{"title":"The value of international standards certification: Evidence on export and firm performance from a security enforcement on borders","authors":"Shu-Ching Chou, Yen-Hui Kuo, Yu-Hsiu Cheng","doi":"10.1016/j.qref.2024.101926","DOIUrl":"10.1016/j.qref.2024.101926","url":null,"abstract":"<div><div>Globally, economic growth is promoted through regional economic integration, and governments actively try to improve the security and efficiency of international trade and border management by optimizing the conditions for international trade. The World Trade Organization (WTO) introduced the Authorized Economic Operator (AEO) certification system to improve the efficiency of customs clearance and to ensure the security of the global supply chain. Using a sample of Taiwanese-listed firms that attained AEO certification from 2009 to 2018, this study investigates the influence of AEO certification on their export sales and corporate performance. The empirical results show that AEO-certified firms increase their ratio of export sales and the scope of export destination regions. However, AEO-certified firms can not improve their operating and market performance significantly, except for low-performance firms in the accreditation year. This study also uses the two-stage least square regressions (2SLS) method and the propensity score matching method to conduct the regression analysis. The regression results are consistent with the main findings. The findings can be used for reference by firms seeking to expand international trade and by governments to promote the country’s international trading.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"98 ","pages":"Article 101926"},"PeriodicalIF":2.9,"publicationDate":"2024-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142425577","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}
{"title":"Intraday analyses on weather-induced sentiment and stock market behavior","authors":"Sangik Seok , Hoon Cho , Doojin Ryu","doi":"10.1016/j.qref.2024.101929","DOIUrl":"10.1016/j.qref.2024.101929","url":null,"abstract":"<div><div>We examine the intraday relationship between weather conditions and investor sentiment in the Korean equity market. By uncovering the intermediary role of weather-induced sentiment in affecting market variables, we suggest a potential link between weather conditions, sentiment, and market dynamics. High temperatures, humidity, and cloud coverage negatively affect investors’ moods, while strong winds and long sunshine durations have a positive impact. Although only cloud coverage marginally impacts stock returns, weather factors significantly affect market turnover, volatility, and illiquidity, especially when they alter sentiment dynamics.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"98 ","pages":"Article 101929"},"PeriodicalIF":2.9,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142553620","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}
{"title":"Natural gas volatility prediction via a novel combination of GARCH-MIDAS and one-class SVM","authors":"Lu Wang , Xing Wang , Chao Liang","doi":"10.1016/j.qref.2024.101927","DOIUrl":"10.1016/j.qref.2024.101927","url":null,"abstract":"<div><div>Research has focused on whether information spillovers from external influences play a role in clean energy–natural gas volatility forecasts. However, the climate and energy crises caused by the intensification of extreme events, such as recent extreme weather and geopolitical risks, have led the public to turn their attention to research in the field of clean energy. Therefore, this paper uses one-class SVM (support vector machine) techniques to identify extreme volatility in natural gas prices induced by significant occurrences (e.g., wars, financial crises, and COVID-19) and then investigates whether considering extreme volatility in natural gas over different volatile periods (short- and long-term periods) improves volatility forecasting accuracy within the context of a GARCH-MIDAS framework. The in-sample analyses demonstrate that extreme shocks increase natural gas price volatility and that the asymmetric effects are more influential than the short- and long-term extreme volatility effects. The out-of-sample results indicate that the GJR-GARCH-MIDAS-one-class-SVM-SLES model outperforms the other models and achieves the best forecasting performance of the remaining extended models. In addition, robustness tests confirm these findings.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"98 ","pages":"Article 101927"},"PeriodicalIF":2.9,"publicationDate":"2024-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142425576","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}
