Quarterly Review of Economics and Finance最新文献

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What events matter for exchange rate volatility? 哪些事件对汇率波动有影响？

IF 3.1 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-11-08 DOI: 10.1016/j.qref.2025.102073

Igor Martins , Hedibert Freitas Lopes

This paper expands on stochastic volatility models by proposing a data-driven method to select the macroeconomic events most likely to impact volatility. The paper identifies and quantifies the effects of macroeconomic events across multiple countries on exchange rate volatility using high-frequency currency returns, while accounting for persistent stochastic volatility effects and seasonal components capturing time-of-day patterns. Given the hundreds of macroeconomic announcements and their lags, we rely on sparsity-based methods to select relevant events for the model. We contribute to the exchange rate literature in four ways: First, we identify the macroeconomic events that drive currency volatility, estimate their effects and connect them to macroeconomic fundamentals. Second, we find a link between intraday seasonality, trading volume, and the opening hours of major markets across the globe. We provide a simple labor-based explanation for this observed pattern. Third, we show that including macroeconomic events and seasonal components is crucial for forecasting exchange rate volatility. Fourth, our proposed model yields the lowest volatility and highest Sharpe ratio in portfolio allocations when compared to standard SV and GARCH models.

本文对随机波动率模型进行了扩展，提出了一种数据驱动的方法来选择最有可能影响波动率的宏观经济事件。本文利用高频货币回报识别并量化了多个国家的宏观经济事件对汇率波动的影响，同时考虑了持续的随机波动效应和捕捉时间模式的季节性因素。考虑到数百个宏观经济公告及其滞后，我们依靠基于稀疏性的方法为模型选择相关事件。我们以四种方式为汇率文献做出贡献：首先，我们确定驱动货币波动的宏观经济事件，估计其影响并将其与宏观经济基本面联系起来。其次，我们发现日内季节性、交易量和全球主要市场的开盘时间之间存在联系。对于这种观察到的模式，我们提供了一个简单的基于劳动的解释。第三，我们表明，包括宏观经济事件和季节性因素是预测汇率波动的关键。第四，与标准SV和GARCH模型相比，我们提出的模型在投资组合配置中产生最低的波动性和最高的夏普比率。

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引用次数: 0

Short- and long-term effects of ESG pillars on credit risk ESG支柱对信用风险的短期和长期影响

IF 3.1 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-10-30 DOI: 10.1016/j.qref.2025.102075

I-Ling Chen , Chia-Chien Chang

This study analyzes the short- and long-term relationships between total ESG score (TESG), their pillars, and corporate credit risk in Taiwan's traditional industries using a panel autoregressive distributed lag model. The results show a stable long-term link between TESG and credit risk, with TESG reducing long-term risk but having no short-term effect. This suggests that ESG performance has an indirect, delayed short-term effect, but effective ESG risk management improves long-term credit risk. Environmental investments lower short-term credit risk, whereas corporate governance enhances long-term stability. In the livelihood and chemical industries, TESG influences long-term credit risk, with governance playing a key role, which is consistent with the full sample results. In the chemical sector, ESG pillars reduce long-term credit risk, but only environmental factors impact short-term risk, suggesting that firms prioritize environmental management for sustainable development and credit risk management.

本研究采用面板自回归分布滞后模型，分析台湾传统产业企业ESG总分及其支柱与企业信用风险之间的短期与长期关系。结果表明，TESG与信用风险之间存在稳定的长期联系，TESG降低了长期风险，但没有短期影响。这表明ESG绩效具有间接的、延迟的短期影响，但有效的ESG风险管理可以改善长期信用风险。环境投资降低了短期信用风险，而公司治理提高了长期稳定性。在民生和化工行业，TESG影响长期信用风险，其中治理起关键作用，这与全样本结果一致。在化工行业，ESG支柱降低了长期信用风险，但只有环境因素会影响短期风险，这表明企业在可持续发展和信用风险管理中优先考虑环境管理。

引用次数: 0

Forecasting the Brazilian yield curve using macroeconomics expectations and time-varying volatility 利用宏观经济预期和时变波动率预测巴西收益率曲线

IF 3.1 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-10-30 DOI: 10.1016/j.qref.2025.102072

Werley Cordeiro , João F. Caldeira , Guilherme V. Moura

This paper presents a model of the term structure of interest rates that incorporates expectations regarding macroeconomic data to capture yield dynamics, while also accounting for time-varying volatility. Our findings demonstrate that including survey data on market participants’ expectations significantly improves the out-of-sample forecasting performance of the model, as shown by statistical measures of predictive accuracy. Furthermore, we assess the economic value of yield curve predictability through a portfolio allocation exercise. The results indicate that considering time-varying yield volatility is crucial and significantly enhances the economic relevance of forecasts, regardless of the level of risk aversion assumed.

