Quarterly Review of Economics and Finance最新文献

Readability of asset securitization reporting and bank holding company’s credit risk 资产证券化报告可读性与银行控股公司信用风险

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-07-13 DOI: 10.1016/j.qref.2025.102031

Tsung-Kang Chen , Yijie Tseng , Yun Hao

{"title":"Readability of asset securitization reporting and bank holding company’s credit risk","authors":"Tsung-Kang Chen , Yijie Tseng , Yun Hao","doi":"10.1016/j.qref.2025.102031","DOIUrl":"10.1016/j.qref.2025.102031","url":null,"abstract":"<div><div>This study explores whether and how the readability of asset securitization reports of a bank holding company (BHC) affects its credit risk. The findings show that asset securitization reporting readability is negatively associated with BHC credit risk, with information processing costs serving as the primary mediator of this association. This result indicates that asset securitization reporting has communicative value for outside creditors. Moreover, the adoption of Statement of Financial Accounting Standard (SFAS) No. 166/167 (2009) strengthens this association. This effect arises because SFAS No. 166/167 introduces valuation and consolidation amendments, prompting bondholders to become especially cautious when interpreting disclosures with low readability. Additionally, the study suggests that the scale of contractual total retained interests (i.e., on-balance sheet securitized assets) weakens this association, particularly for retained interests from consumer loans. The results remain robust after addressing endogeneity using instrumental variable regression and a difference-in-difference model and adding control variables related to asset securitization, BHC characteristics, and alternative readability measures.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"103 ","pages":"Article 102031"},"PeriodicalIF":2.9,"publicationDate":"2025-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144703148","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 bond market dynamics: Assessing the impact of threats and realized events 地缘政治风险和债券市场动态：评估威胁和已实现事件的影响

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-07-12 DOI: 10.1016/j.qref.2025.102032

Adnan Aslam , Mohammad Khaleq Newaz

{"title":"Geopolitical risk and bond market dynamics: Assessing the impact of threats and realized events","authors":"Adnan Aslam , Mohammad Khaleq Newaz","doi":"10.1016/j.qref.2025.102032","DOIUrl":"10.1016/j.qref.2025.102032","url":null,"abstract":"<div><div>This study examines the impact of geopolitical risk on global bond markets, with a focus on distinguishing between geopolitical threats and realized geopolitical events. Using daily data, the study applies a multi-method framework comprising the time-varying parameter vector autoregression connectedness framework, wavelet quantile correlation, and cross-quantilogram analysis to investigate dynamic spillovers, asymmetric relationships, and lead-lag dependencies between geopolitical risk categories and bond markets. Our findings show that bond markets exhibit pronounced sensitivity to geopolitical shocks, with threat-based risks exerting a more persistent and widespread impact than realized geopolitical events. Sovereign and corporate bonds emerge as particularly vulnerable, whereas alternative fixed-income instruments such as sukuk and municipal bonds demonstrate greater resilience. Although bonds are often viewed as long-term safe-haven assets, their short-term hedging effectiveness varies considerably across segments and risk types. Notably, sukuk consistently serve as a reliable safe-haven during periods of elevated geopolitical threat. Our results underline the complexity of geopolitical risk effects, illustrating the importance of distinguishing between geopolitical threats and realized geopolitical events for understanding investor behaviour, risk premiums, and asset pricing dynamics. This study contributes to the literature by offering new insights into the resilience of different bond segments to geopolitical shocks and providing valuable implications for portfolio diversification, risk management, and investment strategies during periods of heightened geopolitical uncertainty.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"103 ","pages":"Article 102032"},"PeriodicalIF":2.9,"publicationDate":"2025-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144653559","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

Do influencers pay? Evidence from the Internet celebrity economy in China 网红付钱吗？来自中国网红经济的证据

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-07-04 DOI: 10.1016/j.qref.2025.102030

Xiaohui Chen , Paul Moon Sub Choi , Sang-Joon Kim , Jangwook Lee , Seung-Hee Kim

引用次数: 0

Predicting abnormal capital flow episodes with machine learning methods 用机器学习方法预测异常资本流动事件

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-06-24 DOI: 10.1016/j.qref.2025.102026

