Showing papers in "The Quarterly Review of Economics and Finance in 2020"

TL;DR: In this article, the authors compare the safe-haven properties of Bitcoin, gold, and the commodity index against world, developed, emerging, USA, and Chinese stock market indices for the period 20 July 2010-22 February 2018.

TL;DR: The findings suggest that for a moderate deterioration in economic conditions, a tax deferral is sufficient, however, in the event of exacerbating business shocks, there should be hybrid support through debt and equity to avoid a meltdown.

TL;DR: In this paper, the authors uncover the hedging and safe-haven properties of eight cryptocurrencies against down movements in the S&P 500 and its 10 equity sectors, including Bitcoin, Ripple, Stellar, Ethereum, Dash, Nem, and Litecoin.

TL;DR: In this article, the authors investigate the impact of firm-level financial constraints and corruption in the business environment on growth for over 10,000 small and medium-sized enterprises (SMEs) in 28 Eastern European and Central Asian countries.

TL;DR: In this article, the authors detect the presence of jumps in the return series of 12 cryptocurrencies and find significant jump activity in all cases, especially in Ripple, Bitcoin and Litecoin, and examine whether cryptocurrencies returns jump together and the results of various analyses show evidence of co-jumping behavior, except for a few cases (Ripple and Bytecoin).

TL;DR: In this paper, the authors show that Bitcoin prices exhibit long-term memory, although its trend has been reducing overtime, showing signs of markets maturity emerging, in contrast, other cryptocurrencies such as Ethereum and Ripple present evidence of a growing underlying memory behaviour.

TL;DR: In this paper, the authors examined the underlying factors of gender gaps in accessing finance using the World Bank Global Findex database for 141 countries over time and constructed a database combining bank-level data with other variables to examine the association between banking system ownership structure and concentration, the regulatory framework and other socioeconomic variables reflecting women's participation in the labour market and gender disparities in education, income and access to property across countries.

TL;DR: In this paper, the authors explore whether the shocks to commodity prices can lead to lower financial development and show that the impact of these shocks can be mitigated through good quality of governance.

TL;DR: In this paper, the authors extend existing studies by considering the higher-order moments relationships among crude oil, gold, and Bitcoin markets using high-frequency data from December 2, 2014 to June 10, 2018.

TL;DR: In this paper, the effects of economic policy uncertainty (hereafter, EPU) on the relationship between Bitcoin and traditional financial markets during the period 27/04/2015 to 25/10/2018, represented by five stock market indices.

TL;DR: The directional spillover effects and connectedness for both return and volatility of nine US dollar exchange rates of globally most traded currencies under the influence of trade policy uncertainty over the study period ranging from December 1993 to July 2019 are found.

TL;DR: In this paper, a cointegration analysis is applied to model the relationship between industrial production, money supply, long-term interest rate, and different sector indices for the US and Canada.

TL;DR: This article examined the effects of corruption on dividend decisions in the light of agency theory and found that corruption is positively related to both the decision to pay dividends and the payout ratio, and this relationship is stronger under strong creditor protection.

TL;DR: The authors revisited the debate over whether corruption "sands" or "greases" the wheels of income growth and found that although certain types of corruption may help "grease" business transactions, evidence in favor of the sand hypothesis is stronger.

TL;DR: This article examined the effect of bank diversification on systemic risk in U.S. commercial banks from 2000 to 2013 and found that diversification is associated with an increase in systemic risk.

TL;DR: In this paper, the authors tried to reconcile the overall picture of the impact of strategic decisions on capital structure by estimating the effect brought about by the three strategies determined at the corporate level: internationalization, diversification and integration.

TL;DR: In this paper, the authors investigated whether Asian developing countries have been facing Dutch disease or not and applied System Generalized Methods of Moment (S-GMM) for the linear dynamic panel data (DPDD) model from 32 countries during the period from 2006 to 2016 to examine the relationship between remittances and real effective exchange rate.

TL;DR: Using non-linear autoregressive distributed lag models (NARDL) and Granger causality testing, this paper examined whether there are asymmetric long-run and short-run relationships between US-Canada exchange rate and the real price of oil over the period January 1982 to March 2019.

TL;DR: In the context of the debate on Exchange Rate Pass-Through (ERPT) under inflation targeting regimes, this paper analyzed the ERPT in inflation targeting and non-targeting economies of ASEAN-5. Employing a Non-linear Autoregressive distributed Lag (N-ARDL) framework on data from 2000: Q1 to 2019 Q:4, their key empirical findings suggest that the exchange rate shocks do lead to significant changes in inflation.

TL;DR: This paper examined the link between foreign aid and government spending in the presence of fungibility and how the quality of governance and institutions affects the degree of aid fungibility, finding that government spending is more responsive to increases in foreign aid when corruption is reduced, contracts are enforced, property rights are protected.

TL;DR: In this paper, the authors examine the effects of the Asset Purchase Programme (APP) gradually introduced by the European Central Bank from September 2014 onwards, and find that the effects in yield and spread reduction were most pronounced for the initial announcement on the public sector purchase programme (PSPP) but declined afterwards for additional announcements.

TL;DR: In this article, the authors provide evidence on the relationship between CEO inside debt and corporate social responsibility (hereinafter, CSR), and they find that an increase in inside debt leads to high levels of CSR, which is robust to controlling for the sensitivity of CEO equity compensation to volatility.

TL;DR: In this paper, the authors examined whether the capital requirements under Basel III are effective in enhancing the profitability and efficiency of the banking sector and found that stricter capital ratio increases operating earnings, whist it fails to improve bank profitability and bank efficiency.

TL;DR: In this article, the authors investigated whether the news-based measure of economic policy uncertainty (EPU) could help in forecasting the equity premium (excess returns) in ten (Canada, France, Germany, Italy, Japan, The Netherlands, South Korea, Spain, United Kingdom (UK), and United States (US)) Organization for Economic Co-operation and Development (OECD) countries.

TL;DR: In this paper, the authors use an indicator of economic policy uncertainty developed by Baker et al. (2016) and apply linear and non-linear structural vector autoregression (SVAR) models with US and Mexican macroeconomic aggregates.

TL;DR: In this paper, the dependence structure of economic policy uncertainty in four Latin American economies (Brazil, Chile, Colombia, Mexico) using vine copula modeling with various forms of tail dependence was analyzed.

TL;DR: In this article, the determinants of private banking profitability in Ecuador for the period 2002−2017 were analyzed using DEA with a fractional response model and the Generalized Methods of Moments (GMM).

TL;DR: In this article, the authors studied the characteristics of MFIs having and using access to refinancing microloans via crowdfunding based on a panel data set obtained from the peer-to-peer microfinance platform Kiva.

TL;DR: In this article, the authors focus on the evolution of the Arab banks' productive efficiency and the factors relating to their total productivity over the period 2000-2014, and adopt estimation techniques based on the notion of distance function to calculate the technical efficiency, allocative efficiency, cost efficiency, and the total productivity of the factors.

TL;DR: In this paper, the authors explore the relationship between bank ownership structure and bank liquidity creation over the period 2004-2018 and find that banks with over 65 % controlling ownership create more liquidity than other banks.