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From the Fringe to the front-stage. European immigration and the Far-Right vote: An IV approach 从边缘到前台。欧洲移民与极右翼选票：IV 方法
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2024-09-25 DOI: 10.1016/j.qref.2024.101925
Panagiotis Th. Konstantinou, Costas Roumanias
{"title":"From the Fringe to the front-stage. European immigration and the Far-Right vote: An IV approach","authors":"Panagiotis Th. Konstantinou,&nbsp;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}
引用次数: 0
Asymmetry in inflation persistence under inflation targeting 通货膨胀目标制下通货膨胀持续性的不对称性
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2024-09-17 DOI: 10.1016/j.qref.2024.101922
Nektarios Aslanidis , Demetris Koursaros , Glenn Otto
{"title":"Asymmetry in inflation persistence under inflation targeting","authors":"Nektarios Aslanidis ,&nbsp;Demetris Koursaros ,&nbsp;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}
引用次数: 0
Monetary policy through the risk-taking channel: Evidence from an emerging market 通过风险承担渠道制定货币政策：新兴市场的证据
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2024-09-16 DOI: 10.1016/j.qref.2024.101923
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 ,&nbsp;Carlos Enrique Carrasco-Gutierrez ,&nbsp;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}
引用次数: 0
Bank insolvency risk, Z-score measures and unimodal returns: A refinement 银行破产风险、Z-score 测量和单模态回报：改进
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2024-09-10 DOI: 10.1016/j.qref.2024.101919
Mathieu Mercadier , Frank Strobel
{"title":"Bank insolvency risk, Z-score measures and unimodal returns: A refinement","authors":"Mathieu Mercadier ,&nbsp;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}
引用次数: 0
Can corporate social performance mitigate the risk of extreme stock returns? 企业社会绩效能否降低股票极端回报的风险？
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2024-09-10 DOI: 10.1016/j.qref.2024.101917
Fouad Ben Abdelaziz , Messaoud Chibane , Ano Kuhanathan
{"title":"Can corporate social performance mitigate the risk of extreme stock returns?","authors":"Fouad Ben Abdelaziz ,&nbsp;Messaoud Chibane ,&nbsp;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}
引用次数: 0
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 ,&nbsp;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
{"title":"The influence of uncertainty on commodity futures returns and trading behaviour","authors":"Joshua Laubsch ,&nbsp;Lee A. Smales ,&nbsp;Duc Vo","doi":"10.1016/j.qref.2024.101915","DOIUrl":"10.1016/j.qref.2024.101915","url":null,"abstract":"<div><p>We utilise measures of economic policy uncertainty (EPU) and geopolitical risk (GPR), as well as commitments of traders (COTs), to investigate the influence of uncertainty on commodity markets. We find that uncertainty has a significant influence on returns, but the direction of the response is due to whether uncertainty emanates from demand shocks (EPU) or supply shocks (GPR). Uncertainty is also positively related to volatility and trading volume. Importantly, we also find that the net positions of both commercial and non-commercial traders are influenced by uncertainty levels. Examination of high uncertainty and recessionary periods indicates that our results are state dependent.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"98 ","pages":"Article 101915"},"PeriodicalIF":2.9,"publicationDate":"2024-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1062976924001212/pdfft?md5=126148dd2422f1243c9c62e6a6343285&pid=1-s2.0-S1062976924001212-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142162215","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
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
{"title":"Time-frequency co-movement and cross-quantile connectedness of exchange rates: Evidence from ASEAN+3 Countries","authors":"Huiming Zhu ,&nbsp;Xi Deng ,&nbsp;Yinghua Ren ,&nbsp;Xi Huang","doi":"10.1016/j.qref.2024.101920","DOIUrl":"10.1016/j.qref.2024.101920","url":null,"abstract":"<div><p>This study investigates the time-frequency co-movement and cross-quantile connectedness of exchange rates. Using wavelet coherence and cross-quantile methods, we examine ASEAN+ 3 countries’ time-frequency co-movement, quantile spillover effects, and network connectedness of the exchange rate markets. Our empirical results are as follows: significant co-movement heterogeneity exists across countries over different frequency bands. Moreover, the Chinese Yuan (CNY), Japanese Yen, and South Korea Won are desirable sources of diversification for other currencies across different investment horizons. CNY and JPY exhibit good regional safe haven currency attributes in different investment horizons. Overall, these findings suggest ways for currency authorities to maintain exchange rate stability and investor portfolio decisions.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"98 ","pages":"Article 101920"},"PeriodicalIF":2.9,"publicationDate":"2024-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142162214","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
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 ,&nbsp;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
{"title":"The impact of (social) anchors on Prospect Theory’s value function","authors":"Sebastian Krull ,&nbsp;David D. Loschelder ,&nbsp;Matthias Pelster","doi":"10.1016/j.qref.2024.101916","DOIUrl":"10.1016/j.qref.2024.101916","url":null,"abstract":"<div><p>Anchoring impacts risk-taking decisions. This paper provides experimental evidence (n = 744) that (social) anchors shift the Prospect Theory’s value function (Kahneman and Tversky, 1979; Tversky and Kahneman, 1992). We observe that extreme (social) anchors lead to shifts in the value function, indicating a change in risk-taking. Anchors that are in line with risk-averse (risk-seeking) behavior lead, relative to the baseline, to more risk-averse (risk-seeking) decisions. Our findings are similar for social and non-social environments.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"98 ","pages":"Article 101916"},"PeriodicalIF":2.9,"publicationDate":"2024-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1062976924001224/pdfft?md5=2060f11b9733bbd5fe2633212946ee27&pid=1-s2.0-S1062976924001224-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142149882","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
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