Quarterly Review of Economics and Finance最新文献_第2页

Extreme frequency connectedness, determinants and portfolio analysis of major cryptocurrencies: Insights from quantile time-frequency approach

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-01-31 DOI: 10.1016/j.qref.2025.101974

Purba Bhattacherjee , Sibanjan Mishra , Sang Hoon Kang

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引用次数: 0

Do foreign bank investors promote acquirer bank value in Asia-Pacific countries?

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-01-17 DOI: 10.1016/j.qref.2025.101963

Yoko Shirasu , Yukihiro Yasuda

引用次数: 0

Markowitz portfolios under transaction costs

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-01-12 DOI: 10.1016/j.qref.2025.101962

Olivier Ledoit, Michael Wolf

引用次数: 0

A novel credit model risk measure: Do more data lead to lower model risk?

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-01-10 DOI: 10.1016/j.qref.2025.101960

Valter T. Yoshida Junior , Rafael Schiozer , Alan de Genaro , Toni R.E. dos Santos

引用次数: 0

Time-varying impacts of monetary policies on state-level housing markets: Evidence from the Covid-19 period

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-01-04 DOI: 10.1016/j.qref.2025.101961

MeiChi Huang

引用次数: 0

Natural disasters and bank liquidity creation in Sub-Saharan African countries: Evidence from banks panel data

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-01-03 DOI: 10.1016/j.qref.2024.101959

Joseph Attila , Jean-Louis Combes , Rasmané Ouedraogo

{"title":"Natural disasters and bank liquidity creation in Sub-Saharan African countries: Evidence from banks panel data","authors":"Joseph Attila , Jean-Louis Combes , Rasmané Ouedraogo","doi":"10.1016/j.qref.2024.101959","DOIUrl":"10.1016/j.qref.2024.101959","url":null,"abstract":"<div><div>This paper investigates the effects of natural disasters on bank liquidity creation in sub-Saharan African during the period 1988–2018. Using bank-level data from more than 30 countries, we find that natural disasters affect negatively the liquidity creation in the region. The cumulative effect over the three years following a disaster is economically significant, amounting to a total reduction of 4 % in the average liquidity generated. This impact is mainly channeled through the asset-side activities of banks. We also find heterogeneous impact of natural disasters on bank liquidity creation based on the size of banks, the magnitude of disasters and the income level of countries. Moreover, these effects are mainly observed when disasters strike on a large-scale. On the contrary, there is no significant difference depending on whether or not the disaster is climatic in origin. Additional tests show that foreign ownership of banks as well as monetary policy change do not qualitatively alter our primary findings. These results support bank regulation policies taking into the specificities of banks operating in environments prone to frequent natural disasters. Specifically, we recommend that central banks implement targeted regulatory measures such as stress-testing or resilience programs. As natural disasters are likely to increase in the coming years due to climate change, we suggest that microprudential policies be further strengthened and adapted to incorporate climate change considerations.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"100 ","pages":"Article 101959"},"PeriodicalIF":2.9,"publicationDate":"2025-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143129718","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

Robust non-zero-sum investment–consumption games under multivariate stochastic covariance models

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-01-03 DOI: 10.1016/j.qref.2024.101949

Yumo Zhang , Huainian Zhu

{"title":"Robust non-zero-sum investment–consumption games under multivariate stochastic covariance models","authors":"Yumo Zhang , Huainian Zhu","doi":"10.1016/j.qref.2024.101949","DOIUrl":"10.1016/j.qref.2024.101949","url":null,"abstract":"<div><div>This paper discusses a non-zero-sum stochastic differential game involving multiple players and model ambiguity. Each economic agent is concerned about the relative performance of other agents in terms of their average terminal wealth and intermediate consumption. The goal is to find the optimal investment–consumption strategy that is robust under the worst-case scenario of adverse probability measures. The competitive and ambiguity-averse agents can invest in an incomplete financial market composed of a risk-free asset, an equity index, and a single equity depicted by a class of generically non-Markovian multivariate stochastic covariance models, under which the market prices of risks hinge on a multivariate affine-diffusion factor process. The unified modeling framework includes some state-of-the-art stochastic covariance models as particular cases. A backward stochastic differential equation approach coupled with the martingale optimality principle addresses the robust non-Markovian stochastic differential game. Closed-form solutions are derived to the robust Nash equilibrium investment–consumption policies, the probability perturbation processes associated with the well-defined worst-case scenarios, and the corresponding value functions. Under certain technical conditions, we verify the admissibility of the solutions. Finally, we performed numerical experiments to showcase the impact of model parameters on robust investment–consumption strategies.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"100 ","pages":"Article 101949"},"PeriodicalIF":2.9,"publicationDate":"2025-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143130273","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

Quality differentiation and optimal pricing strategy in multi-sided markets 多面市场中的质量差异和最优定价策略

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-01-01 DOI: 10.1016/j.qref.2024.101900

Soo Jin Kim , Pallavi Pal

引用次数: 0

Language as a trade barrier in public procurement: Evidence from Georgia's policies on English language documentation

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-01-01 DOI: 10.1016/j.qref.2024.101898

George Deltas , Simon J. Evenett

引用次数: 0

Make or buy for public services: Culture matters for efficiency considerations

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-01-01 DOI: 10.1016/j.qref.2024.101899

Laure Athias, Pascal Wicht

{"title":"Make or buy for public services: Culture matters for efficiency considerations","authors":"Laure Athias, Pascal Wicht","doi":"10.1016/j.qref.2024.101899","DOIUrl":"10.1016/j.qref.2024.101899","url":null,"abstract":"<div><div>What determines the share of public employment in countries of similar levels of economic development, at a given size of the State? A standard answer from the public choice literature points to non-benevolent states, emphasizing the importance of constraints on their power. This paper challenges this view by investigating the role of culture and examining whether the relative cost-efficiency of public versus private provision varies across cultures. We build a representative database for contracting choices of municipalities in Switzerland and exploit the discontinuity at the Swiss language border at <em>identical</em> actual set of policies and institutions to analyze the causal effect of culture on the choice of how public services are provided. We find that French-speaking border municipalities are 60% less likely to contract with the private sector than their adjacent German-speaking counterparts. Technical dimensions are much smaller by comparison and their effects do not vary with culture, ruling out cultural bias in municipality choices. We further document that public provision, compared to private provision, increases cost-efficiency within French-speaking Swiss municipalities. These results resonate with the literature emphasizing that public bureaucracies are mission-oriented organizations whose organizational efficiency is enhanced through mission matching, but they also unveil that this mission matching is culturally determined.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"99 ","pages":"Article 101899"},"PeriodicalIF":2.9,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143152262","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