Pub Date : 2025-08-07DOI: 10.1016/j.najef.2025.102518
Mobeen Ur Rehman , Neeraj Nautiyal , Rami Zeitun , Xuan Vinh Vo , Mamdouh Abdulaziz Saleh Al-Faryan
We examine the correlation between green bond markets of the UK, US, Japan, Canada, Australia, and Europe from 28th November 2008 to 21st May 2021. To measure time-varying correlation, we use extensions of conventional wavelets as wavelet multiple correlation and cross-correlation. Our results suggest sufficient diversification opportunities in the green bonds market because of their recent introduction into the existing asset classes. More specifically, low correlation is reported for UK GBs with Australian Canadian GBs, US GBs with Australian GBs, Japan and Canada, and European GBs with Canadian GBs across all investment periods. We also report non-linear bi-directional causality across the majority of the green bonds market. Our work suggests diversification opportunities by investing in green bonds based on their low time-varying correlation.
{"title":"Can we put green bonds in a single basket?","authors":"Mobeen Ur Rehman , Neeraj Nautiyal , Rami Zeitun , Xuan Vinh Vo , Mamdouh Abdulaziz Saleh Al-Faryan","doi":"10.1016/j.najef.2025.102518","DOIUrl":"10.1016/j.najef.2025.102518","url":null,"abstract":"<div><div>We examine the correlation between green bond markets of the UK, US, Japan, Canada, Australia, and Europe from 28th November 2008 to 21st May 2021. To measure time-varying correlation, we use extensions of conventional wavelets as wavelet multiple correlation and cross-correlation. Our results suggest sufficient diversification opportunities in the green bonds market because of their recent introduction into the existing asset classes. More specifically, low correlation is reported for UK GBs with Australian Canadian GBs, US GBs with Australian GBs, Japan and Canada, and European GBs with Canadian GBs across all investment periods. We also report non-linear bi-directional causality across the majority of the green bonds market. Our work suggests diversification opportunities by investing in green bonds based on their low time-varying correlation.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102518"},"PeriodicalIF":3.9,"publicationDate":"2025-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144829948","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 : 2025-08-05DOI: 10.1016/j.najef.2025.102507
Yikai Zhao, Shutong Zhang , Xinyi Geng
This study examines the impact of China’s New Securities Law (NSL) on real earnings management (REM) practices among listed companies. Employing a difference-in-differences (DID) approach, we find that the implementation of NSL significantly reduces REM activities. Our results remain robust after addressing concerns about unobserved confounders and a series of robustness checks. Further analysis shows that this effect is driven by enhanced internal control, improved audit quality, and increased retail investor monitoring. The reduction in REM is more pronounced in SOEs, firms with stronger board independence, abnormal audit fees, and higher executive pay. These findings highlight the policy significance of broad legal reforms beyond accounting standards in shaping corporate behavior and governance in emerging markets.
