Quarterly Review of Economics and Finance最新文献_第3页

Are public debt and public debt expectations associated with debt management strategies? 公共债务和公共债务预期是否与债务管理战略相关？

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-09-07 DOI: 10.1016/j.qref.2024.101921

Gabriel Caldas Montes , Daniel Pereira dos Anjos

{"title":"Are public debt and public debt expectations associated with debt management strategies?","authors":"Gabriel Caldas Montes , Daniel Pereira dos Anjos","doi":"10.1016/j.qref.2024.101921","DOIUrl":"10.1016/j.qref.2024.101921","url":null,"abstract":"<div><p>With the adoption of the inflation targeting regime in Brazil, the Brazilian public debt indexation structure underwent major transformations. Furthermore, public debt management strategies changed even more radically after the 2008 global financial crisis. Thus, this paper investigates the relationship between the debt indexation strategy, the type of debt indexation structure and the maturity of public securities with public debt and public debt expectations in Brazil. Regarding the debt indexation strategy, we created an indicator that shows whether the debt indexation structure is tending towards a middle-ground composition with respect to the proportions of the indexers, or whether it is tending towards a divergent composition. This indicator enables verifying whether a partial debt indexation strategy is successful in controlling both the public debt and public debt expectations, as this strategy would have the capacity to mitigate risks. Estimates are made for the total sample and for a sub-sample that represents the new debt indexation profile. The results show that a middle-ground debt indexation structure is associated with lower public debt and lower public debt expectations. The findings also reveal that a strategy of replacing floating-rate debt securities with fixed-rate debt securities and price-index debt securities is associated with lower public debt and lower public debt expectations. For the period related to the new debt indexation profile, these associations of a strategy of replacing debt securities as well as a middle-ground composition strategy with public debt and public debt expectations become stronger.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"98 ","pages":"Article 101921"},"PeriodicalIF":2.9,"publicationDate":"2024-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142162213","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 influence of uncertainty on commodity futures returns and trading behaviour 不确定性对商品期货收益和交易行为的影响

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-09-07 DOI: 10.1016/j.qref.2024.101915

Joshua Laubsch , Lee A. Smales , Duc Vo

引用次数: 0

Time-frequency co-movement and cross-quantile connectedness of exchange rates: Evidence from ASEAN+3 Countries 汇率的时频共振和跨量纲关联性：东盟+3 国家的证据

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-09-07 DOI: 10.1016/j.qref.2024.101920

Huiming Zhu , Xi Deng , Yinghua Ren , Xi Huang

引用次数: 0

Money demand function with time-varying coefficients 具有时变系数的货币需求函数

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-09-04 DOI: 10.1016/j.qref.2024.101914

Elyas Elyasiani , Hadi Movaghari

{"title":"Money demand function with time-varying coefficients","authors":"Elyas Elyasiani , Hadi Movaghari","doi":"10.1016/j.qref.2024.101914","DOIUrl":"10.1016/j.qref.2024.101914","url":null,"abstract":"<div><p>The objectives of this study are twofold; to explore the structural break(s) in the time series of the US firms’ cash ratio, and, to examine the sensitivity of cash to firm characteristics around the identified break point(s) using the time-varying coefficients model. We identify a major shift in cash ratio in 1995, in the middle of the longest NBER economic expansion. We attribute this changepoint to the large and unexpected change in the target federal funds rate in 1994–1995. Moreover, we find that cash flows exert a gradually decreasing positive effect on cash holdings in the pre-1995 era, followed by an increasing negative effect in the post-1995 era. We argue that this time series evidence can settle the debate on the cash-cash flow sensitivity in the literature. We further document a hump-shaped effect from market-to-book ratio on cash holdings with a turning point in 1995. Noting that 1995 is not the exclusive period displaying such a pattern, the recurring hump-shaped effect of market-to-book ratio complements previous findings on the cyclical feature of investment opportunities. Our findings are robust to the type of changepoint detector and alternative cash measures. The incidence of the changepoint amid economic boom highlights the need for additional research on firm cash holding decisions during periods of economic growth, as most previous studies focus on cash holding during periods of economic hardship.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"98 ","pages":"Article 101914"},"PeriodicalIF":2.9,"publicationDate":"2024-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1062976924001200/pdfft?md5=28ee381dcf60cf7d91d970319e44273a&pid=1-s2.0-S1062976924001200-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142149985","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

The impact of (social) anchors on Prospect Theory’s value function 社会）锚对前景理论价值函数的影响

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-09-04 DOI: 10.1016/j.qref.2024.101916

Sebastian Krull , David D. Loschelder , Matthias Pelster

引用次数: 0

Brazilian banks risk-taking and systemic risk 巴西银行的风险承担和系统性风险

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-09-02 DOI: 10.1016/j.qref.2024.101913

