North American Journal of Economics and Finance最新文献_第3页

Productivity responses of high-tech firms to monetary policy 高科技企业生产率对货币政策的反应

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.2025.102519

M. Jahangir Alam

引用次数: 0

Can we put green bonds in a single basket? 我们能把绿色债券放在一个篮子里吗？

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-08-07 DOI: 10.1016/j.najef.2025.102518

Mobeen Ur Rehman , Neeraj Nautiyal , Rami Zeitun , Xuan Vinh Vo , Mamdouh Abdulaziz Saleh Al-Faryan

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 : 2025-08-05 DOI: 10.1016/j.najef.2025.102507

Yikai Zhao, Shutong Zhang , Xinyi Geng

引用次数: 0

Revisiting the hedging and safe haven roles of gold: Evidence from quantile-on-quantile approach 重新审视黄金的对冲和避险作用：来自分位数方法的证据

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-07-30 DOI: 10.1016/j.najef.2025.102516

Feipeng Zhang , Yuhan Ma , Xu Liu , Xiaoying Zhou

{"title":"Revisiting the hedging and safe haven roles of gold: Evidence from quantile-on-quantile approach","authors":"Feipeng Zhang , Yuhan Ma , Xu Liu , Xiaoying Zhou","doi":"10.1016/j.najef.2025.102516","DOIUrl":"10.1016/j.najef.2025.102516","url":null,"abstract":"<div><div>This paper provides a comprehensive reassessment of gold’s role as a safe haven, hedge, and portfolio diversifier across the stock markets of G7 and E7 countries from January 1, 2000, to December 31, 2024. We employ an integrated empirical framework, combining quantile-on-quantile (QQ) regression, causality-in-quantiles testing, and the cross-quantilogram method. This approach allows us to capture asymmetric and heterogeneous dependencies across the joint distribution of gold and stock returns. The findings reveal that gold acts as a safe haven during market downturns in most G7 countries, particularly where gold comprises a large share of official reserves. In contrast, gold typically serves as a diversifier in E7 countries. However, under specific asymmetric market conditions, gold exhibits hedging or safe-haven behavior in some E7 countries, such as Turkey, India, and Brazil. The results also highlight the role of gold reserve composition in enhancing gold’s safe-haven properties. In countries with substantial official gold holdings, gold demonstrates more robust safe-haven capabilities. The causality-in-quantiles analysis further confirms bidirectional and nonlinear predictive relationships across quantiles, while recursive and sub-sample QQ estimations indicate that the safe-haven function of gold is time-varying and evolves in response to systemic shocks. These findings provide valuable insights for both investors and policymakers by highlighting the varying effectiveness of gold as a risk management instrument across various markets and economic conditions, emphasizing the importance of tailored strategies in uncertain financial environments.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102516"},"PeriodicalIF":3.9,"publicationDate":"2025-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144772434","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

Volatility spillovers in forex markets and the role of quantitative easing 外汇市场波动溢出效应与量化宽松的作用

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-07-30 DOI: 10.1016/j.najef.2025.102515

Syed Jawad Hussain Shahzad , Thi Hong Van Hoang , Massimiliano Caporin , Nader Naifar

{"title":"Volatility spillovers in forex markets and the role of quantitative easing","authors":"Syed Jawad Hussain Shahzad , Thi Hong Van Hoang , Massimiliano Caporin , Nader Naifar","doi":"10.1016/j.najef.2025.102515","DOIUrl":"10.1016/j.najef.2025.102515","url":null,"abstract":"<div><div>This research aims to investigate the volatility spillover relationship among 20 major currencies, using a dataset of 5-minute exchange rates over the 2012–2023 period. Its contribution is based on the combination of both asymmetric and time–frequency aspects while including a regression analysis to examine the impact of the COVID-19 pandemic and quantitative easing on this volatility spillover. The empirical results show a high degree of volatility spillovers in the foreign exchange market, especially for currencies in the same geographical area. These volatility spillovers were highest during the first wave of the COVID-19 pandemic in early 2020, much higher than at the start of the Ukraine-Russia war in early 2022. Significantly, the COVID-19 pandemic only affects negative volatility spillovers. In addition, quantitative easing is an important determinant of volatility spillovers in the foreign exchange market. However, its effect on volatility spillovers differs across time horizons, being negative in the short run and positive in the long run. This finding implies that policymakers should consider the long-term effects of quantitative easing when designing such a policy and when using it as a short-term solution in times of crisis.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102515"},"PeriodicalIF":3.9,"publicationDate":"2025-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144888732","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

Asymmetric spillovers of climate policy uncertainty on financial markets – Evidence from China 气候政策不确定性对金融市场的不对称溢出效应——来自中国的证据