{"title":"Legal shifts and corporate strategy: The impact of China’s New Securities Law on earnings management","authors":"Yikai Zhao, Shutong Zhang , Xinyi Geng","doi":"10.1016/j.najef.2025.102507","DOIUrl":"10.1016/j.najef.2025.102507","url":null,"abstract":"<div><div>This study examines the impact of China’s New Securities Law (NSL) on real earnings management (REM) practices among listed companies. Employing a difference-in-differences (DID) approach, we find that the implementation of NSL significantly reduces REM activities. Our results remain robust after addressing concerns about unobserved confounders and a series of robustness checks. Further analysis shows that this effect is driven by enhanced internal control, improved audit quality, and increased retail investor monitoring. The reduction in REM is more pronounced in SOEs, firms with stronger board independence, abnormal audit fees, and higher executive pay. These findings highlight the policy significance of broad legal reforms beyond accounting standards in shaping corporate behavior and governance in emerging markets.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102507"},"PeriodicalIF":3.9,"publicationDate":"2025-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144779948","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 : 2025-07-30DOI: 10.1016/j.najef.2025.102516
Feipeng Zhang , Yuhan Ma , Xu Liu , Xiaoying Zhou
This paper provides a comprehensive reassessment of gold’s role as a safe haven, hedge, and portfolio diversifier across the stock markets of G7 and E7 countries from January 1, 2000, to December 31, 2024. We employ an integrated empirical framework, combining quantile-on-quantile (QQ) regression, causality-in-quantiles testing, and the cross-quantilogram method. This approach allows us to capture asymmetric and heterogeneous dependencies across the joint distribution of gold and stock returns. The findings reveal that gold acts as a safe haven during market downturns in most G7 countries, particularly where gold comprises a large share of official reserves. In contrast, gold typically serves as a diversifier in E7 countries. However, under specific asymmetric market conditions, gold exhibits hedging or safe-haven behavior in some E7 countries, such as Turkey, India, and Brazil. The results also highlight the role of gold reserve composition in enhancing gold’s safe-haven properties. In countries with substantial official gold holdings, gold demonstrates more robust safe-haven capabilities. The causality-in-quantiles analysis further confirms bidirectional and nonlinear predictive relationships across quantiles, while recursive and sub-sample QQ estimations indicate that the safe-haven function of gold is time-varying and evolves in response to systemic shocks. These findings provide valuable insights for both investors and policymakers by highlighting the varying effectiveness of gold as a risk management instrument across various markets and economic conditions, emphasizing the importance of tailored strategies in uncertain financial environments.
{"title":"Revisiting the hedging and safe haven roles of gold: Evidence from quantile-on-quantile approach","authors":"Feipeng Zhang , Yuhan Ma , Xu Liu , Xiaoying Zhou","doi":"10.1016/j.najef.2025.102516","DOIUrl":"10.1016/j.najef.2025.102516","url":null,"abstract":"<div><div>This paper provides a comprehensive reassessment of gold’s role as a safe haven, hedge, and portfolio diversifier across the stock markets of G7 and E7 countries from January 1, 2000, to December 31, 2024. We employ an integrated empirical framework, combining quantile-on-quantile (QQ) regression, causality-in-quantiles testing, and the cross-quantilogram method. This approach allows us to capture asymmetric and heterogeneous dependencies across the joint distribution of gold and stock returns. The findings reveal that gold acts as a safe haven during market downturns in most G7 countries, particularly where gold comprises a large share of official reserves. In contrast, gold typically serves as a diversifier in E7 countries. However, under specific asymmetric market conditions, gold exhibits hedging or safe-haven behavior in some E7 countries, such as Turkey, India, and Brazil. The results also highlight the role of gold reserve composition in enhancing gold’s safe-haven properties. In countries with substantial official gold holdings, gold demonstrates more robust safe-haven capabilities. The causality-in-quantiles analysis further confirms bidirectional and nonlinear predictive relationships across quantiles, while recursive and sub-sample QQ estimations indicate that the safe-haven function of gold is time-varying and evolves in response to systemic shocks. These findings provide valuable insights for both investors and policymakers by highlighting the varying effectiveness of gold as a risk management instrument across various markets and economic conditions, emphasizing the importance of tailored strategies in uncertain financial environments.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102516"},"PeriodicalIF":3.9,"publicationDate":"2025-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144772434","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 : 2025-07-30DOI: 10.1016/j.najef.2025.102515
Syed Jawad Hussain Shahzad , Thi Hong Van Hoang , Massimiliano Caporin , Nader Naifar
This research aims to investigate the volatility spillover relationship among 20 major currencies, using a dataset of 5-minute exchange rates over the 2012–2023 period. Its contribution is based on the combination of both asymmetric and time–frequency aspects while including a regression analysis to examine the impact of the COVID-19 pandemic and quantitative easing on this volatility spillover. The empirical results show a high degree of volatility spillovers in the foreign exchange market, especially for currencies in the same geographical area. These volatility spillovers were highest during the first wave of the COVID-19 pandemic in early 2020, much higher than at the start of the Ukraine-Russia war in early 2022. Significantly, the COVID-19 pandemic only affects negative volatility spillovers. In addition, quantitative easing is an important determinant of volatility spillovers in the foreign exchange market. However, its effect on volatility spillovers differs across time horizons, being negative in the short run and positive in the long run. This finding implies that policymakers should consider the long-term effects of quantitative easing when designing such a policy and when using it as a short-term solution in times of crisis.
