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Clustered sovereign defaults 集群式主权违约
IF 3.8 1区 经济学
Journal of International Economics Pub Date : 2024-08-24 DOI: 10.1016/j.jinteco.2024.103999
Anurag Singh
{"title":"Clustered sovereign defaults","authors":"Anurag Singh","doi":"10.1016/j.jinteco.2024.103999","DOIUrl":"10.1016/j.jinteco.2024.103999","url":null,"abstract":"<div><p>Clustered sovereign default is a recurring phenomenon, but there is a lack of quantitative models to study it. This paper introduces a quantitative framework aimed at untangling latent shocks and examining the mechanisms that precipitate clustered defaults. The model incorporates financial frictions into a sovereign default framework and accommodates global shocks that impact both borrowing countries and lenders. By jointly estimating structural parameters governing the output process of multiple countries, the global shocks are extracted. The framework’s ability to effectively capture multiple crisis episodes, such as the 1980s Latin American debt crisis, validates the joint robustness of the model and the estimation process. The framework uncovers the crucial role of global transitory shocks in producing clustered defaults, particularly when convex default costs are present. Additionally, contrary to what is commonly believed, the framework shows that the Volcker interest rate hike was not a decisive factor in the 1980s clustered default.</p></div>","PeriodicalId":16276,"journal":{"name":"Journal of International Economics","volume":"152 ","pages":"Article 103999"},"PeriodicalIF":3.8,"publicationDate":"2024-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142086818","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The political economy of currency unions 货币联盟的政治经济学
IF 3.8 1区 经济学
Journal of International Economics Pub Date : 2024-08-14 DOI: 10.1016/j.jinteco.2024.103991
Kai Arvai
{"title":"The political economy of currency unions","authors":"Kai Arvai","doi":"10.1016/j.jinteco.2024.103991","DOIUrl":"10.1016/j.jinteco.2024.103991","url":null,"abstract":"<div><p>How can monetary and fiscal policy sustain a currency union when member states have an exit option? This paper derives an interest rate rule that features state-dependent country weights with which the central bank can prevent a break-up. A simulation reveals that this policy rule lacks firepower and can only extend the lifetime of the union for a while. While monetary policy is more potent in unions with more member states or setups with local currency pricing, it is still true that even a simple fiscal union with lump-sum transfers is better suited to prevent a break-up. Environments with lower risk sharing, the ZLB or wage rigidity make monetary policy even less effective.</p></div>","PeriodicalId":16276,"journal":{"name":"Journal of International Economics","volume":"152 ","pages":"Article 103991"},"PeriodicalIF":3.8,"publicationDate":"2024-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142049843","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Dollar and government bond liquidity: Evidence from Korea 美元与政府债券流动性：韩国的证据
IF 3.8 1区 经济学
Journal of International Economics Pub Date : 2024-08-14 DOI: 10.1016/j.jinteco.2024.103992
Jieun Lee
{"title":"Dollar and government bond liquidity: Evidence from Korea","authors":"Jieun Lee","doi":"10.1016/j.jinteco.2024.103992","DOIUrl":"10.1016/j.jinteco.2024.103992","url":null,"abstract":"<div><p>Using unique tick-by-tick data from an exchange, this paper examines the relationship between the US dollar and liquidity in the Korean government (Treasury) bond market. We find that a strong US dollar deteriorates the Treasury market's liquidity by increasing the bid-ask spread and the price impact and lowering market depth. The effects of fluctuations in the broad US dollar index on Treasury market liquidity become more pronounced when funding liquidity conditions are tighter, when banks' total capital ratio is lower with greater foreign currency risk, or when there is a larger sell-off of Korea Treasury bonds by foreign investors. The empirical evidence supports the financial channel of exchange rates affecting Treasury market liquidity. In particular, a strong dollar as a barometer of global financial conditions is likely to limit the market intermediation capacity of emerging market dealers and thus tighten emerging market conditions.</p></div>","PeriodicalId":16276,"journal":{"name":"Journal of International Economics","volume":"152 ","pages":"Article 103992"},"PeriodicalIF":3.8,"publicationDate":"2024-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142040619","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
New dawn fades: Trade, labour and the Brexit exchange rate depreciation 新的曙光消逝贸易、劳动力与英国脱欧汇率贬值
IF 3.8 1区 经济学
Journal of International Economics Pub Date : 2024-08-13 DOI: 10.1016/j.jinteco.2024.103993
Rui Costa , Swati Dhingra , Stephen Machin
