Quarterly Review of Economics and Finance最新文献_第10页

Independent institution or cooperative institution? China’s deposit insurance institution model and the Honey Badger Algorithm 独立机构还是合作机构？中国存款保险机构模式与蜜獾算法

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-05-22 DOI: 10.1016/j.qref.2024.101866

Jacky Yuk-Chow So , Shuai Yao , Sibin Wu , Rongji Zhou

{"title":"Independent institution or cooperative institution? China’s deposit insurance institution model and the Honey Badger Algorithm","authors":"Jacky Yuk-Chow So , Shuai Yao , Sibin Wu , Rongji Zhou","doi":"10.1016/j.qref.2024.101866","DOIUrl":"10.1016/j.qref.2024.101866","url":null,"abstract":"<div><p>In the context of public deposit insurance organizational models, several interesting questions arise: Why does China's Deposit Insurance Corporation consistently lean toward the cooperative institution model, which is closely aligned with the central bank? Despite fervent advocacy for the independent institution model by the IADI and the U.S. Why does the unwavering stance exist? Is the choice of the cooperative institution model an \"ignorant solution\" or an \"optimal solution\" in China? Our work answers these questions for the first time, and we argue that it is the \"optimal solution\" that policymakers can choose after careful deliberation, not due to stupidity or inexperience. Based on the Honey Badger Algorithm, real options approach and expected loss pricing model, our work verifies the significant advantages of the cooperative institution model over the independent institution model in China. This pivotal distinction, primarily overlooked in the extant literature, suggests that universally accepted perspectives may not be ubiquitously relevant across all national contexts.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"96 ","pages":"Article 101866"},"PeriodicalIF":3.4,"publicationDate":"2024-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141138292","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

Financial instability in Lebanon: Do the liquidity creation and performance of banks matter? 黎巴嫩的金融不稳定性：银行的流动性创造和业绩是否重要？

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-05-21 DOI: 10.1016/j.qref.2024.05.001

George Maroun, Vincent Fromentin

引用次数: 0

Decomposition of non-performing loans dynamics into a debt-servicing capacity and a risk taking indicators 将不良贷款动态分解为偿债能力指标和风险承担指标

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-05-06 DOI: 10.1016/j.qref.2024.04.007

Santiago Gamba-Santamaria , Luis Fernando Melo-Velandia , Camilo Orozco-Vanegas

{"title":"Decomposition of non-performing loans dynamics into a debt-servicing capacity and a risk taking indicators","authors":"Santiago Gamba-Santamaria , Luis Fernando Melo-Velandia , Camilo Orozco-Vanegas","doi":"10.1016/j.qref.2024.04.007","DOIUrl":"10.1016/j.qref.2024.04.007","url":null,"abstract":"<div><p>Using Colombian credit vintage data, we decompose non-performing loans into two main components: one capturing the evolution of borrowers’ payment capacity and another reflecting changes in the credit risk assumed by banks when granting loans. We employ intrinsic estimators and penalized regression techniques to address the perfect multicollinearity inherent in the model. Our analysis reveals that these two components have evolved differently over time and that they interact with the real and credit cycles distinctively. In particular, we find that a favorable economic environment and loose financial conditions improve the payment capacity of borrowers to meet their obligations, but coincide with increased risk-taking by financial institutions. Finally, we advocate for the adoption of this decomposition as a policy tool, easily applicable by financial and economic authorities with access to a continuous flow of credit vintage data. This methodology facilitates the identification of credit risk origins, thereby informing economic policies aimed at mitigating systemic financial risks.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"96 ","pages":"Article 101860"},"PeriodicalIF":3.4,"publicationDate":"2024-05-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141040253","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 new bond on the block — Designing a carbon-linked bond for sustainable investment projects 新债券--为可持续投资项目设计与碳挂钩的债券

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-05-06 DOI: 10.1016/j.qref.2024.04.010

Niklas Dahlen, Rieke Fehrenkötter, Maximilian Schreiter

引用次数: 0

Stability and economic performances in the banking industry: The case of China 银行业的稳定性和经济表现：中国案例

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-05-03 DOI: 10.1016/j.qref.2024.04.009

Yong Tan , Barnabé Walheer

引用次数: 0

Hacks and the price synchronicity of bitcoin and ether 黑客攻击与比特币和以太币价格的同步性

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-04-23 DOI: 10.1016/j.qref.2024.04.008

Jying-Nan Wang , Samuel A. Vigne , Hung-Chun Liu , Yuan-Teng Hsu

引用次数: 0

Dual effects of investor sentiment and uncertainty in financial markets 投资者情绪和不确定性对金融市场的双重影响

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-04-21 DOI: 10.1016/j.qref.2024.04.006

Sangik Seok , Hoon Cho , Doojin Ryu

引用次数: 0

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-04-18 DOI: 10.1016/j.qref.2024.04.005

