Pub Date : 2025-08-09DOI: 10.1016/j.qref.2025.102037
Xinzhu Wang , Mengmeng Pan
Enhancing collaboration among enterprises is crucial for fostering and achieving creative progress across the region and within the industry. Distributing resources and risks is an efficient approach to leverage external benefits that can offset a firm’s inherent deficiencies. This study investigates the impact of urban agglomerations on fostering open innovation among firms traded on China’s A-share markets from 2010 to 2021. Our findings reveal that urban agglomerations decrease the quantity of open innovation but enhance its quality. Mechanism analysis indicates that urban agglomerations improve the quality of open innovation by dismantling transportation barriers; however, urban agglomerations reduce open innovation quantity by promoting industrial concentration. This relationship between urban agglomerations and open innovation is pronounced in large firms. Our study also show that urban agglomerations cannot offset managerial myopia. For firms with limited information disclosure, urban agglomerations exert a positive influence on the quality of open innovation.
{"title":"Will connectedness between urban areas foster cooperation?——The impact of urban agglomerations on open innovation","authors":"Xinzhu Wang , Mengmeng Pan","doi":"10.1016/j.qref.2025.102037","DOIUrl":"10.1016/j.qref.2025.102037","url":null,"abstract":"<div><div>Enhancing collaboration among enterprises is crucial for fostering and achieving creative progress across the region and within the industry. Distributing resources and risks is an efficient approach to leverage external benefits that can offset a firm’s inherent deficiencies. This study investigates the impact of urban agglomerations on fostering open innovation among firms traded on China’s A-share markets from 2010 to 2021. Our findings reveal that urban agglomerations decrease the quantity of open innovation but enhance its quality. Mechanism analysis indicates that urban agglomerations improve the quality of open innovation by dismantling transportation barriers; however, urban agglomerations reduce open innovation quantity by promoting industrial concentration. This relationship between urban agglomerations and open innovation is pronounced in large firms. Our study also show that urban agglomerations cannot offset managerial myopia. For firms with limited information disclosure, urban agglomerations exert a positive influence on the quality of open innovation.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"103 ","pages":"Article 102037"},"PeriodicalIF":3.1,"publicationDate":"2025-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144887113","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-08-05DOI: 10.1016/j.qref.2025.102033
Shuoyu Chen , Clay Collins , Ivy Collins
This paper provides an empirical examination of how fans perceive and evaluate athlete performances. Using NBA games during the 2022–23 season, this paper employs a unique dataset from the Chinese app Hupu, which allows users to grade the performances of players for each game. We model, controlling for player characteristics and performance, if ratings respond to game outcomes or a player’s racial characteristics. We use the Classification Algorithm for Skin Color (CASCo) to measure the effect of skin tone on player ratings. We find that controlling for performance, players on winning (losing) teams are rated more positively (negatively), with roughly symmetric effects caused by upsets. Consistently, players with darker skin tones are rated more positively than lighter skin players. The effect appears consistent through a variety of robustness checks.
{"title":"Discrimination and subjective player ratings: Evidence from China","authors":"Shuoyu Chen , Clay Collins , Ivy Collins","doi":"10.1016/j.qref.2025.102033","DOIUrl":"10.1016/j.qref.2025.102033","url":null,"abstract":"<div><div>This paper provides an empirical examination of how fans perceive and evaluate athlete performances. Using NBA games during the 2022–23 season, this paper employs a unique dataset from the Chinese app Hupu, which allows users to grade the performances of players for each game. We model, controlling for player characteristics and performance, if ratings respond to game outcomes or a player’s racial characteristics. We use the Classification Algorithm for Skin Color (CASCo) to measure the effect of skin tone on player ratings. We find that controlling for performance, players on winning (losing) teams are rated more positively (negatively), with roughly symmetric effects caused by upsets. Consistently, players with darker skin tones are rated more positively than lighter skin players. The effect appears consistent through a variety of robustness checks.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"103 ","pages":"Article 102033"},"PeriodicalIF":3.1,"publicationDate":"2025-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144781672","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-07-29DOI: 10.1016/j.qref.2025.102035
Chang-Sheng Liao
This study examines the complex relationship between Fintech and green innovation efficiency (GIE) in China from the perspective of research and development (R&D) activities, using a threshold variable model to analyze data from 2010 to 2020. The findings show that the positive effect of Fintech on GIE only developed under certain conditions. Fintech and GIE have a nonlinear dynamic relationship within the R&D activities threshold model, suggesting that R&D activities have an optimal range and excessive R&D investment can cause disutility. The simultaneously generated inhibitory effect may offset the promotional effect of R&D investment on green efficiency through Fintech. Furthermore, government environmental awareness positively influences the relationship between Fintech and GIE and assists industries in conveniently obtaining funds to invest in green projects under a government-led Fintech policy orientation. This paper offers new insight into the relationship between Fintech and GIE, along with an analysis of the effects of Fintech on GIE depending on different conditions, such as R&D activities, green finance, and government environmental awareness.
