发布求助
文献互助 智能选刊 最新文献

Quarterly Review of Economics and Finance最新文献

筛选
英文 中文
Market reactions to the Basel reforms: Implications for shareholders, creditors, and taxpayers
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2025-03-17 DOI: 10.1016/j.qref.2025.101990
Jonas Krettek
{"title":"Market reactions to the Basel reforms: Implications for shareholders, creditors, and taxpayers","authors":"Jonas Krettek","doi":"10.1016/j.qref.2025.101990","DOIUrl":"10.1016/j.qref.2025.101990","url":null,"abstract":"<div><div>This paper evaluates the impact of postcrisis financial risk regulation introduced through Basel II.5, Basel III, and Basel IV on European Union (EU) and United States (U.S.) bank shareholders and creditors. Specifically, an event study is used to analyze 15 market events, 26 credit events, and 13 liquidity events. This approach allows for an assessment of the impact on profitability and risk, providing a basis for deriving the effectiveness of these regulations in reducing risks for the public sector and taxpayers. Significant negative stock market reactions by EU banks in response to market and credit risk regulations are observed. In contrast, U.S. banks exhibit no clear significant stock market reactions, largely due to the Dodd-Frank Act and especially more lenient regulatory implementation. EU creditors responded to credit risk regulation with significantly rising credit default swap (CDS) spreads, signaling higher risks due to diminished bailout expectations. The cross-sectional analysis highlights the importance of bank- and country-specific factors in explaining heterogeneous reactions. The results suggest that the Basel reforms have successfully shifted risks from taxpayers back to shareholders and reduced moral hazard among creditors. However, the significant differences between the EU and U.S. market reactions raise concerns about the establishment of a level playing field, underscoring the need for more consistent implementation across jurisdictions.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"101 ","pages":"Article 101990"},"PeriodicalIF":2.9,"publicationDate":"2025-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143680718","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
Dynamics of asymmetric connectedness among magnificent seven technology giants: Insights from QVAR analysis
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2025-03-12 DOI: 10.1016/j.qref.2025.101977
Zaghum Umar , Elroi Hadad , Andrew Phiri , Tamara Teplova
{"title":"Dynamics of asymmetric connectedness among magnificent seven technology giants: Insights from QVAR analysis","authors":"Zaghum Umar ,&nbsp;Elroi Hadad ,&nbsp;Andrew Phiri ,&nbsp;Tamara Teplova","doi":"10.1016/j.qref.2025.101977","DOIUrl":"10.1016/j.qref.2025.101977","url":null,"abstract":"<div><div>This paper studies the return and volatility spillover among the seven largest technology companies (including Apple, Microsoft, Amazon, Alphabet (Google), Meta Platforms (formerly Facebook), Tesla, and Nvidia) referred to as Magnificent seven. We employ a quantile connected approach to study spillover and connectedness under different market conditions. We observe a high degree of interconnectedness in the returns of these firms, with equities transitioning between roles as net receivers and transmitters across various market conditions. Notably, the influence of market size is apparent, with larger-cap firms predominantly acting as net transmitters, while smaller-cap counterparts serve as net receivers. We also identify asymmetry between quantiles, particularly evident in left tails, underscoring the significance of idiosyncratic shocks. Our findings have important implications for policy makers, investors and regulators.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"101 ","pages":"Article 101977"},"PeriodicalIF":2.9,"publicationDate":"2025-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143643253","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 time-varying responses of Fintech stock returns to geopolitical, financial and market sentiment shocks
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2025-03-12 DOI: 10.1016/j.qref.2024.101951
Talel Boufateh , Zied Saadaoui , Zhilun Jiao
{"title":"On the time-varying responses of Fintech stock returns to geopolitical, financial and market sentiment shocks","authors":"Talel Boufateh ,&nbsp;Zied Saadaoui ,&nbsp;Zhilun Jiao","doi":"10.1016/j.qref.2024.101951","DOIUrl":"10.1016/j.qref.2024.101951","url":null,"abstract":"<div><div>Growing uncertainties in the global economy are spurring unprecedented stress on commodity markets, financial systems, and investors’ risk aversion. The fast-growing Fintech sector is not exempt from vulnerability to such shocks. However, previous studies failed to assess the fragility of Fintech stock returns to simultaneous shocks driven by multi-dimensional uncertainty. The present paper is the first to estimate the time-varying responses of Fintech stock returns (FSR) to simultaneous shocks coming from three uncertainty dimensions: geopolitical uncertainty, systemic financial stress and market sentiment. Daily frequency is used to estimate the dynamic under consideration by constructing a TVP-SVAR-SV and conducting several robustness checks. The results reveal that Fintech stock returns respond positively to geopolitical uncertainty except during major uncertainty events and to credit market uncertainty shocks even during the Covid-pandemic and the Russia-Ukraine war. Market sentiment shocks exert a heterogenous effect on FSR. The SWIFT bans triggered negative impacts of the multi-dimensional uncertainty on FSR.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"101 ","pages":"Article 101951"},"PeriodicalIF":2.9,"publicationDate":"2025-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143680717","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 importance of Chinese financial institutions based on the QC-ISAM-ARMA temporal network with coupling