Bruna Gonçalves Fonseca Moura, Bruno Pérez Ferreira, Ana Carolina Costa Corrêa

{"title":"Brazilian banks risk-taking and systemic risk","authors":"Bruna Gonçalves Fonseca Moura, Bruno Pérez Ferreira, Ana Carolina Costa Corrêa","doi":"10.1016/j.qref.2024.101913","DOIUrl":"10.1016/j.qref.2024.101913","url":null,"abstract":"<div><p>This study analyzes the marginal contribution of Brazilian banks to the systemic risk. The objective is to identify whether banks that share common characteristics similarly contribute to systemic financial shocks. First, the risk assumed by a sample of listed banks is measured from the accounting, market, and regulatory perspectives. Sample banks were segregated using an unsupervised clustering model. The results were compared with the methodology currently used by the Central Bank of Brazil to segment the banking institutions. Finally, we evaluate the banking groups’ marginal contribution to systemic financial risk using <span><math><mrow><mi>Δ</mi><mi>C</mi><mi>o</mi><mi>V</mi><mi>a</mi><mi>R</mi></mrow></math></span>. These results suggest that institutions that share similar characteristics in relation to their risk profiles behave similarly during times of greater market stress. Notably, size, geographic diversification, and liquidity were common attributes among banks contributing significantly to systemic risk during financial crises. This study advances the field of banking finance by introducing an analytical framework that goes beyond the traditional focus on bank balance sheet size, aligning with international standards for evaluating the systemic importance of financial institutions.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"98 ","pages":"Article 101913"},"PeriodicalIF":2.9,"publicationDate":"2024-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142149984","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 effect of the evergrande bankruptcy on Chinese real estate listed firms 恒大破产对中国房地产上市公司的影响

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-09-02 DOI: 10.1016/j.qref.2024.101918

António Miguel Martins , Nuno Moutinho

引用次数: 0

Are bond markets and bank credits complementary or substitutable? Evidence based on the rule of law and countries’ legal origins 债券市场和银行信贷是互补还是可替代？基于法治和国家法律渊源的证据

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-08-26 DOI: 10.1016/j.qref.2024.101903

Yosuke Tomita

引用次数: 0

R&D subsidy, non-R&D subsidy and institutional investors' subscription for private placement of new shares: Evidence from China's securities market 研发补贴、非研发补贴与机构投资者认购非公开发行新股：来自中国证券市场的证据

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-08-25 DOI: 10.1016/j.qref.2024.101902

Weidong Zhang , Hongrui Zheng , Zhenghan Luo , Se Chen , Boqian Deng

{"title":"R&D subsidy, non-R&D subsidy and institutional investors' subscription for private placement of new shares: Evidence from China's securities market","authors":"Weidong Zhang , Hongrui Zheng , Zhenghan Luo , Se Chen , Boqian Deng","doi":"10.1016/j.qref.2024.101902","DOIUrl":"10.1016/j.qref.2024.101902","url":null,"abstract":"<div><p>Based on the data of listed companies in Shanghai and Shenzhen that have implemented private equity placements (PEP) from 2007 to 2020, we examine the impact of different types of government subsidies on institutional investors' participation in PEPs. We found that, first, the more government R&D subsidies obtained by companies issuing PEP, the greater the proportion of strategic investors’ subscriptions, with corporate R&D investment playing an intermediary role. Second, the participation of strategic investors in PEPs can effectively contribute to the positive impact of R&D subsidies on firms' innovation output, while the participation of financial investors doesn’t. This study reveals the heterogeneity of the information transfer effects of government subsidies and the investment preferences of institutional investors. Our research provides empirical evidence for the authority to improve the government subsidy policy and PEP system, and provide a referenced theoretical basis for institutional investors who intend to participate in PEPs.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"98 ","pages":"Article 101902"},"PeriodicalIF":2.9,"publicationDate":"2024-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142149986","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

A local volatility correction to mean-reverting stochastic volatility model for pricing derivatives 用于衍生品定价的均值回复随机波动模型的局部波动修正

IF 2.9 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2024-08-21 DOI: 10.1016/j.qref.2024.101901

Donghyun Kim , Mijin Ha , Jeong-Hoon Kim , Ji-Hun Yoon

{"title":"A local volatility correction to mean-reverting stochastic volatility model for pricing derivatives","authors":"Donghyun Kim , Mijin Ha , Jeong-Hoon Kim , Ji-Hun Yoon","doi":"10.1016/j.qref.2024.101901","DOIUrl":"10.1016/j.qref.2024.101901","url":null,"abstract":"<div><p>Generally, in the real market, empirical findings suggest that either local volatility (LV) or stochastic volatility (SV) models have a limit to capture the full dynamics and geometry of the implied volatilities of the given equity options. In this study, to overcome the disadvantage of such LV and SV models, we propose a special type of hybrid stochastic-local volatility (SLV<span><math><msup><mrow></mrow><mrow><mo>∗</mo></mrow></msup></math></span>) model in which the volatility is given by the squared logarithmic function of the underlying asset price added to a function of a fast mean-reverting process. By making use of asymptotic analysis and Mellin transform, we derive analytic pricing formulas for European derivatives with both smooth and non-smooth payoffs under the SLV<span><math><msup><mrow></mrow><mrow><mo>∗</mo></mrow></msup></math></span> model. We run numerical experiments to verify the accuracy of the pricing formulas using a Monte-Carlo simulation method and to display that the proposed new model fits the geometry of the market implied volatility more closely than other models such as the Heston model, the stochastic elasticity of variance (SEV) model, the hybrid stochastic and CEV type local volatility (SVCEV) model and the multiscale stochastic volatility (MSV) model, especially for short time-to-maturity options.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"97 ","pages":"Article 101901"},"PeriodicalIF":2.9,"publicationDate":"2024-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142021568","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