Quarterly Review of Economics and Finance最新文献

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Market reactions to the Basel reforms: Implications for shareholders, creditors, and taxpayers 市场对巴塞尔改革的反应：对股东、债权人和纳税人的影响

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-03-17 DOI: 10.1016/j.qref.2025.101990

Jonas Krettek

This paper evaluates the impact of postcrisis financial risk regulation introduced through Basel II.5, Basel III, and Basel IV on European Union (EU) and United States (U.S.) bank shareholders and creditors. Specifically, an event study is used to analyze 15 market events, 26 credit events, and 13 liquidity events. This approach allows for an assessment of the impact on profitability and risk, providing a basis for deriving the effectiveness of these regulations in reducing risks for the public sector and taxpayers. Significant negative stock market reactions by EU banks in response to market and credit risk regulations are observed. In contrast, U.S. banks exhibit no clear significant stock market reactions, largely due to the Dodd-Frank Act and especially more lenient regulatory implementation. EU creditors responded to credit risk regulation with significantly rising credit default swap (CDS) spreads, signaling higher risks due to diminished bailout expectations. The cross-sectional analysis highlights the importance of bank- and country-specific factors in explaining heterogeneous reactions. The results suggest that the Basel reforms have successfully shifted risks from taxpayers back to shareholders and reduced moral hazard among creditors. However, the significant differences between the EU and U.S. market reactions raise concerns about the establishment of a level playing field, underscoring the need for more consistent implementation across jurisdictions.

本文评估了通过巴塞尔协议II.5、巴塞尔协议III和巴塞尔协议IV引入的后危机金融风险监管对欧盟（EU）和美国（us）银行股东和债权人的影响。具体来说，我们使用事件研究来分析15个市场事件、26个信贷事件和13个流动性事件。这种方法可以评估对盈利能力和风险的影响，为得出这些条例在减少公共部门和纳税人风险方面的有效性提供基础。观察到欧盟银行对市场和信贷风险监管的显著负面股市反应。相比之下，美国的银行没有表现出明显的股市反应，这主要是由于多德-弗兰克法案，尤其是更宽松的监管实施。欧盟债权人对信贷风险监管的回应是，信用违约互换（CDS）息差大幅上升，表明救助预期降低导致风险上升。横断面分析强调了银行和国家特定因素在解释非均相反应中的重要性。结果表明，巴塞尔改革成功地将风险从纳税人转移回股东，并降低了债权人的道德风险。然而，欧盟和美国市场反应之间的巨大差异引发了人们对建立公平竞争环境的担忧，强调了跨司法管辖区更加一致实施的必要性。

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引用次数: 0

Dynamics of asymmetric connectedness among magnificent seven technology giants: Insights from QVAR analysis 七大科技巨头之间不对称联系的动态：来自QVAR分析的见解

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-03-12 DOI: 10.1016/j.qref.2025.101977

Zaghum Umar , Elroi Hadad , Andrew Phiri , Tamara Teplova

This paper studies the return and volatility spillover among the seven largest technology companies (including Apple, Microsoft, Amazon, Alphabet (Google), Meta Platforms (formerly Facebook), Tesla, and Nvidia) referred to as Magnificent seven. We employ a quantile connected approach to study spillover and connectedness under different market conditions. We observe a high degree of interconnectedness in the returns of these firms, with equities transitioning between roles as net receivers and transmitters across various market conditions. Notably, the influence of market size is apparent, with larger-cap firms predominantly acting as net transmitters, while smaller-cap counterparts serve as net receivers. We also identify asymmetry between quantiles, particularly evident in left tails, underscoring the significance of idiosyncratic shocks. Our findings have important implications for policy makers, investors and regulators.

