North American Journal of Economics and Finance最新文献

Cross-asset contagion and risk transmission in global financial networks 全球金融网络中的跨资产传染与风险传导

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-07-24 DOI: 10.1016/j.najef.2025.102511

Baoxiu Wu , Qing Wang

{"title":"Cross-asset contagion and risk transmission in global financial networks","authors":"Baoxiu Wu , Qing Wang","doi":"10.1016/j.najef.2025.102511","DOIUrl":"10.1016/j.najef.2025.102511","url":null,"abstract":"<div><div>This research examines cross-asset contagion and risk transmission by modeling global financial markets as a dynamic network, integrating equities, currencies, commodities, and cryptocurrencies. Using extreme value theory and tail-dependent copulas, we develop novel measures of contagion centrality and risk pathways, uncovering a persistent core-periphery structure where central assets exhibit shock-absorber properties during crises, while peripheral nodes amplify systemic fragility. Our findings reveal that financial contagion intensifies under stress, with enduring post-crisis interconnectedness, challenging traditional diversification strategies. Crucially, network topology-not just asset class-determines vulnerability: central assets demonstrate resilience to tail risks, whereas peripheral nodes face heightened susceptibility. These insights have profound implications for systemic risk monitoring, suggesting regulators prioritize real-time tracking of core-periphery linkages, while investors adjust hedging strategies to account for nonlinear contagion channels. The study advances financial network theory by unifying cross-asset spillovers within a topological framework and offers actionable tools for crisis mitigation in interconnected markets.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102511"},"PeriodicalIF":3.8,"publicationDate":"2025-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144702750","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}

引用次数: 0

Inflation shocks and the New Keynesian model: When should central banks fear inflation expectations? 通胀冲击与新凯恩斯主义模型：央行何时应该担心通胀预期？

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-07-23 DOI: 10.1016/j.najef.2025.102508

Lucio Gobbi , Ronny Mazzocchi , Roberto Tamborini

引用次数: 0

Price dynamics in artificial stock market with realistic order book mechanism 具有现实订单机制的人工股票市场的价格动态

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-07-23 DOI: 10.1016/j.najef.2025.102504

Uzay Çetin , Şükrü C. Demirtaş , Senem Çakmak Şahin

{"title":"Price dynamics in artificial stock market with realistic order book mechanism","authors":"Uzay Çetin , Şükrü C. Demirtaş , Senem Çakmak Şahin","doi":"10.1016/j.najef.2025.102504","DOIUrl":"10.1016/j.najef.2025.102504","url":null,"abstract":"<div><div>We analyzed the effect of the daily price margin on artificial stock markets. In our study, we have two distinct market scenarios: One designed to imitate a market akin to that of Türkiye, characterized by the presence of a daily price margin regulation, and the other reflecting a market resembling the United States, where orders are not subject to daily price margin constraints. With daily price margin regulations stock prices become more accessible, positively impacting market volume. We incorporated a realistic order book mechanism for keeping track of the bid and ask orders. Traders are classified as either fundamental or noise, according to their strategies. We have also established a dynamic risk level for each stock, based on its weekly transaction volumes. Only fundamentals are risk-aware. That is, they tend to order stocks with low risk and avoid high risk stocks. We have detected emerging patterns of price fluctuations within the market scenario governed by the daily price margin regulations. Risk-aware herd behavior, despite not being explicitly modeled as an input, emerges also spontaneously within the system. These patterns emerge because of the complex relationship among dynamic risk levels of stocks, risk-aware traders and the daily price margin regulation.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102504"},"PeriodicalIF":3.8,"publicationDate":"2025-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144696697","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}

引用次数: 0

An analytical approximation for European options under a Heston-type model with regime switching 带制度切换的heston型模型下欧式期权的解析逼近

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-07-22 DOI: 10.1016/j.najef.2025.102500

Wenting Chen , Xin-Jiang He

引用次数: 0

Cascading failure, financial network and systemic risk 级联失效、金融网络与系统性风险

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-07-20 DOI: 10.1016/j.najef.2025.102505

