North American Journal of Economics and Finance最新文献_第7页

Dynamic interrelations and the potential of global industrial sectors to function as a refuge for the global transition towards a low-carbon economy 动态的相互关系和全球工业部门作为全球向低碳经济过渡的避难所的潜力

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: 2025-10-25 DOI: 10.1016/j.najef.2025.102545

Murad A. Bein

The article analyzes the interconnections among ten global industrial sectors and the returns associated with low-carbon investments across a spectrum of investment horizons. The findings derived from a time-varying parameter and quantile connectedness reveal that volatility primarily stems from transient economic and financial events rather than lasting structural changes within the market. The global low-carbon returns exhibit a remarkable resilience against the volatility inherent in the global industrial sectors across diverse market conditions and within various temporal frameworks. The findings from cross-quantilograms indicate that during periods of reduced low-carbon emissions, the utilities, consumer staples, energy, materials, financial, and communication sectors act to hedge against losses, thus providing potential stability to investors seeking refuge during economic downturns. Additionally, the estimation results reveal a significant influence of monetary policy and bitcoin valuation on connectedness. A tightening monetary policy is inversely linked, and this effect is more pronounced in a declining market. Similarly, the increase in bitcoin valuations diminishes interconnectedness, indicating that cryptocurrencies may serve as alternative investment vehicles during episodes characterized by market turbulence. Overall, the outcome highlights the importance of integrating financial strategies that align with environmental sustainability.

本文分析了全球十大工业部门之间的相互联系，以及在投资范围内与低碳投资相关的回报。从时变参数和分位数连通性得出的结果表明，波动性主要源于短暂的经济和金融事件，而不是市场内持久的结构变化。全球低碳回报在不同市场条件和不同时间框架下，对全球工业部门固有的波动性表现出非凡的弹性。交叉量化图的研究结果表明，在低碳排放减少期间，公用事业、主要消费品、能源、材料、金融和通信部门采取行动对冲损失，从而为在经济衰退期间寻求庇护的投资者提供了潜在的稳定性。此外，估计结果显示货币政策和比特币估值对连通性有显著影响。紧缩的货币政策是反向关联的，这种效应在下跌的市场中更为明显。同样，比特币估值的上升削弱了互联性，表明加密货币可能在市场动荡时期作为另类投资工具。总体而言，结果突出了将与环境可持续性相一致的财务战略整合起来的重要性。

{"title":"Dynamic interrelations and the potential of global industrial sectors to function as a refuge for the global transition towards a low-carbon economy","authors":"Murad A. Bein","doi":"10.1016/j.najef.2025.102545","DOIUrl":"10.1016/j.najef.2025.102545","url":null,"abstract":"<div><div>The article analyzes the interconnections among ten global industrial sectors and the returns associated with low-carbon investments across a spectrum of investment horizons. The findings derived from a time-varying parameter and quantile connectedness reveal that volatility primarily stems from transient economic and financial events rather than lasting structural changes within the market. The global low-carbon returns exhibit a remarkable resilience against the volatility inherent in the global industrial sectors across diverse market conditions and within various temporal frameworks. The findings from cross-quantilograms indicate that during periods of reduced low-carbon emissions, the utilities, consumer staples, energy, materials, financial, and communication sectors act to hedge against losses, thus providing potential stability to investors seeking refuge during economic downturns. Additionally, the estimation results reveal a significant influence of monetary policy and bitcoin valuation on connectedness. A tightening monetary policy is inversely linked, and this effect is more pronounced in a declining market. Similarly, the increase in bitcoin valuations diminishes interconnectedness, indicating that cryptocurrencies may serve as alternative investment vehicles during episodes characterized by market turbulence. Overall, the outcome highlights the importance of integrating financial strategies that align with environmental sustainability.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102545"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145519583","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}

引用次数: 0

Credit information sharing and corporate debt maturity structure: Evidence from a quasi-natural experiment in China 信用信息共享与企业债务期限结构：来自中国准自然实验的证据

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: 2025-10-28 DOI: 10.1016/j.najef.2025.102549

Zhiliang Zhu , Wuqi Song

Credit information sharing allows creditors to access borrowers’ credit histories, serving as an effective tool to monitor and discipline firms. Using China’s Social Credit System (CSCS) as an exogenous shock to credit information sharing, this study employs a difference-in-difference analysis and demonstrates that such sharing extends corporate debt maturity. This increase in debt maturity is attributable to improved information transparency and lowered debt agency costs. We further find that the effect is more pronounced among firms with state ownership and firms with higher leverage ratio. Additional tests show that shared credit files help alleviate firms’ investment and financing maturity mismatch issues. Collectively, this study provides new insights into the economic consequences of credit information sharing through the lens of debt maturity structure.

