Quarterly Review of Economics and Finance最新文献

英文中文

Forecasting intraday risk incorporating the higher-order moments 结合高阶时刻预测日内风险

IF 3.1 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2026-03-01 Epub Date: 2026-01-21 DOI: 10.1016/j.qref.2026.102120

Rui Ke , Man Yin , Jing Jia

This paper extends the time-varying higher-order moment model to high-frequency data using the multiplicative component GARCH (MC-GARCH) framework of Engle and Sokalska (2012). We propose two multiplicative component time-varying higher-order moment models for intraday returns: the MC-GJRSK and MC-ARCD models. Empirical analysis based on the Shanghai composite and Shenzhen component indices reveals that intraday returns exhibit significant and persistent higher-order moment dynamics. Compared to the benchmark MC-GARCH model, the two proposed models, which incorporate higher-order moment information not only achieve superior in-sample fit, but also produce more accurate out-of-sample forecasts of Value-at-Risk (VaR) and Expected Shortfall (ES). Further analysis demonstrates that the superior forecasting performance of the proposed models remains robust across both high and low volatility periods. Moreover, the proposed models offer more accurate forecasts of tail conditional densities, thereby enhancing their effectiveness in intraday risk forecasting.

本文使用Engle和Sokalska（2012）的乘分量GARCH （MC-GARCH）框架将时变高阶矩模型扩展到高频数据。我们提出了两个乘分量时变高阶矩日内收益模型：MC-GJRSK和MC-ARCD模型。基于上证综合指数和深证成指的实证分析表明，日内收益表现出显著且持续的高阶矩动态。与MC-GARCH模型相比，采用高阶矩信息的两种模型不仅具有更好的样本内拟合效果，而且对风险价值（VaR）和预期缺口（ES）的样本外预测更为准确。进一步分析表明，所提出模型的优越预测性能在高波动期和低波动期都保持稳健。此外，该模型能够更准确地预测尾条件密度，从而提高了其在日内风险预测中的有效性。

引用次数: 0

Stable grounds, digital gains: The role of macroeconomic resilience in fintech market development 稳定的基础，数字收益：宏观经济弹性在金融科技市场发展中的作用

IF 3.1 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2026-03-01 Epub Date: 2026-01-21 DOI: 10.1016/j.qref.2026.102122

Charilaos Mertzanis , Asma Houcine

This study investigates the impact of macroeconomic stability on the growth of fintech markets across 92 countries, emphasizing the importance of stable economic conditions in fostering fintech development. Using newly released cross-country data from the Bank for International Settlements and a comprehensive measure of macroeconomic stability, the findings reveal a robust, positive association between macroeconomic stability and FinTech credit. This indicates that stability reduces economic risk and attracts investment, creating an enabling environment for fintech growth. Interaction analyses demonstrate that this relationship is amplified in societies with advanced digital infrastructure and high levels of financial literacy, underscoring the complementary roles of technological and educational ecosystems. To enhance reliability, the study addresses endogeneity concerns and conducts comprehensive robustness checks, including sensitivity analyses and the inclusion of additional controls. Furthermore, the results highlight the mitigating effects of financial inclusion policies, regulatory adaptability to digital business models, and the scale of digital services trade in shaping the relationship between macroeconomic stability and fintech market expansion.

本研究调查了宏观经济稳定对92个国家金融科技市场增长的影响，强调了稳定的经济条件对促进金融科技发展的重要性。利用国际清算银行最新发布的跨国数据和宏观经济稳定性综合指标，研究结果显示宏观经济稳定性与金融科技信贷之间存在强劲的正相关关系。这表明，稳定降低了经济风险，吸引了投资，为金融科技的发展创造了有利环境。互动分析表明，在拥有先进数字基础设施和高水平金融知识的社会中，这种关系被放大，强调了技术和教育生态系统的互补作用。为了提高可靠性，本研究解决了内生性问题，并进行了全面的稳健性检查，包括敏感性分析和纳入额外的控制。此外，研究结果还强调了普惠金融政策、监管对数字商业模式的适应性以及数字服务贸易规模在塑造宏观经济稳定与金融科技市场扩张之间关系方面的缓解作用。

