查看更多>>摘要：This study investigates the persistence in Turkish interest and inflation ratessince the implementation of inflation-targeting monetary policy, covering theperiod from January 2006 to July 2022. We focus on accounting for asymmetricpersistence by benefiting from recent developments in quantile unit root analysis. The findings indicate that while the conventional unit root tests supportthe persistence of shocks to interest rates and inflation, the quantile unit roottest demonstrates an asymmetric behaviour of the persistence, implying atime-varying structure with mean reversion (persistency) of the shocks in low(high) inflation periods. Furthermore, the half-lives increase with the positiveshocks, indicating a longer speed of adjustment in the high inflation regime.These findings provide new insights into the relationship between interestrates and inflation and have sound policy implications.
查看更多>>摘要：The aim of this study is to investigate the impact of Twitter-based economicuncertainty (TEU) and Twitter-based market uncertainty (TMU) on G7 stockreturns in the challenging year in which the COVID-19 pandemic began(2020) under different stock market conditions (bearish, normal, and bullish).To this aim, this study applies novel quantile-based approaches, namely Quantile autoregression unit root test, Quantile-on-quantile approach, and QuantileGranger-causality test covering the period from 01 January 2020 to15 September 2020. Main findings of the study are (1) G7 stock return seriesare stationary for all quantiles of the conditional distributions with minorexceptions meaning that shocks have temporary effects on stock returns of G7markets. (2) The impact of Twitter-based uncertainty strongly depends on themarket condition, whether it is bullish or bearish for all G7 markets. A heterogeneous association exists between variables caused by different market conditions. (3) A bi-directional causal association exists between stock returns-TEUand stock returns-TMU. This result confirms the existence of feedback hypothesis between G7 stock returns and TEU, TMU, respectively. This study provides important policy implications and recommendations for policy makersand investors on the nexus between Twitter-based uncertainties and stockreturns.
查看更多>>摘要：We utilise a standard reduced-form neo-Keynesian model in a monetaryunion, in which the monetary authority and the fiscal authorities strategicallyinteract, to explore who, under alternative institutional arrangements (strategic and fiscal regimes) and shocks' configurations, bears the burden of asymmetric shocks' stabilisation. We show that in the core/periphery fiscal regime,described by an asymmetry in the sequence of moves between the core and theperipheral member-states, asymmetric shocks pass through at the union levelto the inflation rate and the output gap when there are strategically significantspill-over effects and the monetary policy's and fiscal policies' instruments arenot perfect substitutes in the stabilisation process. The monetary authorityreacts to asymmetric shocks, but does not succeed in fully offsetting them. Thefirst best implies the coordination of fiscal policies. A second best embraces thefiscal leadership strategic regime (as a form of implicit coordination), whenthere are strong interconnections in the union, or the use of policy instrumentsby the fiscal authorities that directly decrease inflation when fiscal policy isexpansionary, such as taxes, production subsidies or public investment, whenthere is a strong cost channel of monetary policy.
Viktor ForsströmKarl LindRicardo M. SousaGazi Salah Uddin...
3877-3903页
查看更多>>摘要：We study the impact of different sources of global, regional and local uncertainty on the seven largest Scandinavian banks over the period 2005-2018. Usinga spillover approach and network analysis, we find that Swedish banks are themain source of contagion in the region and spillovers tend to increase in timesof heightened uncertainty. Global economic policy uncertainty, global financialuncertainty and local housing market uncertainty affect the Scandinavian banking sector the most. By contrast, geopolitical risk spillovers are limited.
查看更多>>摘要：This article investigates the effects of banking integration on banking competitionin the ASEAN-6 countries. Using a data set of 3217 bank-year observations overthe period 1996-2018, our main results indicate that: (ⅰ) banking openness positively affects banking competition; (ⅱ) the overall degree of balanced (in/out) integration leads to greater market power; and (ⅲ) the increase in the marketmonopoly following the participation of foreign banks can be reduced by good regulatory policies. These results remain intact when two alternative competitionmeasures are employed and when a polynomial model and a threshold model areused to reveal the non-linear and heterogeneous effects of banking integration.
