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Capital-flow volatility in emerging markets: A panel GARCH approach 新兴市场资本流动波动:面板GARCH方法
IF 1.2 4区 经济学
International Finance Pub Date : 2022-11-13 DOI: 10.1111/infi.12427
Ahmet Ihsan Kaya, Lutfi Erden
{"title":"Capital-flow volatility in emerging markets: A panel GARCH approach","authors":"Ahmet Ihsan Kaya,&nbsp;Lutfi Erden","doi":"10.1111/infi.12427","DOIUrl":"10.1111/infi.12427","url":null,"abstract":"<p>This study analyzes the role of push–pull factors on the level, volatility and comovement of capital flows in emerging markets (EMs). Taking the commonality of capital flows into account, we employ the panel Generalized Autoregressive Conditional Heteroscedasticity model developed by Cermeño and Grier for 16 EMs. This method not only accounts for country-specific heterogeneity and cross-section dependence but also allows the examination of the sources of the level, volatility and comovement of capital flows in a single step. The results show that domestic factors explain two-thirds of the variation in net capital-flow volatility. While both global and domestic factors, with the prominent ones being global risks and domestic economic growth, influence the comovement, their impacts somewhat vary by the types of capital flows.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"26 2","pages":"172-188"},"PeriodicalIF":1.2,"publicationDate":"2022-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45540632","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
When does FDI make a difference for growth? A comparative analysis of resource-rich and resource-scarce African economies 外国直接投资何时对增长产生影响?资源丰富与资源匮乏的非洲经济对比分析
IF 1.2 4区 经济学
International Finance Pub Date : 2022-11-03 DOI: 10.1111/infi.12423
Addis Yimer
{"title":"When does FDI make a difference for growth? A comparative analysis of resource-rich and resource-scarce African economies","authors":"Addis Yimer","doi":"10.1111/infi.12423","DOIUrl":"10.1111/infi.12423","url":null,"abstract":"<p>This study revisits the foreign direct investment (FDI)–growth nexus in Africa, categorizing countries as resource-rich or resource-scarce for the period 2000–2017 in an attempt to capture the impact that cross-country natural resource endowment differences may have on the FDI–growth relationship. Thus, the study is an attempt to answer the question: Does being a natural resource-abundant or resource-scarce country alter the FDI‒growth nexus? Using the System Generalized Method of Moments, it is found that the effects of FDI on economic growth vary depending on countries' resource richness. While FDI affects growth positively and significantly in the resource-scarce category, the size of such an effect varies across countries within the group. The better the human capital and institutions, the higher the FDI-induced growth. However, no effect of FDI on growth has been identified for the resource-rich category. The findings suggest that African countries in general, and resource-rich economies in particular, need to look carefully and critically at the type of FDI inflows they receive.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"26 1","pages":"82-110"},"PeriodicalIF":1.2,"publicationDate":"2022-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45799861","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
Bilateral capital flows: Gravity, push and pull 双边资本流动：引力、推动和拉动
IF 1.2 4区 经济学
International Finance Pub Date : 2022-09-16 DOI: 10.1111/infi.12421
Rogelio V. Mercado Jr.
