Quarterly Review of Economics and Finance最新文献

英文中文

Fortune favors the green: Role of green investment in mitigating climate risk and the moderating role of ESG performance 《财富青睐绿色：绿色投资在缓解气候风险中的作用和ESG绩效的调节作用

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-06-20 DOI: 10.1016/j.qref.2025.102028

Mustafa Raza Rabbani , Madiha Kiran , Oguzhan Cepni , Muhammad Abubakr Naeem

The global firms are feeling pressure to urgently address the climate concerns and transition towards sustainable green practices. There is an immediate concern from the regulators, investors, governments, and consumers about addressing this pressing issue. Against this backdrop, this study investigates the role of green investments in mitigating climate risk with the moderating role of ESG performance. The study employs panel data from 4375 non-financial firms across 74 countries from 2002 to 2023 to ensure robust inference by using the OLS, GMM, and heterogeneity tests. The findings indicate that green investment significantly reduces climate risk exposure, with ESG performance amplifying this effect. Simultaneously, a high ESG score signals long-term risk management and corporate responsibility, strengthening investor confidence and stakeholder trust. This synergy enhances a firm’s resilience to regulatory and environmental shocks and improves its market valuation and credibility. These insights offer valuable guidance to institutional investors, regulators, and policymakers aiming to align capital allocation with global climate commitments and the Sustainable Development Goals (SDGs). Encouraging green investment and ESG integration can serve as a dual-purpose strategy, mitigating climate risk while fostering sustainable, inclusive economic growth. This research contributes to the discourse on sustainable finance by highlighting the role of responsible investment in promoting resilience against climate risk.

全球企业都感受到压力，迫切需要解决气候问题，并向可持续的绿色实践过渡。监管机构、投资者、政府和消费者都对解决这一紧迫问题十分关注。在此背景下，本研究考察了绿色投资在缓解气候风险中的作用以及ESG绩效的调节作用。本研究采用了2002年至2023年间来自74个国家4375家非金融公司的面板数据，通过使用OLS、GMM和异质性检验来确保强有力的推断。研究结果表明，绿色投资显著降低了气候风险暴露，而ESG绩效放大了这一效应。同时，高ESG分数表明长期风险管理和企业责任，增强投资者信心和利益相关者信任。这种协同作用增强了公司对监管和环境冲击的抵御能力，并提高了其市场估值和可信度。这些见解为旨在使资本配置与全球气候承诺和可持续发展目标（sdg）保持一致的机构投资者、监管机构和政策制定者提供了有价值的指导。鼓励绿色投资和ESG整合可以作为一种双重目标战略，既可以缓解气候风险，又可以促进可持续、包容性的经济增长。本研究通过强调负责任投资在促进抵御气候风险方面的作用，为可持续金融的论述做出了贡献。

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引用次数: 0

Credit risk identification with Hawkes processes: Theory and evidence 霍克斯过程的信用风险识别：理论与证据

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-06-18 DOI: 10.1016/j.qref.2025.102027

Sha Lin , Xuanmeng Lin , Xin-Jiang He

This study utilizes the Hawkes process as an alternative to the Poisson distribution assumption in the jump-diffusion KMV (JD-KMV) model, thereby enhancing the assumption of the expected asset jump size and deriving the Hawkes jump-diffusion KMV (HJD-KMV) model. Subsequently, a regression analysis is conducted on the default distance calculated by the model using bond spreads as a proxy variable for credit risk. The findings reveal that the enhanced jump frequency assumption in the HJD-KMV model enriches its representation of asset information, leading to an improved ability in identifying credit risk. In terms of heterogeneity research, we find that the enhancement of the jump frequency assumption consistently grants the HJD-KMV model superior capacity in identifying credit risk. Moreover, relaxing rigid payment structures proves beneficial to the model's ability in identifying credit risk, while the implementation of financial "deleveraging" policies and the occurrence of epidemics tend to diminish the model's effectiveness in credit risk identification.

