North American Journal of Economics and Finance最新文献

英文中文

Portfolio diversification amid economic uncertainty in Pakistan: empirical evidence from the quantile-on-quantile approach 巴基斯坦经济不确定性下的投资组合多元化：来自分位数对分位数方法的经验证据

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-06-07 DOI: 10.1016/j.najef.2025.102486

Hassan Zada , Naveed Khan , Mobeen Ur Rehman , Xuan Vinh Vo , Wafa Ghardallou

Over the past few decades, Economic Policy Uncertainty (EPU) has become a key driver of financial market dynamics, which influences investment decisions, risk perceptions, and overall economic stability. Therefore, our objective is to examine the impact of EPU on sectoral stocks in Pakistan. For the empirical analysis, we take monthly data from August 2010 to December 2023, and employ quantile-on-quantile regression approach (QQR) for the empirical analysis. This approach captures nonlinear and asymmetric relationships across different market conditions, thus making it ideal to analyze sectoral heterogeneity in response to changes in EPU. Our results highlight the negative effect of EPU on the returns in the Automobile & Assembler, Oil and Gas, and Refinery sectors at higher quantiles, whereas Banking and Power & Distribution sectors across all quantiles. However, in the Cement, Insurance, and Technology & Communication sectors, EPU positively affects returns at lower quantiles, whereas it negatively affects returns across higher quantiles. Policymakers should prioritize enhancing transparency and maintaining consistency in economic policies to minimize market disruptions caused by uncertainty. For portfolio managers, understanding the asymmetric impact of EPU can facilitate more effective risk management and asset allocation strategies, thus providing better diversification and hedging opportunities against uncertainty.

在过去的几十年里，经济政策不确定性（EPU）已经成为金融市场动态的关键驱动因素，它影响着投资决策、风险认知和整体经济稳定。因此，我们的目标是审查EPU对巴基斯坦部门存量的影响。在实证分析中，我们选取2010年8月至2023年12月的月度数据，采用分位数对分位数回归方法（QQR）进行实证分析。这种方法捕捉了不同市场条件下的非线性和不对称关系，因此可以很好地分析EPU变化的部门异质性。我们的研究结果突出了EPU对汽车行业收益的负面影响；装配、油气和炼油行业的分位数较高，而银行和电力行业的分位数较高；所有分位数的分布部门。然而，在水泥、保险和技术领域，在通信行业，EPU对较低分位数的回报有积极影响，而对较高分位数的回报有消极影响。政策制定者应优先提高经济政策的透明度和一致性，以尽量减少不确定性对市场造成的干扰。对于投资组合经理来说，了解EPU的不对称影响可以促进更有效的风险管理和资产配置策略，从而提供更好的分散和对冲不确定性的机会。

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引用次数: 0

Foreign exchange option pricing with a three-factor Heston model with regime switching and stochastic interest rate 具有制度切换和随机利率的三因素赫斯顿模型的外汇期权定价

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-06-06 DOI: 10.1016/j.najef.2025.102470

Xin-Jiang He , Sha Lin

This paper introduces a novel three-factor model for pricing foreign exchange options, incorporating the dynamics of stochastic volatility, stochastic interest rates, and regime switching. The model is developed by combining the Heston stochastic volatility framework with a regime switching volatility model, where both domestic and foreign interest rates follow the Hull–White model. This approach offers several advantages, such as the effective inclusion of regime switching and the correlation between exchange rates and interest rates, while maintaining analytical tractability. The pricing formula is derived by first obtaining the characteristic function of the underlying exchange rate using measure transformation. This formula is then numerically validated, and its application is demonstrated to analyze the impact of the regime switching factors. Furthermore, an empirical analysis using real market data is conducted to assess the practical relevance of incorporating these regime switching elements into the model.

本文提出了一种新的外汇期权定价三因素模型，该模型考虑了随机波动率、随机利率和制度转换的动态影响。该模型将赫斯顿随机波动率框架与制度转换波动率模型相结合，其中国内外利率均遵循赫尔-怀特模型。这种方法提供了几个优点，例如有效地包括制度转换和汇率与利率之间的相关性，同时保持分析的可追溯性。首先利用测度变换得到基础汇率的特征函数，推导出定价公式。然后对该公式进行了数值验证，并演示了其应用于分析状态切换因素的影响。此外，使用真实市场数据进行了实证分析，以评估将这些制度转换元素纳入模型的实际相关性。

引用次数: 0

The neo-Fisherian effect in a new Keynesian model with real money balances 具有真实货币平衡的新凯恩斯模型中的新费舍尔效应

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-06-06 DOI: 10.1016/j.najef.2025.102471

Daisuke Ida

This study explores how the real money balance effect (RMBE) affects the neo-Fisherian effect (NFE) in a standard new Keynesian (NK) model. Our main findings are summarized as follows. First, the presence of the RMBE can partly explain the occurrence of the NFE. Furthermore, increasing the nonseparability parameter in the utility function magnifies the nominal interest rate’s positive response to a persistent inflation target shock. Second, the degree of nominal price stickiness is important in explaining how the RMBE amplifies the NFE. Third, introducing inflation inertia into the Phillips curve eliminates the NFE.

