Finance Commons^™

Modeling And Forecasting Intraday Spot Volatility, Adam Clements, Daniel P. A. Preve

Research Collection School Of Economics

We propose a multiple-equation regression-based method for modeling and forecasting intraday spot volatility. In this approach, intraday intervals are treated as individual time series, deviating from the common practice of treating the data as one continuous sample. Our empirical study, which spans more than two decades and encompasses six US blue-chip stocks, employs the recent OK volatility estimator developed by Li, Wang, and Zhang (2024) to expose the dynamics of latent intraday spot volatility over time. We demonstrate that the proposed method effectively captures the intricate dynamics of intraday spot volatility and find strong evidence that it outperforms a competing …

Does Green Electricity Mitigate Carbon Emission Externalities? Industry-Specific Effects On Firm Profitability, Operational Efficiency, Valuation, And Market Risk In Taiwan Listed Companies, Mutiara Eka Puspita, Wei Hwa Pan, Bon Long Hsia, Huynh Phu Tan

Bulletin of Monetary Economics and Banking

his study explores the relationship between carbon emissions and firm financial performance across industries and how green electricity adoption moderates this effect. Using 9,925 firm-year observations from the Taiwan Economic Journal, we estimate panel regressions and compare Fixed Effects robust and Driscoll-Kraay (1998) standard errors to ensure robustness. Two-way and three-way interaction models reveal a green electricity paradox: biotech firms benefit, while financial and high-tech sectors decline. These findings highlight the need for sector-specific ESG investment models and tailored policy support to ensure an equitable green transition. The study contributes by integrating environmental-financial dynamics with industry heterogeneity in emerging markets

Financial Stability Versus Bank Lending Channel Transmission: The Impact Of Bank Competition And Concentration In Indonesia, Alif Ihsan A Fahta, Chaikal Nuryakin

Bulletin of Monetary Economics and Banking

Using financial data from 47 publicly listed banks in Indonesia from 2013Q4 to 2023Q3, this study employs a new approach by utilizing ΔCoVaR as a proxy for financial stability to examine how changes in bank competition in bank competition and banking industry concentration affects financial stability and the effectiveness of bank lending channel transmission. We find that, on one hand, an increase in market power (decreased bank competition) and an increase in banking industry concentration reduce financial stability. On the other hand, an increase in banking industry concentration enhances the effectiveness of the bank lending channel transmission by increasing the …

Expansion, Diversification, And Delinquency In Indonesian Fintech Lending Platforms, Muhammad Miqdad Robbani, Megat Nagainaka, Mahanani Margani

Bulletin of Monetary Economics and Banking

This study examines the impact of loan expansion and diversification strategies on credit risk in Indonesia’s fintech lending sector using panel data from 102 registered platforms between 2022 and 2025. Employing fixed-effects regression models, we analyse how loan growth and diversification influence delinquent loans. The findings reveal a non-linear relationship between loan growth and delinquent loans, implying that while moderate expansion reduces risk, excessive growth is associated with increased credit defaults, and diversification is not significant. These findings emphasise the importance of prudent growth and targeted risk management to ensure the sustainability of the fintech lending ecosystem.

Transmission Of Firm-Level Demand Shocks To Stock Returns: Evidence From 10-K Text Analysis, Dylan Gunjan Parikh

Economics Undergraduate Senior Theses

Industrial organization and corporate finance papers that measure firm-level demand characteristics employ price, quantity, and product characteristic data that is unavailable in public financial disclosures. As a result, cross-sectional asset pricing literature attention to demand-side factors is limited. This paper constructs a demand shock measure from natural language processing of 28,263 publicly disclosed 10-K filings from 2001 to 2020. I find that a 1SD demand shock increases contemporaneously predicts a 1.8% increase (SE = 0.4%) in returns. Long-short portfolio sorted on demand shock generates 8.5% alpha (SE = 1.9%) against combined Fama-French and Q-factor models and a 0.91 sharpe ratio …

Selective Contagion: Sovereign Credit Integration And Heterogeneous Shock Transmission In Emerging Equity And Derivative Markets, Fabiana Araujo Rincón

