Quantitative Finance and Economics最新文献_第3页

Bitcoin and money supply relationship: An analysis of selected country economies 比特币与货币供给关系:对选定国家经济的分析

IF 5.3

Quantitative Finance and Economics Pub Date : 2023-01-01 DOI: 10.3934/qfe.2023012

Nilcan Mert, Mustafa Timur

{"title":"Bitcoin and money supply relationship: An analysis of selected country economies","authors":"Nilcan Mert, Mustafa Timur","doi":"10.3934/qfe.2023012","DOIUrl":"https://doi.org/10.3934/qfe.2023012","url":null,"abstract":"Bitcoin has become quite known after the 2008 economic crisis and the COVID-19 health crisis. For some, these cryptocurrencies constitute rebellion against the existing system as governments encourage uncontrolled expansions in the money supply; for some others, it is a quick source of income. Undeniably, the volume of the crypto money market has grown considerably in recent years, regardless of the reasoning of the people who invest and trade in this field. At this point, one of the most important questions to be investigated is \"what variables have caused the tremendous growth in the crypto money quantities in recent years?\" This study tests the assumption that changes in cryptocurrencies are affected by changes in national currencies. Thus, the Bitcoin price is the dependent variable, and M1 monetary supply changes in the USA, European Union and Japanese economies are considered independent variables. The variables in this study were tested using the time-varying Granger causality method. The results obtained from this study confirm the philosophy of Bitcoin's emergence and the possibility that it can be a hedge against the inflationary effects of money, especially after the COVID-19 pandemic.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70231519","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Sigmoidal dynamics of macro-financial leverage 宏观金融杠杆的s型动力学

IF 5.3

Quantitative Finance and Economics Pub Date : 2023-01-01 DOI: 10.3934/qfe.2023008

A. D. Smirnov

{"title":"Sigmoidal dynamics of macro-financial leverage","authors":"A. D. Smirnov","doi":"10.3934/qfe.2023008","DOIUrl":"https://doi.org/10.3934/qfe.2023008","url":null,"abstract":"Logistic sigmoids due to their flexibility seem to be natural candidates for modelling macrofinancial leverage behavior. The sigmoidal leverage transition towards its stationary value, which was driven by the yield spreads, could have replicated the dynamics of macrofinancial assets, debt and capital. The leverage transition, in its turn, has been a major factor in better balancing macrofinancial liabilities and assets. The sigmoidal leverage trajectories including their inflections and different phases were identified by a nonlinear transition function providing information necessary for steering the process towards its stable state. Solving the stationary Kolmogorov-Fokker-Plank logistic equation revealed that random leverage realizations might follow the gamma distribution. Parameters of its stationary probability density function, as well as the expected and the modal leverage, were dependent on the process variance and the yield spreads. Thus, the stochastic leverage behaviour reproduced a sequence of stylized phases similar to the observed in the US Treasuries market meltdown in 2020. In particular, larger yield spreads and smaller modal leverage signalled a \"defensive\" market response to sudden volatility increases. In addition, it was shown that the logistic leverage modelling could be helpful in the analysis of debt and money dynamics including some consequences of \"minting a one trillion dollars coin\".","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70231600","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Government bond market risk-return trade-off 政府债券市场风险收益的权衡

IF 5.3

Quantitative Finance and Economics Pub Date : 2023-01-01 DOI: 10.3934/qfe.2023013

C. Christiansen, Christos S. Savva

引用次数: 0

Asian option pricing under sub-fractional vasicek model 亚分数vasicek模型下的亚洲期权定价

IF 5.3

Quantitative Finance and Economics Pub Date : 2023-01-01 DOI: 10.3934/qfe.2023020

Lichao Tao, Yuefu Lai, Yanting Ji, Xiangxing Tao

引用次数: 1

Pricing and hedging bond options and sinking-fund bonds under the CIR model CIR模型下债券期权和下沉基金债券的定价与对冲

IF 5.3

Quantitative Finance and Economics Pub Date : 2022-01-01 DOI: 10.3934/qfe.2022001

Manuela Larguinho, José Carlos Dias, C. Braumann

引用次数: 0

Asymmetric interdependencies between cryptocurrency and commodity markets: the COVID-19 pandemic impact 加密货币和商品市场之间的不对称相互依赖关系:COVID-19大流行的影响

IF 5.3

Quantitative Finance and Economics Pub Date : 2022-01-01 DOI: 10.3934/qfe.2022004

Francisco Jareño, María de la O González, Pascual Belmonte

引用次数: 7

Staggered loans: A flexible modality of long-term financing for SMEs in global health emergencies 交错贷款:在全球突发卫生事件中为中小企业提供长期融资的灵活方式

IF 5.3

Quantitative Finance and Economics Pub Date : 2022-01-01 DOI: 10.3934/QFE.2022024