本研究利用Hawkes过程替代跳跃-扩散KMV （JD-KMV）模型中的泊松分布假设，从而增强了期望资产跳跃大小的假设，推导出Hawkes跳跃-扩散KMV （HJD-KMV）模型。随后，以债券利差作为信用风险的代理变量，对模型计算的违约距离进行回归分析。研究结果表明，hdd - kmv模型中增强的跳频假设丰富了其对资产信息的表示，从而提高了识别信用风险的能力。在异质性研究方面，我们发现跳跃频率假设的增强始终使hdd - kmv模型具有更好的识别信用风险的能力。此外，放宽刚性支付结构有利于模型识别信用风险的能力，而金融“去杠杆”政策的实施和流行病的发生往往会降低模型识别信用风险的有效性。

引用次数: 0

The dynamics of fiscal policy: Insights from China's macroeconomic indicators 财政政策的动态：来自中国宏观经济指标的洞察

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-06-06 DOI: 10.1016/j.qref.2025.102025

Yang Jiao , Gemma Renart , Laura Serra

This paper examines the impact of China’s fiscal policy on macroeconomic performance during the 2008–2009 global financial crisis, focusing on whether government spending affected output and inflation dynamics. Using monthly data from 2001 to 2010, we apply a vector autoregression (VAR) framework with Johansen cointegration and impulse response analysis to evaluate the short- and long-term relationships between fiscal expenditure, GDP, the Consumer Price Index (CPI), and the Producer Price Index (PPI). The findings indicate that fiscal policy had a limited effect on short-term GDP growth but significantly influenced inflation, with government spending acting as a stabilizing tool for both consumer and producer prices. These results highlight the role of fiscal instruments in price stabilization when monetary policy is constrained. The study offers relevant policy insights for emerging economies seeking to maintain macroeconomic stability during global shocks through inflation-sensitive fiscal strategies.

本文考察了2008-2009年全球金融危机期间中国财政政策对宏观经济表现的影响，重点关注政府支出是否影响产出和通胀动态。利用2001年至2010年的月度数据，我们采用向量自回归（VAR）框架，结合约翰森协整和脉冲响应分析来评估财政支出、GDP、消费者价格指数（CPI）和生产者价格指数（PPI）之间的短期和长期关系。研究结果表明，财政政策对短期GDP增长的影响有限，但对通胀的影响很大，政府支出是消费者和生产者价格的稳定工具。这些结果强调了当货币政策受到限制时，财政工具在稳定价格方面的作用。该研究为新兴经济体寻求通过对通胀敏感的财政策略在全球冲击中保持宏观经济稳定提供了相关的政策见解。

引用次数: 0

Local government responses to procurement centralization: Evidence from Italy 地方政府对采购集中的反应：来自意大利的证据

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-06-04 DOI: 10.1016/j.qref.2025.102012

Lorenzo Castellani , Francesco Decarolis , Gabriele Rovigatti

This paper analyzes how local public authorities in Italy responded to recent procurement centralization reforms. Using detailed data on all Italian public contracts awarded between 2015 and 2017, we document three types of strategic behavior aimed at retaining local autonomy. First, authorities anticipating the reforms accelerated purchases to avoid central oversight. Second, they manipulated contract values to remain below monetary thresholds. Third, when required to centralize, they often chose the least centralized forms of coordination. These findings highlight how institutional design and local incentives can blunt the intended effects of centralization policies, offering broader lessons for procurement reform across the EU.