本文研究了七家最大的科技公司（包括苹果、微软、亚马逊、Alphabet（谷歌）、Meta Platforms（前身为 Facebook）、特斯拉和 Nvidia）之间的回报和波动溢出效应。我们采用量子关联方法来研究不同市场条件下的溢出效应和关联性。我们观察到这些公司的回报具有高度的相互关联性，在不同的市场条件下，股票在净接收者和传播者的角色之间转换。值得注意的是，市场规模的影响显而易见，市值较大的公司主要充当净发送者，而市值较小的公司则充当净接收者。我们还发现了数量级之间的不对称性，在左侧尾部尤为明显，这凸显了特异性冲击的重要性。我们的研究结果对政策制定者、投资者和监管者具有重要意义。

引用次数: 0

On the time-varying responses of Fintech stock returns to geopolitical, financial and market sentiment shocks 金融科技股回报对地缘政治、金融和市场情绪冲击的时变响应

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-03-12 DOI: 10.1016/j.qref.2024.101951

Talel Boufateh , Zied Saadaoui , Zhilun Jiao

Growing uncertainties in the global economy are spurring unprecedented stress on commodity markets, financial systems, and investors’ risk aversion. The fast-growing Fintech sector is not exempt from vulnerability to such shocks. However, previous studies failed to assess the fragility of Fintech stock returns to simultaneous shocks driven by multi-dimensional uncertainty. The present paper is the first to estimate the time-varying responses of Fintech stock returns (FSR) to simultaneous shocks coming from three uncertainty dimensions: geopolitical uncertainty, systemic financial stress and market sentiment. Daily frequency is used to estimate the dynamic under consideration by constructing a TVP-SVAR-SV and conducting several robustness checks. The results reveal that Fintech stock returns respond positively to geopolitical uncertainty except during major uncertainty events and to credit market uncertainty shocks even during the Covid-pandemic and the Russia-Ukraine war. Market sentiment shocks exert a heterogenous effect on FSR. The SWIFT bans triggered negative impacts of the multi-dimensional uncertainty on FSR.

全球经济中不断增加的不确定性正在给大宗商品市场、金融体系和投资者的避险情绪带来前所未有的压力。快速增长的金融科技行业也难免受到此类冲击的影响。然而，之前的研究未能评估金融科技股票回报在多维不确定性驱动的同时冲击下的脆弱性。本文首次估计了金融科技股票回报（FSR）对来自三个不确定性维度的同时冲击的时变响应：地缘政治不确定性、系统性金融压力和市场情绪。通过构造TVP-SVAR-SV并进行多次鲁棒性检查，利用日频率来估计所考虑的动态。结果表明，金融科技股回报对地缘政治不确定性（重大不确定性事件除外）和信贷市场不确定性冲击（即使在新冠疫情和俄乌战争期间）的反应积极。市场情绪冲击对FSR的影响具有异质性。SWIFT禁令引发了多维不确定性对FSR的负面影响。

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引用次数: 0

Green bonds: A demographic study of Retail Investors in India 绿色债券：印度散户投资者的人口统计研究

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-03-11 DOI: 10.1016/j.qref.2025.101991

Shalini Aggarwal , Farhat Aziz Lone , Manisha Paliwal

The primary objective of this study is to investigate the impact of age, gender, education, occupation, investment experience, and income allocation on the perception of retail investor towards investment in green bond. Also, the study analyse the impact of three notable factors i.e. Environmental consciousness (EC), Concern for well being (CWB), Religious value and commitment (RVC) on Green bonds investor intention (GBII). Overall, the study used a descriptive research design, collected data from primary and secondary sources. Descriptive statistics, ANOVA, and the correlation test were used to investigate the factors influencing investors' perceptions of green bond investments. PLS SEM is used to analyse the impact of EC, CWB and RVC on GBII. It had a sample size of 406 respondents. The findings indicate a significant gender disparity among green bond investors. The majority of investors are men (343), while only a small percentage of women (63) participate in this market. This gender bias calls for targeted initiatives to encourage greater female participation and ensure a more inclusive and diverse investor base. The present study will help fund managers, brokers, companies, and policymakers in understanding retail investors' perceptions of GBs. It will also provide valuable insights for policymakers to make informed decisions about GB regulations and strategies.