信用信息共享使债权人能够获得借款人的信用记录，成为监督和约束企业的有效工具。本研究将中国社会信用体系（CSCS）作为信用信息共享的外生冲击，采用异中异分析，证明了这种共享延长了企业债务期限。债务期限的增加是由于信息透明度的提高和债务代理成本的降低。我们进一步发现，这种效应在国有企业和杠杆率较高的企业中更为明显。另外的测试表明，共享信用档案有助于缓解企业投资和融资期限错配问题。总的来说，本研究通过债务期限结构的视角为信用信息共享的经济后果提供了新的见解。

引用次数: 0

Cryptocurrencies and economic sanctions 加密货币和经济制裁

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: 2025-09-05 DOI: 10.1016/j.najef.2025.102537

José Almeida , Tiago Cruz Gonçalves

This study examines the role of cryptocurrencies in modern War, specifically during the Russia-Ukraine conflict. Utilizing a Time-Varying Parameter Vector Autoregression (TVP-VAR) model, the research assesses the dynamic financial behaviors of cryptocurrencies, focusing on changes in liquidity, safe haven status, and their use in circumventing economic sanctions. The analysis distinguishes financial behaviors across three distinct phases: Pre-Conflict, Conflict, and financial sanctions periods, highlighting the interaction between cryptocurrencies and traditional financial markets. The findings indicate shifts in the role of cryptocurrencies from net transmitters to net receivers of spillovers in both returns and volatility, particularly during the financial sanctions phase. This study provides insights into the integration of cryptocurrencies with traditional financial assets and their potential impact on local economies during military conflicts. The results document the increased liquidity and interconnectedness of cryptocurrencies during military conflict periods and explore their potential use in evading sanctions and supporting War efforts.

本研究探讨了加密货币在现代战争中的作用，特别是在俄罗斯-乌克兰冲突期间。该研究利用时变参数向量自回归（TVP-VAR）模型，评估了加密货币的动态金融行为，重点关注流动性、避险状态的变化及其在规避经济制裁方面的应用。该分析区分了三个不同阶段的金融行为：冲突前、冲突和金融制裁时期，突出了加密货币与传统金融市场之间的相互作用。研究结果表明，加密货币的角色从回报和波动性溢出效应的净发送者转变为净接收者，尤其是在金融制裁阶段。这项研究为加密货币与传统金融资产的整合及其在军事冲突期间对当地经济的潜在影响提供了见解。研究结果记录了军事冲突期间加密货币的流动性和互联性的增加，并探讨了它们在逃避制裁和支持战争努力方面的潜在用途。

{"title":"Cryptocurrencies and economic sanctions","authors":"José Almeida , Tiago Cruz Gonçalves","doi":"10.1016/j.najef.2025.102537","DOIUrl":"10.1016/j.najef.2025.102537","url":null,"abstract":"<div><div>This study examines the role of cryptocurrencies in modern War, specifically during the Russia-Ukraine conflict. Utilizing a Time-Varying Parameter Vector Autoregression (TVP-VAR) model, the research assesses the dynamic financial behaviors of cryptocurrencies, focusing on changes in liquidity, safe haven status, and their use in circumventing economic sanctions. The analysis distinguishes financial behaviors across three distinct phases: Pre-Conflict, Conflict, and financial sanctions periods, highlighting the interaction between cryptocurrencies and traditional financial markets. The findings indicate shifts in the role of cryptocurrencies from net transmitters to net receivers of spillovers in both returns and volatility, particularly during the financial sanctions phase. This study provides insights into the integration of cryptocurrencies with traditional financial assets and their potential impact on local economies during military conflicts. The results document the increased liquidity and interconnectedness of cryptocurrencies during military conflict periods and explore their potential use in evading sanctions and supporting War efforts.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102537"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145010148","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}