本文分析了意大利地方公共当局如何应对最近的采购集中化改革。利用2015年至2017年间授予的所有意大利公共合同的详细数据，我们记录了三种旨在保留地方自治的战略行为。首先，预计改革的有关部门加快了购买速度，以避开中央监管。其次，他们操纵合约价值，使其保持在货币门槛以下。第三，当需要集中时，他们往往选择最不集中的协调形式。这些发现突出了制度设计和地方激励如何削弱集中化政策的预期效果，为整个欧盟的采购改革提供了更广泛的经验教训。

引用次数: 0

Bank geographic diversification and market competition 银行地域多元化与市场竞争

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-06-01 DOI: 10.1016/j.qref.2025.102014

Shuo Liang , Fernando Moreira , Joosung Lee

We investigate the effect of geographic diversification on competition, proposing new bank-level competition indicators to capture the degree of competition in individual banks’ markets. By using the gravity-deregulation model to construct an instrument for geographic diversification, we find that geographic diversification increases the degree of competition in specific banking markets. Mechanism analyses suggest that geographic diversification spurs market competition through changing two elements of the banking market structure, namely, concentration level in the market and banks’ market shares. Our findings imply that banks’ geographic diversification could lead to an unintended effect on market competitiveness and the market structure could be endogenous to banks’ behaviours.

我们研究了地域多元化对竞争的影响，提出了新的银行层面的竞争指标，以捕捉单个银行市场的竞争程度。利用重力-放松管制模型构建地理多元化工具，我们发现地理多元化增加了特定银行市场的竞争程度。机制分析表明，地域多元化通过改变银行市场结构的两个要素，即市场集中度和银行市场份额，促进市场竞争。我们的研究结果表明，银行的地域多元化可能会对市场竞争力产生意想不到的影响，市场结构可能是银行行为的内生因素。

引用次数: 0

Hedging uncertainty: Bitcoin's asymmetric diversification benefits in factor-based portfolios 对冲不确定性：比特币的非对称多样化有利于基于因素的投资组合

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-06-01 DOI: 10.1016/j.qref.2025.102015

Ion-Iulian Marinescu , Nawazish Mirza , Alexandra Horobet , Lucian Belascu

This paper examines the benefits of adding Bitcoin in a portfolio framework that also includes the five Fama-French risk factor portfolios in periods of low versus high US economic policy uncertainty (EPU). The empirical investigation utilizes data spanning from 2015 to 2023 and follows a two-step methodological approach. First, the US EPU monthly time series is segmented in sub-periods characterized by high and low EPU, determined using the Bai-Perron structural breaks test. Secondly, we employ the mean-CVaR portfolio optimization approach that seeks to maximize risk-adjusted expected returns on portfolios that are formed with and without Bitcoin. We find that the optimal weight of Bitcoin asset increases and subsequently the risk-adjusted performance of the Bitcoin portfolio improves in periods of high EPU, as opposed to periods of low EPU. Our results are robust to rolling estimation windows, different rebalance frequencies and alternative portfolio construction techniques. This asymmetric impact is critical and should be incorporated in portfolio decisions, as it shows that Bitcoin is most useful as a diversifier in periods where the economic uncertainty is relatively high. The obtained results also reinforce the idea that crypto assets are independent from the existing financial system.

本文研究了在投资组合框架中添加比特币的好处，该框架还包括在美国经济政策不确定性（EPU）低与高时期的五个Fama-French风险因素投资组合。该实证调查利用了2015年至2023年的数据，并采用了两步方法。首先，使用Bai-Perron结构断裂检验将美国EPU月时间序列分割为以高EPU和低EPU为特征的子周期。其次，我们采用均值cvar投资组合优化方法，旨在最大化有和没有比特币的投资组合的风险调整后的预期回报。我们发现比特币资产的最优权重增加，随后比特币投资组合的风险调整绩效在高EPU时期有所改善，而不是低EPU时期。我们的结果对滚动估计窗口、不同的再平衡频率和可选择的投资组合构建技术具有鲁棒性。这种不对称的影响是至关重要的，应该纳入投资组合决策，因为它表明，在经济不确定性相对较高的时期，比特币作为一种多元化工具最有用。获得的结果也强化了加密资产独立于现有金融体系的观点。

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引用次数: 0

Demand aggregation and payment risk effects on pooled procurement: Evidence from the public healthcare sector 需求聚合和支付风险对集中采购的影响：来自公共医疗保健部门的证据