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引用次数: 0

(De)Centralized Debt Financing and Project Selection under imperfect Bank Competition （二）银行不完全竞争下的债务集中融资与项目选择

IF 3.1 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2026-03-01 Epub Date: 2026-01-12 DOI: 10.1016/j.qref.2026.102114

Clemens Löffler, Thomas Kaufmann-Lerchl, Christopher Liska

This paper examines how a firm should finance multiple investment projects when credit markets are imperfect and banks possess market power. Using the Monti–Klein framework, we model the firm’s strategic choice between raising debt for projects separately (decentralized funding) or jointly (centralized funding) and its implications for project selection and capital allocation. Our results reveal that imperfect competition in the banking sector crucially shapes the firm’s optimal financing mode. Depending on equity levels and market competitiveness, under centralized funding the firm may optimally bundle strong and weak projects — a form of corporate socialism — to reduce overall borrowing costs. Contrary to conventional views, winner picking and corporate socialism can coexist: bundling weak projects can enhance financing terms for strong ones and enable more aggressive resource reallocation toward strong projects. The findings offer a novel rationale for cross-subsidization as an optimal response to imperfect credit markets rather than a symptom of inefficiency.

本文考察了在信贷市场不完善、银行拥有市场支配力的情况下，企业如何为多个投资项目融资。使用蒙蒂-克莱因框架，我们对公司在单独（分散融资）或联合（集中融资）为项目筹集债务之间的战略选择及其对项目选择和资本配置的影响进行了建模。我们的研究结果表明，银行业的不完全竞争在很大程度上决定了企业的最优融资模式。根据股权水平和市场竞争力，在集中融资下，公司可能会最优地捆绑强弱项目——一种企业社会主义形式——以降低总体借贷成本。与传统观点相反，选择赢家和企业社会主义可以共存：捆绑弱项目可以提高强项目的融资条件，并使更积极的资源重新分配给强项目。这些发现为交叉补贴作为对不完善信贷市场的最佳回应，而不是效率低下的症状，提供了一种新颖的理论依据。

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引用次数: 0

Trading activity and fund performance - Evidence from corporate bond mutual funds 交易活动和基金业绩——来自公司债券共同基金的证据

IF 3.1 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2026-01-01 Epub Date: 2025-12-15 DOI: 10.1016/j.qref.2025.102099

Dan Luo

We construct a holdings-based measure, weight shift, to capture the trading intensity of bond mutual funds. This measure quantifies the extent to which a fund’s current portfolio weights deviate from those implied by a buy-and-hold strategy since the previous reporting period. We find that funds with higher weight shift underperform. This negative relationship between weight shift and fund performance is more pronounced in high-yield bond funds, where trading is more costly. Furthermore, weight shift positively predicts future fund inflows, suggesting that investors, particularly retail investors, are more responsive to changes in trading activity, which may further incentivize managers to trade. Lastly, we find that weight shift captures the inferior managerial skill.

我们构建了一个基于持有量的衡量指标，权重转移，以捕捉债券共同基金的交易强度。这一指标量化了一只基金目前的投资组合权重与上一报告期以来买入并持有策略所暗示的权重偏离的程度。我们发现权重偏移较大的基金表现不佳。权重转移与基金业绩之间的这种负相关关系，在交易成本更高的高收益债券基金中更为明显。此外，权重变化正向预测未来的资金流入，这表明投资者，特别是散户投资者，对交易活动的变化更敏感，这可能进一步激励经理进行交易。最后，我们发现重心的转移抓住了管理技能的劣势。

引用次数: 0

Are safe-haven assets really safe? Heterogeneity under economic, political and climate risks 避险资产真的安全吗？经济、政治和气候风险下的异质性

