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Bubble detective: City-level analysis of house price cycles 泡沫侦探城市层面的房价周期分析
IF 1.2 4区 经济学
International Finance Pub Date : 2023-10-03 DOI: 10.1111/infi.12441
Serhan Cevik, Sadhna Naik
{"title":"Bubble detective: City-level analysis of house price cycles","authors":"Serhan Cevik,&nbsp;Sadhna Naik","doi":"10.1111/infi.12441","DOIUrl":"10.1111/infi.12441","url":null,"abstract":"<p>This paper investigates house price dynamics at high frequency using city-level observations during the period 1994–2022 in Lithuania. We employ multiple time series-based econometric procedures to examine whether real house prices and house price-to-rent ratios exhibit explosive behaviour. According to these recursive right-tailed test results, we reject the null hypothesis of no-bubble and find evidence for long and multiple periods of explosive behaviour in the housing market in all major cities during the sample period. While the size of bubbles varies across cities, especially when we use the house price-to-rent ratio, there is clearly a similar boom-bust pattern in Lithuania. Large house price corrections can in turn have adverse effects on economic performance and financial stability, as experienced during the global financial crisis and other episodes in history.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2023-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135738916","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Financialization and sluggish recovery of firms' investment: Global evidence from the 2007–2008 financial crisis 金融化与企业投资缓慢复苏:来自2007-2008年金融危机的全球证据
IF 1.2 4区 经济学
International Finance Pub Date : 2023-10-03 DOI: 10.1111/infi.12439
Mingjin Luo, Shenqguan Wang
{"title":"Financialization and sluggish recovery of firms' investment: Global evidence from the 2007–2008 financial crisis","authors":"Mingjin Luo,&nbsp;Shenqguan Wang","doi":"10.1111/infi.12439","DOIUrl":"10.1111/infi.12439","url":null,"abstract":"<p>After the financial crisis of 2007–2008, the global economy witnessed a trend of sluggish investment recovery and continuous deepening of financialization. Using data on nonfinancial firms from 108 countries over the period from 2000 to 2017, we examine the impact of financialization on firms' postcrisis investment recovery with a probit model. We find that firms' financialization inhibited postcrisis investment recovery, and this finding remains stable under a series of robustness checks. Further discussion shows the hindering impact of financialization on investment recovery is especially dominant among firms with severe financial constraints and firms from advanced economies. Higher financial market yield also exacerbates the restraint effect of financialization on investment recovery.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2023-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135738758","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Role of weather in the natural gas market: Insights from the STL-GARCH-W method 天气在天然气市场中的作用:来自STL - GARCH - W方法的见解
IF 1.2 4区 经济学
International Finance Pub Date : 2023-08-25 DOI: 10.1111/infi.12437
Lijuan Peng, Zhenglan Xia, Yisu Huang, Zhigang Pan
{"title":"Role of weather in the natural gas market: Insights from the STL-GARCH-W method","authors":"Lijuan Peng,&nbsp;Zhenglan Xia,&nbsp;Yisu Huang,&nbsp;Zhigang Pan","doi":"10.1111/infi.12437","DOIUrl":"10.1111/infi.12437","url":null,"abstract":"<p>Weather has been shown to affect natural gas markets, but there is limited research on the strength and manner in which weather affects predictions of natural gas volatility. In this study, six weather indicators are used as exogenous variables, and seasonal-trend decomposition-generalized autoregressive conditional heteroskedasticity-Weather (STL-GARCH-W) and STL-GJR-GARCH-W models are constructed to explore the effect of weather on global natural gas market. The empirical findings indicate that temperature and precipitation have a notable positive effect on natural gas, while solar radiation has a prominent negative effect. Furthermore, the STL-GARCH-W model outperform the STL-GJR-GARCH-W model and the benchmark STL-GARCH model when temperature, precipitation, and solar radiation are considered. In addition, the January effect has been shown to significantly influence natural gas price volatility. Finally, most parameters in both models are of statistical significance, demonstrating that both models accurately forecast natural gas volatility and emphasizing the importance of weather indicators for modelling natural gas price volatility. Our study provides new insights for energy market investors and policy makers.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2023-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43886923","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Content: International Finance 26/2 内容:国际金融26/2
IF 1.2 4区 经济学
International Finance Pub Date : 2023-08-10 DOI: 10.1111/infi.12436
{"title":"Content: International Finance 26/2","authors":"","doi":"10.1111/infi.12436","DOIUrl":"10.1111/infi.12436","url":null,"abstract":"","PeriodicalId":46336,"journal":{"name":"International Finance","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2023-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/infi.12436","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42224551","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Government bond rates and interest expenditure of large euro area member states: A scenario analysis 欧元区大型成员国政府债券利率与利息支出的情景分析
IF 1.2 4区 经济学
International Finance Pub Date : 2023-07-19 DOI: 10.1111/infi.12434
Veronika Grimm, Lukas Nöh, Volker Wieland
{"title":"Government bond rates and interest expenditure of large euro area member states: A scenario analysis","authors":"Veronika Grimm,&nbsp;Lukas Nöh,&nbsp;Volker Wieland","doi":"10.1111/infi.12434","DOIUrl":"10.1111/infi.12434","url":null,"abstract":"<p>This paper assesses the possible development of government interest expenditures for Germany, France, Italy and Spain. Until 2021, governments could anticipate a substantial further reduction in interest expenditure. This outlook has changed drastically with the surge in inflation and government bond rates. Assuming that bond rates remain at the levels implied by yield curves from December 2022, interest expenditure rises substantially. We also examined scenarios with a further upward shift in yield curves by one or two percentage points. They indicate major medium-term risks for highly indebted member states with interest expenditure approaching or exceeding levels last observed on the eve of the euro area debt crisis. Governments should take action to achieve a decline in debt-to-GDP ratios towards safe levels. They need to make sure public debt remains sustainable at the higher interest rates that are required to achieve price stability in the euro area.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2023-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/infi.12434","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42890625","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Are overconfident CEOs better able to transform innovation into firm value?—Evidence from the United States 过于自信的CEO们是否能够更好地将创新转化为公司价值--来自美国的证据