本文提出了一个利率期限结构模型，该模型结合了对宏观经济数据的预期，以捕捉收益率动态，同时也考虑了时变波动性。我们的研究结果表明，包括市场参与者预期的调查数据显着提高了模型的样本外预测性能，如预测准确性的统计测量所示。此外，我们通过投资组合分配练习来评估收益率曲线可预测性的经济价值。结果表明，无论假设的风险厌恶程度如何，考虑时变收益率波动是至关重要的，并且显著增强了预测的经济相关性。

引用次数: 0

Factors and quantile differences influencing funding volumes of successful crowdfunding campaigns on reward-based platforms in developed, developing, and emerging crowdfunding markets 在发达、发展中和新兴众筹市场中，影响奖励型平台上成功众筹活动融资量的因素和分位数差异

IF 3.1 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-10-26 DOI: 10.1016/j.qref.2025.102070

Jauling Tseng

This study investigates the influence and quantile differences of key variables on crowdfunding campaign fundraising volumes by using data from 73,146 campaigns across major global platforms in developed, developing, and emerging crowdfunding markets from 2012 to 2017. The results indicate that campaigns with lower funding targets, longer financing periods, more social media followers, backers, photos, and comments, more frequent updates and past successful experiences, and fewer past failure experiences are significantly more likely to succeed. Additionally, campaigns with longer financing periods, more social media followers, backers, comments, frequent updates, and past successful experiences, and fewer past failure experiences are likely to raise higher fundraising volumes. Moreover, campaigns in developed crowdfunding markets are significantly more likely to succeed and raise large volumes of funds compared with those in developing markets, whereas those in emerging markets are more likely to succeed but raise lower volumes of funds than those in developing markets. Finally, for campaigns in the highest 90th quantile of successful funding volumes, improvements in campaign variables lead to greater marginal increases in funding volumes compared with those in the lowest 10th quantile, highlighting substantial quantile differences and unequal effects across funding levels. This study provides insights that can guide start-ups and policymakers in developing effective crowdfunding strategies and policies, thereby promoting the healthy development of crowdfunding markets and improving financial inclusion.

本研究利用2012 - 2017年全球主要平台上发达、发展中和新兴众筹市场的73146次众筹活动的数据，考察了关键变量对众筹活动筹资额的影响及其分位数差异。结果表明，融资目标较低、融资周期较长、社交媒体关注者、支持者、照片和评论较多、更新更频繁、过去的成功经历更少、失败经历更少的活动更有可能成功。此外，融资周期较长的活动，更多的社交媒体关注者、支持者、评论、频繁更新、过去的成功经验和过去的失败经验较少，可能会筹集到更高的融资额。此外，与发展中市场相比，发达众筹市场的众筹活动更有可能成功并筹集到大量资金，而新兴市场的众筹活动更有可能成功，但筹集到的资金数量却低于发展中市场。最后，对于成功融资量最高的第90个分位数的活动，与最低的第10个分位数相比，活动变量的改善导致了更大的融资量边际增长，突出了资金水平之间的巨大分位数差异和不平等影响。本研究提供的见解可以指导初创企业和决策者制定有效的众筹战略和政策，从而促进众筹市场的健康发展，提高普惠金融水平。

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引用次数: 0

Large trade anticipation 巨大的贸易预期

IF 3.1 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-10-25 DOI: 10.1016/j.qref.2025.102066

Kyoung-Hun Bae , Peter Dixon , Eun-Jung Lee

We study whether a subset of high-frequency traders, which we refer to as opportunistic high-frequency traders, systematically anticipate and trade around individual large trades to profit from their price impact. The trading patterns we document, using account-level transaction data from the Korean Stock Exchange, are consistent with opportunistic high-frequency traders anticipating individual large trades and trading opportunistically around them. Our findings are difficult to reconcile with alternative hypotheses that opportunistic high-frequency traders and large traders are trading on a common price signal, or that the observed trading behavior is the byproduct of market-making strategies.