引用次数: 0

Financial and business cycles in the US: A non-parametric time–frequency investigation 美国的金融和商业周期：一项非参数时频调查

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: 2025-10-26 DOI: 10.1016/j.najef.2025.102547

Marco Gallegati

In this study, we contrast U.S. financial and business cycles using turning point and wavelet analysis. These non-parametric methods enable us to identify the key characteristics of financial cycles and assess their relationship with business cycles without imposing assumptions about their cyclical or secular components. Contrary to the conventional view in the literature, we find that financial and business cycles are more similar than generally assumed. Wavelet analysis reveals that: i) since the 1990s, the dominant frequency range of both cycles has shifted towards lower frequencies; and ii) the observed increase in their average length is linked to a change in the relationship between financial and business cycles − from shorter business cycle frequencies (4–8 years) to higher medium-term frequencies (8–16 years). Focusing on the post-1990s period and using a measure of the financial cycle that includes equity prices, we find that the average lengths of business and financial cycles have become more aligned, at approximately 9 and 10 years, respectively. From a policy perspective, these findings cast doubt on the need for macroprudential policy as a distinct tool separate from traditional macroeconomic stabilization policy.

在本研究中，我们使用拐点和小波分析对比了美国的金融和商业周期。这些非参数方法使我们能够识别金融周期的关键特征，并评估它们与商业周期的关系，而无需对其周期性或长期成分施加假设。与文献中的传统观点相反，我们发现金融周期和商业周期比通常认为的更相似。小波分析表明：1)20世纪90年代以来，两个周期的主导频率范围都向低频偏移；ii)观察到的平均长度的增加与金融周期和商业周期之间关系的变化有关——从较短的商业周期频率（4-8年）到较高的中期频率（8-16年）。关注上世纪90年代后的时期，并使用包括股价在内的金融周期衡量标准，我们发现商业和金融周期的平均长度变得更加一致，分别约为9年和10年。从政策的角度来看，这些发现对宏观审慎政策作为一种有别于传统宏观经济稳定政策的独特工具的必要性提出了质疑。

{"title":"Financial and business cycles in the US: A non-parametric time–frequency investigation","authors":"Marco Gallegati","doi":"10.1016/j.najef.2025.102547","DOIUrl":"10.1016/j.najef.2025.102547","url":null,"abstract":"<div><div>In this study, we contrast U.S. financial and business cycles using turning point and wavelet analysis. These non-parametric methods enable us to identify the key characteristics of financial cycles and assess their relationship with business cycles without imposing assumptions about their cyclical or secular components. Contrary to the conventional view in the literature, we find that financial and business cycles are more similar than generally assumed. Wavelet analysis reveals that: i) since the 1990s, the dominant frequency range of both cycles has shifted towards lower frequencies; and ii) the observed increase in their average length is linked to a change in the relationship between financial and business cycles − from shorter business cycle frequencies (4–8 years) to higher medium-term frequencies (8–16 years). Focusing on the post-1990s period and using a measure of the financial cycle that includes equity prices, we find that the average lengths of business and financial cycles have become more aligned, at approximately 9 and 10 years, respectively. From a policy perspective, these findings cast doubt on the need for macroprudential policy as a distinct tool separate from traditional macroeconomic stabilization policy.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102547"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145415996","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}

引用次数: 0

Regime-Switching volatility and risk quantification in South Asian and developed stock Markets: A Comparative perspective using Markov-Switching GARCH with MLE and MCMC estimations 南亚和发达国家股票市场的制度转换波动率和风险量化：使用马尔可夫转换GARCH与MLE和MCMC估计的比较视角

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: 2025-12-25 DOI: 10.1016/j.najef.2025.102576

Hina Mushtaq , Muhammad Ishtiaq , Surayya Jamal , Syed Maisam Raza Rizvi , Hamad Raza

This study investigates volatility regime dynamics and risk quantification across the developed stock markets of the NYSE and SSEC, and the emerging markets of South Asia, using the Markov-Switching GARCH framework. By employing both Maximum-Likelihood Estimation (MLE) and Bayesian Markov Chain Monte Carlo (MCMC) methods, the study captured volatility clustering that depends on regimes, their persistence, and transition probabilities. The findings of the MLE have revealed significant regime shifts in the markets of South Asia and have displayed frequent transitions, high volatility clustering, especially during low-volatility regimes, and a higher level of instability than in developed equity markets. Moreover, the MCMC findings further substantiate these findings by providing robust parameter estimates and revealing stronger volatility persistence during the calm regime and greater volatility persistence during turbulent periods in the developing South Asian stock markets.

