Quarterly Review of Economics and Finance最新文献

Asset association and dynamic risk contagion under climate policy uncertainty 气候政策不确定性下的资产关联与动态风险传染

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-04-24 DOI: 10.1016/j.qref.2025.101994

Xiaoyuan Zhang , Hang You , Ze Zhang , Wangchun Wu

引用次数: 0

Does the introduction of US spot Bitcoin ETFs affect spot returns and volatility of major cryptocurrencies? 美国现货比特币etf的推出是否会影响主要加密货币的现货回报和波动性？

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-04-15 DOI: 10.1016/j.qref.2025.102006

Babalos Vassilios , Elie Bouri , Rangan Gupta

{"title":"Does the introduction of US spot Bitcoin ETFs affect spot returns and volatility of major cryptocurrencies?","authors":"Babalos Vassilios , Elie Bouri , Rangan Gupta","doi":"10.1016/j.qref.2025.102006","DOIUrl":"10.1016/j.qref.2025.102006","url":null,"abstract":"<div><div>This paper provides the first empirical evidence of whether the introduction of US spot Bitcoin ETFs affected the returns and volatility of major cryptocurrencies. Using data from December 18, 2017 to March 15, 2024, we apply an event-study methodology within a GARCH-based framework. Our results reveal a significant effect of the introduction of spot Bitcoin ETFs on cryptocurrency returns and volatility. The analysis shows a positive impact for Bitcoin, Ethereum, and Litecoin spot price returns around the event date. The volatility of Bitcoin and Ripple spot markets decreased following the introduction of spot Bitcoin ETFs, which supports the stabilization hypothesis for these two cases. We also examine the volatility spillovers using a wavelet coherence approach, and reveal significant volatility spillovers from Grayscale Bitcoin ETF to Bitcoin futures and to a lesser extend to the Bitcoin spot market. Our findings enhance the limited understanding of the price discovery and functioning of the cryptocurrency markets, which could be useful for investors, regulators, and policymakers.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"102 ","pages":"Article 102006"},"PeriodicalIF":2.9,"publicationDate":"2025-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143852065","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

The anatomy of fiscal dynamics in a model with financial frictions 在一个有金融摩擦的模型中对财政动态的剖析

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-04-11 DOI: 10.1016/j.qref.2025.102003

Yoonseok Choi

引用次数: 0

Nurturing nature: The role of green finance in reviving urban biodiversity 培育自然：绿色金融在恢复城市生物多样性中的作用

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-04-10 DOI: 10.1016/j.qref.2025.102005

Zhiyuan Gao , Ying Zhao , Lianqing Li , Yu Hao

引用次数: 0

Time-variation in the persistence of carbon price uncertainty: The role of carbon policy uncertainty 碳价格不确定性持续的时间变化：碳政策不确定性的作用

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-04-09 DOI: 10.1016/j.qref.2025.102004

Oguzhan Cepni , Luis A. Gil-Alana , Rangan Gupta , Onur Polat

引用次数: 0

Market Downturns and Asymmetric Tail Risk Transmission Speed in the US: Evaluating Macroeconomic Policy Effectiveness during and after the COVID-19 Pandemic 美国市场低迷和尾部风险传导速度不对称：评估新冠肺炎大流行期间和之后的宏观经济政策有效性

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-04-03 DOI: 10.1016/j.qref.2025.101993

Zinan Hu, Sumuya Borjigin

{"title":"Market Downturns and Asymmetric Tail Risk Transmission Speed in the US: Evaluating Macroeconomic Policy Effectiveness during and after the COVID-19 Pandemic","authors":"Zinan Hu, Sumuya Borjigin","doi":"10.1016/j.qref.2025.101993","DOIUrl":"10.1016/j.qref.2025.101993","url":null,"abstract":"<div><div>This study examines how US market downturns affect the asymmetry in tail risk information transmission speed. It also evaluates how monetary and fiscal policies help mitigate this asymmetry during and after the COVID-19 pandemic. Using model-free measures of bad (disaster risk) and good (swift recovery) tail risk derived from daily options data, we obtain forward-looking tail risk information. Based on the TENET model, we construct daily networks for bad and good tail risk spillovers. Empirical results show that market downturns increase the asymmetry in bad and good tail risk transmission speed. Rising market illiquidity in downturns causes negative tail risk information to transmit faster than positive signals, amplifying the asymmetry. Although fiscal and monetary policies show average mitigation effects across the sample, event analysis shows they consistently reduce this asymmetry during the early COVID-19 phase. This suggests that unconventional macroeconomic interventions during extreme downturns more effectively mitigate asymmetric information transmission.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"102 ","pages":"Article 101993"},"PeriodicalIF":2.9,"publicationDate":"2025-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143816286","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

Investigation of the intentional and spurious herding effects in the cryptocurrency market with global events 利用全球事件调查加密货币市场的有意和虚假羊群效应

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-03-31 DOI: 10.1016/j.qref.2025.101992

Natalia Alves Tavares , Paulo Vitor Jordão da Gama Silva , Marcelo Cabus Klotzle

引用次数: 0

Market reactions to the Basel reforms: Implications for shareholders, creditors, and taxpayers 市场对巴塞尔改革的反应：对股东、债权人和纳税人的影响

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 七大科技巨头之间不对称联系的动态：来自QVAR分析的见解

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

引用次数: 0

On the time-varying responses of Fintech stock returns to geopolitical, financial and market sentiment shocks 金融科技股回报对地缘政治、金融和市场情绪冲击的时变响应

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 , Zied Saadaoui , 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