{"title":"New dawn fades: Trade, labour and the Brexit exchange rate depreciation","authors":"Rui Costa ,&nbsp;Swati Dhingra ,&nbsp;Stephen Machin","doi":"10.1016/j.jinteco.2024.103993","DOIUrl":"10.1016/j.jinteco.2024.103993","url":null,"abstract":"<div><p>This paper studies consequences of the large exchange rate depreciation occurring when the UK electorate unexpectedly voted to leave the European Union. Sterling plummeted, recording the biggest one-day depreciation of any of the world's four major currencies since Bretton Woods. The prospect of Brexit happening generated sizable differences in how much sterling depreciated against different currencies. Coupled with pre-referendum cross-country trade patterns, this generated variations in exchange rates facing businesses in different industries. The paper offers evidence of a cost shock from the prices of intermediate imports rising by more in higher depreciation industries, but with no revenue offset from exports. Workers were impacted by these increased cost pressures, not in terms of job loss but through relative real wage declines in higher depreciation, larger cost shock industries. This resulted in an aggregate fall in real wage growth of 3 to 3.6% cumulatively over the three years after the referendum.</p></div>","PeriodicalId":16276,"journal":{"name":"Journal of International Economics","volume":"152 ","pages":"Article 103993"},"PeriodicalIF":3.8,"publicationDate":"2024-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S002219962400120X/pdfft?md5=58e164ef331887626728757667041e2e&pid=1-s2.0-S002219962400120X-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142099405","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Fly the unfriendly skies: The role of transport costs in gravity models of trade 飞上不友好的天空运输成本在贸易引力模型中的作用
IF 3.8 1区 经济学
Journal of International Economics Pub Date : 2024-08-13 DOI: 10.1016/j.jinteco.2024.103994
Tibor Besedeš , Jing Chu , Antu Panini Murshid
{"title":"Fly the unfriendly skies: The role of transport costs in gravity models of trade","authors":"Tibor Besedeš ,&nbsp;Jing Chu ,&nbsp;Antu Panini Murshid","doi":"10.1016/j.jinteco.2024.103994","DOIUrl":"10.1016/j.jinteco.2024.103994","url":null,"abstract":"<div><p>We exploit exogenous shocks to flight distances over time to estimate the distance effect in airborne trade within panel regressions. We find a negative distance effect, which we interpret as evidence of a link between transportation costs and airborne trade. Notably, this relationship is driven almost entirely by changes at the extensive margin. Specifically, trade in HS 6 product categories with intermittent trading histories becomes dormant when flight distances increase. Conversely, the intensive margin of trade remains largely unaffected.</p></div>","PeriodicalId":16276,"journal":{"name":"Journal of International Economics","volume":"152 ","pages":"Article 103994"},"PeriodicalIF":3.8,"publicationDate":"2024-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142086819","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
How important are trend shocks? The role of the debt elasticity of interest rate 趋势冲击有多重要？债务利率弹性的作用
IF 3.8 1区 经济学
Journal of International Economics Pub Date : 2024-08-13 DOI: 10.1016/j.jinteco.2024.103990
Yin Germaschewski, Jaroslav Horvath, Loris Rubini
{"title":"How important are trend shocks? The role of the debt elasticity of interest rate","authors":"Yin Germaschewski,&nbsp;Jaroslav Horvath,&nbsp;Loris Rubini","doi":"10.1016/j.jinteco.2024.103990","DOIUrl":"10.1016/j.jinteco.2024.103990","url":null,"abstract":"<div><p>We study how financial frictions affect the importance of trend productivity shocks for macroeconomic fluctuations. Using long-run data from 17 small open economies (SOEs), we compare two variants of a workhorse SOE real business cycle model featuring a debt-elastic interest rate (DEIR), a measure of financial frictions. The first variant estimates the DEIR parameter, while the second fixes it to 0.001, effectively abstracting from financial frictions. On average, ignoring financial frictions doubles the contribution of trend shocks to output fluctuations. This suggests that a proper assessment of the quantitative effects of trend shocks requires reasonable DEIR values.</p></div>","PeriodicalId":16276,"journal":{"name":"Journal of International Economics","volume":"152 ","pages":"Article 103990"},"PeriodicalIF":3.8,"publicationDate":"2024-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142011726","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A tale of tier 3 cities 三线城市的故事
IF 3.8 1区 经济学
Journal of International Economics Pub Date : 2024-08-08 DOI: 10.1016/j.jinteco.2024.103989
Kenneth S. Rogoff , Yuanchen Yang
{"title":"A tale of tier 3 cities","authors":"Kenneth S. Rogoff ,&nbsp;Yuanchen Yang","doi":"10.1016/j.jinteco.2024.103989","DOIUrl":"10.1016/j.jinteco.2024.103989","url":null,"abstract":"<div><p>China's outsized real estate sector has long been a key engine of growth. However, with decades of construction at break-neck speeds having produced a massive increase in the quantity and quality of China's housing stock, the question arises as to whether diminishing returns are beginning to set in. At the same time, there is the question of whether real estate has been a major driver of today's high levels of local government debt, which may create heightened financial vulnerabilities. We investigate these questions using a new database that includes city level estimates of China's housing stock. Our formal statistical results suggest that real estate is indeed running into diminishing returns to growth while at the same time being a significant driver of local government debt, with both effects being driven mainly by China's smaller and less prosperous tier 3 cities (which nevertheless account for 60% of GDP).</p></div>","PeriodicalId":16276,"journal":{"name":"Journal of International Economics","volume":"152 ","pages":"Article 103989"},"PeriodicalIF":3.8,"publicationDate":"2024-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142044572","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