{"title":"Volatility spillovers in forex markets and the role of quantitative easing","authors":"Syed Jawad Hussain Shahzad , Thi Hong Van Hoang , Massimiliano Caporin , Nader Naifar","doi":"10.1016/j.najef.2025.102515","DOIUrl":"10.1016/j.najef.2025.102515","url":null,"abstract":"<div><div>This research aims to investigate the volatility spillover relationship among 20 major currencies, using a dataset of 5-minute exchange rates over the 2012–2023 period. Its contribution is based on the combination of both asymmetric and time–frequency aspects while including a regression analysis to examine the impact of the COVID-19 pandemic and quantitative easing on this volatility spillover. The empirical results show a high degree of volatility spillovers in the foreign exchange market, especially for currencies in the same geographical area. These volatility spillovers were highest during the first wave of the COVID-19 pandemic in early 2020, much higher than at the start of the Ukraine-Russia war in early 2022. Significantly, the COVID-19 pandemic only affects negative volatility spillovers. In addition, quantitative easing is an important determinant of volatility spillovers in the foreign exchange market. However, its effect on volatility spillovers differs across time horizons, being negative in the short run and positive in the long run. This finding implies that policymakers should consider the long-term effects of quantitative easing when designing such a policy and when using it as a short-term solution in times of crisis.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102515"},"PeriodicalIF":3.9,"publicationDate":"2025-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144888732","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 : 2025-07-29DOI: 10.1016/j.najef.2025.102513
Qiang Liu , Ting Liu , Chen Xu
Climate change is one of the greatest challenges of the 21st century, with its uncertainty significantly impacting financial stability. This study examines the spillover effects of China’s climate policy uncertainty on the stock, money, bond, foreign exchange and futures markets, using data from October 2006 to August 2024 and applying the QVAR-DY spillover index method. The findings reveal: (1) Extreme conditions amplify the spillover effects of China’s climate policy uncertainty on financial markets, especially during market booms. (2) The static analysis shows that under normal conditions, the largest spillovers are seen in the bond and futures markets. Under extreme conditions, the bond market is the most affected. Dynamic analysis shows that spillovers increase significantly during climate events (Copenhagen Summit, Carbon Peaking and Carbon Neutrality Goals). During market downturns, the bond market is impacted most; during market booms, the money market is more susceptible. (3) Net spillover analysis finds significant positive net spillovers to financial sub-markets during market booms. The findings guide efforts to manage climate policy uncertainty and reduce systemic financial risks.