{"title":"Does Fintech improve green innovation efficiency in China? Insight from R&D activities, green finance, and government environmental awareness","authors":"Chang-Sheng Liao","doi":"10.1016/j.qref.2025.102035","DOIUrl":"10.1016/j.qref.2025.102035","url":null,"abstract":"<div><div>This study examines the complex relationship between Fintech and green innovation efficiency (GIE) in China from the perspective of research and development (R&D) activities, using a threshold variable model to analyze data from 2010 to 2020. The findings show that the positive effect of Fintech on GIE only developed under certain conditions. Fintech and GIE have a nonlinear dynamic relationship within the R&D activities threshold model, suggesting that R&D activities have an optimal range and excessive R&D investment can cause disutility. The simultaneously generated inhibitory effect may offset the promotional effect of R&D investment on green efficiency through Fintech. Furthermore, government environmental awareness positively influences the relationship between Fintech and GIE and assists industries in conveniently obtaining funds to invest in green projects under a government-led Fintech policy orientation. This paper offers new insight into the relationship between Fintech and GIE, along with an analysis of the effects of Fintech on GIE depending on different conditions, such as R&D activities, green finance, and government environmental awareness.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"103 ","pages":"Article 102035"},"PeriodicalIF":3.1,"publicationDate":"2025-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144826840","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-07-28DOI: 10.1016/j.qref.2025.102034
Chune Young Chung , Irfan Haider Shakri
This research explores the impact of local non-governmental environmental organizations on board structures. Our results indicate that the intensity of such local organizations relates positively to the number of employee directors on the board. This finding suggests that a firm’s long-term orientation, influenced by local stakeholders, contributes to the development of sustainable board structures. We also analyze whether firms’ internal and external factors affect these organizations. The results show that the positive impact is stronger when local societies and corporate governance prioritize long-term goals. Thus, our findings align with social movement theory, suggesting that social initiatives motivate firms to enhance their social and environmental practices, ultimately fostering a long-term-oriented board structure.
{"title":"Local environmental organizations and employee directors on the board","authors":"Chune Young Chung , Irfan Haider Shakri","doi":"10.1016/j.qref.2025.102034","DOIUrl":"10.1016/j.qref.2025.102034","url":null,"abstract":"<div><div>This research explores the impact of local non-governmental environmental organizations on board structures. Our results indicate that the intensity of such local organizations relates positively to the number of employee directors on the board. This finding suggests that a firm’s long-term orientation, influenced by local stakeholders, contributes to the development of sustainable board structures. We also analyze whether firms’ internal and external factors affect these organizations. The results show that the positive impact is stronger when local societies and corporate governance prioritize long-term goals. Thus, our findings align with social movement theory, suggesting that social initiatives motivate firms to enhance their social and environmental practices, ultimately fostering a long-term-oriented board structure.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"103 ","pages":"Article 102034"},"PeriodicalIF":3.1,"publicationDate":"2025-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144772795","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-07-13DOI: 10.1016/j.qref.2025.102031
Tsung-Kang Chen , Yijie Tseng , Yun Hao
This study explores whether and how the readability of asset securitization reports of a bank holding company (BHC) affects its credit risk. The findings show that asset securitization reporting readability is negatively associated with BHC credit risk, with information processing costs serving as the primary mediator of this association. This result indicates that asset securitization reporting has communicative value for outside creditors. Moreover, the adoption of Statement of Financial Accounting Standard (SFAS) No. 166/167 (2009) strengthens this association. This effect arises because SFAS No. 166/167 introduces valuation and consolidation amendments, prompting bondholders to become especially cautious when interpreting disclosures with low readability. Additionally, the study suggests that the scale of contractual total retained interests (i.e., on-balance sheet securitized assets) weakens this association, particularly for retained interests from consumer loans. The results remain robust after addressing endogeneity using instrumental variable regression and a difference-in-difference model and adding control variables related to asset securitization, BHC characteristics, and alternative readability measures.