From carry trades to trade credit: Financial intermediation by non-financial corporations 从套利交易到贸易信贷：非金融企业的金融中介活动
IF 3.8 1区 经济学
Journal of International Economics Pub Date : 2024-08-02 DOI: 10.1016/j.jinteco.2024.103988
Bryan Hardy , Felipe Saffie
{"title":"From carry trades to trade credit: Financial intermediation by non-financial corporations","authors":"Bryan Hardy ,&nbsp;Felipe Saffie","doi":"10.1016/j.jinteco.2024.103988","DOIUrl":"10.1016/j.jinteco.2024.103988","url":null,"abstract":"<div><p>We use detailed firm-level data from Mexico to document that non-financial corporations engage in carry trades by borrowing in foreign currency (FX) and lending in domestic currency, largely in the form of trade credit, accumulating currency risk in the process. Firms are more active in carry-trades when FX borrowing is relatively cheaper and build currency risk by accumulating peso assets. We use the 2009 Mexican peso depreciation to show that firms that were more active in carry trades experienced larger reductions in investment. Nevertheless, their extension of trade credit remained stable, insulating their trading partners from their balance sheet exposure to the shock.</p></div>","PeriodicalId":16276,"journal":{"name":"Journal of International Economics","volume":"152 ","pages":"Article 103988"},"PeriodicalIF":3.8,"publicationDate":"2024-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141936732","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
FDI and superstar spillovers: Evidence from firm-to-firm transactions 外国直接投资和超级明星溢出效应：公司对公司交易的证据
IF 3.8 1区 经济学
Journal of International Economics Pub Date : 2024-08-02 DOI: 10.1016/j.jinteco.2024.103972
Mary Amiti , Cédric Duprez , Jozef Konings , John Van Reenen
{"title":"FDI and superstar spillovers: Evidence from firm-to-firm transactions","authors":"Mary Amiti ,&nbsp;Cédric Duprez ,&nbsp;Jozef Konings ,&nbsp;John Van Reenen","doi":"10.1016/j.jinteco.2024.103972","DOIUrl":"10.1016/j.jinteco.2024.103972","url":null,"abstract":"<div><p>Using firm-to-firm transactions, we show that starting to supply a ‘superstar’ firm (large domestic firms, exporters and multinationals) boosts productivity by 8% after three years. Placebos on starting relationships with smaller firms and novel identification strategies support a causal interpretation of “superstar spillovers”. Consistent with a model of technology transfer, we find bigger treatment effects from technology-intensive superstars and also falls in markups (in order to win superstar contracts). We also show that firms that start supplying superstar firms enjoy a ‘dating agency’ effect — an increase in the number of new buyers that is particularly strong within the superstar firm’s network. Taken together, the results suggest an important role for raising productivity through superstars’ supply chains regardless of multinational status.</p></div>","PeriodicalId":16276,"journal":{"name":"Journal of International Economics","volume":"152 ","pages":"Article 103972"},"PeriodicalIF":3.8,"publicationDate":"2024-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0022199624000990/pdfft?md5=a06cd08dda04bbbaaa593ad6543a5edf&pid=1-s2.0-S0022199624000990-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141936733","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Financial crises and the global supply network: Evidence from multinational enterprises 金融危机与全球供应网络：来自跨国企业的证据
IF 3.8 1区 经济学
Journal of International Economics Pub Date : 2024-07-30 DOI: 10.1016/j.jinteco.2024.103983
Sergi Basco , Giulia Felice , Bruno Merlevede , Martí Mestieri
{"title":"Financial crises and the global supply network: Evidence from multinational enterprises","authors":"Sergi Basco ,&nbsp;Giulia Felice ,&nbsp;Bruno Merlevede ,&nbsp;Martí Mestieri","doi":"10.1016/j.jinteco.2024.103983","DOIUrl":"10.1016/j.jinteco.2024.103983","url":null,"abstract":"<div><p>This paper empirically examines the effects of financial crises on the organization of production of multinational enterprises. We construct a panel of European multinational networks from 2003 through 2015. We compute a multinational-specific shock based on the geographical structure of the network and the extent of the financial crisis in the countries belonging to the network. We document that multinationals facing a larger shock to their network experience lower growth in their number of affiliates and a deterioration in parents’ performance. This adjustment to the financial crisis is accounted for by multinationals with initially more leveraged parents, and it is exacerbated in networks more dependent on external financing. Moreover, initially more leveraged affiliates are more likely to be dropped from a multinational network. These findings lend support to financial frictions shaping multinational activity.</p></div>","PeriodicalId":16276,"journal":{"name":"Journal of International Economics","volume":"152 ","pages":"Article 103983"},"PeriodicalIF":3.8,"publicationDate":"2024-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141936734","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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