, commodity markets have undergone a substantial transformation in the last 20 years, with periods of the financialization, and possibly also a de-financialization, which should also be reflected in the commodity price forecasts. To identify the changes in price predictors and determinants, we individually forecast 24 metal prices one-month ahead in the pre- and post financial crisis period, where we identify the autoregressive price components having a large impact across all commodities and periods. However, interest rates are of larger impact in the first sub-sample, whereas commodity- and financial market indices are dominating in the second sub-sample. Further, we perform an out-of-sample forecast over the entire timespan, where we are able to significantly outperform the predefined benchmark forecast models, a random-walk and a random-walk with drift, in 12 of the 24 cases.
{"title":"Factors of predictive power for metal commodities","authors":"Patric Papenfuß, Amelie Schischke, Andreas Rathgeber","doi":"10.1016/j.najef.2024.102309","DOIUrl":"10.1016/j.najef.2024.102309","url":null,"abstract":"<div><div>There are numerous forecasting studies on commodity prices using various micro- and macroeconomic indicator sets. However, commodity markets have undergone a substantial transformation in the last 20 years, with periods of the financialization, and possibly also a de-financialization, which should also be reflected in the commodity price forecasts. To identify the changes in price predictors and determinants, we individually forecast 24 metal prices one-month ahead in the pre- and post financial crisis period, where we identify the autoregressive price components having a large impact across all commodities and periods. However, interest rates are of larger impact in the first sub-sample, whereas commodity- and financial market indices are dominating in the second sub-sample. Further, we perform an out-of-sample forecast over the entire timespan, where we are able to significantly outperform the predefined benchmark forecast models, a random-walk and a random-walk with drift, in 12 of the 24 cases.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102309"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143094374","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study examines the interconnected mispricing of index futures in European and American markets from 2008 to 2023, with a specific focus on the role of the Volatility Index (VIX) and the adjustment for transaction costs in shaping these dynamics. Utilizing the cost of carry model, theoretical prices are computed, and discrepancies with actual market values are analysed to measure actionable mispricing. Econometric tools, including DCC-GARCH, connectedness approach, and quantile regression, are employed to assess dynamic conditional correlations and volatility spillovers, using three distinct datasets: daily mispricing series, weekly mispricing series, and transaction cost-adjusted boundary violation series. This layered approach enables a comprehensive analysis of interconnected mispricing and robustness across different temporal frequencies and adjustments. Our results highlight significant interconnected mispricing driven by market volatilities, with the VIX serving as a pivotal transmitter of volatility during periods of financial turbulence. The analysis demonstrates that the inclusion of the VIX significantly amplifies systemic connectedness, while its exclusion emphasizes regional dynamics, with the Euro Stoxx 50 Index Futures emerging as a principal hub within European markets. The incorporation of transaction costs further reveals critical insights into boundary violations, identifying actionable mispricing and its contribution to systemic volatility, providing a more granular understanding of these dynamics. The robustness of the findings is validated through the use of both daily and weekly data, with consistent patterns of interconnectedness and volatility propagation observed across all analyses.
{"title":"Does the VIX act as the main transmitter of mispricing in index futures markets? Insights from European and American regions","authors":"S.M.R.K. Samarakoon , Rudra P. Pradhan , Sasikanta Tripathy , Manju Jayakumar","doi":"10.1016/j.najef.2024.102341","DOIUrl":"10.1016/j.najef.2024.102341","url":null,"abstract":"<div><div>This study examines the interconnected mispricing of index futures in European and American markets from 2008 to 2023, with a specific focus on the role of the Volatility Index (VIX) and the adjustment for transaction costs in shaping these dynamics. Utilizing the cost of carry model, theoretical prices are computed, and discrepancies with actual market values are analysed to measure actionable mispricing. Econometric tools, including DCC-GARCH, connectedness approach, and quantile regression, are employed to assess dynamic conditional correlations and volatility spillovers, using three distinct datasets: daily mispricing series, weekly mispricing series, and transaction cost-adjusted boundary violation series. This layered approach enables a comprehensive analysis of interconnected mispricing and robustness across different temporal frequencies and adjustments. Our results highlight significant interconnected mispricing driven by market volatilities, with the VIX serving as a pivotal transmitter of volatility during periods of financial turbulence. The analysis demonstrates that the inclusion of the VIX significantly amplifies systemic connectedness, while its exclusion emphasizes regional dynamics, with the Euro Stoxx 50 Index Futures emerging as a principal hub within European markets. The incorporation of transaction costs further reveals critical insights into boundary violations, identifying actionable mispricing and its contribution to systemic volatility, providing a more granular understanding of these dynamics. The robustness of the findings is validated through the use of both daily and weekly data, with consistent patterns of interconnectedness and volatility propagation observed across all analyses.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102341"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143094375","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-01-01DOI: 10.1016/j.najef.2025.102378
Juan Ariza, Román Ferrer
This paper investigates episodes of explosiveness in the renewable energy equity sectors of the three major economic regions, namely the U.S., China, and Europe, as well as the degree of connectedness between these regional renewable energy sectors and their respective broader stock markets. To this end, the novel methodology developed by Phillips and Shi (2019) is employed in conjunction with the robust bootstrap procedure of Phillips and Shi (2020). Furthermore, the connectedness framework of Diebold and Yilmaz, 2012, Diebold and Yilmaz, 2014 is used to assess return connectedness. The empirical results reveal significant episodes of explosiveness within the renewable energy sectors across the three regions. The principal period of explosivity began in late 2020 within U.S. and European renewable energy stocks, following the initial COVID-19 pandemic wave, and subsequently spread to Chinese renewable energy stocks. However, there is limited co-explosivity between the renewable energy sectors and broader stock markets, indicating that the explosive dynamics in renewable energy equities do not pose a systemic threat for the general stock markets. Additionally, the study reveals a decrease in connectedness between the regional renewable energy sectors and their broader market counterparts during the recent explosive periods, likely reflecting the decoupling of renewable energy stocks from general market trends during the latter stages of the renewable energy bubble.
