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Foreign exchange option pricing with a three-factor Heston model with regime switching and stochastic interest rate 具有制度切换和随机利率的三因素赫斯顿模型的外汇期权定价
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2025-09-01 Epub Date: 2025-06-06 DOI: 10.1016/j.najef.2025.102470
Xin-Jiang He , Sha Lin
{"title":"Foreign exchange option pricing with a three-factor Heston model with regime switching and stochastic interest rate","authors":"Xin-Jiang He ,&nbsp;Sha Lin","doi":"10.1016/j.najef.2025.102470","DOIUrl":"10.1016/j.najef.2025.102470","url":null,"abstract":"<div><div>This paper introduces a novel three-factor model for pricing foreign exchange options, incorporating the dynamics of stochastic volatility, stochastic interest rates, and regime switching. The model is developed by combining the Heston stochastic volatility framework with a regime switching volatility model, where both domestic and foreign interest rates follow the Hull–White model. This approach offers several advantages, such as the effective inclusion of regime switching and the correlation between exchange rates and interest rates, while maintaining analytical tractability. The pricing formula is derived by first obtaining the characteristic function of the underlying exchange rate using measure transformation. This formula is then numerically validated, and its application is demonstrated to analyze the impact of the regime switching factors. Furthermore, an empirical analysis using real market data is conducted to assess the practical relevance of incorporating these regime switching elements into the model.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102470"},"PeriodicalIF":3.8,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144240422","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
Forecasting Value-at-Risk and Expected Shortfall using penalized quantile regressions with mixed-frequency data 使用混合频率数据的惩罚分位数回归预测风险价值和预期不足
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2025-09-01 Epub Date: 2025-06-02 DOI: 10.1016/j.najef.2025.102466
Lu Li, Degao Li, Li Liu, Linjun Tang
{"title":"Forecasting Value-at-Risk and Expected Shortfall using penalized quantile regressions with mixed-frequency data","authors":"Lu Li,&nbsp;Degao Li,&nbsp;Li Liu,&nbsp;Linjun Tang","doi":"10.1016/j.najef.2025.102466","DOIUrl":"10.1016/j.najef.2025.102466","url":null,"abstract":"<div><div>Value-at-Risk (VaR) and Expected Shortfall (ES), as two essential tools for risk management, have received widespread attention for their ability to provide financial institutions with a quantitative measure of potential losses. This paper considers a mixed-frequency quantile regression model to enhance the accuracy of VaR and ES predictions. We propose a multi-step estimation procedure based on penalized quantile regression methods and establish a goodness-of-fit test using a bootstrap approach. Simulation studies demonstrate that the Elastic Net penalized quantile regression performs well in identifying significant lags in time series data with high correlations, and our proposed bootstrap testing approach performs effectively. Empirical results from three representative Asian stock markets indicate that our methods achieve high accuracy in VaR and ES predictions.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102466"},"PeriodicalIF":3.8,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144240425","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
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 : 2025-09-01 Epub 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 ,&nbsp;Hualu Miao ,&nbsp;Xiaoguang Yang ,&nbsp;Jie Cao ,&nbsp;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":"2025-09-01","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
Legal shifts and corporate strategy: The impact of China’s New Securities Law on earnings management 法律变迁与公司战略：中国新证券法对盈余管理的影响
IF 3.9 3区 经济学
North American Journal of Economics and Finance Pub Date : 2025-09-01 Epub Date: 2025-08-05 DOI: 10.1016/j.najef.2025.102507
Yikai Zhao, Shutong Zhang , Xinyi Geng
{"title":"Legal shifts and corporate strategy: The impact of China’s New Securities Law on earnings management","authors":"Yikai Zhao,&nbsp;Shutong Zhang ,&nbsp;Xinyi Geng","doi":"10.1016/j.najef.2025.102507","DOIUrl":"10.1016/j.najef.2025.102507","url":null,"abstract":"<div><div>This study examines the impact of China’s New Securities Law (NSL) on real earnings management (REM) practices among listed companies. Employing a difference-in-differences (DID) approach, we find that the implementation of NSL significantly reduces REM activities. Our results remain robust after addressing concerns about unobserved confounders and a series of robustness checks. Further analysis shows that this effect is driven by enhanced internal control, improved audit quality, and increased retail investor monitoring. The reduction in REM is more pronounced in SOEs, firms with stronger board independence, abnormal audit fees, and higher executive pay. These findings highlight the policy significance of broad legal reforms beyond accounting standards in shaping corporate behavior and governance in emerging markets.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102507"},"PeriodicalIF":3.9,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144779948","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
