This paper investigates the impact of monetary policy uncertainty on cryptocurrency market uncertainty using a time-varying parameter vector autoregression (TVP-VAR) model. Unlike previous studies, it jointly employs the shadow rate and the monetary policy uncertainty (MPU) index to capture monetary policy conditions beyond conventional interest rate movements. The results show substantial time variation in transmission effects. Shadow-rate shocks increase both cryptocurrency price uncertainty and cryptocurrency policy uncertainty, especially after 2021, which is consistent with the liquidity and risk-appetite transmission channel. By contrast, MPU shocks have a limited effect on cryptocurrency uncertainty over most of the sample, consistent with the information and signaling channel. Both types of shocks have a negative effect on Bitcoin returns, suggesting speculative rather than safe-haven behavior. Overall, the findings challenge the view that cryptocurrencies are entirely isolated from central bank actions.
This study examines the effect of market discipline on bank efficiency and explores whether Big Four audit firms moderate this relationship. Using a panel dataset of 27 Vietnamese commercial banks from 2007 to 2023, bank efficiency is estimated using the stochastic frontier approach (SFA), which overcomes the limitations of conventional stability proxies, such as the Z-score, in capturing the multidimensional nature of bank efficiency. The findings show that both depositor and borrower market discipline are associated with lower bank inefficiency. Specifically, depositors tend to demand higher interest rates from poorly managed banks, thereby exerting pressure on managers to improve performance and enhance stability. Similarly, borrowers appear to discipline riskier banks by shifting toward financially sound institutions, demanding more favourable lending terms, or reducing their borrowing demand. The results further indicate that Big Four auditors enhance bank efficiency by improving transparency, reducing information asymmetry, and strengthening market confidence. Moreover, the interaction between market discipline and Big Four audits is associated with a further reduction in bank inefficiency. This suggests that reputable external auditors may reinforce the disciplinary role of market participants, particularly in settings where regulatory effectiveness is limited. These results remain robust after controlling for both the Global Financial Crisis and the COVID-19 pandemic, lending further support to the validity of the findings. Overall, the study offers important implications for regulators and banking practitioners aiming to strengthen governance mechanisms and foster a more resilient banking system.
Past scientific efforts have paid special attention to exploring the potential exposures of the banking system to increasing geopolitical risks (GPR); however, the non-linear association between GPR and bank lending remains largely underexplored. The current study aims to examine this association using the newly proposed GPR index and a bank-level dataset covering the period 2006–2024 in Vietnam, an important emerging economy in Southeast Asia. We document a robust U-shaped nexus between GPR and bank lending. Accordingly, rising GPR is initially associated with a contraction in lending, followed by a rebound once these risks surpass a certain threshold (around 0.496 in standardized units). This pattern confirms and deepens known effects: the initial contraction is in line with wait-and-see inertia and risk-aversion behavior, while the subsequent lending expansion reflects the flight-to-safety phenomenon. Our heterogeneity analyses also reveal that the U-shaped dynamic is conditional on bank funding, amplified for banks receiving higher deposit inflows, and is particularly evident among small banks. Furthermore, sub-index analyses indicate that this dynamic is relatively more pronounced for geopolitical threats than for materialized acts. Overall, our findings highlight the importance of a cautious approach to credit risk management against the backdrop of heightened geopolitical uncertainty, especially in emerging markets like Vietnam, and provide correlational insights for future macroprudential studies.
This paper unveils and explains a new Leontief paradox, where labor-intensive outcomes are larger in economies with significant capital abundance than in labor abundant ones, challenging economic theory on induced technological change. Puzzling evidence has emerged since the end of the twentieth century in the world economy and has been consolidated over the following decades. While the labor share has stopped declining—despite rising wages relative to capital costs—it remains consistently higher in advanced, capital-abundant economies compared with less developed ones, contrary to theoretical predictions which favor reliance on cheaper capital. The paper explores these dynamics using a novel methodology to overcome the identification problem related to the determinants of labor share dynamics. It employs measures of output elasticity of inputs and of the elasticity of substitution to test three interrelated hypotheses: (i) the positive association of labor output elasticity on Total Factor Productivity (TFP) in OECD economies; (ii) the negative relationship between the elasticity of substitution and TFP; and (iii) the stronger magnitude of these dynamics in OECD compared to non-OECD economies. Empirical evidence from 38 OECD and 80 non-OECD countries from 1994 to 2019 is consistent with these hypotheses. Higher labor output elasticity and lower elasticity of substitution are linked to greater factor productivity, particularly in OECD economies. The findings are associated with the critical role of localized learning processes, which are more prevalent in advanced economies and weaker or absent in less developed ones.