{"title":"Explosiveness in the renewable energy equity sector: International evidence","authors":"Juan Ariza, Román Ferrer","doi":"10.1016/j.najef.2025.102378","DOIUrl":"10.1016/j.najef.2025.102378","url":null,"abstract":"<div><div>This paper investigates episodes of explosiveness in the renewable energy equity sectors of the three major economic regions, namely the U.S., China, and Europe, as well as the degree of connectedness between these regional renewable energy sectors and their respective broader stock markets. To this end, the novel methodology developed by <span><span>Phillips and Shi (2019)</span></span> is employed in conjunction with the robust bootstrap procedure of <span><span>Phillips and Shi (2020)</span></span>. Furthermore, the connectedness framework of <span><span>Diebold and Yilmaz, 2012</span></span>, <span><span>Diebold and Yilmaz, 2014</span></span> is used to assess return connectedness. The empirical results reveal significant episodes of explosiveness within the renewable energy sectors across the three regions. The principal period of explosivity began in late 2020 within U.S. and European renewable energy stocks, following the initial COVID-19 pandemic wave, and subsequently spread to Chinese renewable energy stocks. However, there is limited co-explosivity between the renewable energy sectors and broader stock markets, indicating that the explosive dynamics in renewable energy equities do not pose a systemic threat for the general stock markets. Additionally, the study reveals a decrease in connectedness between the regional renewable energy sectors and their broader market counterparts during the recent explosive periods, likely reflecting the decoupling of renewable energy stocks from general market trends during the latter stages of the renewable energy bubble.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102378"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143094295","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-01-01DOI: 10.1016/j.najef.2024.102346
Xiaobao Song , Mingan Yao , Chun Guo
Suppliers’ bargaining power mainly comes from their market position or top supplier status. However, it is also affected by the horizontal interaction from top supplier size similarity based on the purchasing proportion of a buyer. Using a sample of listed companies in China, we find an inverted U-shaped relationship between the supplier size similarity with shared customers and trade credit provisions. As size similarity increases, suppliers may increase (decrease) trade credit provision to expand sales (for cash income). That is, based on the degree of supplier size similarity, the similarity may strengthen or weaken the supplier competition. We also find that if the business environment is poor, or if it is during a market crisis, the competition effect from supplier size similarity is not obvious, whereas a small board size of buyer promotes the supplier competition. In addition, the competition effect from supplier size similarity is not observed in state-owned enterprises (SOEs).
