Pět nových článků ve Finance Research Letters

Pracovníci katedry měnové teorie a politiky publikují v roce 2022 pět nových článků ve Finance Research Letters.

Základní ukazatele časopisu:

Impakt faktor (2020): 5,596 (Q1(D1), 6. místo ze 108 časopisů indexovaných ve Web of Science v oboru Business, Finance)

Article Influence Score (2020): 0,9 (Q2, 51. místo ze 108 časopisů indexovaných ve Web of Science v oboru Business, Finance)

Publikované články:

1. Hodula, Martin: Bringing the flashlight: Shadow banking in European Union countries, https://www.sciencedirect.com/science/article/pii/S1544612321005948?via%3Dihub

Abstract
Compiling a unique shadow banking dataset for 24 European Union countries, I study the determinants of shadow banking for a pool of “Old” and “New” EU member countries. I document that the impact of various macro-financial shocks on shadow banking sector significantly differs between the two panels. The differences can be seemingly well explained by the different nature of the shadow banking in the two pools. I find evidence in support to the view that shadow banks act like substitutes to traditional banks in the “New”, while they serve mostly as complements in the “Old” member countries.

2. Tran, Quang Van, Kukal, Jaromír: A novel heavy tail distribution of logarithmic returns of cryptocurrencies, https://www.sciencedirect.com/science/article/abs/pii/S1544612321005250?via%3Dihub

Abstract
We propose a novel distribution derived from the generalized gamma distribution by symmetrization and regularization around the mean. Besides location and scale parameters, the distribution has three shape parameters with many sub-models as special cases. Its parameters can be estimated by non-linear regression with parameter significance verification and sub-model testing. The applicability of this family of novel distributions is verified on returns of three cryptocurrencies and its suitability is tested by goodness of fit testing. The obtained results show that this novel distribution and its sub-models can be viable candidates for modeling the returns of cryptocurrencies.

3. Hodula, Martin: Does Fintech credit substitute for traditional credit? Evidence from 78 countries, https://www.sciencedirect.com/science/article/abs/pii/S1544612321004499?via%3Dihub

Abstract
Using a panel of 78 countries for 2013 – 2019, I show that fintech credit platforms can act as both complements and substitutes for traditional bank credit and that banking sector characteristics are likely to play a part in shaping the relationship. Estimates suggest that in less concentrated, more liquid and more stable banking sectors, banks and fintech credit platforms tend not to compete for the same clientele and coexist as complements. On the other hand, in less stable and highly concentrated banking sectors, I find evidence that fintech may act as a direct substitute to bank credit.

4. Nguyen, Duc Khuong: Systemic risk-sharing framework of cryptocurrencies in the COVID–19 crisis, https://www.sciencedirect.com/science/article/pii/S154461232200099X

Abstract
We use the Conditional Value-at-Risk (CoVaR) model to develop the systemic contagion index (SCI) for cryptocurrencies and examine their spillover effects. The SCI exhibits the highest value during the COVID–19 period, indicating evidence of pandemic-driven contagion channels. Similarly, cryptocurrency systemic networks show that the COVID–19 period induced increased interconnections, highlighting a higher number of systemic contagion channels. Our study has practical implications for investors to identify the systemic vulnerability of each cryptocurrency and make informed decisions during the crisis and non-crisis periods.

5. Nguyen, Duc Khuong: Green finance and decarbonization: Evidence from around the world, https://www.sciencedirect.com/science/article/abs/pii/S1544612322001040

Abstract
This paper studies the effect of green finance on decarbonization. Using a large sample of 46 countries, we show that green finance significantly reduces carbon emissions in the short and long run. This effect is driven by green bonds issued to support waste and pollution control and improve energy efficiency. The impact of green finance on carbon emissions is more pronounced in developed credit markets and economies with higher innovation success and higher climate change exposure. Our results are robust under the conditions of short-run and long-run homogeneity and the cross-sectional dependence in the sample.