IF 3.1 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2026-01-01 Epub Date: 2025-12-04 DOI: 10.1016/j.qref.2025.102088

Lijun Gao , Dongsheng Bei , Junda Wu , Kun Guo , Xianhua Wei

In recent years, rising geopolitical instability, intensifying climate risks, and recurrent systemic shocks have heightened global demand for safe-haven assets. This study develops a novel time-varying Safe-Haven Index (SHI) based on the TVP-VAR model and quantile regression to evaluate the hedging effectiveness of traditional safe-haven assets against systemic risk. The empirical results reveal the dynamic evolution of tail-risk spillovers and the corresponding network structures under different market conditions; extreme shock events, such as the pandemic, lead to structural reversals in the spillover network; moreover, the spillover effects across different quantiles exhibit heterogeneity and asymmetry. Overall, the findings highlight the dynamic and context-dependent nature of safe-haven properties, providing new insights for policymakers to strengthen climate-related macroprudential regulation and for investors to construct diversified, climate-resilient hedging portfolios.

近年来，地缘政治不稳定加剧、气候风险加剧以及经常性系统性冲击增加了全球对避险资产的需求。本文基于tpv -var模型和分位数回归，建立了一种新的时变避险指数（SHI）来评估传统避险资产对系统性风险的对冲效果。实证结果揭示了不同市场条件下尾部风险溢出及其网络结构的动态演化；大流行等极端冲击事件导致溢出网络出现结构性逆转；此外，不同分位数的溢出效应表现出异质性和不对称性。总体而言，研究结果突出了避险资产的动态和环境依赖性质，为政策制定者加强与气候相关的宏观审慎监管和投资者构建多样化、气候适应型对冲投资组合提供了新的见解。

引用次数: 0

Housing market variables and predictability of state-level stock market volatility of the United States: Fundamentals versus sentiments in a mixed-frequency framework 房地产市场变量与美国州级股市波动的可预测性：混合频率框架下的基本面与情绪

IF 3.1 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2026-01-01 Epub Date: 2025-12-04 DOI: 10.1016/j.qref.2025.102087

Afees A. Salisu , Rangan Gupta , Oguzhan Cepni

This paper utilizes the generalized autoregressive conditional heteroscedasticity–mixed data sampling (GARCH‑MIDAS) approach to predict the daily volatility of state‑level stock returns in the United States (US) from monthly state and national housing price returns. We find that housing price returns generally have a negative effect on state‑level volatility. More importantly, the GARCH‑MIDAS model augmented with these predictors significantly outperforms the benchmark GARCH‑MIDAS model with realized volatility (GARCH‑MIDAS‑RV) over short‑, medium‑, and long‑term forecasting horizons for 90 % of the states; the performance of state and national housing returns is virtually indistinguishable. These superior forecasting results persist when housing price returns are replaced with housing permits and housing‑market media‑attention indexes, suggesting an overwhelming role for housing‑market variables—both traditional and behavioral—in forecasting state‑level stock‑return volatility. Our findings have important implications for investors and policymakers.

本文利用广义自回归条件异方差混合数据抽样（GARCH - MIDAS）方法从月度州和全国房价回报中预测美国（US）州一级股票回报的日波动率。我们发现，房价回报率通常对国家层面的波动性有负面影响。更重要的是，在90% %的州的短期、中期和长期预测范围内，增强了这些预测因子的GARCH - MIDAS模型显著优于基准GARCH - MIDAS模型的实现波动率（GARCH - MIDAS - RV）；各州和全国住房回报率的表现实际上是难以区分的。当住房价格回报被住房许可和住房市场媒体关注指数所取代时，这些优越的预测结果仍然存在，这表明住房市场变量（包括传统变量和行为变量）在预测州一级股票回报波动方面发挥着压倒性的作用。我们的研究结果对投资者和政策制定者具有重要意义。

