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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,&nbsp;Bruno Pérez Ferreira,&nbsp;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
{"title":"The effect of the evergrande bankruptcy on Chinese real estate listed firms","authors":"António Miguel Martins ,&nbsp;Nuno Moutinho","doi":"10.1016/j.qref.2024.101918","DOIUrl":"10.1016/j.qref.2024.101918","url":null,"abstract":"<div><p>The objective of the study is to examine the intra-industry effects of Evergrande’s bankruptcy on the Chinese real estate listed firms. Based on an event study, we evidence a negative and statistically significant stock price reaction to Evergrande’s bankruptcy announcement. These results are consistent with the contagion effect. We also find the highest negative impact on real estate firms with greater leverage and a higher similarity in cash flows with the bankrupt firm. Finally, the magnitude of the stock market reaction to Evergrande’s bankruptcy is reinforced or mitigated by firm-specific determinants such as size and liquidity.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"98 ","pages":"Article 101918"},"PeriodicalIF":2.9,"publicationDate":"2024-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142136779","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
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
{"title":"Are bond markets and bank credits complementary or substitutable? Evidence based on the rule of law and countries’ legal origins","authors":"Yosuke Tomita","doi":"10.1016/j.qref.2024.101903","DOIUrl":"10.1016/j.qref.2024.101903","url":null,"abstract":"<div><p>Bond and bank financing coexist despite their similarities as debt financing. I hypothesize that strengthening the rule of law in each country impacts corporate monitoring and firms’ financing preferences. I use panel data from 50 countries to analyze how the strength of the rule of law differs depending on countries’ legal origins. By using a regression model with an interaction term, I estimate marginal effects to determine if a stricter rule of law promotes bank or bond financing. The findings show that countries with common-law legal origins tend to have a stronger rule of law than civil law countries. A stronger rule of law increases bank lending but has a negative impact on bond issuance. This effect has a more significant impact in countries with Scandinavian legal origins and only a minor effect in countries with French legal origins. These differences can be attributed to how each country addresses agency problems, concerns regarding bank influence, and the availability of additional banking services.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"98 ","pages":"Article 101903"},"PeriodicalIF":2.9,"publicationDate":"2024-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142117571","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
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 ,&nbsp;Hongrui Zheng ,&nbsp;Zhenghan Luo ,&nbsp;Se Chen ,&nbsp;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&amp;D subsidies obtained by companies issuing PEP, the greater the proportion of strategic investors’ subscriptions, with corporate R&amp;D investment playing an intermediary role. Second, the participation of strategic investors in PEPs can effectively contribute to the positive impact of R&amp;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 ,&nbsp;Mijin Ha ,&nbsp;Jeong-Hoon Kim ,&nbsp;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
An assessment of inflation targeting 对通货膨胀目标制的评估
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2024-08-07 DOI: 10.1016/j.qref.2024.101897
Costas Milas , Theologos Dergiades , Theodore Panagiotidis , Georgios Papapanagiotou
{"title":"An assessment of inflation targeting","authors":"Costas Milas ,&nbsp;Theologos Dergiades ,&nbsp;Theodore Panagiotidis ,&nbsp;Georgios Papapanagiotou","doi":"10.1016/j.qref.2024.101897","DOIUrl":"10.1016/j.qref.2024.101897","url":null,"abstract":"<div><p>The effectiveness of inflation targeting is linked to the stationarity properties of inflation. Without making apriori assumptions about the order of integration, we examine whether there is a change in the inflation persistence in one hundred and twenty-seven countries (developed and developing) using monthly data over the 1970–2021 period. For the inflation targeters, we find that the endogenously identified break dates are not consistent with the formal adoption of IT. Logit analysis reveals that inflation targeters do not experience an increased probability of a change in inflation persistence. The quality of institutions emerges as more significant for taming inflation.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"97 ","pages":"Article 101897"},"PeriodicalIF":2.9,"publicationDate":"2024-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1062976924001030/pdfft?md5=2a6861ff5eb888c306edefc9133dab79&pid=1-s2.0-S1062976924001030-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141963816","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
Money/asset ratio as a predictor of inflation 预测通货膨胀的货币/资产比率
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2024-08-02 DOI: 10.1016/j.qref.2024.101896
Nguyen Duc Do