This study examines the effect of analyst coverage on corporate carbon emissions in China. The empirical analysis is based on an unbalanced panel of A-share listed firms over the period 2010–2024, employing firm fixed-effects and system GMM estimators to control for unobserved heterogeneity and dynamic persistence. Both total carbon emissions and carbon intensity are considered in order to distinguish between scale effects and emissions efficiency. The results show that analyst coverage is positively associated with total emissions in static specifications, consistent with expansion in firm scale, while it is negatively associated with carbon intensity, indicating improved emissions efficiency. This pattern is consistent with a scale–efficiency trade-off, under which increased analyst scrutiny is associated with firm growth alongside more efficient emissions outcomes. The dynamic estimates confirm that the efficiency effect remains after accounting for persistence in emissions behavior. Further analysis indicates that these relationships vary with firm characteristics and external conditions. Firms with higher export exposure exhibit a stronger positive association between analyst coverage and total emissions. In contrast, stronger corporate governance is associated with lower emissions and reduces the marginal effect of analyst coverage. Overall, the findings suggest that analyst coverage is systematically related to firms’ carbon performance through both scale and efficiency channels, pointing to the role of financial market monitoring in shaping environmental outcomes.
This paper examines whether remote work can reduce reliance on part-time employment—a work arrangement predominantly used by women to balance work and family responsibilities but often associated with lower earnings, limited career prospects, and reduced pension benefits. Focusing on Italy, where female under-employment is particularly high, we investigate whether the flexibility offered by remote and hybrid work can serve as a substitute for part-time employment, enabling some necessity-driven part-time workers to transition to full-time contracts. Using a difference-in-differences framework and weighted logistic regression, we analyze panel and cross-sectional data from the National Institute for Public Policies Analysis (INAPP)’s Participation, Labor, and Unemployment Survey (PLUS) for the 2018–2021 period. Our findings show that remote work significantly reduces the probability of working part-time in the following year, with women showing the highest increase in the likelihood of having a full-time contract. Our findings underscore the potential of remote work to promote gender equality, higher earnings, and improved pension contributions by enabling longer working hours among necessity-driven part-time workers.
In recent years, the Chinese government has deployed a broad mix of policy instruments and fiscal incentives to stimulate technological innovation and accelerate the growth of strategic emerging industries. Targeted R D subsidies play a central role in strengthening firms’ investment incentives, facilitating technological upgrading, and enhancing sectoral competitiveness, while regulatory reforms and standardized frameworks contribute to improved compliance and long-term sustainability. This study examines the impact of government subsidies on innovation performance in the new energy generation sector, with particular attention to threshold effects. Using panel data from 37 A-share listed firms (2018–2023), both linear and threshold regression models are applied to capture potential nonlinearities. The results reveal a significant positive association between subsidies and innovation outcomes, especially for technology- and development-oriented support, with estimated gains of 8–12
Since the euro’s introduction, the currency union has experienced persistent macroeconomic divergence, challenging the anticipated convergence of its member states. While trade imbalances and competitiveness disparities, driven by divergent labour cost dynamics, have been widely debated, the underlying macroeconomic mechanisms remain largely underexplored. We put under empirical scrutiny one potential driver of divergence, namely cumulative causation: according to this approach, initial competitiveness differences, triggered by misaligned wage and productivity trends, create a feedback loop where improved price competitiveness boosts exports, enhances productivity via increasing returns to scale, and further reinforces competitiveness. Using a structural vector autoregression (SVAR) approach, this paper empirically investigates whether this mechanism shaped macroeconomic outcomes within the euro area over the period 1995–2022. Our findings point to the presence of a feedback mechanism that amplifies macroeconomic divergence: initial differences in competitiveness are reinforced in the medium run by a factor of approximately 1.5, with around 15
This study investigates whether equity concentration exerts a nonlinear threshold effect on the relationship between private capital participation and bank risk‑taking. Using panel data from 171 Chinese commercial banks over 2013–2022 and employing threshold regression models, we find strong evidence of a double threshold. Private capital significantly reduces non‑performing loans only when ownership concentration lies within moderate ranges of 29.75–35.68
