North American Journal of Economics and Finance最新文献_第2页

Oil price uncertainty and macro-financial systemic risk 油价不确定性与宏观金融系统性风险

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-01-27 DOI: 10.1016/j.najef.2026.102596

Zongming Liu , Wenhui Shi

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Forecasting realized volatility using HAR models and wavelet decomposition: A volatility-timing perspective 利用HAR模型和小波分解预测已实现的波动率：一个波动率时序的视角

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-02-17 DOI: 10.1016/j.najef.2026.102605

Adam Clements , Puneet Vatsa

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The debt-growth nexus in Canada: evidence from an open-economy ARDL model 加拿大的债务增长关系：来自开放经济的ARDL模型的证据

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2025-12-29 DOI: 10.1016/j.najef.2025.102574

George K. Zestos , Yixiao Jiang , Robert C. Winder , Charles Matzen

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Corrigendum to “Dynamic distortions of the security market line: Evidence from asymmetric volatility and regime-switching models” [N. Am. J. Econ. Financ. 82 (2026) 102566] “证券市场线的动态扭曲：来自不对称波动和制度转换模型的证据”[N]。点。j .经济学。金融。82 (2026)102566]

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-02-11 DOI: 10.1016/j.najef.2026.102598

Hatem Brik

引用次数: 0

Quantile connectedness among green and dirty cryptocurrencies and North American clean technology and ESG 绿色和肮脏的加密货币与北美清洁技术和ESG之间的分位数联系

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-02-27 DOI: 10.1016/j.najef.2026.102610

Monica Singhania , Surabhi Seth , Chanchal Saini

{"title":"Quantile connectedness among green and dirty cryptocurrencies and North American clean technology and ESG","authors":"Monica Singhania , Surabhi Seth , Chanchal Saini","doi":"10.1016/j.najef.2026.102610","DOIUrl":"10.1016/j.najef.2026.102610","url":null,"abstract":"<div><div>We investigate volatility spillovers between green and dirty cryptocurrencies and North American clean technology and ESG equity using a quantile time–frequency connectedness approach. Leveraging an energy-efficiency-based classification of cryptocurrencies, we examine their dynamic interactions with sustainability-focused equity markets. The results reveal that connectedness varies across quantiles and time horizons, with heightened short-run spillovers during market stress. Bitcoin, Ethereum, and Cardano alternate between transmitter and receiver roles across regimes, whereas Ripple more consistently acts as a net receiver. Clean-technology and ESG equities exhibit state-dependent behaviour, shifting between shock absorption and propagation during systemic disruptions. Determinants analysis indicates that macro-financial uncertainty measures display horizon-specific associations with spillovers, while connectedness itself exhibits strong persistence, underscoring the path-dependent nature of systemic risk. Translating these findings into portfolio strategies, we show that minimum connectedness portfolios provide improved downside protection relative to traditional minimum variance and minimum correlation approaches during high-spillover states. By focusing on North American clean technology markets and situating the analysis within major systemic episodes, including the COVID-19 pandemic, the Russia-Ukraine conflict, the 2022–2023 monetary tightening cycle, the Terra-Luna and FTX-led crypto crises, and Ethereum’s energy transition from dirty to clean cryptocurrency post-merge in September 2022, the study offers a regionally grounded assessment of how North American climate-aligned equities and digital assets co-evolve under stress. The results offer valuable insights for investors and policymakers navigating increasingly climate-sensitive and digitally integrated financial systems.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"83 ","pages":"Article 102610"},"PeriodicalIF":3.9,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147397455","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

MRN-based connectedness: A nonlinear approach for capturing systemic risk dynamics in financial systems 基于核磁共振的连通性：捕捉金融系统系统性风险动态的非线性方法

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-01-08 DOI: 10.1016/j.najef.2025.102572