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2025-03-08 DOI: 10.1016/j.qref.2025.101979
Xia Zhao , Xiao Sun , Jiefei Huang , Qingchun Meng
{"title":"Systemic importance of Chinese financial institutions based on the QC-ISAM-ARMA temporal network with coupling","authors":"Xia Zhao ,&nbsp;Xiao Sun ,&nbsp;Jiefei Huang ,&nbsp;Qingchun Meng","doi":"10.1016/j.qref.2025.101979","DOIUrl":"10.1016/j.qref.2025.101979","url":null,"abstract":"<div><div>In this paper, we propose a novel QC-ISAM-ARMA temporal network with coupling<span><span><sup>2</sup></span></span> to investigate the systemic importance of 30 listed Chinese financial institutions under different market cycles and conditions. This network can better capture the complex correlation including non-linearity, periodicity, and time variability among financial institutions and facilitate to find the optimal model by an adjustment parameter. The empirical study concludes that the newly constructed network demonstrates superior performance in identifying systemic importance. Furthermore, the systemic importance of Chinese financial institutions varies across market cycles and conditions. Banks consistently hold higher systemic importance, while insurance institutions show increased sensitivity to economic cycles and the systemic importance of securities firms increases significantly under stable market. Specially, further comparative study about banks means that the character of “too connected to fail\" cannot be ignored and dynamic supervision is indeed necessary. This research offers new perspectives and constructive insights for analyzing the systemic importance of financial institutions. Additionally, the proposed new network model can be applied to assess interdependence in other domains beyond the financial sector.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"101 ","pages":"Article 101979"},"PeriodicalIF":2.9,"publicationDate":"2025-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143642766","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
Social injustice and corporate innovation
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2025-03-01 DOI: 10.1016/j.qref.2025.101981
Aslihan Gizem Korkmaz , Erdem Ucar
{"title":"Social injustice and corporate innovation","authors":"Aslihan Gizem Korkmaz ,&nbsp;Erdem Ucar","doi":"10.1016/j.qref.2025.101981","DOIUrl":"10.1016/j.qref.2025.101981","url":null,"abstract":"<div><div>We investigate the role of local social injustice, measured by racial prejudice and sexism, in corporate innovation. In a sample of U.S. firms, we find that local racial prejudice and sexism negatively affect corporate innovation. The results remain robust after the inclusion of other unobserved local factors. Furthermore, we find that the firms located in states with higher sexism levels continue to have lower corporate innovation outputs in the leading two and three years. The empirical findings imply that social injustice does not only have a social cost but also has economic consequences for firms.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"101 ","pages":"Article 101981"},"PeriodicalIF":2.9,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143549569","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
Testing monetary neutrality with respect to relative price of oil using divisia M4 利用 divisia M4 测试石油相对价格的货币中性问题
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2025-02-28 DOI: 10.1016/j.qref.2025.101978
Jungho Baek , James Lee Caton Jr , Dragan Miljkovic
{"title":"Testing monetary neutrality with respect to relative price of oil using divisia M4","authors":"Jungho Baek ,&nbsp;James Lee Caton Jr ,&nbsp;Dragan Miljkovic","doi":"10.1016/j.qref.2025.101978","DOIUrl":"10.1016/j.qref.2025.101978","url":null,"abstract":"<div><div>In classical macroeconomic thought, monetary neutrality represents the theoretical baseline. The framework asserts that, in the long-run, nominal factors do not impact real factors. However, classical macroeconomics has little to say about the composition of productive capital. This has been of less concern to modern economists, but it was of particular concern to pre-Keynesian macroeconomists. Irving Fisher recognized that monetary factors may lead to short-run distortions of relative prices. Despite this recognition, the traditional macroeconomic framework allows for no consideration of persistent relative price distortions. We investigate presentations of macroeconomic theory where such distortions are considered or are at least possible. We leverage the fact that monetary equilibrium does not imply general equilibrium and that transaction costs make reassertion of the initial capital allocation unlikely. We empirically detect persistent distortions in the relative price of oil that suggest that monetary factors generate persistent distortions in capital structure.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"101 ","pages":"Article 101978"},"PeriodicalIF":2.9,"publicationDate":"2025-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143620202","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 the green finance policy motivate firms to greenwash? A quasi-natural experiment based on the "Green finance reform innovation pilot zones"
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2025-02-27 DOI: 10.1016/j.qref.2025.101980
Xiaowu Huang, Renzhi Li, Xingyu Chen