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-05-31 DOI: 10.1016/j.qref.2025.102011

Klenio Barbosa , Eduardo Fiuza

This paper empirically investigates the impact of pooled procurement arrangements on acquisition prices of pharmaceuticals and health products. Pooled procurement involves a collaborative agreement among organizations aiming to procure products from suppliers jointly. Pooled arrangements can decrease acquisition prices by aggregating demand but may raise the price paid by buyers with lower payment risk when they jointly acquire products with high-risk ones. We examine these two different channels through which pooled procurement affects prices in the context of public health procurement in Brazil. We find that pooled procurement allows public entities to obtain lower prices. However, we also find evidence that the price paid by low payment risk buyers increases when they associate with high payment risk buyers in pooled arrangements. These two results together indicate that pooled procurement must be properly designed to achieve its potential gains for buyers, which can lead to suboptimal creation of bulk procurement arrangements.

本文实证研究了集中采购安排对药品和保健品采购价格的影响。集中采购涉及组织之间的合作协议，旨在共同从供应商处采购产品。集合安排可以通过聚集需求来降低收购价格，但在与高风险产品共同收购时，可能会提高支付风险较低的买家所支付的价格。我们研究了这两种不同的渠道，通过这些渠道，在巴西公共卫生采购的背景下，集中采购影响价格。我们发现，集中采购允许公共实体获得更低的价格。然而，我们也发现证据表明，低支付风险买家支付的价格增加，当他们与高支付风险的买家在集中安排。这两个结果共同表明，集中采购必须适当设计，以实现其潜在收益的买家，这可能导致次优创建批量采购安排。

引用次数: 0

How does FinTech affect power consumption intensity in China? 金融科技如何影响中国的电力消费强度？

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-05-22 DOI: 10.1016/j.qref.2025.102017

Xiaohui Chen , Hongwei Zhang , Xiang Cheng

Promoting the decarbonization of the economy and society is an integral component of achieving high-quality development. While the rapid advancement of financial technology (FinTech) has played a crucial role in shaping the economic and social development model, its impact on decarbonization has received limited attention in previous studies. To address this gap, this study establishes a partial theoretical equilibrium analysis framework and computes provincial FinTech development indices for Chinese provinces spanning from 2008 to 2022. Subsequently, we empirically examine the impact of FinTech on power consumption intensity. This study observes that FinTech possesses the capacity to diminish power consumption intensity, with this intensity progressively declining as FinTech advancements occur. Notably, FinTech’s impact on loan growth serves as a pivotal intermediary in reducing power consumption intensity. By fostering a risk-friendly environment for banks, FinTech stimulates increased loan growth, thereby alleviating the financial strain on electricity providers and subsequently reducing power usage intensity. This study not only contributes to practical applications but also enriches our understanding of the intricate interplay between FinTech and power consumption, shedding light on the potential for decarbonization within the economy and society.

推动经济社会脱碳，是实现高质量发展的重要组成部分。虽然金融技术（FinTech）的快速发展在塑造经济和社会发展模式方面发挥了至关重要的作用，但其对脱碳的影响在以往的研究中受到的关注有限。为了解决这一差距，本研究建立了部分理论均衡分析框架，并计算了2008年至2022年中国各省金融科技发展指数。随后，我们实证检验了金融科技对电力消耗强度的影响。本研究发现，金融科技具有降低电力消耗强度的能力，随着金融科技的进步，这种强度逐渐下降。值得注意的是，金融科技对贷款增长的影响是降低电力消耗强度的关键中介。通过为银行营造一个风险友好型环境，金融科技刺激了贷款的增长，从而减轻了电力供应商的财务压力，从而降低了电力使用强度。这项研究不仅有助于实际应用，而且丰富了我们对金融科技与电力消耗之间错综复杂的相互作用的理解，揭示了经济和社会中脱碳的潜力。