Chuangxia Huang , Hualu Miao , Xiaoguang Yang , Jie Cao , Huirui Yang

{"title":"Cascading failure, financial network and systemic risk","authors":"Chuangxia Huang , Hualu Miao , Xiaoguang Yang , Jie Cao , Huirui Yang","doi":"10.1016/j.najef.2025.102505","DOIUrl":"10.1016/j.najef.2025.102505","url":null,"abstract":"<div><div>How to accurately measure the systemic risk is one of the fundamental and challenging problems in the field of risk management. Most previous studies do not fully consider the cascading failure mechanism caused by risk co-contagion and network effects, leading to misestimation of systemic risk. We construct financial institution tail risk networks by LASSO technique and then simulating the cascading process of risk contagion by ΔCoES on the networks. By developing a general cascading failure model, this paper proposes a novel indicator, ESRank, to measure systemic risk. We apply ESRank to analyze Chinese financial institutions and the empirical results suggest that: (i) during the crisis periods, especially the 2015–2016 stock crash period, the Chinese financial system manifests a higher ESRank in comparison to normal periods; (ii) the securities sector is the largest risk contributor before the stock crash, while the diversified financial institutions have displayed increasing risk contributions afterwards; (iii) compared with the traditional systemic risk indicators such as VaR, CoVaR and SRISK, the proposed ESRank demonstrates the outstanding characteristics of better predictive and explanatory capabilities regarding institutional profitability.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102505"},"PeriodicalIF":3.8,"publicationDate":"2025-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144696696","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}

引用次数: 0

Enhanced index tracking: A relative downside risk approach 加强指数跟踪：一种相对下行风险的方法

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-07-17 DOI: 10.1016/j.najef.2025.102501

Ronghua Luo , Zeyu Huang , Yangyi Liu

引用次数: 0

Understanding the connectedness between US traditional assets and green cryptocurrencies during crises 了解危机期间美国传统资产与绿色加密货币之间的联系

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-07-16 DOI: 10.1016/j.najef.2025.102474

Nikolaos Kyriazis , Shaen Corbet

{"title":"Understanding the connectedness between US traditional assets and green cryptocurrencies during crises","authors":"Nikolaos Kyriazis , Shaen Corbet","doi":"10.1016/j.najef.2025.102474","DOIUrl":"10.1016/j.najef.2025.102474","url":null,"abstract":"<div><div>This research examines the dynamic interaction between conventional financial assets, namely the US dollar, the S&P 500 index, gold and crude oil, and ten major green cryptocurrencies, focusing on their spillover linkages and hedging capacities during major global economic and geopolitical shocks. The study analyses daily data to uncover spillover effects using the innovative Quantile-Vector Autoregressive methodology developed by <span><span>Cunado et al. (2023)</span></span>. Results indicate that green cryptocurrencies significantly interact with other examined instruments. Algorand, Cardano, IOTA, TRON and Powerledger demonstrate the largest interactive effects, with the latter standing out as a consistent transmitter of influence across both crises, demonstrating that this sub-class of cryptocurrency is exhibiting elevated maturity. Traditional assets predominantly act as receivers of such risk dynamics from more speculative asset classes, with gold identified as an effective absorber of spillovers, especially in bear markets. Conversely, the US dollar and crude oil are identified as large transmitters of spillover impacts, a result found to be particularly influential in periods of geopolitical conflict. The study further reveals that green cryptocurrencies promoting trust, innovation, and renewable energy are more effectively connected with traditional investments than those focusing on financial services or business accessibility, presenting diversification opportunities during crises.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102474"},"PeriodicalIF":3.8,"publicationDate":"2025-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144672276","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}

引用次数: 0

Quantile on quantile connectedness between safe-haven assets and stock markets: a portfolio risk perspective 避险资产与股市之间的分位数连通性：投资组合风险视角

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-07-11 DOI: 10.1016/j.najef.2025.102496

Walid Mensi , Mohamed Amine Nabli , Mouna Guesmi , Houssem Eddine Belghouthi , Sang Hoon Kang

