Quarterly Review of Economics and Finance最新文献

英文中文

The value of international standards certification: Evidence on export and firm performance from a security enforcement on borders 国际标准认证的价值：边境安全执法对出口和公司业绩的影响

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2024-10-02 DOI: 10.1016/j.qref.2024.101926

Shu-Ching Chou, Yen-Hui Kuo, Yu-Hsiu Cheng

Globally, economic growth is promoted through regional economic integration, and governments actively try to improve the security and efficiency of international trade and border management by optimizing the conditions for international trade. The World Trade Organization (WTO) introduced the Authorized Economic Operator (AEO) certification system to improve the efficiency of customs clearance and to ensure the security of the global supply chain. Using a sample of Taiwanese-listed firms that attained AEO certification from 2009 to 2018, this study investigates the influence of AEO certification on their export sales and corporate performance. The empirical results show that AEO-certified firms increase their ratio of export sales and the scope of export destination regions. However, AEO-certified firms can not improve their operating and market performance significantly, except for low-performance firms in the accreditation year. This study also uses the two-stage least square regressions (2SLS) method and the propensity score matching method to conduct the regression analysis. The regression results are consistent with the main findings. The findings can be used for reference by firms seeking to expand international trade and by governments to promote the country’s international trading.

在全球范围内，区域经济一体化促进了经济增长，各国政府通过优化国际贸易条件，积极努力提高国际贸易和边境管理的安全和效率。世界贸易组织（WTO）引入了授权经营者（AEO）认证体系，以提高通关效率，确保全球供应链安全。本研究以2009年至2018年获得AEO认证的台湾上市企业为样本，考察了AEO认证对其出口销售和企业绩效的影响。实证结果表明，通过AEO认证的企业提高了出口销售比例，扩大了出口目的地区域范围。然而，AEO 认证企业并不能显著提高其经营绩效和市场绩效，只有在认证年度绩效较低的企业除外。本研究还采用了两阶段最小二乘法（2SLS）和倾向得分匹配法进行回归分析。回归结果与主要结论一致。研究结果可供寻求扩大国际贸易的企业和促进本国国际贸易的政府参考。

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引用次数: 0

Intraday analyses on weather-induced sentiment and stock market behavior 对天气引发的情绪和股市行为进行日内分析

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2024-10-01 DOI: 10.1016/j.qref.2024.101929

Sangik Seok , Hoon Cho , Doojin Ryu

We examine the intraday relationship between weather conditions and investor sentiment in the Korean equity market. By uncovering the intermediary role of weather-induced sentiment in affecting market variables, we suggest a potential link between weather conditions, sentiment, and market dynamics. High temperatures, humidity, and cloud coverage negatively affect investors’ moods, while strong winds and long sunshine durations have a positive impact. Although only cloud coverage marginally impacts stock returns, weather factors significantly affect market turnover, volatility, and illiquidity, especially when they alter sentiment dynamics.

我们研究了韩国股票市场天气状况与投资者情绪之间的盘中关系。通过揭示天气引发的情绪在影响市场变量中的中介作用，我们提出了天气条件、情绪和市场动态之间的潜在联系。高温、潮湿和云层对投资者的情绪有负面影响，而大风和日照时间长则有正面影响。虽然只有云层覆盖对股票回报率有轻微影响，但天气因素对市场成交量、波动性和流动性有显著影响，尤其是当它们改变情绪动态时。

引用次数: 0

Natural gas volatility prediction via a novel combination of GARCH-MIDAS and one-class SVM 通过 GARCH-MIDAS 和单类 SVM 的新型组合预测天然气波动率

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2024-09-29 DOI: 10.1016/j.qref.2024.101927