{"title":"Asymmetric spillovers of climate policy uncertainty on financial markets – Evidence from China","authors":"Qiang Liu , Ting Liu , Chen Xu","doi":"10.1016/j.najef.2025.102513","DOIUrl":"10.1016/j.najef.2025.102513","url":null,"abstract":"<div><div>Climate change is one of the greatest challenges of the 21st century, with its uncertainty significantly impacting financial stability. This study examines the spillover effects of China’s climate policy uncertainty on the stock, money, bond, foreign exchange and futures markets, using data from October 2006 to August 2024 and applying the QVAR-DY spillover index method. The findings reveal: (1) Extreme conditions amplify the spillover effects of China’s climate policy uncertainty on financial markets, especially during market booms. (2) The static analysis shows that under normal conditions, the largest spillovers are seen in the bond and futures markets. Under extreme conditions, the bond market is the most affected. Dynamic analysis shows that spillovers increase significantly during climate events (Copenhagen Summit, Carbon Peaking and Carbon Neutrality Goals). During market downturns, the bond market is impacted most; during market booms, the money market is more susceptible. (3) Net spillover analysis finds significant positive net spillovers to financial sub-markets during market booms. The findings guide efforts to manage climate policy uncertainty and reduce systemic financial risks.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102513"},"PeriodicalIF":3.9,"publicationDate":"2025-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144888731","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 : 2025-07-28DOI: 10.1016/j.najef.2025.102503
Young-Sung Kim , Dong-Jun Kim , Sun-Yong Choi
This study analyzes the relationship between foreign exchange (FX) markets and cryptocurrencies, focusing on both major and minor currencies. Using a quantile spillover framework, we examine how this relationship evolves under varying market conditions. The empirical findings reveal three key insights. First, spillover effects between the FX and cryptocurrency markets play a significant role in shaping their interrelationship. Under normal market conditions, the FX market has a limited influence on cryptocurrencies. Second, within the FX market, the U.S. Dollar Index exerts the most substantial impact on both major and minor currencies, while in the cryptocurrency market, Bitcoin holds the biggest influence over other cryptocurrencies. Finally, as market conditions become more extreme, spillover effects between the FX and cryptocurrency markets intensify. These findings highlight the dynamic nature of cross-market interactions and underscore the importance of considering market conditions when evaluating spillover effects between FX and cryptocurrency markets.
{"title":"Dynamic spillover analysis between FX and cryptocurrency markets across different market conditions: A quantile VAR approach","authors":"Young-Sung Kim , Dong-Jun Kim , Sun-Yong Choi","doi":"10.1016/j.najef.2025.102503","DOIUrl":"10.1016/j.najef.2025.102503","url":null,"abstract":"<div><div>This study analyzes the relationship between foreign exchange (FX) markets and cryptocurrencies, focusing on both major and minor currencies. Using a quantile spillover framework, we examine how this relationship evolves under varying market conditions. The empirical findings reveal three key insights. First, spillover effects between the FX and cryptocurrency markets play a significant role in shaping their interrelationship. Under normal market conditions, the FX market has a limited influence on cryptocurrencies. Second, within the FX market, the U.S. Dollar Index exerts the most substantial impact on both major and minor currencies, while in the cryptocurrency market, Bitcoin holds the biggest influence over other cryptocurrencies. Finally, as market conditions become more extreme, spillover effects between the FX and cryptocurrency markets intensify. These findings highlight the dynamic nature of cross-market interactions and underscore the importance of considering market conditions when evaluating spillover effects between FX and cryptocurrency markets.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102503"},"PeriodicalIF":3.9,"publicationDate":"2025-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144779947","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 : 2025-07-24DOI: 10.1016/j.najef.2025.102510
Giovanni De Luca, Belinda Laura Del Gaudio, Anna Pia Di Iorio
This paper explores the relationship between geopolitical risk and financial stress. We use a quantile regression to investigate the impact of geopolitical risk on financial stress levels, along with its constituent elements, such as credit, equity, volatility, funding and safe assets. The dataset comprises observations collected on a daily basis between January 3, 2000, and November 8, 2024. The time span permits the exploitation of the relationship, with the effect of a structural break in the time series being controlled for. In light of the identified structural break in the financial market, the results indicate that an increase in geopolitical risk exerts a notable influence on financial stress. Furthermore, the findings suggest a positive relationship among all financial components. As the severity of financial stress escalates, the impact concomitantly increases. Notably, the safe assets component of the financial stress index demonstrates the greatest responsiveness to elevated stress levels. The findings are corroborated for all geographical areas examined, except for those situated within emerging markets, which appear to demonstrate a reduced sensitivity to geopolitical risk.