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引用次数: 0

Bank government ownership and reaction to SVB collapse: Evidence from emerging markets 银行政府所有权和对瑞典对外银行崩溃的反应：来自新兴市场的证据

IF 3.1 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2026-01-01 Epub Date: 2025-12-03 DOI: 10.1016/j.qref.2025.102086

Narjess Boubakri, Efe Cotelioglu, Anis Samet

This study examines the impact of government ownership on bank stock valuations in emerging markets following the collapse of Silicon Valley Bank (SVB). Using 298 banks across 37 emerging markets, we find that banks with higher levels of government ownership experienced smaller declines in stock prices post-SVB collapse. Our results remain robust after controlling for bank-level variables and potential endogeneity concerns. One potential channel for this relationship is through better credit ratings: banks with government ownership tend to have higher government support ratings and better overall ratings and demonstrate a more favorable reaction to the SVB collapse. Our findings highlight the importance of government ownership and financial soundness in mitigating the adverse effects of financial shocks on bank valuations.

本研究考察了在硅谷银行（SVB）倒闭后，政府所有权对新兴市场银行股票估值的影响。我们对37个新兴市场的298家银行进行了分析，发现政府持股水平较高的银行在俄罗斯对外银行崩溃后股价跌幅较小。在控制了银行层面的变量和潜在的内生性问题后，我们的结果仍然稳健。这种关系的一个潜在渠道是通过更好的信用评级：拥有政府所有权的银行往往拥有更高的政府支持评级和更好的整体评级，并且对俄罗斯对外银行的崩溃表现出更有利的反应。我们的研究结果强调了政府所有权和财务健全性在减轻金融冲击对银行估值的不利影响方面的重要性。

引用次数: 0

The forking effect 分叉效应

IF 3.1 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2026-01-01 Epub Date: 2025-12-08 DOI: 10.1016/j.qref.2025.102090

Florentina șoiman , Mathis Mourey , Jean-Guillaume Dumas , Sonia Jimenez-Garces

Purpose:

This study introduces the concept of the forking effect, a measurable financial response to technological changes, while focusing on the impact of these events on the parent coin.

Design/Methodology/Approach:

We use a modified exponential GARCH framework to assess how the parent coin responds to these events in both their return dynamics and volatility structure.

Findings:

Our findings reveal that forks do not significantly affect the parent coin’s returns but have a strong positive impact on its volatility, especially when considering market dynamics. Our model accounts for key features like volatility clustering and fat-tailed distributions. Additionally, we observe that following a fork event, volatility remains elevated for the next three days. This heightened volatility is not amplified when multiple forks coincide on the same calendar day, suggesting that the incremental risk of overlapping fork events is negligible.

Originality/Value:

This paper extends the crypto-related literature by formally defining and measuring the forking effect, a subject rarely addressed in finance research. By demonstrating that forks materially elevate short-run volatility without altering expected returns, the analysis supplies investors with a clearer basis for portfolio risk management and offers regulators insights into a distinct source of market instability in Blockchain-based asset markets.

目的：本研究引入了分叉效应的概念，这是对技术变革的一种可衡量的金融反应，同时关注这些事件对母币的影响。设计/方法/方法：我们使用改进的指数GARCH框架来评估母币在回报动态和波动性结构方面如何响应这些事件。研究结果：我们的研究结果表明，分叉对母币的回报没有显著影响，但对其波动性有很强的积极影响，尤其是在考虑市场动态的情况下。我们的模型考虑了波动性聚类和肥尾分布等关键特征。此外，我们观察到，在分叉事件发生后，未来三天的波动性仍然很高。当多个分叉在同一天发生时，这种加剧的波动性不会被放大，这表明重叠分叉事件的增量风险可以忽略不计。原创性/价值：本文通过正式定义和测量分叉效应扩展了与加密相关的文献，分叉效应是金融研究中很少涉及的主题。通过证明分叉在不改变预期回报的情况下大幅提高短期波动性，该分析为投资者提供了更清晰的投资组合风险管理基础，并为监管机构提供了对基于区块链的资产市场中市场不稳定的独特来源的见解。