Lu Wang , Xing Wang , Chao Liang

Research has focused on whether information spillovers from external influences play a role in clean energy–natural gas volatility forecasts. However, the climate and energy crises caused by the intensification of extreme events, such as recent extreme weather and geopolitical risks, have led the public to turn their attention to research in the field of clean energy. Therefore, this paper uses one-class SVM (support vector machine) techniques to identify extreme volatility in natural gas prices induced by significant occurrences (e.g., wars, financial crises, and COVID-19) and then investigates whether considering extreme volatility in natural gas over different volatile periods (short- and long-term periods) improves volatility forecasting accuracy within the context of a GARCH-MIDAS framework. The in-sample analyses demonstrate that extreme shocks increase natural gas price volatility and that the asymmetric effects are more influential than the short- and long-term extreme volatility effects. The out-of-sample results indicate that the GJR-GARCH-MIDAS-one-class-SVM-SLES model outperforms the other models and achieves the best forecasting performance of the remaining extended models. In addition, robustness tests confirm these findings.

研究的重点是外部影响的信息溢出效应是否在清洁能源-天然气波动预测中发挥作用。然而，近期极端天气和地缘政治风险等极端事件的加剧所引发的气候和能源危机，使公众将注意力转向了清洁能源领域的研究。因此，本文使用单类 SVM（支持向量机）技术来识别由重大事件（如战争、金融危机和 COVID-19）诱发的天然气价格极端波动，然后研究在 GARCH-MIDAS 框架下，考虑不同波动期（短期和长期）的天然气极端波动是否会提高波动预测的准确性。样本内分析表明，极端冲击会增加天然气价格的波动性，而且非对称效应比短期和长期极端波动效应更具影响力。样本外结果表明，GJR-GARCH-MIDAS-one-class-SVM-SLES 模型优于其他模型，并在其余扩展模型中实现了最佳预测性能。此外，稳健性检验也证实了这些结果。

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引用次数: 0

Debtholder responses to controlling shareholders’ share pledging 债务人对控股股东股权质押的反应

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2024-09-28 DOI: 10.1016/j.qref.2024.101928

Xiaohui Hou, Xiaonan Lu

This study investigates debtholders’ responses to controlling shareholders’ share pledging. We found that share pledging by controlling shareholders is crucial for reducing agency costs. This lessens the information asymmetry of outsiders by strengthening pledgee supervision, and decreases companies’ risk-taking by adopting a relatively conservative investment strategy that hedges excessive risks. This also reduces the impact of insider control, decreases the interest spread, and increases the length of loan maturity. Further analyses show that the favorable effect of share pledging on bank loan covenants weakens for companies with a higher degree of financing deficit. Additionally, the role of share pledging varies with the agency costs of companies’ insider controls. The effects of share pledging on bank loan terms are more profound for companies with a higher degree of corporate governance performance. Robustness analyses addressing potential endogeneity further confirm our primary conclusions.

本研究调查了债务人对控股股东股权质押的反应。我们发现，控股股东的股权质押对于降低代理成本至关重要。这可以通过加强质权人的监督来减少外部人的信息不对称，并通过采取相对保守的投资策略来对冲过高的风险，从而减少公司的风险承担。这也减少了内部人控制的影响，降低了利差，延长了贷款期限。进一步的分析表明，对于融资赤字程度较高的公司来说，股票质押对银行贷款契约的有利影响会减弱。此外，股权质押的作用还因公司内部人控制的代理成本而异。股份质押对银行贷款条件的影响对于公司治理绩效较高的公司更为显著。针对潜在内生性的稳健性分析进一步证实了我们的主要结论。

引用次数: 0

Rigidity in public contracts: Implications for renewal dynamics 公共合同的刚性：对续约动态的影响

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2024-09-26 DOI: 10.1016/j.qref.2024.101924

Marian W. Moszoro , Stéphane Saussier , Jean Beuve

We investigate how the rigidity of public contracts influences the frequency of their renewal. Using a dataset of contracts for public–private car parks and employing machine-reading techniques to assess contract rigidity, we find that heightened contract rigidity, particularly in litigation clauses, significantly raises the probability of contract renewal. Our findings indicate that procedural sunk costs and the competitive advantage conferred to incumbents by contract rigidity are key factors contributing to more frequent renewals. This study enhances our comprehension of public contract renewals by emphasizing the significance of political contestability and rigidity, providing valuable insights into optimal strategies for contract renegotiation.