Bo Wang , Ruolan Yan , Yang Chen

{"title":"Predicting abnormal capital flow episodes with machine learning methods","authors":"Bo Wang , Ruolan Yan , Yang Chen","doi":"10.1016/j.qref.2025.102026","DOIUrl":"10.1016/j.qref.2025.102026","url":null,"abstract":"<div><div>In recent years, public health emergencies and geopolitical conflicts have constantly triggered volatility in the global economy and financial markets. Such frequent shocks have led to abnormal capital flow episodes, which can destabilize financial systems and foreign exchange markets, and sometimes these episodes are precursors to financial crises. Therefore, we develop an early warning model for abnormal capital flow episodes with a forecast horizon set two quarters in advance, employing two traditional linear regression models and nine machine learning algorithms. We also utilize two ensemble technologies, voting and stacking, to enhance out-of-sample predictive accuracy. This provides monetary authorities across nations with a practical early warning model that allows manual control over the forecast horizon and delivers robust predictive performance on out-of-sample observations, enabling timely interventions and preventative measures against risks associated with volatile capital flows. Furthermore, causal analysis using Shapley value decomposition and Shapley regression reveal drivers and mechanisms of abnormal capital flow episodes that differ from those identified by traditional linear models. For instance, the Shapley-based interpretation uncovers complex nonlinear relationships and highlights previously overlooked variables, such as domestic liability dollarization, as crucial predictors of sudden stops and capital flight. The Shapley-based interpretation reveals that the relative importance of predictors shifts after the 2008 Global Financial Crisis: features such as DLD become far more influential in the post-GFC period, reflecting a transition in investor behavior from profit-seeking to risk-averse. This insight deepens our understanding of the complex dynamics influencing international capital movements and enhances risk management tools in an interconnected world.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"103 ","pages":"Article 102026"},"PeriodicalIF":2.9,"publicationDate":"2025-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144549258","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

Political connections of executives and directors: Relevant facts to understand the impact of politicians on firm valuation 高管和董事的政治关系：了解政治家对公司估值影响的相关事实

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-06-24 DOI: 10.1016/j.qref.2025.102029

Andrés Fernando Mejía-Amaya , Carlos Pombo

引用次数: 0

The equity premium and the disconnect between uncertainty and volatility: A global perspective 股票溢价与不确定性与波动性之间的脱节：全球视角

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-06-23 DOI: 10.1016/j.qref.2025.102010

Bradley Paye , Carolina Magda da Silva Roma , Marcelo Fernandes

引用次数: 0

Fortune favors the green: Role of green investment in mitigating climate risk and the moderating role of ESG performance 《财富青睐绿色：绿色投资在缓解气候风险中的作用和ESG绩效的调节作用

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-06-20 DOI: 10.1016/j.qref.2025.102028

Mustafa Raza Rabbani , Madiha Kiran , Oguzhan Cepni , Muhammad Abubakr Naeem

{"title":"Fortune favors the green: Role of green investment in mitigating climate risk and the moderating role of ESG performance","authors":"Mustafa Raza Rabbani , Madiha Kiran , Oguzhan Cepni , Muhammad Abubakr Naeem","doi":"10.1016/j.qref.2025.102028","DOIUrl":"10.1016/j.qref.2025.102028","url":null,"abstract":"<div><div>The global firms are feeling pressure to urgently address the climate concerns and transition towards sustainable green practices. There is an immediate concern from the regulators, investors, governments, and consumers about addressing this pressing issue. Against this backdrop, this study investigates the role of green investments in mitigating climate risk with the moderating role of ESG performance. The study employs panel data from 4375 non-financial firms across 74 countries from 2002 to 2023 to ensure robust inference by using the OLS, GMM, and heterogeneity tests. The findings indicate that green investment significantly reduces climate risk exposure, with ESG performance amplifying this effect. Simultaneously, a high ESG score signals long-term risk management and corporate responsibility, strengthening investor confidence and stakeholder trust. This synergy enhances a firm’s resilience to regulatory and environmental shocks and improves its market valuation and credibility. These insights offer valuable guidance to institutional investors, regulators, and policymakers aiming to align capital allocation with global climate commitments and the Sustainable Development Goals (SDGs). Encouraging green investment and ESG integration can serve as a dual-purpose strategy, mitigating climate risk while fostering sustainable, inclusive economic growth<strong>.</strong> This research contributes to the discourse on sustainable finance by highlighting the role of responsible investment in promoting resilience against climate risk.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"103 ","pages":"Article 102028"},"PeriodicalIF":2.9,"publicationDate":"2025-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144366893","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

Credit risk identification with Hawkes processes: Theory and evidence 霍克斯过程的信用风险识别：理论与证据

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-06-18 DOI: 10.1016/j.qref.2025.102027

Sha Lin , Xuanmeng Lin , Xin-Jiang He

引用次数: 0

The dynamics of fiscal policy: Insights from China's macroeconomic indicators 财政政策的动态：来自中国宏观经济指标的洞察

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-06-06 DOI: 10.1016/j.qref.2025.102025

Yang Jiao , Gemma Renart , Laura Serra

引用次数: 0

Local government responses to procurement centralization: Evidence from Italy 地方政府对采购集中的反应：来自意大利的证据