Then, volatility forecasting shows sustained market uncertainty, with emerging South Asian stock markets exhibiting higher volatility than developed markets. Moreover, the findings on Value-at-Risk (VaR) and Expected Shortfall (ES) have confirmed the elevated tail risk in the developing South Asian market, especially in Nepal and the Dhaka Stock Exchange. These findings contribute to the literature by providing an empirical comparison of risk and volatility across developed and developing markets, validating the efficiency of regime-switching models when combined with Bayesian estimation techniques for capturing the complex behaviour of financial markets.

本研究使用马尔可夫转换GARCH框架，研究了纽约证券交易所和上海证券交易所的发达股票市场以及南亚新兴市场的波动机制动态和风险量化。通过采用最大似然估计（MLE）和贝叶斯马尔可夫链蒙特卡罗（MCMC）方法，该研究捕获了依赖于制度、其持久性和转移概率的波动性聚类。MLE的研究结果揭示了南亚市场的重大制度转变，并表现出频繁的转变、高波动性聚类，特别是在低波动性制度期间，以及比发达股票市场更高的不稳定性。此外，MCMC的研究结果通过提供稳健的参数估计进一步证实了这些发现，并揭示了发展中南亚股票市场在平静时期更强的波动性持久性和在动荡时期更大的波动性持久性。然后，波动率预测显示持续的市场不确定性，新兴南亚股市的波动率高于发达市场。此外，关于风险价值（VaR）和预期缺口（ES）的研究结果证实了南亚发展中市场尾部风险的升高，特别是在尼泊尔和达卡证券交易所。这些发现通过提供发达市场和发展中市场的风险和波动性的经验比较，验证了与贝叶斯估计技术相结合以捕获金融市场复杂行为的制度转换模型的效率，从而为文献做出了贡献。

{"title":"Regime-Switching volatility and risk quantification in South Asian and developed stock Markets: A Comparative perspective using Markov-Switching GARCH with MLE and MCMC estimations","authors":"Hina Mushtaq , Muhammad Ishtiaq , Surayya Jamal , Syed Maisam Raza Rizvi , Hamad Raza","doi":"10.1016/j.najef.2025.102576","DOIUrl":"10.1016/j.najef.2025.102576","url":null,"abstract":"<div><div>This study investigates volatility regime dynamics and risk quantification across the developed stock markets of the NYSE and SSEC, and the emerging markets of South Asia, using the Markov-Switching GARCH framework. By employing both Maximum-Likelihood Estimation (MLE) and Bayesian Markov Chain Monte Carlo (MCMC) methods, the study captured volatility clustering that depends on regimes, their persistence, and transition probabilities. The findings of the MLE have revealed significant regime shifts in the markets of South Asia and have displayed frequent transitions, high volatility clustering, especially during low-volatility regimes, and a higher level of instability than in developed equity markets. Moreover, the MCMC findings further substantiate these findings by providing robust parameter estimates and revealing stronger volatility persistence during the calm regime and greater volatility persistence during turbulent periods in the developing South Asian stock markets.</div><div>Then, volatility forecasting shows sustained market uncertainty, with emerging South Asian stock markets exhibiting higher volatility than developed markets. Moreover, the findings on Value-at-Risk (VaR) and Expected Shortfall (ES) have confirmed the elevated tail risk in the developing South Asian market, especially in Nepal and the Dhaka Stock Exchange. These findings contribute to the literature by providing an empirical comparison of risk and volatility across developed and developing markets, validating the efficiency of regime-switching models when combined with Bayesian estimation techniques for capturing the complex behaviour of financial markets.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"82 ","pages":"Article 102576"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145884265","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}