Shijia Song , Handong Li

{"title":"MRN-based connectedness: A nonlinear approach for capturing systemic risk dynamics in financial systems","authors":"Shijia Song , Handong Li","doi":"10.1016/j.najef.2025.102572","DOIUrl":"10.1016/j.najef.2025.102572","url":null,"abstract":"<div><div>Measuring connectedness among financial institutions is critical for monitoring systemic risk, understanding its formation and transmission, identifying key institutions, and formulating effective regulatory policies. Traditional methods, often based on parametric models, typically represent financial relationships using linear correlations or rely on idealized nonlinear mappings, limiting their ability to capture the inherent nonlinear dynamics and complex interdependencies in financial systems. To address this limitation, this study constructs connectedness indicators using multiplex recurrence networks (MRNs). The MRN-based approach embeds time series into phase space to capture their temporal structures and leverages mutual information to quantify nonlinear dependencies among institutions. Additionally, it requires minimal preprocessing, avoids strong assumptions, and reduces reliance on precise parameter estimation. Simulation experiments demonstrate that the MRN-based approach effectively captures changes in tail dependencies across multidimensional returns, closely reflecting systemic risk dynamics. Empirical analyses of China’s publicly listed banks further illustrate its ability to track the evolution of systemic risk, identify systemically important banks, and highlight the increasing role of state-owned banks in economic adjustments. These results suggest that the MRN-based method offers advantages over VAR-based approaches, providing a more nuanced and timely reflection of systemic risk. By emphasizing the nonlinear characteristics of financial variables, this study complements prudential regulatory tools and enhances the understanding of systemic risk evolution in complex financial systems.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"83 ","pages":"Article 102572"},"PeriodicalIF":3.9,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145941115","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

Economic uncertainty, shadow banking, and systemic risk: A perspective of interbank network structure analysis 经济不确定性、影子银行与系统性风险：银行间网络结构分析的视角

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-02-05 DOI: 10.1016/j.najef.2026.102600

Hongjie Pan, Zhaojie Wang, Hejie Zhang, Shusheng Ding

{"title":"Economic uncertainty, shadow banking, and systemic risk: A perspective of interbank network structure analysis","authors":"Hongjie Pan, Zhaojie Wang, Hejie Zhang, Shusheng Ding","doi":"10.1016/j.najef.2026.102600","DOIUrl":"10.1016/j.najef.2026.102600","url":null,"abstract":"<div><div>The onset of a “Trump 2.0” era is expected to usher a new wave of global economic uncertainty, exerting profound effects on shadow banking activities and impacting systemic risk. Motivated by these concerns, we examine the dynamic evolution of systemic risk across various interbank network structures to investigate how economic uncertainty and shadow banking interact to propagate and accumulate risk. Our findings reveal that heightened economic uncertainty significantly amplifies the systemic risk posed by shadow banking, while shadow banking activities, in turn, increase the banking system’s sensitivity to economic fluctuations. Under minimal to intermediate economic uncertainty, uniformly connected networks exhibit greater risk resilience. However, in a substantial economic uncertainty environment, network structures featuring core hubs demonstrates superior stability. Furthermore, the rise in economic uncertainty diminishes the positive influence of shadow banking on bank liquidity, profitability, and investment opportunities, markedly lowering the bank survival rate and increasing the need for central bank interventions. Asset loss stress tests further indicate that elevated economic uncertainty severely weakens the resilience of interbank networks, with intense shocks risking systemic dysfunction and collapse.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"83 ","pages":"Article 102600"},"PeriodicalIF":3.9,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146188687","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

Causal structure of international stock markets 国际股票市场的因果结构

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-02-05 DOI: 10.1016/j.najef.2026.102599

Li Cai , Jiachen Liu

引用次数: 0

Entropy-Based portfolio optimization under Varma–Tsallis Statistics: Evidence from stock markets Varma-Tsallis统计下基于熵的投资组合优化：来自股票市场的证据

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-01-03 DOI: 10.1016/j.najef.2026.102581

