Quarterly Review of Economics and Finance最新文献

This study analyzes how monthly stock returns in the United States react to conventional and unconventional shadow rates from February 1994 to April 2023. The study uses a nonstationary heterogeneous panel data technique appropriate for analyzing large cross-sections and long periods. The analysis is separated into turbulent and tranquil periods. The findings suggest that, although the shadow rate is expected to align with the long-term rate, its ability to boost economic activity in the stock markets is only applicable in the short term. Despite the Federal Funds Rate (FFR) being unable to be lowered below zero bounds, the study shows results that support the effectiveness of the FFR in stimulating stock returns in the long run, particularly during crisis periods. The study also reveals that both conventional and unconventional shadow rates share a common feature, which is that they demonstrate how the stock markets can be downward-sticky in the long run with a rising shadow rate in virtually all 50 states in the U.S. The findings provide sturdy insights into the usefulness of unconventional monetary policy measures for stock market performance during crises and normal periods.

A joint decision-making model for debt financing and operations is constructed in this study. The proposed model is designed so that enterprises can actively adjust the transparency of private information while considering the risks of corporate bankruptcy, bank premium behavior, and possible damage to the product market. We systematically analyzed the mechanisms of bank interest rate pricing, corporate information transparency, and corresponding stocking strategies. We examined the impact of the companies’ inventories and transparency of different types of information on bank interest rates, which revealed financing and management-related decision-making issues based on the bank’s interest rate response function. Various levels of information transparency are appropriate for companies in the context of debt financing. We discuss the impact of changes in exogenous parameters in the product and financial markets on the basis of global equilibrium, as well as corporate characteristics affecting optimal decision-making.

We examine liquidity policies in an environment in which banks can cover their liquidity needs by hoarding liquidity or selling long-term assets to expert investors. Investors can acquire costly information regarding asset quality and deprive banks with bad assets from accessing the asset market. To prevent expert scrutiny, banks must accept fire sale prices for their assets. These depressed prices induce banks to hoard inefficiently low (high) amounts of liquidity when the likelihood of a liquidity shock is relatively low (high). We show that policy interventions aimed at maintaining opacity in the asset market encourage (discourage) liquidity hoarding when there is underhoarding (overhoarding) of liquidity. This suggests that ex-post interventions can serve as substitutes for ex-ante liquidity regulations.

The accuracy of CDS premiums has been questioned in many former studies. However, we intend to show that the volatilities of these spreads rather than their basis point levels indicate and signal the status of sovereign risk and credit worthiness as they tend to reveal sudden deteriorations in key sovereign and global economic indicators. In that respect we aim to reveal the determinants of Turkish CDS spread volatility by using an ARDL Bounds Test framework. In line with our expectations exchange rate, stock market indice and oil price volatility have significant positive coefficients in the long run whereas US 10-year bond spreads have short run effects up to three lags. Also, our results show that COVID pandemic has remarkably increased Turkish CDS volatility. Moreover, the unorthodox monetary policies adopted after COVID has also raised CDS volatility with persistently high spread levels where a long-term memory effect was prevalent.

The impact of export decisions on firm performance has been extensively studied empirically, yet little attention has been given to the investments resulting from these decisions and their subsequent returns. Moreover, existing research predominantly examines export choices from a technological perspective, with minimal emphasis on the marketing aspects of exporting. Our study offers new insights by examining whether exporting induces firms to invest in marketing and research and development (R&D), and how these investments affect their performance before and after entering export markets. Using a panel of Indian firms from 2002 to 2019, our two-step methodology employs propensity score matching (PSM) to extract export-induced expenditures and production function estimation to assess their impacts on firm performance. The findings reveal that both export-induced marketing and R&D expenditures positively influence firm performance, with marketing investments exhibiting a stronger impact. The combined effect becomes significantly evident post-export entry. We also utilized the instrumental variable (IV) method to validate our findings. Heterogeneous IV analysis highlights that mature firms and those facing financial constraints particularly ramp up these investments post-export entry. Our results hold implications for managers and policymakers, emphasizing the importance of carefully designing export investment policies alongside other export support programs.

