Quarterly Review of Economics and Finance最新文献_第7页

What events matter for exchange rate volatility? 哪些事件对汇率波动有影响？

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-12-01 Epub Date: 2025-11-08 DOI: 10.1016/j.qref.2025.102073

Igor Martins , Hedibert Freitas Lopes

{"title":"What events matter for exchange rate volatility?","authors":"Igor Martins , Hedibert Freitas Lopes","doi":"10.1016/j.qref.2025.102073","DOIUrl":"10.1016/j.qref.2025.102073","url":null,"abstract":"<div><div>This paper expands on stochastic volatility models by proposing a data-driven method to select the macroeconomic events most likely to impact volatility. The paper identifies and quantifies the effects of macroeconomic events across multiple countries on exchange rate volatility using high-frequency currency returns, while accounting for persistent stochastic volatility effects and seasonal components capturing time-of-day patterns. Given the hundreds of macroeconomic announcements and their lags, we rely on sparsity-based methods to select relevant events for the model. We contribute to the exchange rate literature in four ways: First, we identify the macroeconomic events that drive currency volatility, estimate their effects and connect them to macroeconomic fundamentals. Second, we find a link between intraday seasonality, trading volume, and the opening hours of major markets across the globe. We provide a simple labor-based explanation for this observed pattern. Third, we show that including macroeconomic events and seasonal components is crucial for forecasting exchange rate volatility. Fourth, our proposed model yields the lowest volatility and highest Sharpe ratio in portfolio allocations when compared to standard SV and GARCH models.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"104 ","pages":"Article 102073"},"PeriodicalIF":3.1,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145525842","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

Optimization model for banking Asset Liability Management 银行资产负债管理优化模型

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-12-01 Epub Date: 2025-11-11 DOI: 10.1016/j.qref.2025.102074

Henrique Rosset Ferreira , Marcelo Monteiro Teixeira , Tiago Pascoal Filomena , Guilherme Kirch , Daniel Francisco Vancin , Eduardo Horta

{"title":"Optimization model for banking Asset Liability Management","authors":"Henrique Rosset Ferreira , Marcelo Monteiro Teixeira , Tiago Pascoal Filomena , Guilherme Kirch , Daniel Francisco Vancin , Eduardo Horta","doi":"10.1016/j.qref.2025.102074","DOIUrl":"10.1016/j.qref.2025.102074","url":null,"abstract":"<div><div>We introduce an optimization model to assist Asset and Liability Management (ALM) departments in mitigating interest rate risk (IRR) within fixed-income portfolios. The model incorporates real-world constraints, including the cost of administering interest rate derivatives and liquidity constraints, aiming to formulate effective hedge strategies across diverse scenarios. In particular, liquidity constraints gain significance, as market limitations can hinder the execution of derivatives hedging strategies, a concern particularly relevant in emerging markets with lower trading volumes. We provide a comprehensive backtesting of the model under various portfolio times-to-maturity, nominal values, and shapes, revealing key insights. The analysis underscores the critical role of <em>Dollar duration</em> and <em>Dollar convexity</em> constraints in determining hedge strategy effectiveness. Liquidity constraints also emerge as a pivotal factor influencing the allocation of future contracts and strategy feasibility. Our main contribution is offering practitioners a valuable decision-making framework that incorporates real-world constraints, adding a nuanced understanding of interest rate risk management.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"104 ","pages":"Article 102074"},"PeriodicalIF":3.1,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145578872","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 volatility and densities using deep learning 使用深度学习预测日内波动率和密度

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-12-01 Epub Date: 2025-11-15 DOI: 10.1016/j.qref.2025.102076

Bruno Morier , Pedro L. Valls Pereira

{"title":"Forecasting intraday volatility and densities using deep learning","authors":"Bruno Morier , Pedro L. Valls Pereira","doi":"10.1016/j.qref.2025.102076","DOIUrl":"10.1016/j.qref.2025.102076","url":null,"abstract":"<div><div>In this paper, we develop a new model for forecasting high-frequency, intraday, conditional, discrete return densities and volatility using deep learning. Specifically, we model the conditional distribution using a modified Skellam distribution, where the mean follows an auto-regressive specification. We then train feed-forward neural networks to generate predictions for the underlying high-frequency volatility. We test four different specifications, including different sets of features and parameters. Then, we conduct a comprehensive walk-forward forecasting experiment to compare the forecasting accuracy of the proposed models. All of the proposed models outperform the empirical non-parametric forecasting rules considered. The new forecasting procedure also provides better out-of-sample forecasts compared to all state space models based on Koopman et al. (2017). We conclude that the bid–ask spread, high-low interval spread, and the volume traded are predictive variables for the volatility process. According to our model estimates, these variables appear to have a positive non-linear S-shaped relationship with volatility.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"104 ","pages":"Article 102076"},"PeriodicalIF":3.1,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145578874","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

From algorithms to invention: AI’s impact on corporate innovation output and efficiency 从算法到发明：人工智能对企业创新产出和效率的影响

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-12-01 Epub Date: 2025-09-03 DOI: 10.1016/j.qref.2025.102042