本研究的主要目的是探讨年龄、性别、教育程度、职业、投资经验和收入分配对散户投资者绿色债券投资认知的影响。此外，研究还分析了环境意识（EC）、福祉关怀（CWB）、宗教价值和承诺（RVC）三个显著因素对绿色债券投资者意向（GBII）的影响。总体而言，本研究采用描述性研究设计，从一手和二手来源收集数据。运用描述性统计、方差分析及相关检验，探讨影响投资者对绿色债券投资认知的因素。利用PLS扫描电镜分析了EC、CWB和RVC对GBII的影响。该调查的样本量为406人。研究结果表明，绿色债券投资者存在显著的性别差异。大多数投资者是男性（343人），而只有一小部分女性（63人）参与这个市场。这种性别偏见要求采取有针对性的举措，鼓励更多女性参与，确保投资者基础更加包容和多样化。本研究将有助于基金经理、经纪人、公司和政策制定者理解散户投资者对国债的看法。它还将为决策者就GB法规和战略做出明智的决策提供有价值的见解。

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引用次数: 0

Systemic importance of Chinese financial institutions based on the QC-ISAM-ARMA temporal network with coupling 基于QC-ISAM-ARMA时间网络的中国金融机构系统重要性分析

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-03-08 DOI: 10.1016/j.qref.2025.101979

Xia Zhao , Xiao Sun , Jiefei Huang , Qingchun Meng

In this paper, we propose a novel QC-ISAM-ARMA temporal network with coupling² to investigate the systemic importance of 30 listed Chinese financial institutions under different market cycles and conditions. This network can better capture the complex correlation including non-linearity, periodicity, and time variability among financial institutions and facilitate to find the optimal model by an adjustment parameter. The empirical study concludes that the newly constructed network demonstrates superior performance in identifying systemic importance. Furthermore, the systemic importance of Chinese financial institutions varies across market cycles and conditions. Banks consistently hold higher systemic importance, while insurance institutions show increased sensitivity to economic cycles and the systemic importance of securities firms increases significantly under stable market. Specially, further comparative study about banks means that the character of “too connected to fail" cannot be ignored and dynamic supervision is indeed necessary. This research offers new perspectives and constructive insights for analyzing the systemic importance of financial institutions. Additionally, the proposed new network model can be applied to assess interdependence in other domains beyond the financial sector.

在本文中，我们提出了一种新的具有耦合的QC-ISAM-ARMA时间网络2来研究中国30家上市金融机构在不同市场周期和条件下的系统重要性。该网络能够更好地捕捉金融机构间的非线性、周期性、时变等复杂相关性，便于通过调整参数找到最优模型。实证研究表明，新构建的网络在识别系统重要性方面表现出更优的性能。此外，中国金融机构的系统重要性因市场周期和环境而异。银行的系统重要性持续提高，保险机构对经济周期的敏感性增加，证券公司在稳定市场下的系统重要性显著增加。特别是，对银行的进一步比较研究表明，“关联太大而不能倒闭”的特征不容忽视，动态监管确实是必要的。本研究为分析金融机构的系统重要性提供了新的视角和建设性的见解。此外，拟议的新网络模型可用于评估金融部门以外其他领域的相互依存关系。

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引用次数: 0

Social injustice and corporate innovation 社会不公与企业创新

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-03-01 DOI: 10.1016/j.qref.2025.101981

Aslihan Gizem Korkmaz , Erdem Ucar

We investigate the role of local social injustice, measured by racial prejudice and sexism, in corporate innovation. In a sample of U.S. firms, we find that local racial prejudice and sexism negatively affect corporate innovation. The results remain robust after the inclusion of other unobserved local factors. Furthermore, we find that the firms located in states with higher sexism levels continue to have lower corporate innovation outputs in the leading two and three years. The empirical findings imply that social injustice does not only have a social cost but also has economic consequences for firms.