引用次数: 0

Dynamic distortions of the security market line: Evidence from asymmetric volatility and regime-switching models 证券市场线的动态扭曲：来自不对称波动和制度转换模型的证据

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: 2025-12-14 DOI: 10.1016/j.najef.2025.102566

Hatem Brik

This study re-examines the empirical validity of the Capital Asset Pricing Model (CAPM) by asking whether the Security Market Line (SML) remains stable when markets experience asymmetric volatility and regime transitions. Using high-frequency data from 2015 to 2024 for four major U.S. large-cap firms, we implement a unified empirical framework that integrates quantile regression, rolling-window CAPM estimation, and a two-state Markov-Switching AR(1) model.

The results reveal that the beta–return relationship is non-linear, time-varying, and state-dependent. Beta significance concentrates around the median of the return distribution but vanishes in the tails, confirming distributional asymmetry. Rolling estimations indicate persistent yet gradual beta drift, while the Markov-Switching model uncovers regime-contingent SML slopes—positive in stable phases and inverted during stress periods. These findings demonstrate that systematic risk is not uniformly priced and that the classical CAPM’s assumptions of linearity, stationarity, and rational expectations fail under dynamic market conditions.

Beyond U.S. equities, the framework offers a diagnostic tool for risk monitoring and portfolio management in environments characterized by volatility shocks and behavioral frictions—conditions typical of many emerging markets. By integrating dynamic, distributional, and regime dimensions, the paper contributes to a more adaptive understanding of asset pricing under uncertainty.

本研究通过询问证券市场线（SML）在市场经历不对称波动和制度转变时是否保持稳定，重新检验了资本资产定价模型（CAPM）的实证有效性。利用2015年至2024年美国四家大型公司的高频数据，我们实现了一个统一的经验框架，该框架集成了分位数回归、滚动窗口CAPM估计和两状态马尔可夫切换AR(1)模型。结果表明，β -回归关系是非线性的、时变的和状态相关的。贝塔显著性集中在收益分布的中位数附近，但在尾部消失，证实了分布的不对称性。滚动估计表明持续而渐进的β漂移，而马尔可夫切换模型揭示了状态随状态变化的SML斜率-在稳定阶段为正，在应力期间为反转。这些发现表明，系统风险不是统一定价的，经典CAPM的线性、平稳性和理性预期假设在动态市场条件下失效。除了美国股市之外，该框架还为以波动冲击和行为摩擦为特征的环境中的风险监测和投资组合管理提供了一个诊断工具，这些环境是许多新兴市场的典型条件。通过整合动态、分配和制度维度，本文有助于对不确定性下的资产定价有更适应性的理解。

{"title":"Dynamic distortions of the security market line: Evidence from asymmetric volatility and regime-switching models","authors":"Hatem Brik","doi":"10.1016/j.najef.2025.102566","DOIUrl":"10.1016/j.najef.2025.102566","url":null,"abstract":"<div><div>This study re-examines the empirical validity of the Capital Asset Pricing Model (CAPM) by asking whether the Security Market Line (SML) remains stable when markets experience asymmetric volatility and regime transitions. Using high-frequency data from 2015 to 2024 for four major U.S. large-cap firms, we implement a unified empirical framework that integrates quantile regression, rolling-window CAPM estimation, and a two-state Markov-Switching AR(1) model.</div><div>The results reveal that the beta–return relationship is non-linear, time-varying, and state-dependent. Beta significance concentrates around the median of the return distribution but vanishes in the tails, confirming distributional asymmetry. Rolling estimations indicate persistent yet gradual beta drift, while the Markov-Switching model uncovers regime-contingent SML slopes—positive in stable phases and inverted during stress periods. These findings demonstrate that systematic risk is not uniformly priced and that the classical CAPM’s assumptions of linearity, stationarity, and rational expectations fail under dynamic market conditions.</div><div>Beyond U.S. equities, the framework offers a diagnostic tool for risk monitoring and portfolio management in environments characterized by volatility shocks and behavioral frictions—conditions typical of many emerging markets. By integrating dynamic, distributional, and regime dimensions, the paper contributes to a more adaptive understanding of asset pricing under uncertainty.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"82 ","pages":"Article 102566"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145791026","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}

