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

Sustainability disclosure and bank liquidity risk: evidence from global banking sector 可持续性信息披露与银行流动性风险：来自全球银行业的证据

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.2026.102582

Jianjin Huang , Song-Lin(Sony) Hsieh , Jia Wang

{"title":"Sustainability disclosure and bank liquidity risk: evidence from global banking sector","authors":"Jianjin Huang , Song-Lin(Sony) Hsieh , Jia Wang","doi":"10.1016/j.najef.2026.102582","DOIUrl":"10.1016/j.najef.2026.102582","url":null,"abstract":"<div><div>We examine whether sustainability disclosure mitigates banks’ liquidity risk using an international panel of 640 listed banks from 52 countries over 2008–2023. Liquidity risk is a core yet understudied stability dimension in the ESG–banking literature, despite its critical role in financial resilience. Employing a dynamic difference GMM estimator, propensity score matching, and a multi-period difference-in-differences design exploiting staggered ESG disclosure regulations, we find that higher sustainability disclosure significantly reduces banks’ liquidity risk. This effect is economically meaningful and robust across alternative liquidity measures and extensive sensitivity tests. Decomposing ESG into its components, we show that environmental and social disclosures drive the reduction in liquidity risk, whereas governance disclosure has no discernible effect. The impact is stronger for larger banks and in jurisdictions with voluntary rather than mandatory disclosure regimes, consistent with signaling and credibility theories of voluntary reporting. Our results highlight a novel risk channel through which ESG disclosure influences bank stability, offering actionable insights for bank managers and regulators seeking to enhance liquidity resilience through disclosure policy.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"83 ","pages":"Article 102582"},"PeriodicalIF":3.9,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145941116","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

Detecting endogenous structural breaks in the KOSPI200: A change-point detection and event study analysis of the COVID-19 crisis KOSPI200指数内生结构性断裂检测：新冠肺炎危机的变化点检测和事件研究分析

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.2026.102609

Sanghoon Lim , Mijin Ha , Jongkyu Park , Ji-Hun Yoon , Hyojung Lee

{"title":"Detecting endogenous structural breaks in the KOSPI200: A change-point detection and event study analysis of the COVID-19 crisis","authors":"Sanghoon Lim , Mijin Ha , Jongkyu Park , Ji-Hun Yoon , Hyojung Lee","doi":"10.1016/j.najef.2026.102609","DOIUrl":"10.1016/j.najef.2026.102609","url":null,"abstract":"<div><div>This study systematically investigates the impact of the COVID-19 pandemic on the stock price structure of the KOSPI200, the core index of the South Korean stock market, and 10 key industrial sectors. As COVID-19 was not a single event but a gradual complex crisis, conventional event studies relying on ‘exogenous’ dates, such as the WHO declaration date, struggle to capture ‘endogenous’ structural changes in the market. To overcome this limitation, this study focuses on the South Korean market, which employed unique policy responses characterized by the ‘K-quarantine’ strategy. Utilizing daily data from 140 KOSPI200 firms from 2019 to 2024, the study proposes an analytical framework that combines Change-Point Detection (CPD) with the event study methodology. Specifically, endogenous change points, revealed directly by the data, were identified through the dual verification of the non-linear method Binary Segmentation (BS) and the linear method Pruned Exact Linear Time (PELT) algorithms. Setting these change points as events, the analysis of Cumulative Abnormal Return (CAR) and Abnormal Return (AR) confirmed the defensive nature of the Healthcare sector and the strong reaction of cyclical sectors, such as Industrials. By demonstrating that the CPD detection times precede actual policy announcements and official news (e.g., WHO declaration), this study empirically validates the usefulness of CPD as an early warning indicator during crises, offering practical implications for financial stability monitoring and policy formulation.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"83 ","pages":"Article 102609"},"PeriodicalIF":3.9,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147397453","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

Global interest rates, US dollar, and global risk 全球利率，美元，全球风险

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2025-12-27 DOI: 10.1016/j.najef.2025.102575

Zekeriya Yildirim, Fuat Erdal

{"title":"Global interest rates, US dollar, and global risk","authors":"Zekeriya Yildirim, Fuat Erdal","doi":"10.1016/j.najef.2025.102575","DOIUrl":"10.1016/j.najef.2025.102575","url":null,"abstract":"<div><div>How do world interest rate shocks propagate globally, and what role does the US dollar play in transmitting these shocks and amplifying them through its interaction with global financial risk? This study addresses this question using three classes of VAR models: linear, threshold, and time-varying parameter VARs. We find that world rate shocks have significant adverse effects and that the dollar serves as a key transmission channel. Specifically, these shocks heighten global financial risk and uncertainty, trigger US dollar appreciation, depress global trade, and ultimately contract global GDP.</div><div>We emphasize the pivotal role of the dollar in the transmission of such shocks, showing that not only its movements (its appreciation) but also its state (strong vs. weak) matter. Our counterfactuals also reveal a novel amplification mechanism in which the dollar serves as a central actor, operating within a self-reinforcing feedback loop with global financial risk. These counterfactuals further show that global financial risk is a primary driver of dollar appreciation.</div><div>Using threshold and time-varying analyses, we document further evidence. Threshold analysis provides strong evidence of the state-dependent effects of world rate shocks, identifying three sources of state dependence: uncertainty state dependence, dollar state dependence, and business-cycle state dependence. It shows that dollar state dependence dominates the remaining sources in global financial dynamics. Time-varying analysis shows that the contractionary effects of such shocks have intensified during the early 2000s and after the global financial crisis, while the dollar’s transmission role has strengthened in the post-GFC period, especially in the post-COVID period.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"83 ","pages":"Article 102575"},"PeriodicalIF":3.9,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145980228","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