我们研究高频交易者的一个子集，我们称之为机会主义高频交易者，是否系统地预测并围绕单个大额交易进行交易，以从其价格影响中获利。我们使用韩国证券交易所的账户级交易数据记录的交易模式与机会主义高频交易者预测单个大额交易并围绕它们进行机会主义交易是一致的。我们的发现很难与其他假设相一致，即机会主义高频交易者和大型交易者在共同的价格信号上进行交易，或者观察到的交易行为是做市策略的副产品。

引用次数: 0

Moderating effect of credit growth for financial development on economic growth: Considering banking crises and endogeneity 信贷增长对金融发展对经济增长的调节作用：考虑银行危机和内生性

IF 3.1 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-10-25 DOI: 10.1016/j.qref.2025.102061

Hao Fang , Chien-Ping Chung , Yen-Hsien Lee

Using a dynamic panel threshold regression that allows both the threshold variable and regressors to be endogenous, this study precisely analyzes the moderating effects of the threshold in a credit market on the relationship between financial development and economic growth considering a banking crisis. Our sample includes data from 54 countries for1996–2017. We find that without a banking crisis, the effect of finance on growth under lower credit growth is significantly positive, but this effect turns significantly negative under higher credit growth. However, when a banking crisis occurs, the net effect of the finance–growth relationship on higher credit growth becomes increasingly negative. Our findings indicate that the effect of financial development on economic growth intuitively depends on growth in private credit rather than only the level of the credit market.

本研究采用允许阈值变量和回归量内生的动态面板阈值回归，在考虑银行危机的情况下，精确分析了信贷市场阈值对金融发展与经济增长关系的调节作用。我们的样本包括来自54个国家1996 - 2017年的数据。我们发现，在没有发生银行危机的情况下，低信贷增长率下金融对经济增长的影响显著为正，而高信贷增长率下金融对经济增长的影响显著为负。然而，当银行危机发生时，金融-增长关系对更高信贷增长的净效应变得越来越负。我们的研究结果表明，金融发展对经济增长的影响直观地取决于私人信贷的增长，而不仅仅是信贷市场的水平。

引用次数: 0

The financial development-environmental nexus – Unveiling trade-offs 金融发展与环境的关系：权衡取舍

IF 3.1 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-10-25 DOI: 10.1016/j.qref.2025.102069

Claudio de Oliveira de Moraes , Roberto Van Meeuwen

This study explores the relationship between financial development and environmental impacts in developing countries. While the growth of financial activities can exacerbate environmental challenges, certain aspects of financial development have the potential to counterbalance these negative effects. These findings emphasize the need for policymakers to carefully assess the trade-offs involved in promoting financial development. A more regulated and balanced approach is essential to ensure that financial progress aligns with sustainability goals.

本研究探讨了发展中国家金融发展与环境影响之间的关系。虽然金融活动的增长可能加剧环境挑战，但金融发展的某些方面有可能抵消这些负面影响。这些发现强调，政策制定者需要仔细评估促进金融发展所涉及的权衡。一个更加规范和平衡的方法对于确保财政进展与可持续发展目标保持一致至关重要。

引用次数: 0

Evaluating discrete choice model specifications in SAFE-based research: Implications for research in SMEs access to bank finance 评估基于safe的研究中的离散选择模型规范：对中小企业获得银行融资研究的启示

IF 3.1 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-10-24 DOI: 10.1016/j.qref.2025.102068

Marie Finnegan , Lucía Morales

Small and medium-sized enterprises (SMEs) access to bank finance is a significant concern for researchers, with much literature using discrete choice models and the ECB/EC Survey on the Access to Finance of Enterprises (SAFE). However, there is no consensus in this literature on the treatment of standard errors. Some employ heteroskedastic robust standard errors, some cluster standard errors at the country level, while others cluster at the country x time level. Yet, different standard error treatments can lead to different effects and can affect the reliability of model estimations. The methodology employed is a discrete choice binary dependent probit model and sensitivity analysis, which subjects the main findings to different standard error treatments and the application of a novel diagnostic framework to choose the best performing discrete choice model. The main findings show that results for variables from SAFE remain consistent regardless of standard errors used, but country effects vary with different treatments. This highlights the need for researchers to make explicit their research choices and rationale regarding standard errors, subject their findings to sensitivity analysis and ensure valid inference. In general, clustering at the country x time level is particularly appropriate when using discrete choice models when the data exhibits both cross-sectional and temporal dependencies. This paper contributes to the literature by examining standard error treatments used in previous SAFE studies and introducing a diagnostic framework to identify the best-performing discrete choice model. This diagnostic framework bridges the gap between econometric guidance and applied studies using SAFE and can be applied more generally to multi-country discrete choice analysis.