本研究在标准的新凯恩斯主义（NK）模型中探讨了真实货币平衡效应（RMBE）如何影响新费舍尔效应（NFE）。我们的主要发现总结如下。首先，人民币汇率的存在可以部分解释NFE的发生。此外，增加效用函数中的不可分性参数会放大名义利率对持续通胀目标冲击的积极反应。其次，名义价格粘性的程度在解释人民币币值如何放大NFE方面很重要。第三，在菲利普斯曲线中引入通货膨胀惯性消除了NFE。

引用次数: 0

Financial literacy, human capital and long-run economic growth 金融知识、人力资本与长期经济增长

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-06-05 DOI: 10.1016/j.najef.2025.102468

Alberto Bucci , Riccardo Calcagno , Simone Marsiglio , Tiago Neves Sequeira

Financial literacy has gained momentum in the policy arena and several countries are currently promoting it. Despite the undeniable importance of financial literacy in improving the allocation of savings across alternative uses, the impact of these policies on economic growth is not obvious. Indeed, financial literacy is a specialized form of human capital, thus favoring financial education may deter general education eventually generating detrimental effects on growth. This paper relies on an endogenous growth framework where human capital can be employed to accumulate financial literacy to assess the conditions under which the current policy setting may be beneficial in the long run. Our calibration based on the US economy over the 1950–2019 period shows that this may effectively be the case if the impact of financial literacy on the allocational efficiency of the financial sector is sufficiently strong.

金融知识在政策领域获得了动力，一些国家目前正在促进它。尽管金融知识在改善储蓄在不同用途之间的分配方面具有不可否认的重要性，但这些政策对经济增长的影响并不明显。事实上，金融知识是一种特殊形式的人力资本，因此，支持金融教育可能会阻碍普通教育，最终对经济增长产生不利影响。本文依赖于一个内生增长框架，在这个框架中，人力资本可以用来积累金融知识，以评估当前政策设置在哪些条件下可能从长远来看是有益的。我们基于1950-2019年期间美国经济的校准表明，如果金融素养对金融部门配置效率的影响足够强大，这种情况可能会有效发生。

引用次数: 0

A runs test for stock-market prices with an unobserved trend 用未观察到的趋势对股票市场价格进行的运行测试

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-06-04 DOI: 10.1016/j.najef.2025.102469

Nils Herger

To test whether stock-market prices follow a random walk, the algebraic signs of their returns have been analyzed like a sequence of coin tosses. Similar to coin tosses, which represent Bernoulli trials with equiprobable outcomes, signed returns lend themselves for a simple runs test for randomness. However, stock-market prices typically comprise an unobserved trend implying that even under pure randomness positive and negative returns are not necessarily equally probable. Therefore, it is difficult to infer the behavior of stock-market prices from the traditional runs test. Fortunately, the von Neumann algorithm allows to transform tosses of a potentially unfair coin, meaning that it could suffer from an unknown bias, into equiprobable outcomes. This is done by tossing the coin twice and retaining only the first observation when different outcomes arise. Applying the same “trick” to pairs across a sequence of signed stock-market returns paves the way for a runs test that is robust to the effects of constant, unobserved trends.

为了测试股票市场价格是否遵循随机游走，我们像分析抛硬币的序列一样分析了它们回报的代数符号。与投掷硬币一样，它代表了具有等概率结果的伯努利试验（Bernoulli trials），有符号的回报可以用于简单的随机运行测试。然而，股票市场价格通常包含一种未被观察到的趋势，这意味着即使在纯随机性下，正收益和负收益的可能性也不一定相等。因此，从传统的运行检验中很难推断出股票市场价格的行为。幸运的是，冯·诺伊曼算法允许将一枚可能不公平的硬币的投掷（这意味着它可能受到未知偏差的影响）转化为等概率结果。这是通过投掷两次硬币，当出现不同的结果时，只保留第一次观察结果来实现的。将同样的“技巧”应用于一系列有签名的股市回报对，为运行测试铺平了道路，这种测试对持续的、未被观察到的趋势的影响是稳健的。

引用次数: 0

Forecasting Value-at-Risk and Expected Shortfall using penalized quantile regressions with mixed-frequency data 使用混合频率数据的惩罚分位数回归预测风险价值和预期不足