{"title":"Geopolitical risk and financial stress","authors":"Giovanni De Luca, Belinda Laura Del Gaudio, Anna Pia Di Iorio","doi":"10.1016/j.najef.2025.102510","DOIUrl":"10.1016/j.najef.2025.102510","url":null,"abstract":"<div><div>This paper explores the relationship between geopolitical risk and financial stress. We use a quantile regression to investigate the impact of geopolitical risk on financial stress levels, along with its constituent elements, such as credit, equity, volatility, funding and safe assets. The dataset comprises observations collected on a daily basis between January 3, 2000, and November 8, 2024. The time span permits the exploitation of the relationship, with the effect of a structural break in the time series being controlled for. In light of the identified structural break in the financial market, the results indicate that an increase in geopolitical risk exerts a notable influence on financial stress. Furthermore, the findings suggest a positive relationship among all financial components. As the severity of financial stress escalates, the impact concomitantly increases. Notably, the safe assets component of the financial stress index demonstrates the greatest responsiveness to elevated stress levels. The findings are corroborated for all geographical areas examined, except for those situated within emerging markets, which appear to demonstrate a reduced sensitivity to geopolitical risk.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102510"},"PeriodicalIF":3.9,"publicationDate":"2025-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144772433","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 : 2025-07-24DOI: 10.1016/j.najef.2025.102511
Baoxiu Wu , Qing Wang
This research examines cross-asset contagion and risk transmission by modeling global financial markets as a dynamic network, integrating equities, currencies, commodities, and cryptocurrencies. Using extreme value theory and tail-dependent copulas, we develop novel measures of contagion centrality and risk pathways, uncovering a persistent core-periphery structure where central assets exhibit shock-absorber properties during crises, while peripheral nodes amplify systemic fragility. Our findings reveal that financial contagion intensifies under stress, with enduring post-crisis interconnectedness, challenging traditional diversification strategies. Crucially, network topology-not just asset class-determines vulnerability: central assets demonstrate resilience to tail risks, whereas peripheral nodes face heightened susceptibility. These insights have profound implications for systemic risk monitoring, suggesting regulators prioritize real-time tracking of core-periphery linkages, while investors adjust hedging strategies to account for nonlinear contagion channels. The study advances financial network theory by unifying cross-asset spillovers within a topological framework and offers actionable tools for crisis mitigation in interconnected markets.
{"title":"Cross-asset contagion and risk transmission in global financial networks","authors":"Baoxiu Wu , Qing Wang","doi":"10.1016/j.najef.2025.102511","DOIUrl":"10.1016/j.najef.2025.102511","url":null,"abstract":"<div><div>This research examines cross-asset contagion and risk transmission by modeling global financial markets as a dynamic network, integrating equities, currencies, commodities, and cryptocurrencies. Using extreme value theory and tail-dependent copulas, we develop novel measures of contagion centrality and risk pathways, uncovering a persistent core-periphery structure where central assets exhibit shock-absorber properties during crises, while peripheral nodes amplify systemic fragility. Our findings reveal that financial contagion intensifies under stress, with enduring post-crisis interconnectedness, challenging traditional diversification strategies. Crucially, network topology-not just asset class-determines vulnerability: central assets demonstrate resilience to tail risks, whereas peripheral nodes face heightened susceptibility. These insights have profound implications for systemic risk monitoring, suggesting regulators prioritize real-time tracking of core-periphery linkages, while investors adjust hedging strategies to account for nonlinear contagion channels. The study advances financial network theory by unifying cross-asset spillovers within a topological framework and offers actionable tools for crisis mitigation in interconnected markets.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102511"},"PeriodicalIF":3.8,"publicationDate":"2025-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144702750","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 : 2025-07-23DOI: 10.1016/j.najef.2025.102508
Lucio Gobbi , Ronny Mazzocchi , Roberto Tamborini
When inflation picks up, central banks fear that de-anchored expectations trigger ever increasing inflation, but this scenario does not materialize in the standard New Keynesian (NK) blueprint for central banks. Divergent inflation processes may result introducing boundedly rational beliefs about future inflation that de-anchor endogenously, together with indexed wages and persistent shocks. However, by means of simulations of the model, we find that the relevant parameters should be far beyond their consensus empirical values. Either the concern with the de-anchoring of inflation expectations is overrated or it should be given different theoretical underpinnings than the NK ones.