中小企业（SMEs）获得银行融资是研究人员关注的一个重要问题，许多文献使用离散选择模型和欧洲央行/欧委会对企业获得融资的调查（SAFE）。然而，对于标准误差的处理，文献中并没有达成共识。有些采用异方差稳健标准误差，有些在国家一级聚类标准误差，而另一些则在国家x时间水平聚类。然而，不同的标准误差处理可能导致不同的效果，并可能影响模型估计的可靠性。所采用的方法是离散选择二值相关概率模型和敏感性分析，将主要研究结果进行不同的标准误差处理，并应用新的诊断框架来选择性能最佳的离散选择模型。主要研究结果表明，无论使用何种标准误差，外管局变量的结果都是一致的，但不同国家的效果因不同的治疗方法而异。这突出了研究人员需要明确他们的研究选择和关于标准误差的基本原理，对他们的发现进行敏感性分析，并确保有效的推断。一般来说，当使用离散选择模型时，当数据显示出横截面和时间依赖性时，在国家x时间水平上的聚类特别合适。本文通过检查以前的安全研究中使用的标准错误处理，并引入诊断框架来确定最佳性能的离散选择模型，从而为文献做出贡献。这一诊断框架弥补了计量经济学指导和使用SAFE进行的应用研究之间的差距，可以更普遍地应用于多国离散选择分析。

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引用次数: 0

Examining the impact of natural gas price volatility on Euro zone inflation expectations 研究天然气价格波动对欧元区通胀预期的影响

IF 3.1 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-10-24 DOI: 10.1016/j.qref.2025.102062

Messaoud Chibane , Ano Kuhanathan

Recent literature has identified a strong link between EURO zone inflation and the price of natural gas prices, establishing itself after the Russian-Ukraine war. We revisit this relationship by analyzing the probability of extreme movements in market-based inflation expectations and its relation to energy prices. We find that, after 2022, short-term and long-term expected inflation upward tail risk tend to increase jointly, pointing to a potential de-anchoring effect. This effect is not as pronounced for the downward tail risk. This phenomenon seems to be specific to the EURO zone and related to natural gas prices rather than to energy prices in general. Our results suggest that beyond monetary policy, solving natural gas supply issues and limiting price volatility should be key targets for the EURO zone policy makers in order to rein in inflation expectations.

最近的文献发现，在俄乌战争之后，欧元区的通货膨胀与天然气价格之间存在着密切的联系。我们通过分析基于市场的通胀预期极端变动的概率及其与能源价格的关系来重新审视这种关系。我们发现，在2022年之后，短期和长期预期通胀上行尾部风险趋于共同增加，指向潜在的去锚效应。这种效应对于向下的尾部风险来说不那么明显。这种现象似乎是欧元区特有的，与天然气价格有关，而不是与一般的能源价格有关。我们的研究结果表明，除了货币政策之外，解决天然气供应问题和限制价格波动应该是欧元区政策制定者控制通胀预期的关键目标。

引用次数: 0

Systemic risk in the fintech-banking system: Assessing instabilities and vulnerabilities in Central Europe 金融科技银行系统的系统性风险：评估中欧的不稳定性和脆弱性

IF 3.1 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-10-22 DOI: 10.1016/j.qref.2025.102071

Roland von Horn , Muhamed Kudic

Systemic risk in banking has drawn worldwide attention since the 2007–2009 crisis. Fintech startups provide cutting-edge solutions that extend beyond banks’ traditional capabilities, fostering intensive bank–fintech cooperation and giving rise to a ‘pervaded banking system’ (PBS) with novel, largely uncharted vulnerabilities. Using complex adaptive systems theory, we assemble a dataset of 604 fintechs and 802 banks in Central Europe (DACH-Region – Germany, Austria, and Switzerland) – and propose a structurally defined stability concept. We evaluate PBS stability through multiple network-based stress-testing scenarios. The results show that large-scale fintech failures can trigger severe systemic disruptions, whereas exits of small and recently established fintechs have limited effects. By contrast, fintech firms occupying structurally exposed positions act as key risk amplifiers, a channel that traditional risk assessments largely overlook. Our framework thus complements conventional market-based or balance-sheet-based approaches by uncovering structure-induced vulnerabilities in the financial system.

自2007-2009年金融危机以来，银行业的系统性风险引起了全世界的关注。金融科技初创公司提供的尖端解决方案超越了银行的传统能力，促进了银行与金融科技的密集合作，并产生了一个“渗透银行体系”（PBS），其中存在着新的、基本上未知的漏洞。利用复杂适应系统理论，我们收集了中欧（德国、奥地利和瑞士）604家金融科技公司和802家银行的数据集，并提出了一个结构定义的稳定性概念。我们通过多种基于网络的压力测试场景来评估PBS的稳定性。结果表明，大规模的金融科技公司倒闭可能引发严重的系统性破坏，而小型和新成立的金融科技公司的退出影响有限。相比之下，占据结构性敞口头寸的金融科技公司充当了关键的风险放大器，这是传统风险评估在很大程度上忽略的一个渠道。因此，我们的框架通过揭示金融体系中由结构引起的脆弱性，对传统的基于市场或基于资产负债表的方法进行了补充。

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