Muhammad Sheraz , Mihăiță Drăgan , Vasile Preda

{"title":"Entropy-Based portfolio optimization under Varma–Tsallis Statistics: Evidence from stock markets","authors":"Muhammad Sheraz , Mihăiță Drăgan , Vasile Preda","doi":"10.1016/j.najef.2026.102581","DOIUrl":"10.1016/j.najef.2026.102581","url":null,"abstract":"<div><div>In this paper, we propose a novel entropic portfolio model inspired by Cover’s universal portfolio framework, incorporating Tsallis statistics to generalize the traditional approach. Utilizing an <span><math><mrow><mo>(</mo><mi>a</mi><mo>,</mo><mi>b</mi><mo>)</mo></mrow></math></span>-deformed logarithmic function derived from Tsallis entropy, we introduce the concept of <span><math><mrow><mo>(</mo><mi>a</mi><mo>,</mo><mi>b</mi><mo>)</mo></mrow></math></span>-growth rate for stock market portfolios and extend it to the Varma–Tsallis entropic framework. Within this setting, we define the optimal <span><math><mrow><mo>(</mo><mi>a</mi><mo>,</mo><mi>b</mi><mo>)</mo></mrow></math></span>-growth rate and derive the growth-optimal portfolio that maximizes terminal <span><math><mrow><mo>(</mo><mi>a</mi><mo>,</mo><mi>b</mi><mo>)</mo></mrow></math></span>-wealth over <span><math><mi>n</mi></math></span>-trading periods. We further establish the asymptotic optimality of our approach, proving that the generalized logarithmic utility portfolio achieves expected returns at least as high as any other strategy under this entropy-based paradigm, ensuring long-run performance dominance. By introducing parameters that govern tail sensitivity and non-extensive entropy effects, our model provides a flexible alternative to conventional strategies. Empirical analyses demonstrate that the Varma–Tsallis portfolio not only adapts more effectively to complex market dynamics but also delivers competitive and often superior performance relative to benchmark Cover’s portfolio strategies, particularly during periods of financial turbulence.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"83 ","pages":"Article 102581"},"PeriodicalIF":3.9,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145898045","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

Can bank regulatory technology alleviate financial mismatch? Causal evidence from double-debiased machine learning on bank-firm matched data 银行监管技术能否缓解金融错配？双去偏机器学习对银行-公司匹配数据的因果证据

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-02-20 DOI: 10.1016/j.najef.2026.102604

Yawen Li , Yufei Xia , Huiyi Shi , Lingyun He , Yinguo Li

{"title":"Can bank regulatory technology alleviate financial mismatch? Causal evidence from double-debiased machine learning on bank-firm matched data","authors":"Yawen Li , Yufei Xia , Huiyi Shi , Lingyun He , Yinguo Li","doi":"10.1016/j.najef.2026.102604","DOIUrl":"10.1016/j.najef.2026.102604","url":null,"abstract":"<div><div>Financial mismatch (FM) remains a major challenge for firms, especially amid information asymmetry. The emergence of bank regulatory technology (RegTech) is reshaping regulation and risk management in banking. Utilizing a panel dataset of bank-firm matched loan-level data from 2014 to 2023, we employ double-debiased machine learning to provide empirical evidence that bank RegTech significantly reduces firms’ FM: one-standard-deviation increase in bank RegTech corresponds to at least a 2.29% reduction in the FM. This effect operates through three main channels: improved information transparency, eased financing constraints, and reduced managerial performance pressure. Investor attention amplifies the mitigating impact of bank RegTech on FM. The effects are heterogeneous, with more pronounced impacts observed among non-state-owned enterprises, high-tech firms, firms in less competitive industries, and firms with established bank-firm relationships. Results hold after rigorous robustness validation. Finally, we further demonstrate that reduced FM leads to lower operational risk and a decline in corporate financialization.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"83 ","pages":"Article 102604"},"PeriodicalIF":3.9,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147397451","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