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Testing monetary neutrality with respect to relative price of oil using divisia M4 利用 divisia M4 测试石油相对价格的货币中性问题
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2025-02-28 DOI: 10.1016/j.qref.2025.101978
Jungho Baek , James Lee Caton Jr , Dragan Miljkovic
{"title":"Testing monetary neutrality with respect to relative price of oil using divisia M4","authors":"Jungho Baek ,&nbsp;James Lee Caton Jr ,&nbsp;Dragan Miljkovic","doi":"10.1016/j.qref.2025.101978","DOIUrl":"10.1016/j.qref.2025.101978","url":null,"abstract":"<div><div>In classical macroeconomic thought, monetary neutrality represents the theoretical baseline. The framework asserts that, in the long-run, nominal factors do not impact real factors. However, classical macroeconomics has little to say about the composition of productive capital. This has been of less concern to modern economists, but it was of particular concern to pre-Keynesian macroeconomists. Irving Fisher recognized that monetary factors may lead to short-run distortions of relative prices. Despite this recognition, the traditional macroeconomic framework allows for no consideration of persistent relative price distortions. We investigate presentations of macroeconomic theory where such distortions are considered or are at least possible. We leverage the fact that monetary equilibrium does not imply general equilibrium and that transaction costs make reassertion of the initial capital allocation unlikely. We empirically detect persistent distortions in the relative price of oil that suggest that monetary factors generate persistent distortions in capital structure.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"101 ","pages":"Article 101978"},"PeriodicalIF":2.9,"publicationDate":"2025-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143620202","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
Does the green finance policy motivate firms to greenwash? A quasi-natural experiment based on the "Green finance reform innovation pilot zones" 绿色金融政策是否激励企业“洗绿”？基于“绿色金融改革创新试验区”的准自然实验
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2025-02-27 DOI: 10.1016/j.qref.2025.101980
Xiaowu Huang, Renzhi Li, Xingyu Chen
{"title":"Does the green finance policy motivate firms to greenwash? A quasi-natural experiment based on the \"Green finance reform innovation pilot zones\"","authors":"Xiaowu Huang,&nbsp;Renzhi Li,&nbsp;Xingyu Chen","doi":"10.1016/j.qref.2025.101980","DOIUrl":"10.1016/j.qref.2025.101980","url":null,"abstract":"<div><div>To foster the growth of the green economy and support sustainable development, green finance reform innovation pilot zones (GFRIPZ) have been established since 2017 in China. This paper aims to comprehensively investigate how the green finance reform innovation policy affects corporate greenwashing behavior with data from Chinese listed companies from 2014 to 2020. First, the empirical results obtained using the staggered difference-in-differences model indicate that the implementation of the GFRIPZ policy significantly motivates firms to engage in greenwashing behavior. Second, we find that firms under non-state-owned enterprises (non-SOEs) ownership, in non-green industries, and in eastern areas are more likely to engage in greenwashing. Third, our mechanism analysis shows that the GFRIPZ policy stimulates firms’ greenwashing behavior by exacerbating management myopia and promoting public environmental awareness. Our conclusions provide essential guiding implications for green finance policy design and implementation, while offering significant reference value for evaluating policy effectiveness and its unintended consequences.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"101 ","pages":"Article 101980"},"PeriodicalIF":2.9,"publicationDate":"2025-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143534491","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
Time-varying intra-safe haven currency behaviour: The U.S. dollar, the Swiss franc, and the Japanese yen 时变的避险货币行为：美元、瑞士法郎和日元
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2025-02-12 DOI: 10.1016/j.qref.2025.101976
Keehwan Park , Zhongzheng Fang
{"title":"Time-varying intra-safe haven currency behaviour: The U.S. dollar, the Swiss franc, and the Japanese yen","authors":"Keehwan Park ,&nbsp;Zhongzheng Fang","doi":"10.1016/j.qref.2025.101976","DOIUrl":"10.1016/j.qref.2025.101976","url":null,"abstract":"<div><div>A flight to quality occurs from risky assets to safe-haven assets in heightened volatile markets of crisis periods. A safe-haven currency gains its value against other currencies in such crisis periods. Traditionally, the U.S. dollar, the Japanese yen, and the Swiss franc have long been considered safe-haven currencies in the investment community. We study the intra-safe haven currency behaviour between these currencies in crises from 2000 to 2022. Our study is motivated by the recent weakness of the Japanese yen during the early Ukraine war in 2022. Following our quantile regression results, we offer a new econometric model of the interactive crisis dummies. We find that intra-safe haven currency behaviour is time-varying, depending on the nature of the crisis. We contrast ours with the prior literature (e.g., Ranaldo and Soderline, 2010; Fatum and Yamamoto, 2016). Our new findings complement the prior literature and add value to the literature.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"100 ","pages":"Article 101976"},"PeriodicalIF":2.9,"publicationDate":"2025-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143428902","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
Does AI contribute to systemic risk reduction in non-financial corporations? 人工智能是否有助于降低非金融企业的系统性风险？