{"title":"Debtholder responses to controlling shareholders’ share pledging","authors":"Xiaohui Hou, Xiaonan Lu","doi":"10.1016/j.qref.2024.101928","DOIUrl":"10.1016/j.qref.2024.101928","url":null,"abstract":"<div><div>This study investigates debtholders’ responses to controlling shareholders’ share pledging. We found that share pledging by controlling shareholders is crucial for reducing agency costs. This lessens the information asymmetry of outsiders by strengthening pledgee supervision, and decreases companies’ risk-taking by adopting a relatively conservative investment strategy that hedges excessive risks. This also reduces the impact of insider control, decreases the interest spread, and increases the length of loan maturity. Further analyses show that the favorable effect of share pledging on bank loan covenants weakens for companies with a higher degree of financing deficit. Additionally, the role of share pledging varies with the agency costs of companies’ insider controls. The effects of share pledging on bank loan terms are more profound for companies with a higher degree of corporate governance performance. Robustness analyses addressing potential endogeneity further confirm our primary conclusions.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"98 ","pages":"Article 101928"},"PeriodicalIF":2.9,"publicationDate":"2024-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142425631","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}
Marian W. Moszoro , Stéphane Saussier , Jean Beuve
{"title":"Rigidity in public contracts: Implications for renewal dynamics","authors":"Marian W. Moszoro , Stéphane Saussier , Jean Beuve","doi":"10.1016/j.qref.2024.101924","DOIUrl":"10.1016/j.qref.2024.101924","url":null,"abstract":"<div><div>We investigate how the rigidity of public contracts influences the frequency of their renewal. Using a dataset of contracts for public–private car parks and employing machine-reading techniques to assess contract rigidity, we find that heightened contract rigidity, particularly in litigation clauses, significantly raises the probability of contract renewal. Our findings indicate that procedural sunk costs and the competitive advantage conferred to incumbents by contract rigidity are key factors contributing to more frequent renewals. This study enhances our comprehension of public contract renewals by emphasizing the significance of political contestability and rigidity, providing valuable insights into optimal strategies for contract renegotiation.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"98 ","pages":"Article 101924"},"PeriodicalIF":2.9,"publicationDate":"2024-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142357915","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}
{"title":"From the Fringe to the front-stage. European immigration and the Far-Right vote: An IV approach","authors":"Panagiotis Th. Konstantinou, Costas Roumanias","doi":"10.1016/j.qref.2024.101925","DOIUrl":"10.1016/j.qref.2024.101925","url":null,"abstract":"<div><div>We use regional data spanning over 4500 electoral outcomes at NUTS3 level between 2000 and 2017 to assess the impact of immigration on Western European Far-Right voting. To deal with potential reverse causation, we use immigration in neighboring countries as an instrument for domestic immigration. The estimated effects of immigration are positive, significant and larger compared to those obtained by simple OLS and fixed effects regressions. Depending on the measure of immigration used, we find that a 1% increase in immigration stocks leads to a between 1.78% and 2.97% in Far-Right voting. Similar results are obtained using electoral outcomes and immigration shares at the NUTS2 level, where the effect of immigration is estimated between 3% and 5.32%. Our results are consistent with possible negative feedback from the Far-Right to immigration. Our estimated effects explain a large part of the observed rise in Far-Right in Western European countries that experienced high levels of immigration during the span of our sample.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"98 ","pages":"Article 101925"},"PeriodicalIF":2.9,"publicationDate":"2024-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142425630","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}
Nektarios Aslanidis , Demetris Koursaros , Glenn Otto
{"title":"Asymmetry in inflation persistence under inflation targeting","authors":"Nektarios Aslanidis , Demetris Koursaros , Glenn Otto","doi":"10.1016/j.qref.2024.101922","DOIUrl":"10.1016/j.qref.2024.101922","url":null,"abstract":"<div><div>This study empirically documents that inflation is significantly more persistent when it is below the Central Bank’s target than otherwise, in five inflation targeting countries (Australia, New Zealand, Sweden, United States and the Euro-Area). We use a threshold autoregressive model to test for this asymmetry in inflation persistence; above and below some estimated threshold. We find that the threshold estimates are reasonable in light of a central bank’s announced inflation target. Theoretically, we postulate that this phenomenon occurs because while forming their expectations, agents pay attention to recent observations asymmetrically along the business cycle. It is shown that a New Keynesian model with adaptive learning and an adaptive gain can explain the asymmetry in inflation persistence. Due to relatively larger forecasting errors, agents tend to put more weight on recent events in periods of high inflation, forcing inflation persistence to deteriorate. Our empirical evidence supports the theoretical findings that inflationary periods are associated with larger forecasting errors.