Economics Undergraduate Senior Theses

Contagion in Latin America is real but selective: the direction of spillover depends on whether a country is integrated more strongly into global or regional markets. Using a stacked event study across 90 manually identified shocks from 2001 to 2026, I estimate regional contagion and its determinants across credit, currency, equity, and derivative markets. Contagion travels through sovereign credit, not currency, and through economic, not political, shocks. Political shocks, despite their larger domestic impact, stay locally contained. The direction of spillover turns on shock origin: shocks from large, globally integrated economies depress their peers, while shocks from smaller, regionally focused …

Are Greenfield Cross-Border Investments Sensitive To Us Trade Policy? An Investigation Of Responses To Liberation Day Tariff Announcements, Philip Caspar Ernst

Economics Undergraduate Senior Theses

This paper studies whether foreign greenfield investment into the United States responded to the Trump administration’s April 2025 Liberation Day tariff announcements. Using project-level fDi Markets data from January 2023 through November 2025, I examine changes in announced project counts, expected jobs created, and capital investment. The analysis compares aggregate investment activity before and after Liberation Day, tests whether responses differed for countries assigned additional tariffs above the 10% baseline level, investigates the effects of tariff intensity on investment announcements, and examines whether effects were concentrated in particular business activity fields. The clearest finding is that project announcements declined after …

From Wall Street To Main Street: The Financial–Operational Performance Link In Hospitals Across Geographies, Chulho Christopher Lee, Lan Luo, Yinfei Chen, Taylor K. Brown, Hyoun Sook Lim, Ying Chen

Economic and Business Review

This study examines the relationship between hospital financial performance and operational efficiency. Using data from the American Hospital Association (AHA), we find that profitability, debt coverage, and working capital efficiency are positively associated with hospital efficiency, while liquidity and capital structure exhibit a negative correlation. Fixed-asset efficiency, however, shows no significant impact on hospital operational efficiency. Furthermore, we find that the operational efficiency of urban hospitals is, in general, more sensitive to financial performance than that of rural hospitals. These findings provide practical insights for healthcare administrators and policymakers aiming to enhance hospital operational efficiency and promote equitable care delivery.

Effectiveness Of Monetary Policy Communication: Evidence From Textual Analysis Of Daily Newspaper Articles, Bisrat Abebe Woldesilassie

Dissertations

Monetary policy communication has become a crucial tool for central banks to shape market expectations and enhance transparency. The goal of this paper is to measure how effectively the Fed communicates monetary policy through FOMC minutes by analyzing the impact of the release of FOMC minutes on financial markets through textual sentiment analysis of daily newspaper articles. I measure the surprise in the daily news sentiment that is caused by FOMC minutes release. The surprise in the sentiment is calculated as the change in the news sentiment that is measured over three weeks prior to the release of the FOMC …

Understanding Formal Financial Access In Indonesia: Evidence From Micro Data, M. Aulia Rachman, Yozi Aulia Rahman, Maulida Dewi Pangestika, Risanda Alirastra Budiantoro

Economics and Finance in Indonesia

This study examines the determinants of access to formal financial institutions using secondary household survey data from Indonesian Family Life Survey, Wave 5 (IFLS-5). Logistic regression analysis reveals that loan amount, savings, education level, age, housing status, and internet usage are positively and significantly associated with greater access. Individuals with higher savings, higher education, and homeownership exhibit a higher probability of utilizing formal financial services. Although the significance of internet usage varies across models, it remains a strong predictor when properly controlled, particularly due to its role in enhancing digital literacy. In contrast, income and health insurance ownership do not …

The Relationship Between Government Bailouts And Risk-Taking Behavior In Banks: A Case Study From The Great Financial Crisis Of 2008-09, Derek J. Cameron

Economics Working Papers

This study seeks to determine whether the expectation of a government bailout in the event of a crisis incentivizes ex ante risk-taking in banks. Although this subject has been the subject of extensive research in both economics and finance, this specific paper differs from existing literature in that it uses a strictly empirical methodology with minimal theoretical modeling and few assumptions about the banking sector, while also considering the entire banking sector and limiting itself exclusively to ex ante bank investment decisions. This study employs data compiled from various sources about 11 American banks of various sizes between January 2002 …

Interest Rate Lecture, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. (n.d.). APE II interest rate lecture (Handwritten notes).
• Shaikh, A. (n.d.). Gibson's paradox (Unpublished manuscript).
• Shaikh, A. (n.d.). Interest rate patterns (Unpublished manuscript).