Langang Feng , Jin Hu , Minmin Huang , Muhammad Irfan , Mingjun Hu

{"title":"From algorithms to invention: AI’s impact on corporate innovation output and efficiency","authors":"Langang Feng , Jin Hu , Minmin Huang , Muhammad Irfan , Mingjun Hu","doi":"10.1016/j.qref.2025.102042","DOIUrl":"10.1016/j.qref.2025.102042","url":null,"abstract":"<div><div>This paper explores how artificial intelligence (AI) drives corporate innovation. Using a procurement‑based AI adoption index, patent records, and supply‑chain data from 4004 A-share firms over 2011–2023, we find that greater AI adoption significantly increases the output and efficiency of firms' innovation. We propose a dual‑channel model in which AI enhances knowledge creation and reuse (knowledge orchestration) and transforms data into actionable environmental assets (data assetization). Heterogeneity analysis reveals that large incumbents and growth‑stage firms leverage AI most effectively for innovation outputs and efficiency. Further analysis shows that AI-driven innovation is amplified in firms with executives who have information technology backgrounds, and that highly innovative firms diversify their supply chain to reduce resource risk. Our results demonstrate AI’s potential to advance corporate innovation. We conclude with policy recommendations for municipal planners and corporate strategists to enhance firms’ competitive advantage and promote the development of AI.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"104 ","pages":"Article 102042"},"PeriodicalIF":3.1,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145027800","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 marketplace lending provide liquidity during a crisis? 市场借贷能在危机期间提供流动性吗？

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-12-01 Epub Date: 2025-11-15 DOI: 10.1016/j.qref.2025.102077

Miaoyin (Alexandra) Zhang

引用次数: 0

When green claims turn brown: The Impact of corporate greenwashing on biodiversity risk in China 当绿色诉求变成棕色：中国企业洗绿对生物多样性风险的影响

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-12-01 Epub Date: 2025-10-19 DOI: 10.1016/j.qref.2025.102067

Yufei Gan

{"title":"When green claims turn brown: The Impact of corporate greenwashing on biodiversity risk in China","authors":"Yufei Gan","doi":"10.1016/j.qref.2025.102067","DOIUrl":"10.1016/j.qref.2025.102067","url":null,"abstract":"<div><div>Amidst an escalating global biodiversity crisis and a proliferation of corporate environmental claims, this study addresses a critical gap between symbolic corporate communication and its substantive ecological impact. We establish a causal link between corporate greenwashing and increased biodiversity risk using a panel of 17,076 firm-year observations for Chinese listed companies from 2015 to 2024. To ensure robust causal inference, we employ a rigorous identification strategy centered on a Multiple-Difference-in-Differences (M-DID) design, which is complemented by Propensity Score Matching (PSM), an Instrumental Variable (IV) approach, and placebo tests. Our findings reveal that greenwashing causally increases biodiversity risk through a dual-pathway mechanism. Internally, it fosters a \"green technology innovation bubble,\" prioritizing patent quantity over quality. Externally, it degrades \"environmental disclosure quality,\" shielding harmful operations from scrutiny. This detrimental relationship is attenuated by CEOs with green experience but exacerbated by managerial myopia. Our research bridges a crucial theoretical divide between impression management and real-world ecological outcomes, offering vital insights for regulators and investors seeking to curb specious environmentalism.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"104 ","pages":"Article 102067"},"PeriodicalIF":3.1,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145417297","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

Systemic risk in the fintech-banking system: Assessing instabilities and vulnerabilities in Central Europe 金融科技银行系统的系统性风险：评估中欧的不稳定性和脆弱性

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-12-01 Epub Date: 2025-10-22 DOI: 10.1016/j.qref.2025.102071

Roland von Horn , Muhamed Kudic

{"title":"Systemic risk in the fintech-banking system: Assessing instabilities and vulnerabilities in Central Europe","authors":"Roland von Horn , Muhamed Kudic","doi":"10.1016/j.qref.2025.102071","DOIUrl":"10.1016/j.qref.2025.102071","url":null,"abstract":"<div><div>Systemic risk in banking has drawn worldwide attention since the 2007–2009 crisis. Fintech startups provide cutting-edge solutions that extend beyond banks’ traditional capabilities, fostering intensive bank–fintech cooperation and giving rise to a ‘pervaded banking system’ (PBS) with novel, largely uncharted vulnerabilities. Using complex adaptive systems theory, we assemble a dataset of 604 fintechs and 802 banks in Central Europe (DACH-Region – Germany, Austria, and Switzerland) – and propose a structurally defined stability concept. We evaluate PBS stability through multiple network-based stress-testing scenarios. The results show that large-scale fintech failures can trigger severe systemic disruptions, whereas exits of small and recently established fintechs have limited effects. By contrast, fintech firms occupying structurally exposed positions act as key risk amplifiers, a channel that traditional risk assessments largely overlook. Our framework thus complements conventional market-based or balance-sheet-based approaches by uncovering structure-induced vulnerabilities in the financial system.</div></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"104 ","pages":"Article 102071"},"PeriodicalIF":3.1,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145578873","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

SVIX, VIX, and cryptocurrency market return VIX、VIX和加密货币市场回报

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-12-01 Epub Date: 2025-09-23 DOI: 10.1016/j.qref.2025.102055

I-Chan Chiu , Mao-Wei Hung , Kuang-Chieh Yen

引用次数: 0

Does profitability explain the low-risk anomaly in India? 盈利能力能否解释印度的低风险异常现象？

IF 3.1 3区经济学

Quarterly Review of Economics and Finance Pub Date : 2025-12-01 Epub Date: 2025-10-10 DOI: 10.1016/j.qref.2025.102060

Divya P. Tulsyan , Mayank Joshipura , Anil V. Mishra

引用次数: 0

Forecasting the Brazilian yield curve using macroeconomics expectations and time-varying volatility 利用宏观经济预期和时变波动率预测巴西收益率曲线