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

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

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

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