我们研究了公共合同的刚性如何影响合同续签的频率。通过使用公私停车场合同数据集和机器阅读技术来评估合同刚性，我们发现合同刚性的增强，尤其是诉讼条款的增强，会显著提高合同续签的概率。我们的研究结果表明，程序性沉没成本和合同刚性赋予在职者的竞争优势是导致合同更频繁续签的关键因素。本研究强调了政治可竞争性和刚性的重要性，为合同重新谈判的最佳策略提供了宝贵的见解，从而加深了我们对公共合同续签的理解。

引用次数: 0

From the Fringe to the front-stage. European immigration and the Far-Right vote: An IV approach 从边缘到前台。欧洲移民与极右翼选票：IV 方法

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2024-09-25 DOI: 10.1016/j.qref.2024.101925

Panagiotis Th. Konstantinou, Costas Roumanias

We use regional data spanning over 4500 electoral outcomes at NUTS3 level between 2000 and 2017 to assess the impact of immigration on Western European Far-Right voting. To deal with potential reverse causation, we use immigration in neighboring countries as an instrument for domestic immigration. The estimated effects of immigration are positive, significant and larger compared to those obtained by simple OLS and fixed effects regressions. Depending on the measure of immigration used, we find that a 1% increase in immigration stocks leads to a between 1.78% and 2.97% in Far-Right voting. Similar results are obtained using electoral outcomes and immigration shares at the NUTS2 level, where the effect of immigration is estimated between 3% and 5.32%. Our results are consistent with possible negative feedback from the Far-Right to immigration. Our estimated effects explain a large part of the observed rise in Far-Right in Western European countries that experienced high levels of immigration during the span of our sample.

我们使用了 2000 年至 2017 年 NUTS3 级别 4500 多个选举结果的地区数据，以评估移民对西欧极右翼投票的影响。为了处理潜在的反向因果关系，我们使用邻国的移民作为国内移民的工具。与简单的 OLS 回归和固定效应回归相比，移民的估计影响是正的、显著的，并且更大。根据所使用的移民衡量标准，我们发现移民存量每增加 1%，极右翼投票率就会增加 1.78% 到 2.97%。使用 NUTS2 级别的选举结果和移民比例也得出了类似的结果，移民的影响估计在 3% 到 5.32% 之间。我们的结果与极右翼对移民可能产生的负反馈相一致。在我们的样本期间，西欧国家经历了高水平的移民，我们估计的效应解释了所观察到的极右翼势力上升的很大一部分原因。

引用次数: 0

Asymmetry in inflation persistence under inflation targeting 通货膨胀目标制下通货膨胀持续性的不对称性

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2024-09-17 DOI: 10.1016/j.qref.2024.101922

Nektarios Aslanidis , Demetris Koursaros , Glenn Otto

This study empirically documents that inflation is significantly more persistent when it is below the Central Bank’s target than otherwise, in five inflation targeting countries (Australia, New Zealand, Sweden, United States and the Euro-Area). We use a threshold autoregressive model to test for this asymmetry in inflation persistence; above and below some estimated threshold. We find that the threshold estimates are reasonable in light of a central bank’s announced inflation target. Theoretically, we postulate that this phenomenon occurs because while forming their expectations, agents pay attention to recent observations asymmetrically along the business cycle. It is shown that a New Keynesian model with adaptive learning and an adaptive gain can explain the asymmetry in inflation persistence. Due to relatively larger forecasting errors, agents tend to put more weight on recent events in periods of high inflation, forcing inflation persistence to deteriorate. Our empirical evidence supports the theoretical findings that inflationary periods are associated with larger forecasting errors.