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引用次数: 0

Banking on technology: Does FinTech improve bank performance? 科技银行业：金融科技能提高银行绩效吗？

IF 3.1 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2026-01-01 Epub Date: 2025-12-25 DOI: 10.1016/j.qref.2025.102102

Dongwei He , Yumeng Wang , Siyao Wu , Xiaoyue Wang , Jiacai Zhang

Financial technology (FinTech) has significantly affected the financial sector. Using a sample of Chinese banks, this study investigates FinTech’s impact on bank performance. We find that FinTech use improves bank profitability and solvency but reduces liquidity. Examining the impact of FinTech heterogeneity on bank performance reveals that banks with FinTech subsidiaries or divisions are not only more likely to improve capital adequacy but also suffer from more non-performing loans. Next, small and medium-sized banks benefit from greater profitability but experience lower capital adequacy and loan quality improvement when using FinTech. Notably, FinTech has the greatest effect on profitability and risk in banks with the highest systemic importance. Banks with better managerial abilities are also more capable of effectively using FinTech. Finally, channel analysis reveals that FinTech affects banks’ performance by improving operational efficiency and business growth.

金融科技（FinTech）对金融行业产生了重大影响。本研究以中国银行为样本，探讨金融科技对银行绩效的影响。我们发现金融科技的使用提高了银行的盈利能力和偿付能力，但降低了流动性。研究金融科技的异质性对银行业绩的影响表明，拥有金融科技子公司或部门的银行不仅更有可能提高资本充足率，而且不良贷款也更多。其次，中小银行受益于更高的盈利能力，但在使用金融科技时，资本充足率和贷款质量的改善程度较低。值得注意的是，金融科技对系统重要性最高的银行的盈利能力和风险影响最大。管理能力较强的银行也更能有效地利用金融科技。最后，渠道分析表明，金融科技通过提高运营效率和业务增长来影响银行绩效。

引用次数: 0

Does mining activity drive crash risks in bitcoin? 挖矿活动会导致比特币崩盘吗？

IF 3.1 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2026-01-01 Epub Date: 2025-12-03 DOI: 10.1016/j.qref.2025.102082

Matteo Bonato , Riza Demirer , Rangan Gupta , Abeeb Olaniran

This paper explores the role of mining activity, proxied by growth rates of electricity consumption and cost of mining, as a driver of pricing inefficiencies in Bitcoin. Utilizing alternative measures of crash risk proxied by the realized negative coefficient of skewness and realized down-to-up volatility, derived from 5-minute intraday Bitcoin data, causality tests, along with sign analysis, captured by the estimates of partial average derivatives, provide evidence that mining activity can, in general, predict an increase in the entire conditional distribution of crash risk, with the strongest impact associated over the normal (median) to moderately high (upper quantiles) levels of risk. Despite the emergence of cryptocurrencies in international transactions and as an investment vehicle, our results suggest that decentralized mining process can contribute to inefficiencies in the pricing of Bitcoin, putting further doubt into the role of these assets as a medium of exchange, alternative to conventional assets.

本文探讨了挖矿活动的作用，以电力消耗和挖矿成本的增长率为代表，作为比特币定价效率低下的驱动因素。利用由已实现的负偏度系数和已实现的上下波动率（从5分钟比特币盘中数据中得出）所代表的崩溃风险替代度量，因果关系检验以及由部分平均衍生品估价值捕获的符号分析提供了证据，证明采矿活动通常可以预测崩溃风险的整个条件分布的增加。与正常（中位数）到中等高（上分位数）风险水平相关的最强影响。尽管加密货币在国际交易中出现，并作为一种投资工具，但我们的研究结果表明，去中心化的采矿过程可能导致比特币定价效率低下，这进一步质疑了这些资产作为交换媒介、替代传统资产的作用。

引用次数: 0

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