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

Analyzing foreclosure recovery rates and lags in defaulted mortgages: Insights from the threshold model 分析丧失抵押品赎回权的回收率和违约抵押贷款的滞后性：来自阈值模型的见解

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-01-21 DOI: 10.1016/j.qref.2026.102117

Shu Ling Chiang , Ming Shann Tsai

{"title":"Analyzing foreclosure recovery rates and lags in defaulted mortgages: Insights from the threshold model","authors":"Shu Ling Chiang , Ming Shann Tsai","doi":"10.1016/j.qref.2026.102117","DOIUrl":"10.1016/j.qref.2026.102117","url":null,"abstract":"<div><div>The loss given default (LGD) of a defaulted mortgage is mainly determined by the following two variables: the foreclosure recovery rate (FRR) and foreclosure lag (FL). This study examines whether factors such as the FICO score, the LTV ratio, the interest rate, and the housing return influence these two variables. Furthermore, we use a threshold model to examine whether there is a threshold effect for the impact of the influential factors on the FRR and the FL when the housing return serves as the threshold variable. Our results reveal that all these four factors significantly influence the FRR and the FL. All factors, except for the LTV ratio, positively impact the FRR. In addition, the FL is negatively influenced by all factors, except the housing return at the selling date. Moreover, a structural change can be observed when the housing return exceeds a threshold level. The direction and magnitude of the impact of the influential factors on FRR and FL vary within the two distinct regimes, defined by housing return. Additionally, the explanatory power is enhanced when considering the threshold effect on the analyses. Our results are valuable for the mortgage insurance industry and financial institutions in effectively managing risks and minimizing potential losses.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"106 ","pages":"Article 102117"},"PeriodicalIF":3.1,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146080341","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

Hedging extreme risks in US stocks caused by the shortage of US dollar liquidity: Evidence from the COVID-19 outbreak 对冲美元流动性短缺导致的美股极端风险：来自新冠肺炎疫情的证据

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-01-21 DOI: 10.1016/j.qref.2026.102123

Che-Chun Lin , Han-Bo Chen , I-Chun Tsai

{"title":"Hedging extreme risks in US stocks caused by the shortage of US dollar liquidity: Evidence from the COVID-19 outbreak","authors":"Che-Chun Lin , Han-Bo Chen , I-Chun Tsai","doi":"10.1016/j.qref.2026.102123","DOIUrl":"10.1016/j.qref.2026.102123","url":null,"abstract":"<div><div>This paper analyzes whether gold and Bitcoin serve as hedges against US stocks by exploring the connection between gold, Bitcoin, and US dollar liquidity. It discusses the characteristics of the gold standard, which is a currency that serves as a replacement for the US dollar. It is inferred that abnormal changes in US dollar liquidity (shocks from money supply) bring about short-term negative impact and immediate changes in gold and Bitcoin prices. Also, such changes may contribute to the inverse relationship between these asset types and the US stock market during certain periods. Moreover, this paper infers that other precious metals and virtual currencies with similar characteristics also provide a hedging option when a major shock occurs in the US stock market, and therefore, function as safe-haven assets as well. To verify the inference, this paper employs a time-varying parameter-vector autoregressive model and a quantile-on-quantile regression to estimate dynamic correlations. This paper takes the three years following the COVID-19 outbreak as the study period. It examines whether precious metals (gold and silver) and virtual currencies (Bitcoin and the Crypto Currency index 30) can act as safe-haven assets, allowing investors to navigate extreme events in the stock market. The results confirm the theory presented in this paper. It also shows that when there is an extreme shortage of US dollar liquidity, a highly negative correlation exists between asset returns and money supply growth for precious metals and virtual currencies. This implies that these assets can hedge extreme risks in US stocks caused by the shortage of US dollar liquidity.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"106 ","pages":"Article 102123"},"PeriodicalIF":3.1,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146026037","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