引用次数: 0

Spillover effects of clean energy risks and the impacts of economic policy uncertainty on the stability of the equity market: A dependence dynamics analysis 清洁能源风险溢出效应与经济政策不确定性对股票市场稳定性的影响：依赖动态分析

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-09-01 Epub Date: 2025-05-24 DOI: 10.1016/j.najef.2025.102475

Ching-Chi Hsu , Wei-Che Tsai

This study investigates the spillover effects of clean energy risks and economic policy uncertainty on the stability of the equity market. We use dependence dynamics through copulas with regime switching to analyze the dependence pattern of the spillover effects and the stability of the equity market. The dependence dynamics model results reveal the existence of asymmetric dependence between these factors, with the impact of the spillover effect on the stability of the equity market being more pronounced in the high-dependence regime. To test our findings, we formulate an investment strategy to facilitate an investigation of investment efficiency and profitability. Our performance test results confirm that our investment strategy outperforms, producing a high ratio of investment efficiency. Our research indicates that an unstable economic policy environment can increase clean energy risks, ultimately having spillover effects on the stability of the equity market. Our study provides references for policy regulators to design or adjust their energy policies and a guide for investors to make strategic investment decisions to avoid clean energy risks.

本文研究了清洁能源风险和经济政策不确定性对股票市场稳定性的溢出效应。本文通过制度转换的关联动力学方法，分析了溢出效应与股票市场稳定性的依赖模式。依赖动力学模型结果表明，这些因素之间存在不对称依赖关系，在高依赖状态下，溢出效应对股票市场稳定性的影响更为明显。为了验证我们的发现，我们制定了一个投资策略，以促进对投资效率和盈利能力的调查。我们的绩效测试结果证实了我们的投资策略表现优异，产生了很高的投资效率。我们的研究表明，不稳定的经济政策环境会增加清洁能源风险，最终对股票市场的稳定产生溢出效应。本研究为政策监管机构设计或调整能源政策提供了参考，也为投资者规避清洁能源风险的战略投资决策提供了指导。

{"title":"Spillover effects of clean energy risks and the impacts of economic policy uncertainty on the stability of the equity market: A dependence dynamics analysis","authors":"Ching-Chi Hsu , Wei-Che Tsai","doi":"10.1016/j.najef.2025.102475","DOIUrl":"10.1016/j.najef.2025.102475","url":null,"abstract":"<div><div>This study investigates the spillover effects of clean energy risks and economic policy uncertainty on the stability of the equity market. We use dependence dynamics through copulas with regime switching to analyze the dependence pattern of the spillover effects and the stability of the equity market. The dependence dynamics model results reveal the existence of asymmetric dependence between these factors, with the impact of the spillover effect on the stability of the equity market being more pronounced in the high-dependence regime. To test our findings, we formulate an investment strategy to facilitate an investigation of investment efficiency and profitability. Our performance test results confirm that our investment strategy outperforms, producing a high ratio of investment efficiency. Our research indicates that an unstable economic policy environment can increase clean energy risks, ultimately having spillover effects on the stability of the equity market. Our study provides references for policy regulators to design or adjust their energy policies and a guide for investors to make strategic investment decisions to avoid clean energy risks.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102475"},"PeriodicalIF":3.8,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144178756","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}

引用次数: 0

The role of international and domestic investors in international market information spillover effects: Evidence from interconnected multilayer networks 国际和国内投资者在国际市场信息溢出效应中的作用：来自互联多层网络的证据

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-09-01 Epub Date: 2025-05-17 DOI: 10.1016/j.najef.2025.102465

Songsong Li , Hao Xu , Piet Sercu , Nan Xu , Yiwa Xu

This research introduces a novel framework to explore international information spillovers in stock markets like China, focusing on three layers: international capital markets, investor behavior, and domestic sector indices. Intra-layer connections are analyzed using TVP-VAR optimized frequency connectivity, while inter-layer connections are examined through causality tests, as well as a complex network approach evaluates the significance of investor groups. Our findings reveal that international investors’ selling behavior significantly impacts both domestic and foreign investors in the Chinese market, influenced by domestic stock sentiment. Notable peaks in network dynamics occurred in 2016, 2018, and 2020. The US and UK are major information spillover exporters, affecting sectors like industrials and materials in domestic markets. International market volatility increases short-term domestic investor attention and long-term asset shifts, leading to information spillovers in Chinese stocks. During events like the Sino-US trade war and COVID-19, international capital flows serve as a crucial channel between markets, with short-term impacts being more severe.