{"title":"Readability of asset securitization reporting and bank holding company’s credit risk","authors":"Tsung-Kang Chen , Yijie Tseng , Yun Hao","doi":"10.1016/j.qref.2025.102031","DOIUrl":"10.1016/j.qref.2025.102031","url":null,"abstract":"<div><div>This study explores whether and how the readability of asset securitization reports of a bank holding company (BHC) affects its credit risk. The findings show that asset securitization reporting readability is negatively associated with BHC credit risk, with information processing costs serving as the primary mediator of this association. This result indicates that asset securitization reporting has communicative value for outside creditors. Moreover, the adoption of Statement of Financial Accounting Standard (SFAS) No. 166/167 (2009) strengthens this association. This effect arises because SFAS No. 166/167 introduces valuation and consolidation amendments, prompting bondholders to become especially cautious when interpreting disclosures with low readability. Additionally, the study suggests that the scale of contractual total retained interests (i.e., on-balance sheet securitized assets) weakens this association, particularly for retained interests from consumer loans. The results remain robust after addressing endogeneity using instrumental variable regression and a difference-in-difference model and adding control variables related to asset securitization, BHC characteristics, and alternative readability measures.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"103 ","pages":"Article 102031"},"PeriodicalIF":2.9,"publicationDate":"2025-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144703148","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-07-12DOI: 10.1016/j.qref.2025.102032
Adnan Aslam , Mohammad Khaleq Newaz
This study examines the impact of geopolitical risk on global bond markets, with a focus on distinguishing between geopolitical threats and realized geopolitical events. Using daily data, the study applies a multi-method framework comprising the time-varying parameter vector autoregression connectedness framework, wavelet quantile correlation, and cross-quantilogram analysis to investigate dynamic spillovers, asymmetric relationships, and lead-lag dependencies between geopolitical risk categories and bond markets. Our findings show that bond markets exhibit pronounced sensitivity to geopolitical shocks, with threat-based risks exerting a more persistent and widespread impact than realized geopolitical events. Sovereign and corporate bonds emerge as particularly vulnerable, whereas alternative fixed-income instruments such as sukuk and municipal bonds demonstrate greater resilience. Although bonds are often viewed as long-term safe-haven assets, their short-term hedging effectiveness varies considerably across segments and risk types. Notably, sukuk consistently serve as a reliable safe-haven during periods of elevated geopolitical threat. Our results underline the complexity of geopolitical risk effects, illustrating the importance of distinguishing between geopolitical threats and realized geopolitical events for understanding investor behaviour, risk premiums, and asset pricing dynamics. This study contributes to the literature by offering new insights into the resilience of different bond segments to geopolitical shocks and providing valuable implications for portfolio diversification, risk management, and investment strategies during periods of heightened geopolitical uncertainty.
{"title":"Geopolitical risk and bond market dynamics: Assessing the impact of threats and realized events","authors":"Adnan Aslam , Mohammad Khaleq Newaz","doi":"10.1016/j.qref.2025.102032","DOIUrl":"10.1016/j.qref.2025.102032","url":null,"abstract":"<div><div>This study examines the impact of geopolitical risk on global bond markets, with a focus on distinguishing between geopolitical threats and realized geopolitical events. Using daily data, the study applies a multi-method framework comprising the time-varying parameter vector autoregression connectedness framework, wavelet quantile correlation, and cross-quantilogram analysis to investigate dynamic spillovers, asymmetric relationships, and lead-lag dependencies between geopolitical risk categories and bond markets. Our findings show that bond markets exhibit pronounced sensitivity to geopolitical shocks, with threat-based risks exerting a more persistent and widespread impact than realized geopolitical events. Sovereign and corporate bonds emerge as particularly vulnerable, whereas alternative fixed-income instruments such as sukuk and municipal bonds demonstrate greater resilience. Although bonds are often viewed as long-term safe-haven assets, their short-term hedging effectiveness varies considerably across segments and risk types. Notably, sukuk consistently serve as a reliable safe-haven during periods of elevated geopolitical threat. Our results underline the complexity of geopolitical risk effects, illustrating the importance of distinguishing between geopolitical threats and realized geopolitical events for understanding investor behaviour, risk premiums, and asset pricing dynamics. This study contributes to the literature by offering new insights into the resilience of different bond segments to geopolitical shocks and providing valuable implications for portfolio diversification, risk management, and investment strategies during periods of heightened geopolitical uncertainty.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"103 ","pages":"Article 102032"},"PeriodicalIF":2.9,"publicationDate":"2025-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144653559","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-07-04DOI: 10.1016/j.qref.2025.102030
Xiaohui Chen , Paul Moon Sub Choi , Sang-Joon Kim , Jangwook Lee , Seung-Hee Kim
The Internet celebrity (“Wanghong”) economy is a business model that leverages the purchasing power of social media users through online traffic. Since 2016, China has witnessed the rise of the Wanghong economy, characterized by listed firms’ engagement in livestreaming and Wanghong-based commerce. In this study, we find distinctive patterns in short- versus long-term market responses. Investor attention positively affects short-term cumulative abnormal returns upon firms’ initial involvement in Wanghong activities, reflecting sentiment-induced price buoyancy. However, initially overreacted, positive buy-and-hold abnormal returns reverse over 7- to 12-month holding periods. While the Wanghong effect on revenue growth is marginal, long-term returns are in line with firm profitability, suggesting market valuations ultimately revert to fundamentals. In sum, there is a discernible dynamic shift from short-term emotional reactions to long-term rational adjustments in the Wanghong economy.