Forecasting intraday risk incorporating the higher-order moments 结合高阶时刻预测日内风险

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-01-21 DOI: 10.1016/j.qref.2026.102120

Rui Ke , Man Yin , Jing Jia

引用次数: 0

Stable grounds, digital gains: The role of macroeconomic resilience in fintech market development 稳定的基础，数字收益：宏观经济弹性在金融科技市场发展中的作用

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-01-21 DOI: 10.1016/j.qref.2026.102122

Charilaos Mertzanis , Asma Houcine

{"title":"Stable grounds, digital gains: The role of macroeconomic resilience in fintech market development","authors":"Charilaos Mertzanis , Asma Houcine","doi":"10.1016/j.qref.2026.102122","DOIUrl":"10.1016/j.qref.2026.102122","url":null,"abstract":"<div><div>This study investigates the impact of macroeconomic stability on the growth of fintech markets across 92 countries, emphasizing the importance of stable economic conditions in fostering fintech development. Using newly released cross-country data from the Bank for International Settlements and a comprehensive measure of macroeconomic stability, the findings reveal a robust, positive association between macroeconomic stability and FinTech credit. This indicates that stability reduces economic risk and attracts investment, creating an enabling environment for fintech growth. Interaction analyses demonstrate that this relationship is amplified in societies with advanced digital infrastructure and high levels of financial literacy, underscoring the complementary roles of technological and educational ecosystems. To enhance reliability, the study addresses endogeneity concerns and conducts comprehensive robustness checks, including sensitivity analyses and the inclusion of additional controls. Furthermore, the results highlight the mitigating effects of financial inclusion policies, regulatory adaptability to digital business models, and the scale of digital services trade in shaping the relationship between macroeconomic stability and fintech market expansion.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"106 ","pages":"Article 102122"},"PeriodicalIF":3.1,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146080342","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

(De)Centralized Debt Financing and Project Selection under imperfect Bank Competition （二）银行不完全竞争下的债务集中融资与项目选择

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2026-03-01 Epub Date: 2026-01-12 DOI: 10.1016/j.qref.2026.102114

Clemens Löffler, Thomas Kaufmann-Lerchl, Christopher Liska

{"title":"(De)Centralized Debt Financing and Project Selection under imperfect Bank Competition","authors":"Clemens Löffler, Thomas Kaufmann-Lerchl, Christopher Liska","doi":"10.1016/j.qref.2026.102114","DOIUrl":"10.1016/j.qref.2026.102114","url":null,"abstract":"<div><div>This paper examines how a firm should finance multiple investment projects when credit markets are imperfect and banks possess market power. Using the Monti–Klein framework, we model the firm’s strategic choice between raising debt for projects separately (decentralized funding) or jointly (centralized funding) and its implications for project selection and capital allocation. Our results reveal that imperfect competition in the banking sector crucially shapes the firm’s optimal financing mode. Depending on equity levels and market competitiveness, under centralized funding the firm may optimally bundle strong and weak projects — a form of corporate socialism — to reduce overall borrowing costs. Contrary to conventional views, winner picking and corporate socialism can coexist: bundling weak projects can enhance financing terms for strong ones and enable more aggressive resource reallocation toward strong projects. The findings offer a novel rationale for cross-subsidization as an optimal response to imperfect credit markets rather than a symptom of inefficiency.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"106 ","pages":"Article 102114"},"PeriodicalIF":3.1,"publicationDate":"2026-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146001811","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

Trading activity and fund performance - Evidence from corporate bond mutual funds 交易活动和基金业绩——来自公司债券共同基金的证据

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-12-15 DOI: 10.1016/j.qref.2025.102099

Dan Luo

引用次数: 0

Are safe-haven assets really safe? Heterogeneity under economic, political and climate risks 避险资产真的安全吗？经济、政治和气候风险下的异质性

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-12-04 DOI: 10.1016/j.qref.2025.102088