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-06-02 DOI: 10.1016/j.najef.2025.102466

Lu Li, Degao Li, Li Liu, Linjun Tang

Value-at-Risk (VaR) and Expected Shortfall (ES), as two essential tools for risk management, have received widespread attention for their ability to provide financial institutions with a quantitative measure of potential losses. This paper considers a mixed-frequency quantile regression model to enhance the accuracy of VaR and ES predictions. We propose a multi-step estimation procedure based on penalized quantile regression methods and establish a goodness-of-fit test using a bootstrap approach. Simulation studies demonstrate that the Elastic Net penalized quantile regression performs well in identifying significant lags in time series data with high correlations, and our proposed bootstrap testing approach performs effectively. Empirical results from three representative Asian stock markets indicate that our methods achieve high accuracy in VaR and ES predictions.

风险价值（VaR）和预期损失（ES）作为风险管理的两个重要工具，因其能够为金融机构提供潜在损失的定量衡量而受到广泛关注。本文提出了一种混合频率分位数回归模型，以提高VaR和ES预测的准确性。我们提出了一种基于惩罚分位数回归方法的多步估计程序，并使用bootstrap方法建立了拟合优度检验。仿真研究表明，弹性网惩罚分位数回归在识别具有高相关性的时间序列数据的显著滞后方面表现良好，并且我们提出的自举测试方法执行有效。三个具有代表性的亚洲股票市场的实证结果表明，我们的方法在VaR和ES预测中具有较高的准确性。

引用次数: 0

Is energy risk scale Invariant? evidence from crude oil futures 能源风险量表不变吗？原油期货就是证据

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-05-29 DOI: 10.1016/j.najef.2025.102476

Klaus Grobys

This study diverges from earlier research by utilizing power-law functions to model realized variances in crude oil prices and analyzing these functions across various time scales. The findings reveal several key insights. First, uncertainty in crude oil markets exhibits fractal-like properties, manifested in scale invariant power-law behavior. Second, the estimated power-law exponent demonstrates invariance in the intertemporal dimension, a result confirmed through the test for total invariance, which did not reject the hypothesis of total invariance in power-law behavior. Third, the study provides evidence that the variance of crude oil price variance is statistically infinite, rendering sample variance estimates inherently context-dependent. Fourth, in contrast to earlier literature supporting the lognormal model, the findings decisively reject the lognormal model as a valid data-generating process for realized crude oil price variances across all time scales. These results have significant theoretical and practical implications. The fractal properties and infinite variance challenge conventional assumptions about crude oil market dynamics, while the rejection of the lognormal model highlights the need for alternative frameworks in modeling and risk management.

本研究与先前的研究不同，利用幂律函数来模拟原油价格的实际方差，并在不同的时间尺度上分析这些函数。研究结果揭示了几个关键的见解。首先，原油市场的不确定性表现出分形性质，表现为尺度不变的幂律行为。其次，估计的幂律指数在跨时间维度上表现出不变性，这一结果通过对总不变性的检验得到证实，该检验没有拒绝幂律行为的总不变性假设。第三，该研究提供的证据表明，原油价格方差的方差在统计上是无限的，使得样本方差估计本质上依赖于上下文。第四，与早期支持对数正态模型的文献相反，研究结果明确地拒绝将对数正态模型作为所有时间尺度上已实现原油价格差异的有效数据生成过程。这些结果具有重要的理论和实践意义。分形特性和无限方差挑战了关于原油市场动态的传统假设，而对数正态模型的拒绝强调了在建模和风险管理中需要替代框架。

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引用次数: 0

Catastrophe risk with global climate change determines the price of catastrophe equity puts 全球气候变化带来的巨灾风险决定了巨灾期权的价格

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-05-29 DOI: 10.1016/j.najef.2025.102473

Ming-Che Chuang , Hong-Chih Huang , Shih-Feng Huang , Shih-Kuei Lin

A growing frequency of natural catastrophes due to global climate change has confronted insurance companies with massive compensation claims and substantial stock price risk. The catastrophe equity put options provide a means to manage such risks. As stock markets usually exhibit volatility clustering, volatility may increase significantly. This article establishes a GARCH model for global climate change to characterize the dynamic process of insurance companies’ stock prices. The incomplete market requires an Esscher transform, a specific risk-neutral probability measure that serves to price the CatEPut. The empirical analysis identifies that the inverse-Gaussian distribution for each catastrophe loss and the random walk with positive drift for the arrival rate of catastrophes perform the best in terms of goodness-of-fit. The sensitivity analysis results illustrate that global climate change, the catastrophe intensity, and the systematic/unsystematic catastrophe risk constitute important factors for determining the CatEPut price.