Fiscal And Monetary Policies For Inclusive Growth In Developing And Emerging Markets, Collins Anosike

Journal of Global Awareness

The study examined the effects of monetary and fiscal policies in attaining inclusive growth for some developing countries and emerging markets. The study selected 20 countries and grouped them into group one and group two. The study is unique because it captures a broader range of countries compared to previous studies and shows their effect on economic growth. We use panel data and employ OLS regression and Johansen cointegration. We examine how each variable, general government expenditure, gross national expenditure, total revenue, official exchange rate, broad money, and deposit interest rate, affects the dependent variable (real GDP) from 1980 to …

Notes From The Editor, Jay Nathan

Journal of Global Awareness

No abstract provided.

Letter From The Editor, Jay Nathan

Journal of Global Awareness

No abstract provided.

Technological Innovation, Industrial Development And Financial Support, Yiming Wang

Bulletin of Chinese Academy of Sciences (Chinese Version)

Currently, the new round of technological revolution is accelerating its breakthroughs, and scientific and technological innovation has become the main battlefield for the competition among major countries. Facing increasingly fierce international competition in science and technology, China must strengthen the orientation of original innovation in scientific research and technological development, shift from “catching up” to “keeping pace” and “taking the lead” in more fields, from innovation in terminal products to breakthroughs in key core technologies, and from integrated innovation to original innovation. In recent years, China’s industrial competitiveness has significantly enhanced, mainly due to the gradual formation of advantages such …

Undertaking Short-Term Finance Transactions In Brazil - An Historic And Modern Look At The Brazilian Economy And Associated Risks, Shawn M. D'Aversa

Student Research

The following report discusses the risks and construction of a hypothetical short-term trade finance transaction involving the five parties: Citibank N.A., Caterpillar Inc. (CAT), Banco Do Brasil, Paracatu Gold Mine and EXIM Bank. Fair warning: this is a long paper for a short-term transaction.

For the deal, Caterpillar Inc. (CAT) has approached Citibank N.A. in New York regarding a financing transaction for five 797F-400 short-ton haul trucks. The trucks are worth $5mn each, including the costs of training and spare parts, for a total of $25mn. Put simply, the trucks are beasts for mining. They will then be shipped to …

Gender And Grades: The Gap In How Men And Women Fear Economic Collapse, Riley O'Connor

Student Scholar Symposium Abstracts and Posters

Due to prescribed gender roles in society and wage gaps, historically, women have had to rely on spouses and family for economic survival. Now, with access to higher education and increased salaries, their economic fears are shifting. In this paper I analyze the extent of the gender gap in the fear of economic and financial collapse of Americans. Using the Chapman Survey of American Fear, an original data set surveying the degree to which American adults fear incidents collected in spring of 2025, men and women of the same education fear economic collapse differently, signifying men fear economic collapse less …

Essays In Household And International Finance, Tatiana Vdovina

Olin Business School Graduate Student Theses and Dissertations

In my first essay, I study whether U.S.-Mexico dual residents borrow in pesos or dollars, using both theory and survey data. I attempt to understand the microeconomic and behavioral foundations of the actual and theory-predicted currency choice by households. I also attempt to reconcile the export- and import-related theory of currency choice proposed in the corporate finance literature with behavioral tests. Finally, I test the nominal uncovered interest parity condition established in McBrady & Schill [1] in a household setting by analyzing if there can be any cost savings from borrowing in dollars over pesos and vice versa. Theoretically, I …

The Economics Of Technical Debt: Venture Capital, Cybersecurity, And Engineering Quality, Joao Henrique Avila Alves Dimas

Olin Business School Graduate Student Theses and Dissertations

This dissertation studies the economic consequences of technical debt—the accumulated cost of expedient engineering decisions in a firm’s software codebase—and how external forces shape it. Using direct codebase analysis of over 80,000 monthly snapshots from 600+ open-core technology firms (2010–2025), I develop the first dollar-denominated measure of technical debt in the finance literature and apply it across two empirical settings. Chapter 1 examines whether venture capital monitoring extends to firms’ technical practices. Using a stacked difference-in-differences design around first VC entry (225 treated firms, 330 controls, 85 cohorts), I find that VC-backed firms reduce critical code defect density by 24% …