{"title":"How does the supplier size similarity affect trade credit?","authors":"Xiaobao Song , Mingan Yao , Chun Guo","doi":"10.1016/j.najef.2024.102346","DOIUrl":"10.1016/j.najef.2024.102346","url":null,"abstract":"<div><div>Suppliers’ bargaining power mainly comes from their market position or top supplier status. However, it is also affected by the horizontal interaction from top supplier size similarity based on the purchasing proportion of a buyer. Using a sample of listed companies in China, we find an inverted U-shaped relationship between the supplier size similarity with shared customers and trade credit provisions. As size similarity increases, suppliers may increase (decrease) trade credit provision to expand sales (for cash income). That is, based on the degree of supplier size similarity, the similarity may strengthen or weaken the supplier competition. We also find that if the business environment is poor, or if it is during a market crisis, the competition effect from supplier size similarity is not obvious, whereas a small board size of buyer promotes the supplier competition. In addition, the competition effect from supplier size similarity is not observed in state-owned enterprises (SOEs).</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102346"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143094377","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-01-01DOI: 10.1016/j.najef.2024.102350
Lucie Staněk Gyönyör , Matúš Horváth , Daniel Stašek , Martin Stachoň
ESG stocks exhibit discernible attributes that encompass both financial and non-financial considerations. Our study examines whether ESG stocks provide unique characteristics in terms of return, risk, and liquidity. We use a multivariate statistical approach to analyze the ESG ratings of S&P 1200 stocks from seven major data providers and their structural combinations. The findings indicate the absence of a general systematic effect over seven consecutive years. Still, unidimensional scores, particularly Governance, demonstrate greater significance compared to multidimensional indicators, suggesting the financial importance of core ESG information and its usefulness in financial decision-making. Besides, we discuss the effect of specific events and investors’ understanding of ESG scores’ representation. Although the article argues for a substantial overlap between traditional financial analysis and the core features of the Governance dimension, ESG may not emerge as a dominant factor in stock clustering and, thus, cannot be recognized as a separate sub-asset class indicator.
{"title":"The role of ESG factor in stock clustering based on risk-return-liquidity dimensions","authors":"Lucie Staněk Gyönyör , Matúš Horváth , Daniel Stašek , Martin Stachoň","doi":"10.1016/j.najef.2024.102350","DOIUrl":"10.1016/j.najef.2024.102350","url":null,"abstract":"<div><div>ESG stocks exhibit discernible attributes that encompass both financial and non-financial considerations. Our study examines whether ESG stocks provide unique characteristics in terms of return, risk, and liquidity. We use a multivariate statistical approach to analyze the ESG ratings of S&P 1200 stocks from seven major data providers and their structural combinations. The findings indicate the absence of a general systematic effect over seven consecutive years. Still, unidimensional scores, particularly Governance, demonstrate greater significance compared to multidimensional indicators, suggesting the financial importance of core ESG information and its usefulness in financial decision-making. Besides, we discuss the effect of specific events and investors’ understanding of ESG scores’ representation. Although the article argues for a substantial overlap between traditional financial analysis and the core features of the Governance dimension, ESG may not emerge as a dominant factor in stock clustering and, thus, cannot be recognized as a separate sub-asset class indicator.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102350"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143094382","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-01-01DOI: 10.1016/j.najef.2024.102322
Yaseen Ghulam
Theoretical and empirical studies have generally ignored interactions between political, economic and financial factors, in determining or predicting external sovereign debt defaults across geographic clusters. In addition, investigating and predicting defaults on domestic debt is relatively uncommon. This study looks into both domestic and external debt defaults of sovereign countries from diverse regions by interacting political, financial and economic factors and draws broad conclusions that domestic and sovereign debt defaults share some common features, although significant heterogeneities also exist. The findings of this study have significant policy implications in predicting and managing sovereign domestic and external debt defaults.
{"title":"A further examination of sovereign domestic and external debt defaults","authors":"Yaseen Ghulam","doi":"10.1016/j.najef.2024.102322","DOIUrl":"10.1016/j.najef.2024.102322","url":null,"abstract":"<div><div>Theoretical and empirical studies have generally ignored interactions between political, economic and financial factors, in determining or predicting external sovereign debt defaults across geographic clusters. In addition, investigating and predicting defaults on domestic debt is relatively uncommon. This study looks into both domestic and external debt defaults of sovereign countries from diverse regions by interacting political, financial and economic factors and draws broad conclusions that domestic and sovereign debt defaults share some common features, although significant heterogeneities also exist. The findings of this study have significant policy implications in predicting and managing sovereign domestic and external debt defaults.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102322"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143103396","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-01-01DOI: 10.1016/j.najef.2024.102356
Guobin Fang , Xuehua Zhou , Huimin Ma , XiaoFang Zhao , YaoXun Deng , Luoyan Xie
Based on the construction of systemic financial risk metrics using the TVP-FAVAR model, this paper explores the dynamic evolutionary relationship between economic policy uncertainty (EPU), different dimensions of investor sentiment and systemic financial risk using the TVP-SV-VAR model. It also examines the cross-market contagion mechanism of systemic financial risk under EPU shocks and the role of investor sentiment in it from two dimensions: financial market and economic fundamentals. The study finds that (1) the short- and medium-term effects of EPU on systemic financial risk are more stable and significant than the long-term effects. (2) Micro investor sentiment has the strongest shock effect on systemic financial risk. (3) There are differences in the timing and extent of direct shocks to EPU across financial sub-markets and economic sectors, and risk contagion effects among each other and indirect shocks from investor sentiment further increase the level of systemic financial risk. This study is of great significance for coping with EPU and investor sentiment shocks and preventing and resolving systemic financial risks.