The Japan Financial Services Agency (JFSA), the country’s financial regulatory body, is concerned with business conduct surrounding mutual fund sales in Japan, especially regarding thematic and monthly distribution funds. The agency introduced a new regulatory policy in 2015 to encourage competition to provide high-quality, customer-oriented financial products and services. Unlike traditional regulation, this policy is based on the comply-or-explain approach, which does not mandate compliance. We utilize a difference-in-differences (DID) approach to examine whether this policy induces changes in the behavior of fund distributors regarding the promotion of these funds. We find that the effectiveness of the policy is not uniform. The policy has a limited impact on reducing fund flows and the size of thematic and monthly distribution funds among active funds, which include equity, bond, and balanced funds. By contrast, we find some evidence that the policy has reduced the fund flows and the size of equity thematic and monthly distribution funds relative to low-cost equity index funds. We find that the comply-or-explain approach alone may not suffice to regulate these fund sales, as distributors and managers can pursue their own interests. In addition, the effectiveness of the approach also depends on investors’ behavior, which may be hindered by a lack of sophistication in understanding the characteristics of these funds.

This paper investigates how the presence of a large fraction of rule-of-thumb consumers and an informal sector and (henceforth, informality) impact on the effectiveness of monetary policy in developing/emerging economies. We develop a small open economy New-Keynesian model, which is estimated using data on selected Sub-Saharan African countries where the coexistence of these two frictions is widespread - Burundi, Malawi and Rwanda. The results reveal that (i) rule-of-thumb consumption enhances the dominance of demand shocks and makes inflation stabilization a challenge; (ii) the presence of an informal sector causes supply shocks to be dominant, creating a trade-off between stabilizing inflation and output; (iii) rule-of-thumb consumption weakens the transmission mechanism of monetary policy while its interaction with informality worsens the situation in most of the selected countries; (iv) informality amid a large population of rule-of-thumb consumers causes the nominal interest rate to counterintuitively decline in response to a contractionary monetary policy shock; (v) in some of the selected countries, a positive productivity shock counterintuitively triggers a nominal exchange rate appreciation when informality interacts with rule-of-thumb consumption behavior; (vi) the coexistence of informality and rule-of-thumb consumption behavior amplifies country-risk premium shocks and; (vii) rule-of-thumb consumption behavior is welfare enhancing. These findings are informative to policymakers, particularly in emerging economies, on the priority reforms as they transition to inflation targeting frameworks. Direct policy implications emerge regarding financial inclusion, the size of the informal sector, and farm input subsidy programs.

This paper presents a framework for identifying the impacts of antitrust regulation on innovation and industry dynamics. I consider two inventor types: multi-product incumbent firms and startups not yet in product markets. They pursue external innovation, which results in Schumpeterian competition; and internal innovation, which incumbent firms use to refine current products in their portfolios. I find that weaker regulation gives incumbent firms greater market power to block competition, reducing incentives for external innovation, but raising incentives for internal innovation. Less heavy-handed regulation slows industry dynamics and raises industrial concentration; however, more lenient regulation may increase aggregate innovation depending on parameter value.

We analyze why fund selection measures, including daily six factor alpha, daily return volatility, and minimum churn rate of a fund within a quarter, predict fund performance. Among these three fund selection measures, we demonstrate that funds with lower return volatility generate better fund performance, portfolio holdings performance, and trading portfolio performance. This result suggests that funds with lower return volatility possess better both stock picking and trading skill. In addition, funds with higher alpha or higher minimum churn rate have better fund performance and better portfolio holdings performance, but worse trading portfolio performance. As we demonstrate that portfolio holdings performance rather than trading portfolio performance mainly contributes to fund performance, our findings suggest that fund investors should pay attention to funds’ stock picking skill more than their trading skill. Moreover, funds’ lack of trading skill helps explain why original funds may underperform copycat funds.

This study examines the banking efficiency of different ownership types and operations in an emerging market in South Asia. It further explores the moderating effect of Islamic banking operations on such relationships. The effects of banking regulatory developments on banking efficiency are also examined through a quasi-natural experiment approach. Using 533 banking unit observations of banks for FY 2002/2003 to 2017/2018 period, and applying the data envelopment analysis (DEA) method for banking efficiency and Tobit regression, the findings document that the banking efficiency of the state-owned conventional banks outperforms privately-owned domestic banks, as well as conventional domestically owned banks (state-owned and privately-owned banks) outperforms the foreign-owned banks. Again, the banking efficiency outperformance of the conventional banking operation over the Islamic banking operation is found. However, the outperformance of conventional state-owned banks diminishes with the moderation of Islamic banking operations. Additionally, the quasi-natural experiment with difference-in-difference (DID) regression result reveals that the banking efficiency of Islamic banks and conventional state-owned banks has improved during the post-regulatory period and reduced the efficiency gap between them (in favor of conventional banks). However, the banking efficiency of conventional state-owned banks offering Islamic banking services has diminished in the post-regulatory period. These findings remain robust during the global financial crisis (GFC) and non-GFC periods. Overall, the results add a new dimension to the banking efficiency and regulatory development research for the policymakers and regulators in the financial services sector.