{"title":"Does the green finance policy motivate firms to greenwash? A quasi-natural experiment based on the \"Green finance reform innovation pilot zones\"","authors":"Xiaowu Huang,&nbsp;Renzhi Li,&nbsp;Xingyu Chen","doi":"10.1016/j.qref.2025.101980","DOIUrl":"10.1016/j.qref.2025.101980","url":null,"abstract":"<div><div>To foster the growth of the green economy and support sustainable development, green finance reform innovation pilot zones (GFRIPZ) have been established since 2017 in China. This paper aims to comprehensively investigate how the green finance reform innovation policy affects corporate greenwashing behavior with data from Chinese listed companies from 2014 to 2020. First, the empirical results obtained using the staggered difference-in-differences model indicate that the implementation of the GFRIPZ policy significantly motivates firms to engage in greenwashing behavior. Second, we find that firms under non-state-owned enterprises (non-SOEs) ownership, in non-green industries, and in eastern areas are more likely to engage in greenwashing. Third, our mechanism analysis shows that the GFRIPZ policy stimulates firms’ greenwashing behavior by exacerbating management myopia and promoting public environmental awareness. Our conclusions provide essential guiding implications for green finance policy design and implementation, while offering significant reference value for evaluating policy effectiveness and its unintended consequences.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"101 ","pages":"Article 101980"},"PeriodicalIF":2.9,"publicationDate":"2025-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143534491","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
Time-varying intra-safe haven currency behaviour: The U.S. dollar, the Swiss franc, and the Japanese yen
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2025-02-12 DOI: 10.1016/j.qref.2025.101976
Keehwan Park , Zhongzheng Fang
{"title":"Time-varying intra-safe haven currency behaviour: The U.S. dollar, the Swiss franc, and the Japanese yen","authors":"Keehwan Park ,&nbsp;Zhongzheng Fang","doi":"10.1016/j.qref.2025.101976","DOIUrl":"10.1016/j.qref.2025.101976","url":null,"abstract":"<div><div>A flight to quality occurs from risky assets to safe-haven assets in heightened volatile markets of crisis periods. A safe-haven currency gains its value against other currencies in such crisis periods. Traditionally, the U.S. dollar, the Japanese yen, and the Swiss franc have long been considered safe-haven currencies in the investment community. We study the intra-safe haven currency behaviour between these currencies in crises from 2000 to 2022. Our study is motivated by the recent weakness of the Japanese yen during the early Ukraine war in 2022. Following our quantile regression results, we offer a new econometric model of the interactive crisis dummies. We find that intra-safe haven currency behaviour is time-varying, depending on the nature of the crisis. We contrast ours with the prior literature (e.g., Ranaldo and Soderline, 2010; Fatum and Yamamoto, 2016). Our new findings complement the prior literature and add value to the literature.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"100 ","pages":"Article 101976"},"PeriodicalIF":2.9,"publicationDate":"2025-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143428902","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 AI contribute to systemic risk reduction in non-financial corporations?
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2025-02-01 DOI: 10.1016/j.qref.2025.101973
Wang-Zhe Han, Wanshan Meng
{"title":"Does AI contribute to systemic risk reduction in non-financial corporations?","authors":"Wang-Zhe Han,&nbsp;Wanshan Meng","doi":"10.1016/j.qref.2025.101973","DOIUrl":"10.1016/j.qref.2025.101973","url":null,"abstract":"<div><div>While the systemic risk of financial institutions has been frequently discussed, the equally systemically important non-financial corporations have received insufficient attention. We examine a sample of listed Chinese non-financial corporations from 2010 to 2022 and confirm that AI use in non-financial corporations reduces their systemic risk. This beneficial impact is more pronounced in non-state-owned corporations, corporations in the growth stage, and corporations in the economic expansion period. Subsequently, we attribute this result to three risk control channels: decreasing risk-taking levels, reducing default risk, and weakening credit risk contagion. The research extends the understanding of systemic risk to non-financial corporations, providing new insights for balancing technological upgrading with achieving economic stability.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"100 ","pages":"Article 101973"},"PeriodicalIF":2.9,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143130274","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
ESG rating, rating divergence and investment efficiency: International evidence
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2025-01-31 DOI: 10.1016/j.qref.2025.101975
Yu-En Lin , Shi Teng , Bo Yu , Keith S.K. Lam
{"title":"ESG rating, rating divergence and investment efficiency: International evidence","authors":"Yu-En Lin ,&nbsp;Shi Teng ,&nbsp;Bo Yu ,&nbsp;Keith S.K. Lam","doi":"10.1016/j.qref.2025.101975","DOIUrl":"10.1016/j.qref.2025.101975","url":null,"abstract":"<div><div>This study investigates the relation between ESG ratings and firm investment efficiency and the moderate effect of ESG rating divergence on the relation. Using a sample of firms from 43 countries for the period between 2010 and 2022, we document a significantly positive relation between ESG ratings and firm investment efficiency and a significant negative moderate effect of ESG rating divergence on the positive relation. We also find four firm-level transmission channels-financial constraints, cash flows, opacity, and transparency-affect the ESG and investment inefficiency relation. In addition, our results indicate that the positive relation and the negative moderate effect can be explained by firms’ agency costs. The results hold in endogeneity and robustness tests.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"100 ","pages":"Article 101975"},"PeriodicalIF":2.9,"publicationDate":"2025-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143348359","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
下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信