本研究引入了一个新的框架来探讨中国等股票市场的国际信息溢出，重点关注三个层面：国际资本市场、投资者行为和国内行业指数。利用tpv - var优化的频率连通性分析层内连接，通过因果检验检验层间连接，并采用复杂网络方法评估投资者群体的显著性。研究发现，受国内股市情绪影响，国际投资者的抛售行为对中国市场的境内外投资者均有显著影响。网络动态的显著峰值出现在2016年、2018年和2020年。美国和英国是信息外溢的主要出口国，影响到国内市场的工业和材料等部门。国际市场波动加剧了国内投资者的短期关注和长期资产转移，导致中国股市的信息溢出。在中美贸易战和新冠肺炎疫情等事件中，国际资本流动是市场之间的重要渠道，短期影响更为严重。

{"title":"The role of international and domestic investors in international market information spillover effects: Evidence from interconnected multilayer networks","authors":"Songsong Li , Hao Xu , Piet Sercu , Nan Xu , Yiwa Xu","doi":"10.1016/j.najef.2025.102465","DOIUrl":"10.1016/j.najef.2025.102465","url":null,"abstract":"<div><div>This research introduces a novel framework to explore international information spillovers in stock markets like China, focusing on three layers: international capital markets, investor behavior, and domestic sector indices. Intra-layer connections are analyzed using TVP-VAR optimized frequency connectivity, while inter-layer connections are examined through causality tests, as well as a complex network approach evaluates the significance of investor groups. Our findings reveal that international investors’ selling behavior significantly impacts both domestic and foreign investors in the Chinese market, influenced by domestic stock sentiment. Notable peaks in network dynamics occurred in 2016, 2018, and 2020. The US and UK are major information spillover exporters, affecting sectors like industrials and materials in domestic markets. International market volatility increases short-term domestic investor attention and long-term asset shifts, leading to information spillovers in Chinese stocks. During events like the Sino-US trade war and COVID-19, international capital flows serve as a crucial channel between markets, with short-term impacts being more severe.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102465"},"PeriodicalIF":3.8,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144261996","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}

引用次数: 0

Risky finance, riskier climate: when financial instability meets climate risks on the bridge of sustainability uncertainty 风险金融，风险气候：当金融不稳定在可持续性不确定性的桥梁上遇到气候风险

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-09-01 Epub Date: 2025-06-18 DOI: 10.1016/j.najef.2025.102492

Brahim Gaies

This study bridges two critical literatures: climate-related finance theory, which focuses on the destabilizing effects of climate risks on financial markets, and corporate social responsibility (CSR) theory, rooted in the shareholder-stakeholder debate. In doing so, it provides one of the first attempts to explore the systemic interactions between financial instability, sustainability uncertainty, and climate risks. Leveraging the novel U.S. ESG-based Sustainability Uncertainty Index (ESGUI; Ongan et al., 2025) and employing a Time-Varying Parameter Vector Autoregression (TVP-VAR) connectedness framework, we analyze how shocks stemming from financial market stress, ESG investment and policy uncertainty, and climate-related risks propagate and interact across major financial, political, and environmental events in the U.S. economy from 2003 to 2024. The main findings reveal that credit market stress and volatility-driven financial uncertainty act as the major transmitters of instability in the system, with connectedness peaking during 2008–2009 and 2020–2022. However, the transmission of financial instability to climate risks is nonlinear and contingent on sustainability uncertainty. Interestingly, regulatory responses, such as post-Global Financial Crisis reforms and the Paris Agreement, help temporarily mitigate but fail to fully eliminate risk spillovers. These results are robust to the application of the time-varying robust Granger causality test, which serves as an alternative validation approach.