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"98 ","pages":"Article 101922"},"PeriodicalIF":2.9,"publicationDate":"2024-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142651729","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}
Felipe Vieira Passos , Carlos Enrique Carrasco-Gutierrez , Paulo Roberto Amorim Loureiro
{"title":"Monetary policy through the risk-taking channel: Evidence from an emerging market","authors":"Felipe Vieira Passos , Carlos Enrique Carrasco-Gutierrez , Paulo Roberto Amorim Loureiro","doi":"10.1016/j.qref.2024.101923","DOIUrl":"10.1016/j.qref.2024.101923","url":null,"abstract":"<div><div>This paper examines the influence of domestic and international monetary policies on the risk-taking behavior of Brazilian banks from 2003 to 2021. Using a dynamic panel model and macroeconomic data, we find a negative correlation between interest rates and banks' risk-taking. Lower interest rates heighten risk activities, evidenced by expanded credit, interbank deposits, risk exposure, provisions, and leverage. The relationship is stronger with international rates, highlighting global monetary policy's significant role. Our analysis also distinguishes the impacts of the subprime and Covid-19 crises, showing how these events, along with bank-specific characteristics and macroeconomic conditions, affect risk-taking. This study provides nuanced insights into the interplay between monetary policy, financial crises, and bank-specific factors in an emerging market context.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"98 ","pages":"Article 101923"},"PeriodicalIF":2.9,"publicationDate":"2024-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142319579","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}
{"title":"Bank insolvency risk, Z-score measures and unimodal returns: A refinement","authors":"Mathieu Mercadier , Frank Strobel","doi":"10.1016/j.qref.2024.101919","DOIUrl":"10.1016/j.qref.2024.101919","url":null,"abstract":"<div><p>We develop refined probability bounds for bank insolvency risk measures based on the Z-score, analogous to those given by Cantelli’s inequality under the additional assumption of unimodality of returns, drawing on the one-sided Vysochanskii-Petunin inequality. Illustrating empirically for US banks, we argue that (i) unimodality of returns is not an overly restrictive assumption in this context, and (ii) the refined measures provide a less conservative alternative to insolvency probability bounds drawing on the (two-sided) Vysochanskii-Petunin inequality, particularly for banks with higher levels of insolvency risk.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"98 ","pages":"Article 101919"},"PeriodicalIF":2.9,"publicationDate":"2024-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S106297692400125X/pdfft?md5=1da907565b2e147df500a339c7581a80&pid=1-s2.0-S106297692400125X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142228697","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}
Fouad Ben Abdelaziz , Messaoud Chibane , Ano Kuhanathan
{"title":"Can corporate social performance mitigate the risk of extreme stock returns?","authors":"Fouad Ben Abdelaziz , Messaoud Chibane , Ano Kuhanathan","doi":"10.1016/j.qref.2024.101917","DOIUrl":"10.1016/j.qref.2024.101917","url":null,"abstract":"<div><p>It is commonly believed that there exists a strong negative association between corporate social performance (CSP) and firm risk.<span><span><sup>1</sup></span></span> To investigate the structure of this relationship, we decompose the dynamics of large U.S. company stock returns into two components: Gaussian and non-Gaussian innovations. Our findings indicate that CSP affects firm risk mainly through the non-Gaussian risk channel. In particular, it significantly reduces the magnitude of extreme returns. We find no consistent nor robust effect of CSP on the frequency of price boom and crash probability as it varies widely across industries. Last, we find no statistically significant impact of CSP on standard Gaussian volatility risk.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"98 ","pages":"Article 101917"},"PeriodicalIF":2.9,"publicationDate":"2024-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1062976924001236/pdfft?md5=1f3b2de05fb08df3bbee2463d0a955a2&pid=1-s2.0-S1062976924001236-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142232459","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}