{"title":"Money/asset ratio as a predictor of inflation","authors":"Nguyen Duc Do","doi":"10.1016/j.qref.2024.101896","DOIUrl":"10.1016/j.qref.2024.101896","url":null,"abstract":"<div><p>This paper modifies the quantity theory of money to forecast inflation, relating the latter to scale variables such as monetary aggregate M2 and government bonds that measure the money demand for asset transactions. The out-of-sample forecast results show that at least since the early 1990s, the money/asset model that uses the money supply/government debt ratio as a predictor has been significantly improved upon univariate and multivariate models, such as Phillips curve and term spread models, for forecasting U.S. inflation over one- to three-year horizons. In using real-time vintage data, I find that, since 2000Q1, the forecasts derived from the money/asset model have slightly improved upon those from the Greenbook in forecasting quarter-over-quarter CPI inflation at short horizons, from two- to four-quarter. These results imply that the Federal Reserve can use the money supply/government debt ratio to forecast and control the inflation rates, coordinating monetary policy with fiscal policy. Moreover, the money supply/government debt ratio can partly explain the U.S. inflation dynamics from the early 1960s until COVID-19.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"97 ","pages":"Article 101896"},"PeriodicalIF":2.9,"publicationDate":"2024-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141953992","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
Shaken, stirred and indebted: Firm-level effects of earthquakes 动荡、激荡和负债：地震对企业的影响
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2024-08-02 DOI: 10.1016/j.qref.2024.101894
K. Peren Arin , Josep Marti Arnau , Elif Boduroglu , Esref Ugur Celik
{"title":"Shaken, stirred and indebted: Firm-level effects of earthquakes","authors":"K. Peren Arin ,&nbsp;Josep Marti Arnau ,&nbsp;Elif Boduroglu ,&nbsp;Esref Ugur Celik","doi":"10.1016/j.qref.2024.101894","DOIUrl":"10.1016/j.qref.2024.101894","url":null,"abstract":"<div><p>Using firm-level data from Turkiye, we investigate the effects of earthquakes on firms’ balance sheets. We find that earthquakes increase firms’ liabilities but have a smaller effect on firms’ assets, both in magnitude and significance. Using surveys sent to the finance and/or accounting managers of the largest 100 firms in Turkiye we identify common themes in their perceptions. Our findings reveal a consensus among respondents attributing the increased liabilities to exchange rate depreciation and lower business activity following a disaster. Conversely, higher availability of external credit is associated with a decrease in liabilities. Our analysis also indicates that finance managers with higher educational attainment may be underestimating the effects of earthquakes.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"97 ","pages":"Article 101894"},"PeriodicalIF":2.9,"publicationDate":"2024-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141997994","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
Financial contagion dynamics from the US to the PIIGS amidst the global financial crisis 全球金融危机中从美国到 PIIGS 的金融传染动态
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2024-07-27 DOI: 10.1016/j.qref.2024.101895
Christos Tzomakas
{"title":"Financial contagion dynamics from the US to the PIIGS amidst the global financial crisis","authors":"Christos Tzomakas","doi":"10.1016/j.qref.2024.101895","DOIUrl":"10.1016/j.qref.2024.101895","url":null,"abstract":"<div><p>The European Monetary Union (EMU) sovereign debt crisis has been thoroughly investigated in the literature. However, our analysis attempts to shed light on the link between the U.S. and the PIIGS (Portugal, Ireland, Italy, Greece, and Spain) bond markets during the Great Recession. We employ a daily 12-year period dataset and utilize an EGARCH-X approach. Our results reveal significant contagion effects from the U.S. bond market towards the yields of PIIGS bonds. However, our findings suggests that the distribution imposed on the standardized residuals is crucial for identifying the magnitude of the contagion.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"97 ","pages":"Article 101895"},"PeriodicalIF":2.9,"publicationDate":"2024-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141849736","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
Moderating role of ESG disclosures and its impact on firm financial performance 环境、社会和公司治理信息披露的调节作用及其对公司财务业绩的影响
IF 2.9 3区 经济学
Quarterly Review of Economics and Finance Pub Date : 2024-07-25 DOI: 10.1016/j.qref.2024.101892
Mohd Merajuddin Inamdar
{"title":"Moderating role of ESG disclosures and its impact on firm financial performance","authors":"Mohd Merajuddin Inamdar","doi":"10.1016/j.qref.2024.101892","DOIUrl":"10.1016/j.qref.2024.101892","url":null,"abstract":"<div><p>This study examines the relationship between environmental, social, and corporate disclosures and its affects on financial position of the firm. The study is based on India’s listed companies which disclosed the ESG variable over the last decade. We examine the five measures of financial performance and firm ESG disclosures. In addition to financial performance measures as response variables, this study uses of Piotroski F scores as a proxy for financial position is unique and novel approach in sustainable finance research. The results show the social disclosures have positive significant affect on firm financial position. Firm value, valuation of the stock and cost of capital. The study will help regulators to strengthen the ESG disclosures and for investors it gives insight about the relationship between ESG disclosure and financial performance of a firms.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"97 ","pages":"Article 101892"},"PeriodicalIF":2.9,"publicationDate":"2024-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141838880","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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