{"title":"Do influencers pay? Evidence from the Internet celebrity economy in China","authors":"Xiaohui Chen , Paul Moon Sub Choi , Sang-Joon Kim , Jangwook Lee , Seung-Hee Kim","doi":"10.1016/j.qref.2025.102030","DOIUrl":"10.1016/j.qref.2025.102030","url":null,"abstract":"<div><div>The Internet celebrity (“Wanghong”) economy is a business model that leverages the purchasing power of social media users through online traffic. Since 2016, China has witnessed the rise of the Wanghong economy, characterized by listed firms’ engagement in livestreaming and Wanghong-based commerce. In this study, we find distinctive patterns in short- versus long-term market responses. Investor attention positively affects short-term cumulative abnormal returns upon firms’ initial involvement in Wanghong activities, reflecting sentiment-induced price buoyancy. However, initially overreacted, positive buy-and-hold abnormal returns reverse over 7- to 12-month holding periods. While the Wanghong effect on revenue growth is marginal, long-term returns are in line with firm profitability, suggesting market valuations ultimately revert to fundamentals. In sum, there is a discernible dynamic shift from short-term emotional reactions to long-term rational adjustments in the Wanghong economy.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"103 ","pages":"Article 102030"},"PeriodicalIF":2.9,"publicationDate":"2025-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144587595","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-06-24DOI: 10.1016/j.qref.2025.102029
Andrés Fernando Mejía-Amaya , Carlos Pombo
This paper examines the effect of political connections on firm valuation across large, listed corporations in emerging markets in the Americas. The study analyzes the impact of a higher number of politically connected individuals, their role as officers or directors, and the impact of tenure on firm market value. Our estimations show the positive impact of being a politically connected firm. Moreover, the strongly positive impact of politically connected directors is different from the weaker effect of politically connected officers. The intensity of politically connected directors positively impacts on firm valuation. There is a moderating role of tenure, that implies the positive beginning impact of politically connected directors on firm value decreases over time.
{"title":"Political connections of executives and directors: Relevant facts to understand the impact of politicians on firm valuation","authors":"Andrés Fernando Mejía-Amaya , Carlos Pombo","doi":"10.1016/j.qref.2025.102029","DOIUrl":"10.1016/j.qref.2025.102029","url":null,"abstract":"<div><div>This paper examines the effect of political connections on firm valuation across large, listed corporations in emerging markets in the Americas. The study analyzes the impact of a higher number of politically connected individuals, their role as officers or directors, and the impact of tenure on firm market value. Our estimations show the positive impact of being a politically connected firm. Moreover, the strongly positive impact of politically connected directors is different from the weaker effect of politically connected officers. The intensity of politically connected directors positively impacts on firm valuation. There is a moderating role of tenure, that implies the positive beginning impact of politically connected directors on firm value decreases over time.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"103 ","pages":"Article 102029"},"PeriodicalIF":2.9,"publicationDate":"2025-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144535017","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-06-24DOI: 10.1016/j.qref.2025.102026
Bo Wang , Ruolan Yan , Yang Chen
In recent years, public health emergencies and geopolitical conflicts have constantly triggered volatility in the global economy and financial markets. Such frequent shocks have led to abnormal capital flow episodes, which can destabilize financial systems and foreign exchange markets, and sometimes these episodes are precursors to financial crises. Therefore, we develop an early warning model for abnormal capital flow episodes with a forecast horizon set two quarters in advance, employing two traditional linear regression models and nine machine learning algorithms. We also utilize two ensemble technologies, voting and stacking, to enhance out-of-sample predictive accuracy. This provides monetary authorities across nations with a practical early warning model that allows manual control over the forecast horizon and delivers robust predictive performance on out-of-sample observations, enabling timely interventions and preventative measures against risks associated with volatile capital flows. Furthermore, causal analysis using Shapley value decomposition and Shapley regression reveal drivers and mechanisms of abnormal capital flow episodes that differ from those identified by traditional linear models. For instance, the Shapley-based interpretation uncovers complex nonlinear relationships and highlights previously overlooked variables, such as domestic liability dollarization, as crucial predictors of sudden stops and capital flight. The Shapley-based interpretation reveals that the relative importance of predictors shifts after the 2008 Global Financial Crisis: features such as DLD become far more influential in the post-GFC period, reflecting a transition in investor behavior from profit-seeking to risk-averse. This insight deepens our understanding of the complex dynamics influencing international capital movements and enhances risk management tools in an interconnected world.