A runs test for stock-market prices with an unobserved trend 用未观察到的趋势对股票市场价格进行的运行测试
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2025-09-01 Epub Date: 2025-06-04 DOI: 10.1016/j.najef.2025.102469
Nils Herger
{"title":"A runs test for stock-market prices with an unobserved trend","authors":"Nils Herger","doi":"10.1016/j.najef.2025.102469","DOIUrl":"10.1016/j.najef.2025.102469","url":null,"abstract":"<div><div>To test whether stock-market prices follow a random walk, the algebraic signs of their returns have been analyzed like a sequence of coin tosses. Similar to coin tosses, which represent Bernoulli trials with equiprobable outcomes, signed returns lend themselves for a simple runs test for randomness. However, stock-market prices typically comprise an unobserved trend implying that even under pure randomness positive and negative returns are not necessarily equally probable. Therefore, it is difficult to infer the behavior of stock-market prices from the traditional runs test. Fortunately, the von Neumann algorithm allows to transform tosses of a potentially unfair coin, meaning that it could suffer from an unknown bias, into equiprobable outcomes. This is done by tossing the coin twice and retaining only the first observation when different outcomes arise. Applying the same “trick” to pairs across a sequence of signed stock-market returns paves the way for a runs test that is robust to the effects of constant, unobserved trends.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102469"},"PeriodicalIF":3.8,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144254059","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 : 2025-09-01 Epub Date: 2025-07-23 DOI: 10.1016/j.najef.2025.102508
Lucio Gobbi , Ronny Mazzocchi , Roberto Tamborini
{"title":"Inflation shocks and the New Keynesian model: When should central banks fear inflation expectations?","authors":"Lucio Gobbi ,&nbsp;Ronny Mazzocchi ,&nbsp;Roberto Tamborini","doi":"10.1016/j.najef.2025.102508","DOIUrl":"10.1016/j.najef.2025.102508","url":null,"abstract":"<div><div>When inflation picks up, central banks fear that de-anchored expectations trigger ever increasing inflation, but this scenario does not materialize in the standard New Keynesian (NK) blueprint for central banks. Divergent inflation processes may result introducing boundedly rational beliefs about future inflation that de-anchor endogenously, together with indexed wages and persistent shocks. However, by means of simulations of the model, we find that the relevant parameters should be far beyond their consensus empirical values. Either the concern with the de-anchoring of inflation expectations is overrated or it should be given different theoretical underpinnings than the NK ones.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102508"},"PeriodicalIF":3.8,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144713596","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
Risk spillover and hedging effects between stock markets and cryptocurrency markets depending upon network analysis 基于网络分析的股票市场和加密货币市场之间的风险溢出和对冲效应
IF 3.9 3区 经济学
North American Journal of Economics and Finance Pub Date : 2025-09-01 Epub Date: 2025-08-08 DOI: 10.1016/j.najef.2025.102524
Long Guo, Li-Xin Zhong
{"title":"Risk spillover and hedging effects between stock markets and cryptocurrency markets depending upon network analysis","authors":"Long Guo,&nbsp;Li-Xin Zhong","doi":"10.1016/j.najef.2025.102524","DOIUrl":"10.1016/j.najef.2025.102524","url":null,"abstract":"<div><div>How to refrain from being affected by external shocks is a fascinating but intriguing problem in financial markets. Depending upon multilayer network analysis, we investigate the risk spillover between stock markets and cryptocurrency markets. Additionally, by constructing portfolios including green and dirty cryptocurrencies, we examine whether the existence of cryptocurrency markets helps stabilize the asset prices in the whole world. The results indicate that the effects of risk spillovers between cryptocurrency markets and stock markets exhibit regional differences, including risk spillover direction and risk spillover intensity. By comparing the price stability of different portforlios, we find that the portforlios with green and dirty cryptocurrencies exhibit greater hedge effectiveness than the portforlios without cryptocurrencies, which confirms the positive role of cryptocurrency markets in stabilizing the global asset markets.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102524"},"PeriodicalIF":3.9,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144829946","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
Oil price shocks and green investments: Upside risks, hedging, and safe-haven properties 油价冲击与绿色投资：上行风险、对冲和避险资产
IF 3.9 3区 经济学
North American Journal of Economics and Finance Pub Date : 2025-09-01 Epub Date: 2025-07-14 DOI: 10.1016/j.najef.2025.102502
Nedal Al-Fayoumi , Bana Abuzayed , Elie Bouri , Nadia Arfaoui