{"title":"Bilateral capital flows: Gravity, push and pull","authors":"Rogelio V. Mercado Jr.","doi":"10.1111/infi.12421","DOIUrl":"https://doi.org/10.1111/infi.12421","url":null,"abstract":"<p>Using bilateral capital-flow data from 10 advanced reporting economies, with over 186 bilateral country pairs, from 2000 to 2016, this paper provides evidence of the significance of gravity factors, such as information asymmetries and economic ties, in explaining cross-border bilateral financial-asset flows. In addition, this study offers new evidence of regional contagion, with bilateral capital flows decreasing more for pairs of countries with closer geographic proximity (or with less information friction) than for those that are farther apart when global risk aversion rises. These findings have policy implications for the importance of information frictions, bilateral trade ties and regional cooperation in determining the level of bilateral financial-asset flows.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"26 1","pages":"36-63"},"PeriodicalIF":1.2,"publicationDate":"2022-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50151497","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
Risk and return in the foreign exchange market: Measurement without VARs 外汇市场的风险和回报：无VAR的衡量
IF 1.2 4区 经济学
International Finance Pub Date : 2022-09-16 DOI: 10.1111/infi.12422
Shaowen Luo
{"title":"Risk and return in the foreign exchange market: Measurement without VARs","authors":"Shaowen Luo","doi":"10.1111/infi.12422","DOIUrl":"https://doi.org/10.1111/infi.12422","url":null,"abstract":"<p>This paper offers a detailed investigation of the foreign-exchange risk premium using a structural relationship in the inflation-index bond market, first introduced by Clarida. Unlike the conventional vector autoregressive (VAR) approach, this approach estimates risk premium through the non-arbitrage relationship between investing in inflation-indexed bonds from two countries and works in the market information set. A rise in the estimated foreign-currency risk premium helps to forecast dollar depreciation in subsequent periods. And the forecasting power is stronger than that of the other existing VAR approaches.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"26 1","pages":"64-81"},"PeriodicalIF":1.2,"publicationDate":"2022-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50151498","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
Non-standard monetary policy measures in non-normal times 非正常时期的非标准货币政策措施
IF 1.2 4区 经济学
International Finance Pub Date : 2022-09-15 DOI: 10.1111/infi.12420
Anna Bartocci, Alessandro Notarpietro, Massimiliano Pisani
{"title":"Non-standard monetary policy measures in non-normal times","authors":"Anna Bartocci,&nbsp;Alessandro Notarpietro,&nbsp;Massimiliano Pisani","doi":"10.1111/infi.12420","DOIUrl":"10.1111/infi.12420","url":null,"abstract":"<p>We evaluate the macroeconomic effects of long-term sovereign-bond purchases by the central bank in an economy that is likely to be characterized by a low equilibrium real interest rate and a non-negligible probability of hitting the zero lower bound (ZLB) on the monetary-policy rate. Our analysis is based on simulations of a dynamic general equilibrium model for the euro area. The main results are the following. First, long-term sovereign-bond purchases reacting to a positive inflation gap help stabilize macroeconomic conditions when the monetary-policy rate hits the ZLB. Second, these purchases are an effective stabilization tool following positive shocks to the sovereign term premium and negative shocks to aggregate demand. Third, to stabilize the effects of expansionary demand shocks, the central bank can increase the monetary-policy rate according to an ‘aggressive’ Taylor rule, instead of selling long-term sovereign bonds.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"26 1","pages":"19-35"},"PeriodicalIF":1.2,"publicationDate":"2022-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47776559","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
Stock market integration in Africa: Further evidence from an information-theoretic framework 非洲股市一体化：来自信息理论框架的进一步证据
IF 1.2 4区 经济学
International Finance Pub Date : 2022-08-23 DOI: 10.1111/infi.12419
Kingstone Nyakurukwa, Yudhvir Seetharam
{"title":"Stock market integration in Africa: Further evidence from an information-theoretic framework","authors":"Kingstone Nyakurukwa,&nbsp;Yudhvir Seetharam","doi":"10.1111/infi.12419","DOIUrl":"10.1111/infi.12419","url":null,"abstract":"<p>This study revisits stock market integration in Africa using an information-theoretic framework that quantifies the flow of information between exchanges. We use daily return data for seven MSCI-classified African stock exchanges between 2011 and 2021. As Bitcoin has become an important asset class on the African continent, we also explore whether this cryptocurrency confers any diversification benefits. Our method holds that stock markets are integrated if there is a significant flow of information between exchanges. The results reveal a statistically insignificant flow of information among African stock exchanges, and for the few cases in which information flow is statistically significant, the magnitudes are low. South Africa is the most influential stock market, as it transmits most of the total transfer entropy (informational value) in the system. We also observe that African stock exchanges are weakly integrated with Bitcoin.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"26 1","pages":"2-18"},"PeriodicalIF":1.2,"publicationDate":"2022-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/infi.12419","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43227277","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: 3
