Quarterly Review of Economics and Finance最新文献

We develop refined probability bounds for bank insolvency risk measures based on the Z-score, analogous to those given by Cantelli’s inequality under the additional assumption of unimodality of returns, drawing on the one-sided Vysochanskii-Petunin inequality. Illustrating empirically for US banks, we argue that (i) unimodality of returns is not an overly restrictive assumption in this context, and (ii) the refined measures provide a less conservative alternative to insolvency probability bounds drawing on the (two-sided) Vysochanskii-Petunin inequality, particularly for banks with higher levels of insolvency risk.

It is commonly believed that there exists a strong negative association between corporate social performance (CSP) and firm risk.¹ To investigate the structure of this relationship, we decompose the dynamics of large U.S. company stock returns into two components: Gaussian and non-Gaussian innovations. Our findings indicate that CSP affects firm risk mainly through the non-Gaussian risk channel. In particular, it significantly reduces the magnitude of extreme returns. We find no consistent nor robust effect of CSP on the frequency of price boom and crash probability as it varies widely across industries. Last, we find no statistically significant impact of CSP on standard Gaussian volatility risk.

With the adoption of the inflation targeting regime in Brazil, the Brazilian public debt indexation structure underwent major transformations. Furthermore, public debt management strategies changed even more radically after the 2008 global financial crisis. Thus, this paper investigates the relationship between the debt indexation strategy, the type of debt indexation structure and the maturity of public securities with public debt and public debt expectations in Brazil. Regarding the debt indexation strategy, we created an indicator that shows whether the debt indexation structure is tending towards a middle-ground composition with respect to the proportions of the indexers, or whether it is tending towards a divergent composition. This indicator enables verifying whether a partial debt indexation strategy is successful in controlling both the public debt and public debt expectations, as this strategy would have the capacity to mitigate risks. Estimates are made for the total sample and for a sub-sample that represents the new debt indexation profile. The results show that a middle-ground debt indexation structure is associated with lower public debt and lower public debt expectations. The findings also reveal that a strategy of replacing floating-rate debt securities with fixed-rate debt securities and price-index debt securities is associated with lower public debt and lower public debt expectations. For the period related to the new debt indexation profile, these associations of a strategy of replacing debt securities as well as a middle-ground composition strategy with public debt and public debt expectations become stronger.

We utilise measures of economic policy uncertainty (EPU) and geopolitical risk (GPR), as well as commitments of traders (COTs), to investigate the influence of uncertainty on commodity markets. We find that uncertainty has a significant influence on returns, but the direction of the response is due to whether uncertainty emanates from demand shocks (EPU) or supply shocks (GPR). Uncertainty is also positively related to volatility and trading volume. Importantly, we also find that the net positions of both commercial and non-commercial traders are influenced by uncertainty levels. Examination of high uncertainty and recessionary periods indicates that our results are state dependent.

This study investigates the time-frequency co-movement and cross-quantile connectedness of exchange rates. Using wavelet coherence and cross-quantile methods, we examine ASEAN+ 3 countries’ time-frequency co-movement, quantile spillover effects, and network connectedness of the exchange rate markets. Our empirical results are as follows: significant co-movement heterogeneity exists across countries over different frequency bands. Moreover, the Chinese Yuan (CNY), Japanese Yen, and South Korea Won are desirable sources of diversification for other currencies across different investment horizons. CNY and JPY exhibit good regional safe haven currency attributes in different investment horizons. Overall, these findings suggest ways for currency authorities to maintain exchange rate stability and investor portfolio decisions.