{"title":"Predicting abnormal capital flow episodes with machine learning methods","authors":"Bo Wang , Ruolan Yan , Yang Chen","doi":"10.1016/j.qref.2025.102026","DOIUrl":"10.1016/j.qref.2025.102026","url":null,"abstract":"<div><div>In recent years, public health emergencies and geopolitical conflicts have constantly triggered volatility in the global economy and financial markets. Such frequent shocks have led to abnormal capital flow episodes, which can destabilize financial systems and foreign exchange markets, and sometimes these episodes are precursors to financial crises. Therefore, we develop an early warning model for abnormal capital flow episodes with a forecast horizon set two quarters in advance, employing two traditional linear regression models and nine machine learning algorithms. We also utilize two ensemble technologies, voting and stacking, to enhance out-of-sample predictive accuracy. This provides monetary authorities across nations with a practical early warning model that allows manual control over the forecast horizon and delivers robust predictive performance on out-of-sample observations, enabling timely interventions and preventative measures against risks associated with volatile capital flows. Furthermore, causal analysis using Shapley value decomposition and Shapley regression reveal drivers and mechanisms of abnormal capital flow episodes that differ from those identified by traditional linear models. For instance, the Shapley-based interpretation uncovers complex nonlinear relationships and highlights previously overlooked variables, such as domestic liability dollarization, as crucial predictors of sudden stops and capital flight. The Shapley-based interpretation reveals that the relative importance of predictors shifts after the 2008 Global Financial Crisis: features such as DLD become far more influential in the post-GFC period, reflecting a transition in investor behavior from profit-seeking to risk-averse. This insight deepens our understanding of the complex dynamics influencing international capital movements and enhances risk management tools in an interconnected world.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"103 ","pages":"Article 102026"},"PeriodicalIF":2.9,"publicationDate":"2025-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144549258","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-06-23DOI: 10.1016/j.qref.2025.102010
Bradley Paye , Carolina Magda da Silva Roma , Marcelo Fernandes
We construct measures of the time-varying degree of disconnection between uncertainty and volatility for various international equity markets. We show that a strong global component drives the disconnect processes across countries. Building upon prior work focused on the US equity market, we provide an international perspective that confirms and strengthens evidence linking time-variation in the equity premium with uncertainty. Predictability appears to be driven almost exclusively by common (global) variance and uncertainty, consistent with the predictions of benchmark international asset pricing models featuring integrated markets.
{"title":"The equity premium and the disconnect between uncertainty and volatility: A global perspective","authors":"Bradley Paye , Carolina Magda da Silva Roma , Marcelo Fernandes","doi":"10.1016/j.qref.2025.102010","DOIUrl":"10.1016/j.qref.2025.102010","url":null,"abstract":"<div><div>We construct measures of the time-varying degree of disconnection between uncertainty and volatility for various international equity markets. We show that a strong global component drives the disconnect processes across countries. Building upon prior work focused on the US equity market, we provide an international perspective that confirms and strengthens evidence linking time-variation in the equity premium with uncertainty. Predictability appears to be driven almost exclusively by common (global) variance and uncertainty, consistent with the predictions of benchmark international asset pricing models featuring integrated markets.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"103 ","pages":"Article 102010"},"PeriodicalIF":2.9,"publicationDate":"2025-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144634028","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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