{"title":"Quantile on quantile connectedness between safe-haven assets and stock markets: a portfolio risk perspective","authors":"Walid Mensi , Mohamed Amine Nabli , Mouna Guesmi , Houssem Eddine Belghouthi , Sang Hoon Kang","doi":"10.1016/j.najef.2025.102496","DOIUrl":"10.1016/j.najef.2025.102496","url":null,"abstract":"<div><div>This study investigates quantile-on-quantile connectedness between the stock markets of China, Europe, Japan, the UK, and the US, and safe-haven assets including gold, Bitcoin, and green bonds, employing the methodology proposed in Gabauer and Stenfors (2024). Furthermore, we examine the optimal design of investment portfolios built with these assets using Minimum Variance Portfolio, Minimum Correlation Portfolio, and Minimum Connectedness Portfolio measures. Our key findings show that reversely related quantiles show significantly stronger total connectedness than directly related ones, highlighting the significance of tail risk in portfolio management. The connectedness among these stock markets and safe haven assets is asymmetric and fluctuates over time, especially during major economic events such as the oil surplus of 2014, the Chinese economic deceleration in 2015, the COVID-19 pandemic in 2020, the Russia–Ukraine war in 2022, and the war between Israel and Hamas that began in 2023. We find that gold, Bitcoin and green bonds can act as safe havens for international equities, especially in periods of market stress, but their status depends on market conditions. A portfolio analysis indicates that Bitcoin and the Nikkei 225 index serve as effective hedges against stock market volatility, and that Bitcoin is an important portfolio component with the highest optimal weight.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102496"},"PeriodicalIF":3.8,"publicationDate":"2025-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144614195","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}

引用次数: 0

Who A(m) I? exploring quantile frequency connectedness in emerging AI and IoT token markets 我是谁？探索新兴人工智能和物联网代币市场的分位数频率连通性

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-07-08 DOI: 10.1016/j.najef.2025.102497

David Y. Aharon , Shoaib Ali , Muhammad Naveed

{"title":"Who A(m) I? exploring quantile frequency connectedness in emerging AI and IoT token markets","authors":"David Y. Aharon , Shoaib Ali , Muhammad Naveed","doi":"10.1016/j.najef.2025.102497","DOIUrl":"10.1016/j.najef.2025.102497","url":null,"abstract":"<div><div>This paper investigates the return spillover and connectedness between Artificial Intelligence (AI) and Internet of Things (IoT) tokens using the Quantile Vector Autoregression (QVAR) and quantile frequency connectedness approach. Using daily data from February 2021 to March 2024 for ten leading AI and IoT tokens, we find that connectedness is both time-varying and asymmetric across quantiles. In the short term, the Total Connectedness Index (TCI) peaks at 69.58 % under extreme market conditions (τ = 0.05), compared to 64.16 % in bull markets (τ = 0.95) and 61.43 % under normal conditions (τ = 0.50). Connectedness is weaker in the medium and long terms, but asymmetry persists as the TCI reaches 10.98 % vs. 5.32 % (medium term) and 10.52 % vs. 2.64 % (long term) for extreme vs. normal quantiles. These findings confirm that return transmission intensifies during periods of elevated market uncertainty, particularly in the left tail of the distribution. Moreover, AI and IOT tokens offer both diversification and hedging benefits against each other. Our analysis provides insights for investors, portfolio managers, and policymakers in understanding systemic risk and optimizing digital asset portfolios.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102497"},"PeriodicalIF":3.8,"publicationDate":"2025-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144604797","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}

引用次数: 0

Customer satisfaction and vertical integration 客户满意度和垂直整合

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-07-06 DOI: 10.1016/j.najef.2025.102498

Marina Murdock , Thanh Ngo , Nivine Richie

{"title":"Customer satisfaction and vertical integration","authors":"Marina Murdock , Thanh Ngo , Nivine Richie","doi":"10.1016/j.najef.2025.102498","DOIUrl":"10.1016/j.najef.2025.102498","url":null,"abstract":"<div><div>We explore the relationship between vertical integration of the firm and customer satisfaction, contributing to the emerging literature on the interaction of finance and marketing. Using the American Customer Satisfaction Index (ACSI) to measure customer satisfaction from 1995 to 2021 and the vertical integration scores gathered from <span><span>Frésard, Hoberg, & Phillips (2020)</span></span>, we find that customer satisfaction is higher for vertically integrated firms. We examine two channels—trade credit and inventory management—through which vertical integration may affect customer satisfaction. We find that increased trade credit is associated with higher levels of customer satisfaction, and this relationship is intensified for firms that are more highly integrated along the supply chain. Additionally, customer satisfaction is inversely related to inventory turnover, and this inverse relationship is mitigated by increased relatedness along the integrated supply chain. The findings suggest that control over various stages of production and distribution enables firms to better anticipate and manage inventory levels, reducing the risk of stockouts and overstocking.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102498"},"PeriodicalIF":3.8,"publicationDate":"2025-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144595900","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}

引用次数: 0