由于全球气候变化，自然灾害日益频繁，这给保险公司带来了巨额赔偿要求和巨大的股价风险。巨灾股票看跌期权提供了一种管理此类风险的手段。由于股票市场通常表现为波动性聚类，波动性可能显著增加。本文建立了全球气候变化GARCH模型，以表征保险公司股价的动态过程。不完全市场需要埃舍尔变换，这是一种特定的风险中性概率度量，用于为CatEPut期权定价。实证分析表明，每个灾难损失的反高斯分布和灾难到达率的正漂移随机游走在拟合优度方面表现最好。敏感性分析结果表明，全球气候变化、巨灾强度和系统/非系统巨灾风险是决定CatEPut价格的重要因素。

引用次数: 0

Do oil price changes contain useful predictive information about the U.S. bear stock market? 油价变化是否包含了美国熊市的有用预测信息？

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-05-28 DOI: 10.1016/j.najef.2025.102464

Wei-Ming Lee , Shue-Jen Wu

This paper investigates the predictive power of

κ

-month oil price changes (characterizing oil market trends) for the U.S. bear stock market. We find from both in-sample and out-of-sample evaluations that

κ

-month oil price changes with

κ > 12

can strongly predict the bear stock market, but conventional oil predictors fail to have predictive power. In particular, a higher current oil price relative to its level

κ

months ago will induce a higher probability of bear stock market in the future and the 48-month oil price change performs best at most of the forecast horizons considered. These results are robust to different subsamples, oil price series, estimation schemes for out-of-sample analysis, and phases of the business cycle. Moreover, the information provided by the 48-month oil price change covers that of inflation rate and does not completely overlap with that provided (individually or jointly) by non-oil predictors so that forecast improvement can be achieved by taking it into account.

本文研究了近一个月石油价格变化（表征石油市场趋势）对美国熊市的预测能力。我们从样本内和样本外的评估中发现，随κ>；12的κ月油价变化可以很好地预测熊市，而传统的石油预测指标却不具备预测能力。特别是，目前的油价相对于k个月前的水平较高，将导致未来股市出现熊市的可能性更高，而且在考虑的大多数预测范围内，48个月的油价变化表现最好。这些结果对不同的子样本、油价序列、样本外分析的估计方案和商业周期阶段都具有鲁棒性。此外，48个月石油价格变化提供的信息涵盖了通货膨胀率，与非石油预测者提供的信息（单独或联合）并不完全重叠，因此可以通过考虑它来实现预测的改进。

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引用次数: 0

Fiscal rules, inflation and monetary policy: International evidence 财政规则、通货膨胀和货币政策：国际证据

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-05-27 DOI: 10.1016/j.najef.2025.102472

Gabriel Caldas Montes , João Dantas

The relationship between fiscal rules and monetary policy, particularly their impact on interest rates, remains underexplored in international empirical literature. To address this gap, we examine whether adopting fiscal rules – and specific types of rules – enhances monetary policy flexibility, enabling lower interest rates. We also assess whether inflation serves as a transmission channel between fiscal rules and interest rates. Our study covers 82 countries (49 developing and 33 developed) from 1993 to 2019, analyzing the full sample and sub-samples based on economic development and inflation-targeting policies. We distinguish between national and supranational fiscal rules, as well as different rule types (debt, budget, expenditure, and revenue). The findings indicate that fiscal rules contribute to lower interest rates, with expenditure rules playing a crucial role across all samples. Budget rules also show significance. Additionally, inflation serves as a key transmission mechanism linking fiscal rules to interest rates.

财政规则与货币政策之间的关系，特别是它们对利率的影响，在国际实证文献中仍未得到充分探讨。为了解决这一差距，我们研究了采用财政规则（以及特定类型的规则）是否能提高货币政策的灵活性，从而降低利率。我们还评估了通货膨胀是否作为财政规则和利率之间的传导渠道。我们的研究涵盖了从1993年到2019年的82个国家（49个发展中国家和33个发达国家），分析了基于经济发展和通胀目标政策的全样本和子样本。我们区分了国家和超国家的财政规则，以及不同的规则类型（债务、预算、支出和收入）。研究结果表明，财政规则有助于降低利率，支出规则在所有样本中都起着至关重要的作用。预算规则也很重要。此外，通货膨胀是将财政规则与利率联系起来的关键传导机制。

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全部化学•材料生命科学医学物理工程技术环境•农林材料科学地球科学法学管理学化学环境科学与生态学计算机科学教育学经济学农林科学人文科学生物学数学物理与天体物理心理学综合性期刊其他工业工程理学历史学农学文学信息工程

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