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2025-02-01 DOI: 10.1016/j.qref.2025.101973
Wang-Zhe Han, Wanshan Meng
{"title":"Does AI contribute to systemic risk reduction in non-financial corporations?","authors":"Wang-Zhe Han,&nbsp;Wanshan Meng","doi":"10.1016/j.qref.2025.101973","DOIUrl":"10.1016/j.qref.2025.101973","url":null,"abstract":"<div><div>While the systemic risk of financial institutions has been frequently discussed, the equally systemically important non-financial corporations have received insufficient attention. We examine a sample of listed Chinese non-financial corporations from 2010 to 2022 and confirm that AI use in non-financial corporations reduces their systemic risk. This beneficial impact is more pronounced in non-state-owned corporations, corporations in the growth stage, and corporations in the economic expansion period. Subsequently, we attribute this result to three risk control channels: decreasing risk-taking levels, reducing default risk, and weakening credit risk contagion. The research extends the understanding of systemic risk to non-financial corporations, providing new insights for balancing technological upgrading with achieving economic stability.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"100 ","pages":"Article 101973"},"PeriodicalIF":2.9,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143130274","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
ESG rating, rating divergence and investment efficiency: International evidence ESG评级、评级差异与投资效率：国际证据
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2025-01-31 DOI: 10.1016/j.qref.2025.101975
Yu-En Lin , Shi Teng , Bo Yu , Keith S.K. Lam
{"title":"ESG rating, rating divergence and investment efficiency: International evidence","authors":"Yu-En Lin ,&nbsp;Shi Teng ,&nbsp;Bo Yu ,&nbsp;Keith S.K. Lam","doi":"10.1016/j.qref.2025.101975","DOIUrl":"10.1016/j.qref.2025.101975","url":null,"abstract":"<div><div>This study investigates the relation between ESG ratings and firm investment efficiency and the moderate effect of ESG rating divergence on the relation. Using a sample of firms from 43 countries for the period between 2010 and 2022, we document a significantly positive relation between ESG ratings and firm investment efficiency and a significant negative moderate effect of ESG rating divergence on the positive relation. We also find four firm-level transmission channels-financial constraints, cash flows, opacity, and transparency-affect the ESG and investment inefficiency relation. In addition, our results indicate that the positive relation and the negative moderate effect can be explained by firms’ agency costs. The results hold in endogeneity and robustness tests.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"100 ","pages":"Article 101975"},"PeriodicalIF":2.9,"publicationDate":"2025-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143348359","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
Extreme frequency connectedness, determinants and portfolio analysis of major cryptocurrencies: Insights from quantile time-frequency approach 主要加密货币的极端频率连通性、决定因素和投资组合分析：分位数时频方法的见解
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
{"title":"Extreme frequency connectedness, determinants and portfolio analysis of major cryptocurrencies: Insights from quantile time-frequency approach","authors":"Purba Bhattacherjee ,&nbsp;Sibanjan Mishra ,&nbsp;Sang Hoon Kang","doi":"10.1016/j.qref.2025.101974","DOIUrl":"10.1016/j.qref.2025.101974","url":null,"abstract":"<div><div>The study examines the extreme time-frequency connectedness among 12 major cryptocurrencies for the period from February 26, 2018, to February 6, 2024. We employ the novel TVP-VAR approach proposed by Chatziantoniou et al. (2022), and three portfolio construction methods (i.e., MVP, MCP and MCoP). The results reveal interesting insights. First, it unveils the diverse sensitivities of individual cryptocurrencies to total return shocks, with short-term events exerting a predominant influence compared to long-term shocks. Notably, most cryptocurrencies act as net transmitters of shocks, reflecting their susceptibility to external market fluctuations. Second, the variations in the behavior of cryptocurrencies are observed during extreme market conditions and crisis periods, such as the COVID-19 pandemic and the Russia-Ukraine conflict. Furthermore, the outcomes of the portfolio construction process provide light on the efficacy of hedging as well as the performance of the portfolio. Notably, the minimum correlation portfolio (MCP) strategy outperforms other techniques, highlighting its superiority in terms of optimizing portfolio performance. Lastly, we report that macroeconomic factors and asset-based volatility are the significant drivers of cryptocurrency contagion. However, the degree and direction of their impact vary across market conditions and time-frequency horizons. These findings have important policy ramifications since they point to the necessity of strong regulatory frameworks and risk management techniques to reduce systemic risks and protect the financial stability of the bitcoin market.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"100 ","pages":"Article 101974"},"PeriodicalIF":2.9,"publicationDate":"2025-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143420660","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
Do foreign bank investors promote acquirer bank value in Asia-Pacific countries? 外资银行投资者在亚太国家提升收购银行价值吗？
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
