North American Journal of Economics and Finance最新文献_第4页

Cryptocurrencies, stocks, and economic policy uncertainty: A FAVAR analysis 加密货币、股票和经济政策的不确定性：FAVAR分析

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-03-06 DOI: 10.1016/j.najef.2025.102405

Andrea Civelli, Laura E. Jackson

引用次数: 0

A RGARCH-CARR-SK model: A new high-frequency volatility forecasting and risk measurement model based on dynamic higher moments and generalized realized measures RGARCH-CARR-SK 模型：基于动态高阶矩和广义实现度量的新型高频波动率预测和风险度量模型

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-03-01 DOI: 10.1016/j.najef.2025.102408

Junjie Liu , Qingnan Zhou , Zhenlong Chen

{"title":"A RGARCH-CARR-SK model: A new high-frequency volatility forecasting and risk measurement model based on dynamic higher moments and generalized realized measures","authors":"Junjie Liu , Qingnan Zhou , Zhenlong Chen","doi":"10.1016/j.najef.2025.102408","DOIUrl":"10.1016/j.najef.2025.102408","url":null,"abstract":"<div><div>The RGARCH-CARR-SK model is developed in this paper by incorporating the characteristics of parameters that directly reflect higher moments in the Gram-Charlier expansion distribution, as well as leveraging the advantages of the RGARCH-CARR model for high-frequency volatility prediction. Simultaneously, we extend the realized volatility measure in the model to explore its efficacy in volatility forecasting and risk measurement under a variety of generalized realized measures. Additionally, we investigate the finite sample behavior of model parameter estimation using Monte Carlo simulations. The result demonstrates that the model exhibits favorable asymptotic performance in parameter estimation across various finite samples. Finally, the empirical study employs the forecasting of high-frequency volatility in the RGARCH-CARR-SK model for China’s GEM and evaluates its effectiveness using various risk methods based on the model. The result reveals that the RGARCH-CARR-SK model outperforms the benchmark models in in-sample fitting, out-of-sample volatility prediction, as well as risk measurement.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"77 ","pages":"Article 102408"},"PeriodicalIF":3.8,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143534109","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

Systemic risk among Chinese oil and petrochemical firms based on dynamic tail risk spillover networks 基于动态尾部风险溢出网络的中国石油石化企业系统性风险研究

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-03-01 DOI: 10.1016/j.najef.2025.102404

Tingqiang Chen , Xin Zheng , Lei Wang

{"title":"Systemic risk among Chinese oil and petrochemical firms based on dynamic tail risk spillover networks","authors":"Tingqiang Chen , Xin Zheng , Lei Wang","doi":"10.1016/j.najef.2025.102404","DOIUrl":"10.1016/j.najef.2025.102404","url":null,"abstract":"<div><div>This study examines the dynamic network of tail risk spillovers among Chinese oil and petrochemical firms listed on the Shanghai and Shenzhen A-share markets from 2015 to 2023. Employing the single-index quantile regression technique and the tail risk spillover model, it constructs a framework to assess systemic risk transmission within the oil and petrochemical industry. A block model is utilized to explore clustering patterns of risk spillovers, focusing on the overall network structure and individual firms’ roles. The findings reveal a significant systemic risk spillover effect, with the volatility of tail risk spillovers closely tied to geopolitical and financial risks. The industry predominantly exhibits characteristics of a scale-free network, transitioning to a small-world network when risk spillover intensity declines. Unlike the financial and real estate sectors, the oil and petrochemical industry’s risk spillover network features pronounced modularity inversely related to spillover intensity. Oil exploration firms and petrochemical product segments are identified as primary sources and recipients of risk spillovers, reflecting a bidirectional relationship. Conversely, oil transportation firms act as intermediaries, while oil refining firms primarily display intra-segment spillovers.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"77 ","pages":"Article 102404"},"PeriodicalIF":3.8,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143520275","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

Does Chinese mixed-ownership reform improve innovation quality in privately-owned enterprises? A dual-perspective evidence from managerial myopia and resource-based view 中国混合所有制改革是否提高了民营企业的创新质量？来自管理短视和资源基础的双重视角证据

