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

On completing the connectedness analysis—A bootstrap-based DCC-GARCH approach 完成连通性分析——基于bootstrap的DCC-GARCH方法

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-08-29 DOI: 10.1016/j.najef.2025.102526

Jingliang Huai , Adrian (Wai Kong) Cheung , Bin Wang

{"title":"On completing the connectedness analysis—A bootstrap-based DCC-GARCH approach","authors":"Jingliang Huai , Adrian (Wai Kong) Cheung , Bin Wang","doi":"10.1016/j.najef.2025.102526","DOIUrl":"10.1016/j.najef.2025.102526","url":null,"abstract":"<div><div>By mapping high-dimensional systems to directed weighted networks, VAR-based Diebold-Yilmaz connectedness framework provides a novel and nuanced perspective on spillovers. Nonetheless, its reliance on rolling windows and the absence of formal statistical evidence for event-based analysis may limit its applicability. To overcome these two shortcomings, this study develops an alternative connectedness framework based on the dynamic conditional correlation—generalized autoregressive conditional heteroskedasticity (DCC-GARCH) model and a bootstrap technique, augmented by a probabilistic analysis of an increase in connectedness in response to major events. We apply our framework to four major currencies against the US dollar. In terms of event probability analysis, it is observed that 15 out of the 20 identified events correspond to a probability exceeding 90% for an increase in total connectedness, which predominantly pertain to geopolitical crises, financial market collapses, and global health emergencies. Therefore, although traditional event analysis frequently capture increases in connectedness, our methodology underscores that these associations may lack statistical rigor. Beside this, we find that the total connectedness also responds instantaneously to such events with rapid dissipation or manifests a delayed reaction.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102526"},"PeriodicalIF":3.9,"publicationDate":"2025-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144925921","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

The impact of green cryptocurrency and nongreen cryptocurrency on energy markets: Evidence from geopolitical risk and higher-order moment connectedness 绿色加密货币和非绿色加密货币对能源市场的影响：来自地缘政治风险和高阶时刻连通性的证据

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-08-21 DOI: 10.1016/j.najef.2025.102527

Wan-Lin Yan , Adrian (Wai Kong) Cheung , Jiawei Yuan

{"title":"The impact of green cryptocurrency and nongreen cryptocurrency on energy markets: Evidence from geopolitical risk and higher-order moment connectedness","authors":"Wan-Lin Yan , Adrian (Wai Kong) Cheung , Jiawei Yuan","doi":"10.1016/j.najef.2025.102527","DOIUrl":"10.1016/j.najef.2025.102527","url":null,"abstract":"<div><div>Cryptocurrency market has a significant impact on energy markets due to the intensive usage of energy in the mining process. This study analyzes the impact of green and nongreen cryptocurrency markets on traditional and clean energy markets by using a TVP-VAR connectedness approach. Moreover, the higher-order moment connectedness is investigated. The empirical results show that there is a time varying connectedness between cryptocurrency and energy markets and extreme events can intensify the connectedness. The transmission of volatility spillover and return asymmetry is more obvious between nongreen cryptocurrency and energy markets, while the probability of occurring extreme events is higher between green cryptocurrency and energy markets. Energy markets act as the net shock receiver, while cryptocurrencies are mainly the net shock transmitters in each order moment connectedness. The impact of geopolitical acts is mostly negative and the moderating impact of geopolitical threats on skewness is different between green and nongreen cryptocurrencies. This study significantly contributes to a deeper understanding of the impacts of green and non-green cryptocurrencies on energy markets, which has significant implications for investors and policymakers.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102527"},"PeriodicalIF":3.9,"publicationDate":"2025-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144893666","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

Corporate cash value and ESG management: Panel data analyses of stock indices across countries 企业现金价值与ESG管理：各国股票指数的面板数据分析

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-08-18 DOI: 10.1016/j.najef.2025.102521

Kei-Ichiro Inaba

引用次数: 0

Systemically important commodity futures in China 中国具有系统重要性的大宗商品期货

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-08-18 DOI: 10.1016/j.najef.2025.102525

Yang Chen , Mengxia Xu , Qing Liu

{"title":"Systemically important commodity futures in China","authors":"Yang Chen , Mengxia Xu , Qing Liu","doi":"10.1016/j.najef.2025.102525","DOIUrl":"10.1016/j.najef.2025.102525","url":null,"abstract":"<div><div>To depict the increasing interdependence of commodity prices and thus higher systemic risk under financialization, this paper investigates the risk spillover levels in the Chinese commodity futures market using the TENET model and directed acyclic graphs, based on which it innovatively identifies Systemically Important Commodity Futures (SICFs). This paper demonstrates the commodity financialization in China, and finds that agricultural futures are SICFs. This finding is robust across years, financial cycles, business cycles, and even other tail-dependence indicators. The paper provides several regulatory takeaways: Firstly, financialization has amplified price interconnections among commodity networks, elevating the probability of systemic risk. Accordingly, regulatory authorities should expand their oversight to include SICFs, in addition to the traditional Systemically Important Financial Institutions (SIFIs). Secondly, agricultural futures are identified as SICFs, underscoring the need for diligent monitoring and attention. Moreover, enhancing cross-border and cross-market risk coordination mechanisms is essential to mitigate systemic risk.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102525"},"PeriodicalIF":3.9,"publicationDate":"2025-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144902558","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