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-07-29 DOI: 10.1016/j.najef.2025.102513

Qiang Liu , Ting Liu , Chen Xu

{"title":"Asymmetric spillovers of climate policy uncertainty on financial markets – Evidence from China","authors":"Qiang Liu , Ting Liu , Chen Xu","doi":"10.1016/j.najef.2025.102513","DOIUrl":"10.1016/j.najef.2025.102513","url":null,"abstract":"<div><div>Climate change is one of the greatest challenges of the 21st century, with its uncertainty significantly impacting financial stability. This study examines the spillover effects of China’s climate policy uncertainty on the stock, money, bond, foreign exchange and futures markets, using data from October 2006 to August 2024 and applying the QVAR-DY spillover index method. The findings reveal: (1) Extreme conditions amplify the spillover effects of China’s climate policy uncertainty on financial markets, especially during market booms. (2) The static analysis shows that under normal conditions, the largest spillovers are seen in the bond and futures markets. Under extreme conditions, the bond market is the most affected. Dynamic analysis shows that spillovers increase significantly during climate events (Copenhagen Summit, Carbon Peaking and Carbon Neutrality Goals). During market downturns, the bond market is impacted most; during market booms, the money market is more susceptible. (3) Net spillover analysis finds significant positive net spillovers to financial sub-markets during market booms. The findings guide efforts to manage climate policy uncertainty and reduce systemic financial risks.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102513"},"PeriodicalIF":3.9,"publicationDate":"2025-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144888731","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

Dynamic spillover analysis between FX and cryptocurrency markets across different market conditions: A quantile VAR approach 外汇和加密货币市场在不同市场条件下的动态溢出分析：分位数VAR方法

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-07-28 DOI: 10.1016/j.najef.2025.102503

Young-Sung Kim , Dong-Jun Kim , Sun-Yong Choi

{"title":"Dynamic spillover analysis between FX and cryptocurrency markets across different market conditions: A quantile VAR approach","authors":"Young-Sung Kim , Dong-Jun Kim , Sun-Yong Choi","doi":"10.1016/j.najef.2025.102503","DOIUrl":"10.1016/j.najef.2025.102503","url":null,"abstract":"<div><div>This study analyzes the relationship between foreign exchange (FX) markets and cryptocurrencies, focusing on both major and minor currencies. Using a quantile spillover framework, we examine how this relationship evolves under varying market conditions. The empirical findings reveal three key insights. First, spillover effects between the FX and cryptocurrency markets play a significant role in shaping their interrelationship. Under normal market conditions, the FX market has a limited influence on cryptocurrencies. Second, within the FX market, the U.S. Dollar Index exerts the most substantial impact on both major and minor currencies, while in the cryptocurrency market, Bitcoin holds the biggest influence over other cryptocurrencies. Finally, as market conditions become more extreme, spillover effects between the FX and cryptocurrency markets intensify. These findings highlight the dynamic nature of cross-market interactions and underscore the importance of considering market conditions when evaluating spillover effects between FX and cryptocurrency markets.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102503"},"PeriodicalIF":3.9,"publicationDate":"2025-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144779947","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

Geopolitical risk and financial stress 地缘政治风险和金融压力

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-07-24 DOI: 10.1016/j.najef.2025.102510

Giovanni De Luca, Belinda Laura Del Gaudio, Anna Pia Di Iorio

{"title":"Geopolitical risk and financial stress","authors":"Giovanni De Luca, Belinda Laura Del Gaudio, Anna Pia Di Iorio","doi":"10.1016/j.najef.2025.102510","DOIUrl":"10.1016/j.najef.2025.102510","url":null,"abstract":"<div><div>This paper explores the relationship between geopolitical risk and financial stress. We use a quantile regression to investigate the impact of geopolitical risk on financial stress levels, along with its constituent elements, such as credit, equity, volatility, funding and safe assets. The dataset comprises observations collected on a daily basis between January 3, 2000, and November 8, 2024. The time span permits the exploitation of the relationship, with the effect of a structural break in the time series being controlled for. In light of the identified structural break in the financial market, the results indicate that an increase in geopolitical risk exerts a notable influence on financial stress. Furthermore, the findings suggest a positive relationship among all financial components. As the severity of financial stress escalates, the impact concomitantly increases. Notably, the safe assets component of the financial stress index demonstrates the greatest responsiveness to elevated stress levels. The findings are corroborated for all geographical areas examined, except for those situated within emerging markets, which appear to demonstrate a reduced sensitivity to geopolitical risk.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102510"},"PeriodicalIF":3.9,"publicationDate":"2025-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144772433","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

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