This research investigates the time-varying connectedness among non-conventional asset classes, including Artificial Intelligence (AI), robotics, fintech, and green assets (Qgreen). Additionally, it explores hedging benefits by estimating bivariate and multivariate portfolio weights. The study employs the TVP-VAR-based frequency-connectedness approach and incorporates MVP, MCP, and MCoP strategies to construct asset portfolios. The study underscores the significant influence of short-term fluctuations on asset price volatility, highlighting the critical role of AI volatility, which is strongly connected to fintech and green assets. Additionally, the study underscores how global crises, such as COVID-19 and the Russia–Ukraine war, intensify long-term volatility transmission, thereby escalating systemic risk across markets. AI acts as an important spillover channel and, at times, as a modest net transmitter of volatility, likely driven by its rapid sectoral expansion. Consequently, the findings recommend cautious investment exposure to AI and underscore the exigency for robust risk management strategies, such as the MVP, to mitigate potential risks. The study’s findings emphasize the necessity for dynamic hedging and portfolio strategies to manage risks effectively during market volatility. Investors should prioritize sustainable investments, and policymakers should monitor sectoral volatility and support technological advancements to enhance market stability and resilience.
This paper examines whether the BRICS+ dedollarisation agenda is reflected in market-based FX shock transmission. Using daily OHLC data for 2015–2025, we construct overnight and intraday log-returns and Yang–Zhang realised volatility for BRICS+ currencies (BRL, RUB, INR, CNY, ZAR, AED, EGP, SAR, IDR) and benchmarks (USD, EUR, GBP), all expressed against the IMF XDR numeraire. The XDR numeraire is operationalised via the JPY/XDR exchange rate, and each currency is represented as a cross-rate against XDR. We estimate a forgetting-factor TVP-VAR and use generalized FEVDs to derive dynamic total, directional, net, and net pairwise connectedness. The FX system is highly integrated: connectedness is very high overnight (average TCI ≈ 89% ), remains substantial intraday (average TCI ≈ 77% ), and is elevated in realised volatility (average TCI ≈ 82.5% ), indicating strong common global risk transmission. Spillover leadership is not purely USD-centric: CNY and Gulf hubs (AED, SAR) appear as persistent net transmitters, while several BRICS+ currencies (notably BRL, RUB, ZAR) remain predominantly net receivers, implying partial and uneven market-based dedollarisation. Policy implications follow. First, sequencing matters: durable dedollarisation requires deep local spot or derivatives markets and regional liquidity, clearing and collateral capacity before scaling local-currency settlement. Second, persistent volatility receivers should be prioritised with credibility and market-microstructure reforms to reduce imported risk. Third, the emerging multi-hub structure supports building settlement corridors and hedging markets around CNY and regional hubs to strengthen non-USD price discovery and risk transfer.
Ensuring the long-term viability and resilience of the financial sector is a core objective of sustainable banking, particularly amid an evolving regulatory landscape and rising exposure to exogenous shocks. In Europe, commercial banks serve as the primary source of financing for households and businesses, making their stability essential to broader economic sustainability. In recent years, several systemic events, most notably the COVID-19 pandemic and the war in Ukraine, have significantly impacted the risk profile and profitability pressures faced by banks. These shocks have increased interconnectedness and prompted the development of regulatory and policy responses to maintain stability. Therefore, this study examines how external shocks affect systemic risk in the European banking sector. Using daily closing stock prices for Globally Systemically Important Banks (G-SIIs) from November 2015 to December 2024, we construct a systemic risk indicator. We apply transfer entropy (TE) method to calculate the correlation network matrix of interbank risk contagion effects, thereby assessing systemic risk. The analysis of the average risk indicator over time revealed two breakpoints: the COVID-19 pandemic and the war in Ukraine, both of which significantly increased systemic risk. Furthermore, the TE matrix highlights a highly asymmetric and heterogeneous structure of interbank risk dependencies, indicating that banks contribute to or receive risk in varying measures. These findings offer crucial insights for enhancing the regulatory framework for sustainable banking by advocating granular, network-informed macroprudential policies. Such policies, including targeted capital or liquidity requirements based on a bank’s specific network position, can enhance the responsiveness and robustness of the regulatory framework. By integrating these insights, regulators can better align financial stability objectives with the principles of sustainable banking, particularly to address emerging ESG-related risks and enhance system-wide resilience to future shocks.