查看更多>>摘要：In response to large pay disparities caused by rising CEO compensation andstagnant employee pay, US financial regulators have taken several initiatives tomobilise shareholders. However, the ability of these initiatives to enhance share-holder engagement and reduce excessive CEO compensation has been questioned.Using a large sample of 1594 non-financial firms from the Russell 3000 index over2013-2019, we disentangle the complex role that shareholder engagement towardsCEO-to-worker pay disparities plays on CEO compensation. We find that higherCEO-to-worker pay disparities increase shareholder dissent say on pay votes andthat, paradoxically, shareholder dissent say on pay votes increase CEO compensa-tion. Furthermore, we provide evidence that shareholder engagement mediatesthe relationship between CEO-to-worker pay disparities and CEO compensationthrough their say on pay votes. Our findings are consistent with the relative depri-vation theory as shareholders react to large pay disparities to avoid the negativeconsequences of a feeling of deprivation on employees. They are also in line withthe agency theory, as shareholder reactions to large CEO-to-worker pay disparitiestrigger reactions from the remuneration committee to better align CEO pay withtheir interests. Overall, our findings support the existence of a shareholder engage-ment channel driven by social comparison mechanisms and agency responses.This study has important implications for regulators by unpacking the usefulnessof these regulatory initiatives to shareholders and also documenting their unin-tended consequences on CEO compensation.
查看更多>>摘要：After the financial crisis, the Indian banking system has accumulated amountain of bad loans which has crippled the banking sector and halted thecredit flow to the industry. Several immediate causes for the bad loan crisishave been pointed out. However, poor market discipline, the ultimate rootcause of the bad loan crisis, has not been paid adequate attention. This studyseeks to investigate how effectively the market disciplinary forces, capturedthrough information disclosure, interbank deposits, concentration and owner-ship structure, incentivise the Indian banks to adopt prudential risk manage-ment by enhancing their risk-weighted capital ratio. The findings of the studyshow that information disclosure and interbank deposits do not induceprudential risk behaviour among banks in India. However, with increasingconcentration in the banking sector, a higher level of information disclosureeffectively induces banks to maintain higher capital ratios, but inter-bankdeposits do not have any significant effect on bank capital. We also observethat government banks maintain lower capital ratios as compared to privatebanks indicating government banks' higher expectation of government bailout.
查看更多>>摘要：This study argues that different definitions/perceptions of risk informationcould affect investors' decisions differently. Using a sample of 328 nonfinancial UK firms and departing from existing literature, this study measurescorporate risk disclosure (RD) via computerized content analysis to capturefour different perspectives of defining RD. This study investigates (ⅰ) the effectsof these RD measures on the Cost of Capital (COC), (ⅱ) the influence of analysts' coverage on the relationship between RD and COC, and (ⅲ) whether theRD nature (favourable/unfavourable) might affect COC differently. Lendersand equity holders are found not to consider any risk information expressed asa variation around a target, while only lenders consider risk information thatreveals negative outcomes. However, lenders and equity holders consider riskinformation that expresses negative and positive outcomes together. Besides,firms that disclose extra risk information and have a large analyst followingsuffer from a higher Cost of Equity (COE) compared with those with feweranalysts following. Additionally, lenders impose a lower interest rate on firmswith a higher unfavourable RD, while equity holders ask for lower returnsfrom the firms with a higher favourable RD. The study has significant implications for capital market participants, researchers, and policymakers.
查看更多>>摘要：We consider whether government bonds, through the term structure, orcorporate bonds, through the default yield, provide predictive power foroutput, consumption and investment growth in the United States. Suchpredictive power will allow policy-makers to use the information as a leadingindicator for macroeconomic performance and will improve our understandingof the links between real and financial markets. Full sample results suggestthat both interest rate series exhibit predictive power for each of the macroeconomic growth series. Time-variation in the predictive coefficient reveals thewaning influence of the term structure and the rising influence of the defaultyield. Forecast results, which are obtained from a rolling window approach,likewise suggest both series have information content for macroeconomicconditions, but there is a change in their relative strengths. These results mayarise as interest rates have declined since the highs of the early to mid-1980sthus reducing the information content of government yields, whereascorporate bonds respond more to investor views of macroeconomic risk, whichaffects a firm's ability to repay its debt. Furthermore, short-term rates arelargely held unprecedently low since the dotcom crash.
查看更多>>摘要：Amidst increased climatic disasters, persisting social evils, and governanceconcerns, sustainable finance and its new and innovative financial instrumentshave gained prominence across stakeholders globally. Green, social sustainability, sustainability-linked, and transition (collectively GSS+) debt have amarket worth USD 3.9 trillion since 2007 (Climate Bonds Initiative, 2018). Weprovide a comprehensive review of the evolution and future research directions of the sustainable finance research field by analysing overall publicationtrends, subject categories, co-authorship networks, keywords, countries andinstitutions, journal co-citation, and cluster analysis. Findings include theemergent need for greater collaboration among authors globally. Futureresearch directions include research questions for themes such as carbon emission trading, financial inclusion, reporting of proceeds related to sustainablefinance to prevent greenwashing, the impact of climate change and climatefinance on sustainable finance, mobilisation of sustainable finance throughgreen bonds, and technological interactions between sustainable finance andblockchain and artificial intelligence. The study also provides implications forthe stakeholders.
NETL
NSTL
Wiley