本研究结合了两种重要文献：气候相关金融理论（侧重于气候风险对金融市场的不稳定影响）和企业社会责任（CSR）理论（植根于股东-利益相关者之争）。在此过程中，它首次尝试探索金融不稳定性、可持续性不确定性和气候风险之间的系统性相互作用。利用美国基于esg的新型可持续性不确定性指数（ESGUI）；Ongan et al., 2025)，并采用时变参数向量自回归（TVP-VAR）连通性框架，分析了2003年至2024年期间，金融市场压力、ESG投资和政策不确定性以及气候相关风险引发的冲击如何在美国经济中的主要金融、政治和环境事件中传播和相互作用。主要研究结果显示，信贷市场压力和波动驱动的金融不确定性是系统不稳定性的主要传导因素，连通性在2008-2009年和2020-2022年达到峰值。然而，金融不稳定向气候风险的传导是非线性的，且取决于可持续性的不确定性。有趣的是，监管应对措施，如全球金融危机后的改革和《巴黎协定》，有助于暂时缓解风险溢出，但未能完全消除风险溢出。这些结果对于时变稳健格兰杰因果检验的应用是稳健的，这是一种替代的验证方法。

{"title":"Risky finance, riskier climate: when financial instability meets climate risks on the bridge of sustainability uncertainty","authors":"Brahim Gaies","doi":"10.1016/j.najef.2025.102492","DOIUrl":"10.1016/j.najef.2025.102492","url":null,"abstract":"<div><div>This study bridges two critical literatures: climate-related finance theory, which focuses on the destabilizing effects of climate risks on financial markets, and corporate social responsibility (CSR) theory, rooted in the shareholder-stakeholder debate. In doing so, it provides one of the first attempts to explore the systemic interactions between financial instability, sustainability uncertainty, and climate risks. Leveraging the novel U.S. ESG-based Sustainability Uncertainty Index (ESGUI; Ongan et al., 2025) and employing a Time-Varying Parameter Vector Autoregression (TVP-VAR) connectedness framework, we analyze how shocks stemming from financial market stress, ESG investment and policy uncertainty, and climate-related risks propagate and interact across major financial, political, and environmental events in the U.S. economy from 2003 to 2024. The main findings reveal that credit market stress and volatility-driven financial uncertainty act as the major transmitters of instability in the system, with connectedness peaking during 2008–2009 and 2020–2022. However, the transmission of financial instability to climate risks is nonlinear and contingent on sustainability uncertainty. Interestingly, regulatory responses, such as post-Global Financial Crisis reforms and the Paris Agreement, help temporarily mitigate but fail to fully eliminate risk spillovers. These results are robust to the application of the time-varying robust Granger causality test, which serves as an alternative validation approach.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102492"},"PeriodicalIF":3.8,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144364736","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}

引用次数: 0

Corporate investment amid trade policy uncertainty: Past lessons, future presidency 贸易政策不确定性下的企业投资：过去的教训，未来的总统

IF 3.9 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-09-01 Epub Date: 2025-08-11 DOI: 10.1016/j.najef.2025.102514

Vaibhav Keshav

What insights can we glean from the prior trade conflict between the US and China amidst its prominence in the 2025–2028 presidential term? Between 2016 and 2019, the US–China trade dispute, with US tariffs and Chinese retaliation, surged trade policy uncertainty (TPU). Departing from prior studies focusing on overall economic policy uncertainty (EPU), this study reports an inverse causal relation between aggregate and firm-level TPU and corporate investment by employing a novel instrumental variable. Apart from confirming the real options channel, I identify a foreign exchange channel, highlighting the susceptibility of firms to TPU based on exposure to exchange rate fluctuations. Lastly, I discuss the implications of this study in the context of the upcoming US presidential elections and beyond.

在2025-2028年美国总统任期内，我们可以从之前的中美贸易冲突中得到什么启示？2016年至2019年期间，中美贸易争端，美国的关税和中国的报复，贸易政策的不确定性（TPU）激增。与以往关注总体经济政策不确定性（EPU）的研究不同，本研究通过使用一个新的工具变量，报告了总体和企业层面的TPU与企业投资之间的反向因果关系。除了确认实物期权渠道外，我还确定了一个外汇渠道，突出了企业对基于汇率波动的TPU的敏感性。最后，我讨论了这项研究在即将到来的美国总统大选及其后的背景下的含义。

引用次数: 0