Lijun Gao , Dongsheng Bei , Junda Wu , Kun Guo , Xianhua Wei

引用次数: 0

Housing market variables and predictability of state-level stock market volatility of the United States: Fundamentals versus sentiments in a mixed-frequency framework 房地产市场变量与美国州级股市波动的可预测性：混合频率框架下的基本面与情绪

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-12-04 DOI: 10.1016/j.qref.2025.102087

Afees A. Salisu , Rangan Gupta , Oguzhan Cepni

{"title":"Housing market variables and predictability of state-level stock market volatility of the United States: Fundamentals versus sentiments in a mixed-frequency framework","authors":"Afees A. Salisu , Rangan Gupta , Oguzhan Cepni","doi":"10.1016/j.qref.2025.102087","DOIUrl":"10.1016/j.qref.2025.102087","url":null,"abstract":"<div><div>This paper utilizes the generalized autoregressive conditional heteroscedasticity–mixed data sampling (GARCH‑MIDAS) approach to predict the daily volatility of state‑level stock returns in the United States (US) from monthly state and national housing price returns. We find that housing price returns generally have a negative effect on state‑level volatility. More importantly, the GARCH‑MIDAS model augmented with these predictors significantly outperforms the benchmark GARCH‑MIDAS model with realized volatility (GARCH‑MIDAS‑RV) over short‑, medium‑, and long‑term forecasting horizons for 90 % of the states; the performance of state and national housing returns is virtually indistinguishable. These superior forecasting results persist when housing price returns are replaced with housing permits and housing‑market media‑attention indexes, suggesting an overwhelming role for housing‑market variables—both traditional and behavioral—in forecasting state‑level stock‑return volatility. Our findings have important implications for investors and policymakers.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"105 ","pages":"Article 102087"},"PeriodicalIF":3.1,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145749925","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

Bank government ownership and reaction to SVB collapse: Evidence from emerging markets 银行政府所有权和对瑞典对外银行崩溃的反应：来自新兴市场的证据

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-12-03 DOI: 10.1016/j.qref.2025.102086

Narjess Boubakri, Efe Cotelioglu, Anis Samet

引用次数: 0

The forking effect 分叉效应

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-12-08 DOI: 10.1016/j.qref.2025.102090

Florentina șoiman , Mathis Mourey , Jean-Guillaume Dumas , Sonia Jimenez-Garces

{"title":"The forking effect","authors":"Florentina șoiman , Mathis Mourey , Jean-Guillaume Dumas , Sonia Jimenez-Garces","doi":"10.1016/j.qref.2025.102090","DOIUrl":"10.1016/j.qref.2025.102090","url":null,"abstract":"<div><h3>Purpose:</h3><div>This study introduces the concept of the <em>forking effect</em>, a measurable financial response to technological changes, while focusing on the impact of these events on the parent coin.</div></div><div><h3>Design/Methodology/Approach:</h3><div>We use a modified exponential GARCH framework to assess how the parent coin responds to these events in both their return dynamics and volatility structure.</div></div><div><h3>Findings:</h3><div>Our findings reveal that forks do not significantly affect the parent coin’s returns but have a strong positive impact on its volatility, especially when considering market dynamics. Our model accounts for key features like volatility clustering and fat-tailed distributions. Additionally, we observe that following a fork event, volatility remains elevated for the next three days. This heightened volatility is not amplified when multiple forks coincide on the same calendar day, suggesting that the incremental risk of overlapping fork events is negligible.</div></div><div><h3>Originality/Value:</h3><div>This paper extends the crypto-related literature by formally defining and measuring the forking effect, a subject rarely addressed in finance research. By demonstrating that forks materially elevate short-run volatility without altering expected returns, the analysis supplies investors with a clearer basis for portfolio risk management and offers regulators insights into a distinct source of market instability in Blockchain-based asset markets.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"105 ","pages":"Article 102090"},"PeriodicalIF":3.1,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145749921","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