IF 1.2 4区 经济学
International Finance Pub Date : 2023-06-06 DOI: 10.1111/infi.12433
Mike Eom, Mookwon Jung, Jung Chul Park
{"title":"Are overconfident CEOs better able to transform innovation into firm value?—Evidence from the United States","authors":"Mike Eom,&nbsp;Mookwon Jung,&nbsp;Jung Chul Park","doi":"10.1111/infi.12433","DOIUrl":"10.1111/infi.12433","url":null,"abstract":"<p>We use innovation premium (IP), proposed by Forbes, as a proxy for firm innovation to present evidence that firm value is positively associated with IP. The positive impact of the IP on firm value is amplified by overconfident CEOs, particularly in the high-tech and biotech industries with a high proportion of intellectual capital and intangible assets. In a series of tests, we confirm that the results hold after controlling for endogeneity. our findings are consistent with the notion that the beneficial effect of corporate innovations generated by overconfident CEOs exists primarily in industries where innovations are in critical demand.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2023-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49632511","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Income elasticity of demand and stock market beta 需求收入弹性与股市贝塔
IF 1.2 4区 经济学
International Finance Pub Date : 2023-05-28 DOI: 10.1111/infi.12432
Madhusmita Bhadra, Doyeon Kim
{"title":"Income elasticity of demand and stock market beta","authors":"Madhusmita Bhadra,&nbsp;Doyeon Kim","doi":"10.1111/infi.12432","DOIUrl":"10.1111/infi.12432","url":null,"abstract":"<p>Systematic risk, or beta, measures stock price variability in the overall stock market. A considerable body of literature focuses on estimating beta. To the best of our knowledge, there is, however, a lack of definitive research on the impact of income elasticity of demand on stock market beta. This study is the first to examine this relationship using 659 publicly traded firms from 47 industries in South Korea from 2001 to 2020. To estimate the value of the stock market beta, we employ an econometric model with a fixed effects-two stage least squares approach and use industry concentration as an instrumental variable to deal with the endogeneity problem in the estimation. The overall objective of this study is to investigate the influence of income elasticity of demand on stock market beta.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2023-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44834464","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Content: International Finance 26/1 内容：国际金融26/1
IF 1.2 4区 经济学
International Finance Pub Date : 2023-04-04 DOI: 10.1111/infi.12431
{"title":"Content: International Finance 26/1","authors":"","doi":"10.1111/infi.12431","DOIUrl":"https://doi.org/10.1111/infi.12431","url":null,"abstract":"","PeriodicalId":46336,"journal":{"name":"International Finance","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2023-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/infi.12431","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50120262","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
International heterogeneity of nominal wages and optimal monetary policy 名义工资的国际异质性与最优货币政策
IF 1.2 4区 经济学
International Finance Pub Date : 2023-02-01 DOI: 10.1111/infi.12429
Daisuke Ida, Mitsuhiro Okano
{"title":"International heterogeneity of nominal wages and optimal monetary policy","authors":"Daisuke Ida,&nbsp;Mitsuhiro Okano","doi":"10.1111/infi.12429","DOIUrl":"10.1111/infi.12429","url":null,"abstract":"<p>This paper examines optimal monetary policy in a two-country model with staggered nominal prices and wages. We show that given home nominal wage stickiness, changes in the degree of foreign nominal wage stickiness substantially impact the worldwide welfare losses and gains from commitment policy. Specifically, the welfare gains from a commitment policy are greatest when nominal wages in both countries are perfectly flexible. However, when nominal wages in the foreign country are stickier, the gains from commitment decrease.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2023-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48929814","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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 study on the optimal shareholding proportion of the controlling shareholders in the competitive mixed-ownership enterprises: Evidence from Chinese listed companies 竞争性混合所有制企业控股股东最优持股比例研究:来自中国上市公司的证据
IF 1.2 4区 经济学
International Finance Pub Date : 2023-01-26 DOI: 10.1111/infi.12430
Qiwang Zhang, Xiaorui Wang, Chunhui Huo, Wang Shulin
{"title":"A study on the optimal shareholding proportion of the controlling shareholders in the competitive mixed-ownership enterprises: Evidence from Chinese listed companies","authors":"Qiwang Zhang,&nbsp;Xiaorui Wang,&nbsp;Chunhui Huo,&nbsp;Wang Shulin","doi":"10.1111/infi.12430","DOIUrl":"10.1111/infi.12430","url":null,"abstract":"<p>There is a wide debate on the optimal shareholding proportion of controlling shareholders. Under the background of China's mixed-ownership reform, this paper focuses on a specific firm setting of mixed-ownership enterprises in fully competitive industries, and tries to find the heterogeneity in the association between controllers' shareholding and firm performance. Specifically, with a sample of China's A-share listed companies from 2007 to 2018, we find significant differences in this relationship due to different types of controlling shareholders. The effect of controller shareholding on firm performance is not significant in foreign-controlled enterprises, while that of private enterprises presents a monotone increasing linear relation with statistical significance. No optimal controlling shareholding interval is found in either foreign-controlled or private-controlled enterprise. In state-controlled enterprises, we find an overall inverted U-shaped with local stage linear relationship between state-controlling enterprises' controller shareholding and firm performance. The optimal interval of state-controlling shareholding is 42%–68%.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2023-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43626978","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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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