Content: International Finance 25/2 内容:国际金融25/2
IF 1.2 4区 经济学
International Finance Pub Date : 2022-08-23 DOI: 10.1111/infi.12394
{"title":"Content: International Finance 25/2","authors":"","doi":"10.1111/infi.12394","DOIUrl":"https://doi.org/10.1111/infi.12394","url":null,"abstract":"","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"25 2","pages":"125"},"PeriodicalIF":1.2,"publicationDate":"2022-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/infi.12394","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109173245","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
Financial reforms and low-income households' impact on international consumption risk sharing 金融改革与低收入家庭对国际消费风险分担的影响
IF 1.2 4区 经济学
International Finance Pub Date : 2022-07-28 DOI: 10.1111/infi.12418
Malin Gardberg
{"title":"Financial reforms and low-income households' impact on international consumption risk sharing","authors":"Malin Gardberg","doi":"10.1111/infi.12418","DOIUrl":"10.1111/infi.12418","url":null,"abstract":"<p>Complete financial markets allow countries to share their consumption risks internationally, thereby creating welfare gains through lower volatility of aggregate consumption. Using a panel of 116 countries between 1970 and 2019, I show that a higher share of low-income households reduces consumption risk sharing, especially so in less-developed countries. Moreover, I find that a broad range of financial market reforms and financial integration have a positive impact on international consumption risk sharing in poorer developing countries, while in emerging market countries, financial market development, financial reforms, and capital account openness has an impact. In advanced economies, financial (stock and bond) market development as well as financial integration improves international risk sharing. A lack of financial reforms, a lower degree of financial integration and a high share of low-income households thus contribute to the degree of risk sharing being lower in developing countries than in advanced economies.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"25 3","pages":"375-395"},"PeriodicalIF":1.2,"publicationDate":"2022-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48488102","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
Spillover effects in Chinese carbon, energy and financial markets 中国碳、能源和金融市场的溢出效应
IF 1.2 4区 经济学
International Finance Pub Date : 2022-07-04 DOI: 10.1111/infi.12417
Guangxi Cao, Fei Xie, Meijun Ling
{"title":"Spillover effects in Chinese carbon, energy and financial markets","authors":"Guangxi Cao,&nbsp;Fei Xie,&nbsp;Meijun Ling","doi":"10.1111/infi.12417","DOIUrl":"10.1111/infi.12417","url":null,"abstract":"<p>As China's carbon market continues to develop, its close connection with the financial and energy markets is becoming increasingly apparent. A systematic study of the spillover effects between markets is important, as it can help prevent excessive fluctuations in carbon prices. With this in mind, this study proposes a time-varying parameter vector autoregression with Lanne–Nyberg decomposition extended joint connectedness approach to analyze quantitatively the spillover effects in the “carbon–energy–financial” system. Empirical results show that a bidirectional spillover effect exists among markets. Not only does the carbon market have the most pronounced return (volatility) linkages with the natural gas (clean energy) market, but the information connected with the energy markets is also more closely linked than with the financial markets. We also find that market fluctuations, caused by the China–US trade conflict and the COVID-19 pandemic, have increased spillovers in the system.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"25 3","pages":"416-434"},"PeriodicalIF":1.2,"publicationDate":"2022-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41850520","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: 2
The way digitalization is impacting international financial markets: Stock price synchronicity 数字化影响国际金融市场的方式：股价同步性
IF 1.2 4区 经济学
International Finance Pub Date : 2022-06-26 DOI: 10.1111/infi.12416
Chen Chen, M. Mahdi Moeini Gharagozloo, Layla Darougar, Lei Shi
{"title":"The way digitalization is impacting international financial markets: Stock price synchronicity","authors":"Chen Chen,&nbsp;M. Mahdi Moeini Gharagozloo,&nbsp;Layla Darougar,&nbsp;Lei Shi","doi":"10.1111/infi.12416","DOIUrl":"10.1111/infi.12416","url":null,"abstract":"<p>This paper investigates whether and how the development level of a country's digital economy affects stock price synchronicity. The results indicate that countries with high levels of digital economy development exhibit low stock price synchronicity. Additionally, by decomposing stock price synchronicity into systematic and firm-specific stock return variations, we find that systematic (firm-specific) variations of stock returns decrease (increase) with the level of a country's digitalization. These findings shed light on the future trend of stock price synchronicity in financial markets around the world and support the information-based interpretation of stock price synchronicity.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"25 3","pages":"396-415"},"PeriodicalIF":1.2,"publicationDate":"2022-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/infi.12416","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44168477","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: 3
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