{"title":"Inflation shocks and the New Keynesian model: When should central banks fear inflation expectations?","authors":"Lucio Gobbi , Ronny Mazzocchi , Roberto Tamborini","doi":"10.1016/j.najef.2025.102508","DOIUrl":"10.1016/j.najef.2025.102508","url":null,"abstract":"<div><div>When inflation picks up, central banks fear that de-anchored expectations trigger ever increasing inflation, but this scenario does not materialize in the standard New Keynesian (NK) blueprint for central banks. Divergent inflation processes may result introducing boundedly rational beliefs about future inflation that de-anchor endogenously, together with indexed wages and persistent shocks. However, by means of simulations of the model, we find that the relevant parameters should be far beyond their consensus empirical values. Either the concern with the de-anchoring of inflation expectations is overrated or it should be given different theoretical underpinnings than the NK ones.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102508"},"PeriodicalIF":3.8,"publicationDate":"2025-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144713596","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 : 2025-07-23DOI: 10.1016/j.najef.2025.102504
Uzay Çetin , Şükrü C. Demirtaş , Senem Çakmak Şahin
We analyzed the effect of the daily price margin on artificial stock markets. In our study, we have two distinct market scenarios: One designed to imitate a market akin to that of Türkiye, characterized by the presence of a daily price margin regulation, and the other reflecting a market resembling the United States, where orders are not subject to daily price margin constraints. With daily price margin regulations stock prices become more accessible, positively impacting market volume. We incorporated a realistic order book mechanism for keeping track of the bid and ask orders. Traders are classified as either fundamental or noise, according to their strategies. We have also established a dynamic risk level for each stock, based on its weekly transaction volumes. Only fundamentals are risk-aware. That is, they tend to order stocks with low risk and avoid high risk stocks. We have detected emerging patterns of price fluctuations within the market scenario governed by the daily price margin regulations. Risk-aware herd behavior, despite not being explicitly modeled as an input, emerges also spontaneously within the system. These patterns emerge because of the complex relationship among dynamic risk levels of stocks, risk-aware traders and the daily price margin regulation.
{"title":"Price dynamics in artificial stock market with realistic order book mechanism","authors":"Uzay Çetin , Şükrü C. Demirtaş , Senem Çakmak Şahin","doi":"10.1016/j.najef.2025.102504","DOIUrl":"10.1016/j.najef.2025.102504","url":null,"abstract":"<div><div>We analyzed the effect of the daily price margin on artificial stock markets. In our study, we have two distinct market scenarios: One designed to imitate a market akin to that of Türkiye, characterized by the presence of a daily price margin regulation, and the other reflecting a market resembling the United States, where orders are not subject to daily price margin constraints. With daily price margin regulations stock prices become more accessible, positively impacting market volume. We incorporated a realistic order book mechanism for keeping track of the bid and ask orders. Traders are classified as either fundamental or noise, according to their strategies. We have also established a dynamic risk level for each stock, based on its weekly transaction volumes. Only fundamentals are risk-aware. That is, they tend to order stocks with low risk and avoid high risk stocks. We have detected emerging patterns of price fluctuations within the market scenario governed by the daily price margin regulations. Risk-aware herd behavior, despite not being explicitly modeled as an input, emerges also spontaneously within the system. These patterns emerge because of the complex relationship among dynamic risk levels of stocks, risk-aware traders and the daily price margin regulation.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102504"},"PeriodicalIF":3.8,"publicationDate":"2025-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144696697","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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