Extreme weather events as the main driver of electricity price volatility in Italy: A GARCH-MIDAS approach with machine learning-based variable selection 极端天气事件是意大利电价波动的主要驱动因素：基于机器学习变量选择的GARCH-MIDAS方法

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-08-13 DOI: 10.1016/j.najef.2025.102512

Marco Guerzoni , Luigi Riso , M. Grazia Zoia

{"title":"Extreme weather events as the main driver of electricity price volatility in Italy: A GARCH-MIDAS approach with machine learning-based variable selection","authors":"Marco Guerzoni , Luigi Riso , M. Grazia Zoia","doi":"10.1016/j.najef.2025.102512","DOIUrl":"10.1016/j.najef.2025.102512","url":null,"abstract":"<div><div>This paper investigates the impact of extreme weather events on electricity price volatility in Italy, employing a novel combination of advanced econometric techniques and a robust variable selection process. First, we provide empirical evidence that extreme weather events significantly predict electricity price volatility. We compile a comprehensive set of economic and financial variables known in the literature to influence electricity price volatility and apply the Best Path Algorithm (BPA) for variable selection, identifying the most relevant predictors. A Granger causality analysis of the selected variables confirms that extreme weather events not only emerge as the primary factor driving volatility but also exhibit a clear unidirectional causal relationship.</div><div>Second, we integrate weather variables into a GARCH-MIDAS model, to combine high-frequency electricity price data with low-frequency climate data, thereby capturing both short- and long-term volatility components. Additionally, we incorporate external shocks—such as the Russia–Ukraine war—as exogenous variables to account for broader geopolitical influences on the energy market. Our findings underscore the substantial predictive power of extreme weather events and external shocks on electricity price dynamics.</div><div>This study enhances forecasting capabilities for policymakers and energy stakeholders, highlighting the urgent need for resilient energy market planning. Future research may extend this methodology to other regions and incorporate additional variables to further improve predictive accuracy.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102512"},"PeriodicalIF":3.9,"publicationDate":"2025-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144885788","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

Heterogeneous beliefs with information processing constraints and asset pricing in presence of non-tradable goods 具有信息处理约束和非贸易商品资产定价的异质信念

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-08-12 DOI: 10.1016/j.najef.2025.102520

Hailong Wang , Duni Hu

引用次数: 0

Corporate investment amid trade policy uncertainty: Past lessons, future presidency 贸易政策不确定性下的企业投资：过去的教训，未来的总统

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-08-11 DOI: 10.1016/j.najef.2025.102514

Vaibhav Keshav

引用次数: 0

Can volatility spread fully capture the put–call parity violation? 波动率价差能否完全捕捉到买卖权平价的违规行为？

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-08-11 DOI: 10.1016/j.najef.2025.102493

Shican Liu , Songping Zhu

引用次数: 0

Unveiling the bright side of rice-farming culture in shaping innovation: Evidence from Chinese listed firms 揭示水稻种植文化在塑造创新中的光明一面：来自中国上市公司的证据

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-08-09 DOI: 10.1016/j.najef.2025.102522

Xiaoliang Zhang , Qilin Wang , Xin Wang

{"title":"Unveiling the bright side of rice-farming culture in shaping innovation: Evidence from Chinese listed firms","authors":"Xiaoliang Zhang , Qilin Wang , Xin Wang","doi":"10.1016/j.najef.2025.102522","DOIUrl":"10.1016/j.najef.2025.102522","url":null,"abstract":"<div><div>This study aims to unveil the bright side of rice-farming culture in driving firm innovation and discuss the possible underlying mechanisms. Using hand-collected city-level data on rice cultivation, we examine the impact of regional rice-farming culture on the innovation activities of Chinese listed companies. The results show that firms located in regions with stronger rice-farming culture intensity exhibit both higher innovation quantity and quality, as evidenced by an increased number of patent applications and citations. These findings persist across a variety of robustness tests. Mechanism tests indicate that rice-farming culture fosters institutional collectivism and facilitates innovation through two channels: reducing agency costs and enhancing collaborative innovation. The positive impact of rice-farming culture on firm innovation is more pronounced in regions with weaker legal environment, slower urbanization process, and limited exposure to foreign cultural influence. Additionally, firms located in rice-cultivating areas are more likely to appoint CEOs from these regions, which further correlates with higher innovation output. Moreover, rice-farming culture facilitates the translation of innovation into improved financial performance. Overall, this study sheds light on the role of informal institutions in shaping firm innovation, offering valuable insights into the cultural foundations of economic behavior.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102522"},"PeriodicalIF":3.9,"publicationDate":"2025-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144852734","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 : 2025-08-08 DOI: 10.1016/j.najef.2025.102524

Long Guo, Li-Xin Zhong

引用次数: 0