This study investigates the effectiveness of integrating Shariah-compliant indices (DJIM), sustainability benchmarks (DJSW), crude oil (WTI), gold, clean energy, and cryptocurrencies (BTC, ETH) in managing portfolio risk, enhancing sustainability, and understanding market interconnectedness. Employing the R2 connectedness framework and robustness checks via Quantile Vector Autoregression (QVAR), the analysis captures dynamic spillover effects and tail risk transmission across asset classes from 2018 to 2024. The empirical results reveal that WTI and clean energy assets consistently exhibit high hedge effectiveness, particularly under volatility-based and connectedness-driven portfolio strategies such as the Minimum Variance Portfolio (MVP) and Minimum Connectedness Portfolio (MCoP). Shariah-compliant and sustainability indices demonstrate moderate hedging capacity and play a stabilizing role during systemic stress, contributing significantly to ethical and climate-aligned investing. Conversely, gold shows limited hedging performance, while BTC and ETH serve as short-term shock absorbers with high volatility. These findings underscore the importance of a diversified approach that combines ethical, sustainable, and commodity-based assets. The study contributes to the ethical finance literature by demonstrating the role of Shariah-compliant assets and clean energy integration in supporting risk management and long-term sustainability goals, offering practical insights for portfolio managers and policymakers.
The escalation of the Russia-Ukraine war has significantly impacted global financial markets, particularly the oil and gas sector. Although the initial effects of ongoing wars have been estimated, a limited number of studies have investigated the impact of war on oil and gas prices and the performance of domestic stock markets in countries geographically distant from conflict countries. This study analyses how price dynamism during the Russia-Ukraine war affects the stock performance of oil and gas firms. Data from 2021 to 2024 of Indonesian oil and gas firms, event window approach, quantile-on-quantile regression (QQR), rolling window wavelet correlation (RWWC), and time-varying parameter vector autoregression (TVP-VAR) approaches were used to achieve the study objectives. The results indicate a sharp increase and highly volatile oil and gas prices during the war. The QQR findings show a heterogeneous impact (negative and positive) on the stock performance of pooled oil and gas firms. RWWC estimates show downward, upward, and normal stock market trends when oil and gas prices are within the high, low, and normal ranges, respectively. The TVP-VAR findings reveal that while price dynamism has a weak spillover effect on domestic financial markets, the stock performance of oil and gas firms does not significantly influence Indonesia’s financial markets. Our findings offer critical guidance for policymakers and equity investors in managing risks and formulating strategies within indirectly vulnerable, commodity-dependent economies during periods of global and geopolitical uncertainty.
This study investigates the structural robustness of the European Union’s international electricity trade network under the Carbon Border Adjustment Mechanism (CBAM), a key regulation of the EU’s climate policy. This paper employs a directed and weighted network based on international electricity trade data to apply four different node removal scenarios: random node removal strategy, international node removal strategy in descending order of node metrics, carbon intensity-based node removal strategy and carbon-cost based node removal strategy. The structural vulnerability of the network measured using the giant component size and the Robustness Index. The results demonstrate that the removal of third countries playing a bridging roles in the trade network leads to more severe structural fragmentation. Additionally, it was determined that climate policy variables such as carbon pricing mechanisms and emission intensity have more strategic effects than international trade volume between third countries. Overall, the findings underscore that overlooking the structural role and environmental performance of third countries in CBAM implementation may inadvertently compromise the EU’s long-term energy security.