{"title":"Economic policy uncertainty, investor sentiment and systemic financial risk: Evidence from China","authors":"Guobin Fang , Xuehua Zhou , Huimin Ma , XiaoFang Zhao , YaoXun Deng , Luoyan Xie","doi":"10.1016/j.najef.2024.102356","DOIUrl":"10.1016/j.najef.2024.102356","url":null,"abstract":"<div><div>Based on the construction of systemic financial risk metrics using the TVP-FAVAR model, this paper explores the dynamic evolutionary relationship between economic policy uncertainty (EPU), different dimensions of investor sentiment and systemic financial risk using the TVP-SV-VAR model. It also examines the cross-market contagion mechanism of systemic financial risk under EPU shocks and the role of investor sentiment in it from two dimensions: financial market and economic fundamentals. The study finds that (1) the short- and medium-term effects of EPU on systemic financial risk are more stable and significant than the long-term effects. (2) Micro investor sentiment has the strongest shock effect on systemic financial risk. (3) There are differences in the timing and extent of direct shocks to EPU across financial sub-markets and economic sectors, and risk contagion effects among each other and indirect shocks from investor sentiment further increase the level of systemic financial risk. This study is of great significance for coping with EPU and investor sentiment shocks and preventing and resolving systemic financial risks.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102356"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143094383","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-01-01DOI: 10.1016/j.najef.2024.102360
Liming Wang , Xuchu Sun , Hongliang Zhu , Tangrong Li
This paper investigates the relationship among transaction taxes, high-frequency trading (HFT), and market quality. We use the agent-based modeling (ABM) approach to dynamically assess the impact of transaction taxes on market quality with and without high-frequency trading. Preliminary tests indicate that high-frequency trading negatively affects market quality, whereas imposing a moderate transaction tax rate may improve market quality in both scenarios. However, when the transaction tax rate further increases, market quality may be impaired. The adverse effect of a higher tax rate is more pronounced in markets without HFT participation. The findings reveal that the impact of transaction taxes on market quality varies with investor composition and tax rates, offering insights into the diversity of transaction tax policies across global stock markets.
{"title":"Exploring the dynamic impact of transaction taxes on market quality in HFT and non-HFT environments: An agent-based modeling approach","authors":"Liming Wang , Xuchu Sun , Hongliang Zhu , Tangrong Li","doi":"10.1016/j.najef.2024.102360","DOIUrl":"10.1016/j.najef.2024.102360","url":null,"abstract":"<div><div>This paper investigates the relationship among transaction taxes, high-frequency trading (HFT), and market quality. We use the agent-based modeling (ABM) approach to dynamically assess the impact of transaction taxes on market quality with and without high-frequency trading. Preliminary tests indicate that high-frequency trading negatively affects market quality, whereas imposing a moderate transaction tax rate may improve market quality in both scenarios. However, when the transaction tax rate further increases, market quality may be impaired. The adverse effect of a higher tax rate is more pronounced in markets without HFT participation. The findings reveal that the impact of transaction taxes on market quality varies with investor composition and tax rates, offering insights into the diversity of transaction tax policies across global stock markets.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102360"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143094387","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-01-01DOI: 10.1016/j.najef.2024.102351
Sugata Marjit , Arijit Mukherjee , Xinpeng Xu , Lei Yang
We explore how financial constraints affect the sustainability of product market collusion in a bank-financed oligopoly, where firms operate within an imperfect credit market. Our analysis uncovers a non-monotonic relationship between the sustainability of collusion and the level of financial constraints, using a general demand function. Notably, collusion tends to be more sustainable when firms experience low to moderate financial constraints, as opposed to having no financial constraints at all. However, when firms are under complete financial constraints, the sustainability of collusion may decrease compared to situations without financial constraints. These findings hold true for both Cournot and Bertrand competition models in the product market.
{"title":"Finance and collusion in oligopolistic markets","authors":"Sugata Marjit , Arijit Mukherjee , Xinpeng Xu , Lei Yang","doi":"10.1016/j.najef.2024.102351","DOIUrl":"10.1016/j.najef.2024.102351","url":null,"abstract":"<div><div>We explore how financial constraints affect the sustainability of product market collusion in a bank-financed oligopoly, where firms operate within an imperfect credit market. Our analysis uncovers a non-monotonic relationship between the sustainability of collusion and the level of financial constraints, using a general demand function. Notably, collusion tends to be more sustainable when firms experience low to moderate financial constraints, as opposed to having no financial constraints at all. However, when firms are under complete financial constraints, the sustainability of collusion may decrease compared to situations without financial constraints. These findings hold true for both Cournot and Bertrand competition models in the product market.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102351"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143094388","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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