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-03-01 DOI: 10.1016/j.najef.2025.102406

Xuehua Gu

{"title":"Does Chinese mixed-ownership reform improve innovation quality in privately-owned enterprises? A dual-perspective evidence from managerial myopia and resource-based view","authors":"Xuehua Gu","doi":"10.1016/j.najef.2025.102406","DOIUrl":"10.1016/j.najef.2025.102406","url":null,"abstract":"<div><div>Existing literature has largely overlooked the mediating role of managerial myopia in shaping corporate innovation quality, and the impact of external resource provision on incentivizing innovation under the Resource-Based View (RBV) remains contentious. This study investigates whether China’s reverse mixed-ownership reform improves innovation quality in privately-owned enterprises (POEs) from the perspectives of managerial myopia and the RBV. Using data from 1,413 publicly listed POEs between 2007 and 2022 and applying textual analysis to measure managerial myopia, the study finds that managerial myopia negatively affects innovation quality. Moreover, the reverse mixed-ownership reform fails to alleviate managerial myopia, thereby hindering corporate innovation quality. External resource provisions, such as government subsidies and tax incentives, significantly moderate the detrimental effects of managerial myopia on innovation quality, and higher credit financing costs exacerbate this relationship, as demonstrated after addressing sample self-selection bias. The empirical findings extend the scope of current research by bridging the literature on behavioral finance and the RBV, offering new insights into the interplay between managerial myopia, external resource provisions, and innovation quality. Rigorous robustness checks, including sensitivity analyses and addressing endogeneity concerns, validate these conclusions.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"77 ","pages":"Article 102406"},"PeriodicalIF":3.8,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143508503","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Are ESG factors truly unique? ESG因素真的是独一无二的吗？

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-03-01 DOI: 10.1016/j.najef.2025.102386

Svetoslav Covachev , Jocelyn Martel , Sofia Brito-Ramos

引用次数: 0

Examining the transmission of credit and liquidity risks: A network analysis for EMU sovereign debt markets 考察信用和流动性风险的传导：欧洲货币联盟主权债务市场的网络分析

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-03-01 DOI: 10.1016/j.najef.2025.102407

Adrián Fernandez-Perez , Marta Gómez-Puig , Simón Sosvilla-Rivero

{"title":"Examining the transmission of credit and liquidity risks: A network analysis for EMU sovereign debt markets","authors":"Adrián Fernandez-Perez , Marta Gómez-Puig , Simón Sosvilla-Rivero","doi":"10.1016/j.najef.2025.102407","DOIUrl":"10.1016/j.najef.2025.102407","url":null,"abstract":"<div><div>The sovereign debt crisis in the euro area revealed that European Monetary Union (EMU) government bond markets interact in a highly synchronised network and that risk particular to a country or sovereign bond yield component cannot be appropriately evaluated in isolation without taking potential risk transmission effects from other countries or sovereign bond yield components into consideration. Therefore, in clear contrast with the empirical evidence based on Granger-causality tests, the main contribution of the paper comes from the analysis of the transmission of credit and liquidity risk by examining a broad network of relations between the two risks in nine EMU sovereign debt markets from 2008 to 2018, explicitly examining the net pairwise connectedness among all the possible pairs formed from the 18 sovereign risk indicators. The results of this analysis indicate that, on average, risk transmission goes mostly from credit to liquidity risk (both within and across countries). This finding is crucial for policymakers because it indicates that rising credit risk is the primary driver of yield spread increases, and actions to strengthen the budgetary position of euro-area economies are essential. Finally, our results indicate that sovereign risk transmission is time-varying. Although both liquidity and credit risk were transmitted across countries during the Global Financial Crisis, we mainly observed the transmission of liquidity risk across them during the European sovereign debt crisis, suggesting that investors prefer sovereign debt that is easier to trade when market liquidity dries up.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"77 ","pages":"Article 102407"},"PeriodicalIF":3.8,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143527051","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 Nexus among the Belt and Road Initiative participating countries 共建“一带一路”沿线国家的经济联系