How do climate and economic policy uncertainties relate to global fossil fuel price dynamics? 气候和经济政策的不确定性与全球化石燃料价格动态有何关系？

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-01-22 DOI: 10.1016/j.najef.2026.102594

Ali Nawaz , Chi Wei Su , Shaher Yar Khan

{"title":"How do climate and economic policy uncertainties relate to global fossil fuel price dynamics?","authors":"Ali Nawaz , Chi Wei Su , Shaher Yar Khan","doi":"10.1016/j.najef.2026.102594","DOIUrl":"10.1016/j.najef.2026.102594","url":null,"abstract":"<div><div>As climate and economic policies become more volatile, uncertainty pervades global energy markets. Against this backdrop, we investigate how uncertainties in climate and economic policies relate to global fossil fuel prices, focusing on their asymmetric and time frequency associations. To capture complex dependencies, we apply a quantile-on-quantile regression along with a wavelet method to monthly data from January 1991 to September 2024, capturing dynamic relationships across market conditions and timescales. The findings reveal that heightened CPU tends to correlate with increased fossil fuel prices in the short to medium term, as investors delay decisions and incorporate higher risk premiums. However, in the long run, persistent CPU dampens investment in fossil fuel projects, reducing supply capacity and driving prices downward. Conversely, EPU exerts a mixed influence: it suppresses fossil fuel demand during short-term crises but often fuels price volatility and upward pressure over medium horizons. Overall, global fossil fuel prices respond unevenly to policy shocks, highlighting the need for stable and predictable policy frameworks. Clear, consistent climate and economic policies can dampen extreme price swings in oil, gas, and coal, thereby bolstering global energy security and economic resilience.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"83 ","pages":"Article 102594"},"PeriodicalIF":3.9,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146078546","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

Environmental performance and institutions quality in Europe: A Bayesian model averaging approach 欧洲的环境绩效和制度质量：贝叶斯模型平均方法

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-01-14 DOI: 10.1016/j.najef.2026.102591

Alessandra Canepa , Bodgan Dima

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 : 2026-01-01 Epub 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":"2026-01-01","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

Simultaneous inference in testing conditional alphas of momentum portfolios 同时推理在动量组合条件阿尔法检验中的应用

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-12-04 DOI: 10.1016/j.najef.2025.102557

Jinyong Kim , Yongsik Kim , Seunghyun Lee

引用次数: 0

Physical climate risk and banks’ credit risk: Worldwide evidence 物理气候风险与银行信用风险：全球证据

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-11-13 DOI: 10.1016/j.najef.2025.102550

Isabel Abinzano, Pilar Corredor, José Manuel Mansilla-Fernández

引用次数: 0

Enhancing financial stability through prospective resilience: Insights from the EN-VAR-DY-PR framework in international stock market networks 通过预期弹性增强金融稳定：来自国际股票市场网络EN-VAR-DY-PR框架的见解

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-09-19 DOI: 10.1016/j.najef.2025.102539

Jiang-Cheng Li , Yi-Zhen Xu , Chen Tao , Guang-Yan Zhong

{"title":"Enhancing financial stability through prospective resilience: Insights from the EN-VAR-DY-PR framework in international stock market networks","authors":"Jiang-Cheng Li , Yi-Zhen Xu , Chen Tao , Guang-Yan Zhong","doi":"10.1016/j.najef.2025.102539","DOIUrl":"10.1016/j.najef.2025.102539","url":null,"abstract":"<div><div>The increasing interconnectedness and systemic vulnerabilities of financial networks underscore the necessity of enhancing their resilience to shocks and ensuring the stability of the global financial system. This paper proposes the EN-VAR-DY-PR framework, which integrates Elastic Net (EN) regularization, Vector Autoregression (VAR), and the Diebold–Yilmaz (DY) index. This novel approach enables the dynamic assessment of prospective resilience (PR) in complex financial networks, capturing both temporal and structural dimensions of risk. Focusing on three scenarios – economic blockade, financial liberalization, and random behavior – this research examines the dynamic evolution of network prospective resilience across three distinct periods marked by major market crises. Empirical analysis of 40 countries reveals that while economic blockade temporarily enhances network resilience, it undermines long-term shock absorption. Conversely, financial liberalization consistently improves network stability, and an optimal level of randomness significantly improve the resilience of financial networks and strengthen overall financial stability. Additionally, over the three periods, the clustering of the network decreases and the network becomes more homogeneous, suggesting heightened risk concentration and intensified interconnectedness. The significant growth in both the prospective resilience and volatility of network modularity underscores an escalating systemic vulnerability and a weakening of overall network stability. This study provides a novel perspective on financial stability, demonstrating how network science can effectively identify systemic vulnerabilities and inform strategies to mitigate systemic risks.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102539"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145109386","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

On the non-neutrality of socially responsible investing in the presence of a greenium 论社会责任投资的非中立性

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-12-15 DOI: 10.1016/j.najef.2025.102567

Fabian Alex

引用次数: 0