{"title":"Oil price shocks and green investments: Upside risks, hedging, and safe-haven properties","authors":"Nedal Al-Fayoumi ,&nbsp;Bana Abuzayed ,&nbsp;Elie Bouri ,&nbsp;Nadia Arfaoui","doi":"10.1016/j.najef.2025.102502","DOIUrl":"10.1016/j.najef.2025.102502","url":null,"abstract":"<div><div>This study investigates the systemic risk spillover from various oil price shocks (demand, supply, and risk) to several green investments covering sustainable, ESG, clean technology, carbon market, clean energy, and green bonds and assesses the hedging and safe-haven roles of these green investments against oil shocks. Based on daily data from January 4, 2012 to September 20, 2022, oil prices are decomposed and a dynamic conditional correlation model is used to assess conditional value-at-risk (CoVaR) as a measure of upper risk spillover from each oil price shock to green investments. The hedging and safe-haven roles of the green investments are examined, especially during the COVID-19 pandemic and Russia-Ukraine conflict. The results show that all upper CoVaRs resulting from oil demand shocks exceed the investment’s upper tail VaRs during Phase 1 of COVID-19, indicating a significant oil demand shock risk spillover to all green investments. During Phase 2 of COVID-19 and the Russia-Ukraine conflict, only some investments are influenced by demand oil shocks. When oil supply and risk shocks rise, the upside risk of all green investments tends to be mitigated, suggesting that, during unstable periods, investors should seek green investments to mitigate the risk spillovers of these two oil shocks. Further analysis indicates that the majority of green investments serve as diversifiers for oil demand shocks, and act as hedges against oil supply and risk shocks. However, only a few of these green investments are strong safe havens.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102502"},"PeriodicalIF":3.9,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144827341","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
Real estate as an inflation hedge: new evidence from an international analysis 房地产作为通胀对冲：来自国际分析的新证据
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2025-09-01 Epub Date: 2025-06-15 DOI: 10.1016/j.najef.2025.102488
Jan Muckenhaupt , Martin Hoesli , Bing Zhu
{"title":"Real estate as an inflation hedge: new evidence from an international analysis","authors":"Jan Muckenhaupt ,&nbsp;Martin Hoesli ,&nbsp;Bing Zhu","doi":"10.1016/j.najef.2025.102488","DOIUrl":"10.1016/j.najef.2025.102488","url":null,"abstract":"<div><div>Assets’ capability to hedge against inflation has again come to the forefront given the recent surge in inflation. This paper investigates the inflation-hedging capability of an important asset class, i.e., real estate, using data from 1990 to the end of 2023 across six countries. By using a Panel Markov switching vector error correction model (MS-VECM), we identify the hedging ability of real estate in crisis and non-crisis periods, both in the short and long term. Real estate provides an effective hedge against inflation in the long run, both in crisis and non-crisis periods. In the short term, real estate securities only hedge against inflation in stable periods, but direct real estate also shows desirable inflation hedging in crisis periods. Real estate (both direct and securitized) effectively serves as a hedge against inflation shocks, particularly protecting against unexpected inflation and against energy inflation during stable periods. While stocks surpass real estate (both direct and securitized) in long-term inflation protection and real estate has short-term benefits, gold distinguishes itself by offering reliable long-run protection, but only in economic downturns. The results should provide important insights to investors seeking to allocate resources more efficiently in those turbulent times, both over the short and long term.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102488"},"PeriodicalIF":3.8,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144322182","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 : 2025-09-01 Epub Date: 2025-07-17 DOI: 10.1016/j.najef.2025.102501
Ronghua Luo , Zeyu Huang , Yangyi Liu
{"title":"Enhanced index tracking: A relative downside risk approach","authors":"Ronghua Luo ,&nbsp;Zeyu Huang ,&nbsp;Yangyi Liu","doi":"10.1016/j.najef.2025.102501","DOIUrl":"10.1016/j.najef.2025.102501","url":null,"abstract":"<div><div>We introduce the Relative Downside Tracking Error (RDTE) model, a dynamic enhanced indexing method that adapts to the time-varying and mean-reverting nature of market volatility. The RDTE model dynamically adjusts the weights assigned to downside deviations based on market volatility, allowing for greater flexibility during high-volatility periods. This flexibility helps the model reduce the emphasis on short-term fluctuations, focusing instead on minimizing overall downside risk. By doing so, the model effectively controls portfolio distortion, leading to more stable long-term performance. Empirical analyses of U.S. and Chinese stock markets demonstrate that the RDTE model consistently outperforms traditional models, delivering higher returns, lower downside risk, and better risk-adjusted performance. This outperformance is driven by the RDTE model’s effective downside risk management during volatile periods, as confirmed by its superior long-term performance in both markets.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102501"},"PeriodicalIF":3.8,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144672275","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
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