Afees A. Salisu , Ahamuefula E. Ogbonna , Rangan Gupta , Elie Bouri

{"title":"Energy-related uncertainty and international stock market volatility","authors":"Afees A. Salisu , Ahamuefula E. Ogbonna , Rangan Gupta , Elie Bouri","doi":"10.1016/j.qref.2024.04.005","DOIUrl":"10.1016/j.qref.2024.04.005","url":null,"abstract":"<div><p>This paper predicts the daily return volatility of 28 advanced and developing stock markets using monthly metrics of the corresponding country and global energy-related uncertainty indexes (EUIs) recently proposed in the literature. Using data in their “natural” frequencies to avoid aggregation bias, the results show that country-specific and global EUIs have predictive powers for stock returns volatility for the in-sample periods, with increased levels of EUIs exhibiting the tendency to heighten volatility. This predictability also withstands various out-of-sample forecast horizons, implying that EUI is a statistically relevant predictor in the out-of-sample analysis. The forecast precision of the GARCH-MIDAS model is improved by incorporating global EUIs relatively more than country-specific EUIs. The robustness of the findings with respect to the choice of EUI and sample definition is further confirmed. The outcomes have important policy implications for the concerned stakeholders who are concerned with stability in the global financial system and economy.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"95 ","pages":"Pages 280-293"},"PeriodicalIF":3.4,"publicationDate":"2024-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1062976924000589/pdfft?md5=4756c1d423cd03d63476fe8d01cf3fb1&pid=1-s2.0-S1062976924000589-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140781634","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

Do ESG disclosures mitigate investors’ reaction on mining disasters? Evidence from Brazil 环境、社会和治理信息披露能否减轻投资者对矿业灾难的反应？巴西的证据

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-04-18 DOI: 10.1016/j.qref.2024.04.003

Inés Merino Fdez-Galiano , José Manuel Feria-Dominguez

{"title":"Do ESG disclosures mitigate investors’ reaction on mining disasters? Evidence from Brazil","authors":"Inés Merino Fdez-Galiano , José Manuel Feria-Dominguez","doi":"10.1016/j.qref.2024.04.003","DOIUrl":"https://doi.org/10.1016/j.qref.2024.04.003","url":null,"abstract":"<div><p>The purpose of this paper is to examine the investors´ reaction to the largest ecological disasters –Samarco (2015) and Brumadinho (2019)– occurred in Minas Gerais (Brazil). Applying a short-term event study analysis, we test the stock and Credit Default Swap (CDS) market´s on the mining sector. Moreover, a cross-sectional analysis is performed testing the effect of ESG disclosures on the market reaction –in terms of Cumulative Abnormal Returns, CAR– on the competitors of Vale S.A., the company involved in such ecological catastrophes. Our findings show a statistically significant reaction in both events. Investors´ react negatively and immediately in the case of Vale for both events; CARs are statistically significant for the shorter windows. However, investors react differently in the mining sector sample –excluding Vale–. While CARs are negative in Samarco, investors do so positively in the case of Brumadinho. In that sense, investors seemed as if they switch their perceptions from this first event –Samarco–in comparison to the most recent one –Brumadinho– rewarding the increase of ESG disclosures in the meantime and mitigating a negative contagion effect in the mining sector. The impact on the CDS market is also found positive in mining sector.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"95 ","pages":"Pages 256-267"},"PeriodicalIF":3.4,"publicationDate":"2024-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1062976924000565/pdfft?md5=6897ed0518caf14706a453ff0ebd438e&pid=1-s2.0-S1062976924000565-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140639040","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

Customer concentration, managerial risk aversion, and hostile takeover threats 客户集中度、管理风险规避和恶意收购威胁

IF 3.4 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-04-16 DOI: 10.1016/j.qref.2024.04.004

Pattanaporn Chatjuthamard , Pornsit Jiraporn , Sang Mook Lee , Pattarake Sarajoti

{"title":"Customer concentration, managerial risk aversion, and hostile takeover threats","authors":"Pattanaporn Chatjuthamard , Pornsit Jiraporn , Sang Mook Lee , Pattarake Sarajoti","doi":"10.1016/j.qref.2024.04.004","DOIUrl":"https://doi.org/10.1016/j.qref.2024.04.004","url":null,"abstract":"<div><p>Exploiting a unique measure of takeover vulnerability principally based on the staggered passage of anti-takeover state legislations, we investigate how customer concentration is influenced by the discipline of the market for corporate control, which is widely regarded as a crucial instrument of external corporate governance. Our results demonstrate that more takeover exposure raises customer concentration considerably. Specifically, a rise in takeover susceptibility by one standard deviation increases customer concentration by 8.10%− 9.16%. When insulated from the discipline of the takeover market, risk-averse managers prefer to live a quiet life, trying to reduce firm risk. Consequently, they seek to lower customer concentration as a high level of customer concentration is risky. Therefore, firms more exposed to hostile takeovers exhibit higher customer concentration. Further analysis including entropy balancing, propensity score matching, and instrumental-variable analysis validates the results. Our study is the first to link customer concentration to the market for corporate control.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"95 ","pages":"Pages 268-279"},"PeriodicalIF":3.4,"publicationDate":"2024-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140650059","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