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-02-18 DOI: 10.1016/j.najef.2025.102403

Yiguo Chen , Peng Luo , Tsangyao Chang

引用次数: 0

Green credit and systemic risk: From the perspectives of policy and scale 绿色信贷与系统性风险：政策与规模视角

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-02-18 DOI: 10.1016/j.najef.2025.102402

Chien-Chiang Lee , Qian Xiao , Xiaoming Zhang

引用次数: 0

Comparison of the interdependence relationship between crude oil futures and spot in China and international crude oil markets − evidence from time-frequency and quantile perspectives 中国原油期货和现货与国际原油市场相互依赖关系的比较——来自时频和分位数视角的证据

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-02-15 DOI: 10.1016/j.najef.2025.102390

Fengyuan Shi , Yiwen Deng , Yaoqi Guo

{"title":"Comparison of the interdependence relationship between crude oil futures and spot in China and international crude oil markets − evidence from time-frequency and quantile perspectives","authors":"Fengyuan Shi , Yiwen Deng , Yaoqi Guo","doi":"10.1016/j.najef.2025.102390","DOIUrl":"10.1016/j.najef.2025.102390","url":null,"abstract":"<div><div>To understand the heterogeneity in the relationship between global crude oil futures and spot markets, as well as the development level of China’s crude oil futures market, this paper adopts wavelet and quantile methods to explore the interdependencies between China and international crude oil futures and spot markets. The research findings indicate that crude oil markets experience significant volatility and the connection between crude oil futures and spot markets intensifies during major events. For WTI and Brent crude oil futures and spot markets, the lead-lag relationship is mainly reflected in the short and medium term. For China and Dubai crude oil futures markets, no clear evidence was found that the crude oil futures market leads the crude oil spot market. Based on the quantile coherency results, the coherency between futures and spot markets in WTI and Brent crude oil futures and spot markets decreases as the time frequency increases. For the 0.05|0.05 quantile, the positive correlation between Chinese crude oil futures and spot markets decreases more rapidly with increasing time frequency. During the periods of the COVID-19 pandemic and the Russia-Ukraine conflict, the dependence between crude oil futures and spot markets at different quantiles has changed.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"77 ","pages":"Article 102390"},"PeriodicalIF":3.8,"publicationDate":"2025-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143488584","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, economic policy uncertainty and China’s producer price index: Evidence from quantile regression analysis 油价冲击、经济政策不确定性与中国生产者价格指数：来自分位数回归分析的证据

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-02-14 DOI: 10.1016/j.najef.2025.102399

Yun Qin , Zitao Zhang

{"title":"Oil price shocks, economic policy uncertainty and China’s producer price index: Evidence from quantile regression analysis","authors":"Yun Qin , Zitao Zhang","doi":"10.1016/j.najef.2025.102399","DOIUrl":"10.1016/j.najef.2025.102399","url":null,"abstract":"<div><div>Oil price shocks have a significant impact on various sectors of the national economy and, together with the accompanying economic policy uncertainty, cause price fluctuations in different industries. Relying on the monthly data from February 2006 to June 2018, we explore the effects of oil price shocks and economic policy uncertainty on China’s producer price index (PPI) by employing the quantile regression model. The study reveals that oil price shocks have significantly positive impacts on China’s PPI under various quantiles, and the impacts depend on negative oil price shocks rather than positive oil price shocks, indicating the asymmetric effects of oil price shocks. Economic policy uncertainty has significantly negative effects on China’s PPI at the low quantiles, while it exerts significantly positive effects on China’s PPI at the high quantiles. The four types of economic policy uncertainty have different impacts on China’s PPI, and the impacts of fiscal policy uncertainty and trade policy uncertainty are relatively larger, indicating the heterogeneous impacts of different types of economic policy uncertainty. In addition, the effects of oil price shocks and economic policy uncertainty on classified PPI are diverse.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"77 ","pages":"Article 102399"},"PeriodicalIF":3.8,"publicationDate":"2025-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143444360","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