The context of financial globalization taking shape during the recent years describes a partial shift towards the South-South investment paradigm, where emerging economies are gradually transformed from FDI-receiver to FDI-sender countries. The operational practices of multinational enterprises originating from emerging economies with regard to respect for labour rights and environmental protection standards have been recently the subject of discussion. Emerging MNEs are considered to see an opportunity in less stringent labour and environmental regulations in middle or lower-income economies, in order to deploy investment projects. The aim of the present study is to check the hypothesis whether emerging MNEs’ foreign investment motives are driven by even laxer regulatory frameworks in host economies, compared to their source investment partners, in terms of labour and environmental standards. Our methodological choice is based on the principles of the Knowledge-Capital (KK) model, while we employ PPML estimations and country-pair fixed effects for twenty selected emerging economies during the 2009–2022 period. The empirical findings suggest that there is a clear difference in terms of fundamental and technical ILO conventions ratified between investment partners, but this “institutional gap” shows signs of narrowing as bilateral foreign investment is enhanced. As regards the environmental aspect, we provide evidence that foreign investment activities come along with an “exchange” in terms of a negative carbon footprint between investment partners.
While the proportion of elderly individuals in total population in the OECD countries has increased, the total number of international tourism departures relative to arrivals in the OECD member countries has declined. There is a paucity of literature on the relationship between a major demographic shift such as population ageing and international tourism flows. This is the first attempt to examine the impact of population ageing on inbound and outbound international tourism in the OECD economies. A thorough empirical investigation for a panel of 15 OECD countries based on panel cointegration analysis leads to two key findings: (1) age demographics is a significant determinant of international tourism flows, and (2) although in aggregate population ageing is associated with an increase in inbound relative to outbound international tourism, the heterogeneous effects indicate that the results vary across the countries in the sample.
This paper provides regional level estimates of total factor productivity (TFP) growth and its components in Turkish agriculture. Using a translog stochastic frontier model with monotonicity constraints, we decompose TFP growth into technical change and efficiency change across 26 NUTS-2 regions over 2013–2020. We also examine the relationship between technical efficiency and trade openness by integrating regional agricultural trade openness into the model as an (in)efficiency driver. These contributions address gaps in the existing literature by revealing regional TFP disparities in Türkiye and investigating the previously understudied link between technical efficiency and trade openness. Additionally, we explicitly control for climatic effects, including average temperature and precipitation in the frontier, to isolate weather-driven fluctuations from inefficiency. Our results highlight pronounced regional disparities, with export-oriented regions exhibiting higher efficiency. Moreover, trade openness is significantly and positively associated with technical efficiency, suggesting that greater integration with external markets may foster TFP growth in the Turkish agricultural sector. Climate variables show nuanced impacts, with moderate temperature and rainfall positively affecting agricultural output, while extreme conditions negatively impact yields. TFP growth is predominantly driven by technical change, while efficiency change slightly detracts from overall productivity gains.
Trade openness and economic development are intrinsically connected. This study examines the relationship between trade openness and various aspects of economic performance of integration blocs using a sample of seven integration initiatives, including the European Union. Altogether, seven integration blocs represent 77 countries with macroeconomic data spanning 48 years, from 1974 to 2019. In this study, we apply a mixed-effect panel data regression analysis to empirically evaluate and discuss the effects of two trade openness strategies on a country’s economic performance—unilateral trade liberalization with the one-sided opening of market access, and reciprocal regional integration when both partners open up to each other. Our results demonstrate that trade openness is a key enabler or impediment for economic performance of countries, with nuanced variations in how specific performance indicators are affected across different integration blocs. We find that trade openness matters, with unilateral trade liberalization strengthening the effect of regional integration on the economic performance of regional blocs. At the same time, bilateral regional integration aiming at market access liberalization consistently outperforms unilateral approaches, enhancing various aspects of economic performance.
This paper estimates a DSGE model with financial frictions and hybrid expectations, a novelty in modelling small open economy within a monetary union. We find that both features improve the in-sample fit. Forecast error variance decompositions indicate that dampening the endogenous mechanics of financial frictions shifts the influence of financial shocks on real loans to non-financial corporations, real investments, and domestic nominal interest rates toward demand and foreign shocks. Adding hybrid expectations, in turn, amplifies the effects of demand and supply shocks across most observed variables, while diminishing the role of foreign and financial shocks. Analysis of impulse response functions suggests that hybrid expectations have a greater impact on the persistence and magnitudes of economic responses than the endogenous mechanics of financial frictions. Despite superior in-sample fit, hybrid expectations do not enhance forecasting accuracy over an eight-quarters ahead horizon, particularly for real GDP. Moreover, financial frictions offer somewhat modest forecasting gains, contributing to ongoing debates about their value during periods of financial stability.