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引用次数: 0

How do non-normal parametric VaR models perform in risk-minimizing portfolios? 非正态参数VaR模型在风险最小化投资组合中的表现如何？

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-05-20 DOI: 10.1016/j.qref.2025.102016

Dejan Živkov , Sanja Lončar , Jasmina Đurašković , Suzana Balaban

This study minimizes the extreme risk of the NASDAQ index by optimizing two six-asset portfolios with developed and emerging Asian stock indices in the pre-crisis and crisis periods. The existing papers in this area usually use the normal VaR model to estimate extreme risk. In the parametric VaR estimation, we try to improve the analysis by using three non-normal distribution functions – logistic, hyper-secant and Laplace, while the normal VaR is a benchmark. CVaR is also used to evaluate its performance relative to heavier-tailed non-normal VaR models. Different VaR models do not affect the multivariate portfolio structure, but the downside risk measures differ. Applying the Kupiec test and visual inspection of probability density functions, it is determined that two fatter tail functions – logistic and hyper-secant, best fit the realized returns in both portfolios and subsamples. From the aspect of hedge effectiveness, the portfolio with emerging Asian indices better mitigates extreme risk because emerging markets are less integrated. In the optimal portfolios, in most cases, NASDAQ is the only asset in the portfolio due to the highest Sharpe ratio in both pre-crisis and crisis periods. The paper points out the need to find the best VaR model because the effectiveness of hedging and the reliability of results depend on it.

本研究在危机前和危机期间，通过优化亚洲发达和新兴股票指数的两种六资产组合，将纳斯达克指数的极端风险降至最低。该领域已有的论文通常使用正态VaR模型来估计极端风险。在参数VaR估计中，我们尝试使用logistic、超割线和拉普拉斯三种非正态分布函数来改进分析，而正态VaR是一个基准。CVaR也被用来评价其相对于重尾非正态VaR模型的性能。不同的VaR模型对多元投资组合结构没有影响，但下行风险度量不同。应用Kupiec检验和概率密度函数的目视检验，确定两个肥尾函数logistic和超割线最适合组合和子样本的实现收益。从对冲效果来看，由于新兴市场一体化程度较低，亚洲新兴市场指数的投资组合更能缓解极端风险。在最优投资组合中，在大多数情况下，纳斯达克是投资组合中唯一的资产，因为在危机前和危机时期，夏普比率都是最高的。本文指出，套期保值的有效性和结果的可靠性取决于最佳VaR模型。

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Taxation and corporate investment efficiency in common prosperity 税收和企业投资效益共同繁荣

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance

Pub Date : 2025-05-15 DOI: 10.1016/j.qref.2025.102013

Chenguang Fan, Seongho Bae, Yu Liu

We explore the impact of corporate tax redistribution on investment efficiency in the context of the common prosperity policy. Utilizing data from Chinese public companies (2011–2022), we empirically examine whether corporate tax redistribution significantly impacts investment efficiency, particularly underinvestment. We find that corporate tax redistribution affects investment efficiency through two channels: reducing corporate cash flow and lowering investment returns. This relationship is stronger in non-state-owned enterprises. It is also pronounced in firms with changes in share capital structure, CEO duality, directors and supervisors who do not hold positions in shareholder units, and the same beneficial owner who does not control multiple listed firms. The study offers new perspectives on the influence of corporate tax redistribution on investment decisions under the common prosperity strategy.

我们探讨了共同繁荣政策背景下企业税收再分配对投资效率的影响。利用2011-2022年中国上市公司的数据，我们实证检验了公司税再分配是否显著影响投资效率，特别是投资不足。研究发现，企业税收再分配通过减少企业现金流和降低投资回报两个渠道影响投资效率。这种关系在非国有企业中更为明显。在股权结构发生变化、CEO二元制、董事和监事不在股东单位担任职务以及同一实益所有人不控制多家上市公司的公司中，这种情况也很明显。该研究为共同繁荣战略下企业税收再分配对投资决策的影响提供了新的视角。

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