{"title":"Do foreign bank investors promote acquirer bank value in Asia-Pacific countries?","authors":"Yoko Shirasu ,&nbsp;Yukihiro Yasuda","doi":"10.1016/j.qref.2025.101963","DOIUrl":"10.1016/j.qref.2025.101963","url":null,"abstract":"<div><div>Mergers and acquisitions play a crucial part in global investment, particularly in the banking sector. We use comprehensive data on banks’ mergers and acquisitions in Asia-Pacific countries to investigate the performance implications of different types of foreign institutional investors holding equity stakes in acquirer banks. We find that acquirer banks with higher equity stakes from foreign bank investors experience an increase in their Q ratios, a proxy for bank value, and loan ratios in the three years post-acquisition when their income streams are diversified. By contrast, acquirer banks in which investment advisors or fund-type investors hold significant ownership stakes fail to expand their core business in the long run despite short-term cost reductions. Our findings suggest that bank-type foreign investors in Asia’s opaque banking industry improve acquirer bank performance through influential advisory functions.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"100 ","pages":"Article 101963"},"PeriodicalIF":2.9,"publicationDate":"2025-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143420673","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
Markowitz portfolios under transaction costs 交易成本下的马科维茨投资组合
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
{"title":"Markowitz portfolios under transaction costs","authors":"Olivier Ledoit,&nbsp;Michael Wolf","doi":"10.1016/j.qref.2025.101962","DOIUrl":"10.1016/j.qref.2025.101962","url":null,"abstract":"<div><div>Markowitz portfolio selection is a cornerstone in finance, in academia as well as in the industry. Most academic studies either ignore transaction costs or account for them in a way that is both unrealistic and suboptimal by (i) assuming transaction costs to be constant across stocks and (ii) ignoring them at the portfolio-selection state and simply paying them after the fact. Our paper proposes a method to fix both shortcomings. As we show, if transaction costs are accounted for (properly) at the portfolio-selection stage, net performance in terms of the Sharpe ratio often increases, in particular for high-turnover strategies.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"100 ","pages":"Article 101962"},"PeriodicalIF":2.9,"publicationDate":"2025-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143130275","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
A novel credit model risk measure: Do more data lead to lower model risk? 一种新的信用模型风险度量：数据越多，模型风险越低吗？
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
{"title":"A novel credit model risk measure: Do more data lead to lower model risk?","authors":"Valter T. Yoshida Junior ,&nbsp;Rafael Schiozer ,&nbsp;Alan de Genaro ,&nbsp;Toni R.E. dos Santos","doi":"10.1016/j.qref.2025.101960","DOIUrl":"10.1016/j.qref.2025.101960","url":null,"abstract":"<div><div>Large databases and Machine Learning enhance our capacity to develop models with many observations and explanatory variables. While the literature has primarily focused on optimizing classifications, little attention has been given to model risk, especially originating from inadequate use. To address this gap, we introduce a new metric for assessing model risk in credit applications. We test the metric using cross-section LASSO default models, each incorporating 200 thousand loan observations from several banks and more than 100 explanatory variables. The results indicate that models that use loans from a single bank have lower model risk than models using loans from the entire financial system. Therefore, adding loans from different banks to increase the number of observations in a model is suboptimal, challenging the widely accepted assumption that more data leads to better predictions.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"100 ","pages":"Article 101960"},"PeriodicalIF":2.9,"publicationDate":"2025-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143130277","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
Time-varying impacts of monetary policies on state-level housing markets: Evidence from the Covid-19 period 货币政策对国家级住房市场的时变影响：来自2019冠状病毒病期间的证据
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
{"title":"Time-varying impacts of monetary policies on state-level housing markets: Evidence from the Covid-19 period","authors":"MeiChi Huang","doi":"10.1016/j.qref.2025.101961","DOIUrl":"10.1016/j.qref.2025.101961","url":null,"abstract":"<div><div>This study investigates the time-varying influences of monetary policies on state-level housing markets, utilizing a time-varying parameter vector autoregression model with stochastic volatility (TVP-VAR-SV). The results suggest that time-varying state-level volatilities in housing price returns and permits growths are evident, and some of them are higher in the Covid-19 period 2020–22 than the 2007–09 housing crisis. Monetary policies exert less persistent but stronger effects on housing quantities than housing prices. The findings provide supportive evidence that the Covid-19 pandemic enhances monetary-policy influences, and aggressive contractionary monetary policies in 2022 play vital roles in driving state-level housing markets. The differences and commonalities across state-level housing markets yield new implications for policy-making and risk diversification.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"100 ","pages":"Article 101961"},"PeriodicalIF":2.9,"publicationDate":"2025-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143130271","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
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