本研究通过实证研究证明，在五个以通货膨胀为目标的国家（澳大利亚、新西兰、瑞典、美国和欧元区），当通货膨胀率低于中央银行的目标值时，其持续性明显高于其他情况。我们使用阈值自回归模型来检验通货膨胀持续性的不对称性；高于和低于某个估计阈值。我们发现，根据中央银行公布的通胀目标，阈值估计值是合理的。从理论上讲，我们推测之所以会出现这种现象，是因为代理人在形成预期时，会沿着商业周期不对称地关注最近的观察结果。研究表明，具有适应性学习和适应性收益的新凯恩斯主义模型可以解释通胀持续性的非对称性。由于预测误差相对较大，代理人倾向于在高通胀时期更加重视近期事件，从而迫使通胀持续性恶化。我们的经验证据支持通胀时期与较大的预测误差相关联的理论结论。

引用次数: 0

Monetary policy through the risk-taking channel: Evidence from an emerging market 通过风险承担渠道制定货币政策：新兴市场的证据

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2024-09-16 DOI: 10.1016/j.qref.2024.101923

Felipe Vieira Passos , Carlos Enrique Carrasco-Gutierrez , Paulo Roberto Amorim Loureiro

This paper examines the influence of domestic and international monetary policies on the risk-taking behavior of Brazilian banks from 2003 to 2021. Using a dynamic panel model and macroeconomic data, we find a negative correlation between interest rates and banks' risk-taking. Lower interest rates heighten risk activities, evidenced by expanded credit, interbank deposits, risk exposure, provisions, and leverage. The relationship is stronger with international rates, highlighting global monetary policy's significant role. Our analysis also distinguishes the impacts of the subprime and Covid-19 crises, showing how these events, along with bank-specific characteristics and macroeconomic conditions, affect risk-taking. This study provides nuanced insights into the interplay between monetary policy, financial crises, and bank-specific factors in an emerging market context.

本文研究了 2003 至 2021 年间国内和国际货币政策对巴西银行风险承担行为的影响。利用动态面板模型和宏观经济数据，我们发现利率与银行的风险承担之间存在负相关关系。较低的利率会增加风险活动，表现为扩大信贷、同业存款、风险敞口、准备金和杠杆率。这种关系与国际利率的关系更为密切，凸显了全球货币政策的重要作用。我们的分析还区分了次贷危机和 Covid-19 危机的影响，显示了这些事件以及银行的具体特征和宏观经济条件是如何影响风险承担的。本研究为新兴市场背景下货币政策、金融危机和银行特定因素之间的相互作用提供了细致入微的见解。

引用次数: 0

Bank insolvency risk, Z-score measures and unimodal returns: A refinement 银行破产风险、Z-score 测量和单模态回报：改进

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2024-09-10 DOI: 10.1016/j.qref.2024.101919

Mathieu Mercadier , Frank Strobel

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.

我们借鉴单边 Vysochanskii-Petunin 不等式，在收益率单调性的额外假设下，根据 Z 分数为银行破产风险度量提出了细化的概率边界，类似于 Cantelli 不等式给出的概率边界。通过对美国银行的经验说明，我们认为：(i) 在这种情况下，收益率的单调性并不是一个限制性过强的假设；(ii) 改进后的计量方法提供了一个不那么保守的替代方案，可以替代根据（双面）维索汉斯基-佩图宁不等式得出的破产概率边界，尤其是对于破产风险水平较高的银行而言。

引用次数: 0

Can corporate social performance mitigate the risk of extreme stock returns? 企业社会绩效能否降低股票极端回报的风险？

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2024-09-10 DOI: 10.1016/j.qref.2024.101917

Fouad Ben Abdelaziz , Messaoud Chibane , Ano Kuhanathan

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.

1 为了研究这种关系的结构，我们将美国大型公司股票回报的动态分解为两个部分：高斯创新和非高斯创新。我们的研究结果表明，CSP 主要通过非高斯风险渠道影响公司风险。特别是，它大大降低了极端回报的幅度。我们没有发现 CSP 对价格上涨频率和崩盘概率有一致或稳健的影响，因为不同行业之间的差异很大。最后，我们发现 CSP 对标准高斯波动风险没有显著的统计影响。

引用次数: 0

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