S. C. Rambaud, J. L. Pascual, Emilio M. Santandreu

{"title":"Staggered loans: A flexible modality of long-term financing for SMEs in global health emergencies","authors":"S. C. Rambaud, J. L. Pascual, Emilio M. Santandreu","doi":"10.3934/QFE.2022024","DOIUrl":"https://doi.org/10.3934/QFE.2022024","url":null,"abstract":"Context: The context of this paper is the unprecedented global situation which has been and is still experiencing all countries all over the world, due to the pandemic caused by Covid-19 and its variants. Apart from the important problem of health population, all countries are facing a sharp reduction in their main economic indicators: stock indices, GDP (Gross Domestic Product), rates of employment, closing down of businesses, etc. Results: In this paper, we have presented and mathematically analyzed the so-called staggered loans as a useful tool for SMEs to be applied after times of crisis. Moreover, their pros and cons, and the advantages for lenders and borrowers have been highlighted. Specifically, this kind of loan can help solve the problem of the scarce offer of credit due to monetary politics currently addressed to reduce inflation. Policy implications: Taking into account that this economic situation cannot continue for longtime, many countries are thinking about the next stages of the way-out from the crisis in all sectors of affected economies. Purpose: In this research, we seek to provide some information on the characteristics of the so-called staggered loans and the repayment system applied by some microfinance institutions in Latin America. This can help SMEs to obtain the liquidity necessary to reopen and develop their activity. Methods: Methodologically, we have presented risk-based measures able to guarantee the profitability of lenders and control the solvency of lenders and borrowers.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70230158","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Pricing hybrid-triggered catastrophe bonds based on copula-EVT model 基于copula-EVT模型的混合触发巨灾债券定价

IF 5.3

Quantitative Finance and Economics Pub Date : 2022-01-01 DOI: 10.3934/qfe.2022010

Longfei Wei, Lu Liu, Jialong Hou

引用次数: 7

Assessing the safe haven properties of oil in African stock markets amid the COVID-19 pandemic: a quantile regression analysis 评估2019冠状病毒病大流行期间非洲股市石油的避险特性:分位数回归分析

IF 5.3

Quantitative Finance and Economics Pub Date : 2022-01-01 DOI: 10.3934/qfe.2022011

Emmanuel Assifuah-Nunoo, Peterson Owusu Junior, A. Adam, A. Bossman

{"title":"Assessing the safe haven properties of oil in African stock markets amid the COVID-19 pandemic: a quantile regression analysis","authors":"Emmanuel Assifuah-Nunoo, Peterson Owusu Junior, A. Adam, A. Bossman","doi":"10.3934/qfe.2022011","DOIUrl":"https://doi.org/10.3934/qfe.2022011","url":null,"abstract":"Using the quantile regression approach to reveal the conditional relationships, the study re-examined the oil-stock co-movement in the context of oil-exporting countries in Africa. The data employed include daily OPEC basket price for crude oil and daily data on stock market indices for six major stock markets of oil-exporting economies in Africa—Egypt, Ghana, Morocco, Nigeria, South Africa, and Tunisia, from 02 January 2020 to 06 May 2021. We found that crude oil cannot act as safe haven instrument for stock markets in oil-exporting African countries. Notably, the oil-stock co-movement is consistent and more intense at the lower tails only. Investors are encouraged to employ oil as a diversification instrument rather than as a safe haven asset, based on market conditions. Regulators should devise strategies to strengthen the market for crude oil to lessen adverse volatilities during the COVID-19 pandemic by way of mitigating downward returns in African stock markets. The findings of the study offer more interesting economic insights to all classes of investors as well as policymakers in oil-exporting economies in Africa.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70230377","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 18

FDI Escapism: the effect of home country risks on outbound investment in the global economy FDI逃避主义:全球经济中母国风险对对外投资的影响

IF 5.3

Quantitative Finance and Economics Pub Date : 2022-01-01 DOI: 10.3934/qfe.2022005

O. Osabuohien-Irabor, I. Drapkin

{"title":"FDI Escapism: the effect of home country risks on outbound investment in the global economy","authors":"O. Osabuohien-Irabor, I. Drapkin","doi":"10.3934/qfe.2022005","DOIUrl":"https://doi.org/10.3934/qfe.2022005","url":null,"abstract":"Over the past few decades, large numbers of literatures in behavior finance have examined firm's internationalization motives, with focused on how host country's risk components affect investment inflow. But the effects of home country risk on investment outflow remain unexamined. Therefore, based on the conceptualization of FDI escapism and the combine frameworks of Dunning's eclectic paradigm and internationalization theory, the objectives of this study are twofold: First, to examine and explain the effects of home country composite risks (which encompasses economic risks, financial risks, political risk) on firms' internationalization motive through outward FDI. Second, to determine which components of home country risk \"pushes\" firms to initiate the FDI escapism phenomenon in global market. Findings reveal that home country composite risk has moderate adverse effect on investment flow abroad, contributed by both the political and financial risk components, which may give rise to escaping FDI. These findings suggest that firm may initiate outward FDI as a partial escape strategy to address the political and financial challenges in their home country. These results are robust to endogeneity issue and have several substantial implications for policy design to reduce country risks in order to achieve firm's specific objective and government policy goals.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":5.3,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70230096","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2