我们以种族偏见和性别歧视来衡量当地社会不公在企业创新中的作用。在美国企业样本中，我们发现当地的种族偏见和性别歧视对企业创新产生了负面影响。在纳入其他未观察到的局部因素后，结果仍然稳健。此外，我们发现，位于性别歧视程度较高的州的企业在前两年和三年的企业创新产出继续较低。实证结果表明，社会不公不仅具有社会成本，而且还会对企业产生经济后果。

引用次数: 0

Testing monetary neutrality with respect to relative price of oil using divisia M4 利用 divisia M4 测试石油相对价格的货币中性问题

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-02-28 DOI: 10.1016/j.qref.2025.101978

Jungho Baek , James Lee Caton Jr , Dragan Miljkovic

In classical macroeconomic thought, monetary neutrality represents the theoretical baseline. The framework asserts that, in the long-run, nominal factors do not impact real factors. However, classical macroeconomics has little to say about the composition of productive capital. This has been of less concern to modern economists, but it was of particular concern to pre-Keynesian macroeconomists. Irving Fisher recognized that monetary factors may lead to short-run distortions of relative prices. Despite this recognition, the traditional macroeconomic framework allows for no consideration of persistent relative price distortions. We investigate presentations of macroeconomic theory where such distortions are considered or are at least possible. We leverage the fact that monetary equilibrium does not imply general equilibrium and that transaction costs make reassertion of the initial capital allocation unlikely. We empirically detect persistent distortions in the relative price of oil that suggest that monetary factors generate persistent distortions in capital structure.

在古典宏观经济思想中，货币中性代表了理论基准。该框架断言，从长期来看，名义因素不会影响实际因素。然而，古典宏观经济学对生产资本的构成却鲜有提及。现代经济学家对这一点关注较少，但凯恩斯主义之前的宏观经济学家对这一点尤为关注。欧文·费雪认识到，货币因素可能导致相对价格的短期扭曲。尽管认识到这一点，但传统的宏观经济框架没有考虑到持续的相对价格扭曲。我们调查宏观经济理论中考虑到或至少可能存在这种扭曲的表述。我们利用了这样一个事实：货币均衡并不意味着一般均衡，交易成本使得初始资本配置的重新配置不太可能。我们通过经验检测到石油相对价格的持续扭曲，这表明货币因素会导致资本结构的持续扭曲。

引用次数: 0

Does the green finance policy motivate firms to greenwash? A quasi-natural experiment based on the "Green finance reform innovation pilot zones" 绿色金融政策是否激励企业“洗绿”？基于“绿色金融改革创新试验区”的准自然实验

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-02-27 DOI: 10.1016/j.qref.2025.101980

Xiaowu Huang, Renzhi Li, Xingyu Chen

To foster the growth of the green economy and support sustainable development, green finance reform innovation pilot zones (GFRIPZ) have been established since 2017 in China. This paper aims to comprehensively investigate how the green finance reform innovation policy affects corporate greenwashing behavior with data from Chinese listed companies from 2014 to 2020. First, the empirical results obtained using the staggered difference-in-differences model indicate that the implementation of the GFRIPZ policy significantly motivates firms to engage in greenwashing behavior. Second, we find that firms under non-state-owned enterprises (non-SOEs) ownership, in non-green industries, and in eastern areas are more likely to engage in greenwashing. Third, our mechanism analysis shows that the GFRIPZ policy stimulates firms’ greenwashing behavior by exacerbating management myopia and promoting public environmental awareness. Our conclusions provide essential guiding implications for green finance policy design and implementation, while offering significant reference value for evaluating policy effectiveness and its unintended consequences.

为促进绿色经济增长，支持可持续发展，中国自2017年起设立绿色金融改革创新试验区。本文旨在利用2014 - 2020年中国上市公司数据，全面考察绿色金融改革创新政策对企业洗绿行为的影响。首先，采用交错差中差模型获得的实证结果表明，GFRIPZ政策的实施显著激励了企业从事“漂绿”行为。其次，我们发现非国有企业、非绿色产业和东部地区的企业更倾向于“洗绿”。第三，我们的机制分析表明，GFRIPZ政策通过加剧管理短视和提高公众环保意识来刺激企业的“漂绿”行为。我们的结论为绿色金融政策的设计和实施提供了重要的指导意义，同时也为评估政策有效性及其意外后果提供了重要的参考价值。

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Time-varying intra-safe haven currency behaviour: The U.S. dollar, the Swiss franc, and the Japanese yen 时变的避险货币行为：美元、瑞士法郎和日元

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-02-12 DOI: 10.1016/j.qref.2025.101976

Keehwan Park , Zhongzheng Fang

A flight to quality occurs from risky assets to safe-haven assets in heightened volatile markets of crisis periods. A safe-haven currency gains its value against other currencies in such crisis periods. Traditionally, the U.S. dollar, the Japanese yen, and the Swiss franc have long been considered safe-haven currencies in the investment community. We study the intra-safe haven currency behaviour between these currencies in crises from 2000 to 2022. Our study is motivated by the recent weakness of the Japanese yen during the early Ukraine war in 2022. Following our quantile regression results, we offer a new econometric model of the interactive crisis dummies. We find that intra-safe haven currency behaviour is time-varying, depending on the nature of the crisis. We contrast ours with the prior literature (e.g., Ranaldo and Soderline, 2010; Fatum and Yamamoto, 2016). Our new findings complement the prior literature and add value to the literature.

在危机时期，市场波动加剧时，投资者会从风险资产转向避险资产。在这样的危机时期，避险货币相对于其他货币会升值。传统上，美元、日元和瑞士法郎一直被投资界视为避险货币。我们研究了2000年至2022年危机中这些货币之间的避险货币行为。我们的研究是受到最近在2022年乌克兰战争初期日元疲软的影响。根据我们的分位数回归结果，我们提出了一个新的交互式危机假人的计量经济模型。我们发现，根据危机的性质，避险货币的内部行为是时变的。我们将我们的研究与先前的文献(例如，Ranaldo和Soderline, 2010；Fatum and Yamamoto, 2016)。我们的新发现补充了先前的文献，并增加了文献的价值。

引用次数: 0

Does AI contribute to systemic risk reduction in non-financial corporations? 人工智能是否有助于降低非金融企业的系统性风险？

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-02-01 DOI: 10.1016/j.qref.2025.101973

Wang-Zhe Han, Wanshan Meng

While the systemic risk of financial institutions has been frequently discussed, the equally systemically important non-financial corporations have received insufficient attention. We examine a sample of listed Chinese non-financial corporations from 2010 to 2022 and confirm that AI use in non-financial corporations reduces their systemic risk. This beneficial impact is more pronounced in non-state-owned corporations, corporations in the growth stage, and corporations in the economic expansion period. Subsequently, we attribute this result to three risk control channels: decreasing risk-taking levels, reducing default risk, and weakening credit risk contagion. The research extends the understanding of systemic risk to non-financial corporations, providing new insights for balancing technological upgrading with achieving economic stability.

虽然金融机构的系统性风险经常被讨论，但同样具有系统重要性的非金融公司却没有得到足够的重视。我们研究了2010年至2022年中国非金融上市公司的样本，并证实人工智能在非金融公司中的应用降低了它们的系统性风险。这种有利影响在非国有企业、成长期企业和经济扩张期企业中更为明显。随后，我们将这一结果归因于三个风险控制渠道：降低风险承担水平、降低违约风险和减弱信用风险传染。该研究将对系统性风险的理解扩展到非金融企业，为平衡技术升级与实现经济稳定提供了新的见解。

引用次数: 0

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