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The financial US uncertainty spillover multiplier: Evidence from a GVAR model 美国金融不确定性溢出乘数:来自GVAR模型的证据
IF 1.2 4区 经济学
International Finance Pub Date : 2022-06-02 DOI: 10.1111/infi.12414
Afees A. Salisu, Rangan Gupta, Riza Demirer
{"title":"The financial US uncertainty spillover multiplier: Evidence from a GVAR model","authors":"Afees A. Salisu,&nbsp;Rangan Gupta,&nbsp;Riza Demirer","doi":"10.1111/infi.12414","DOIUrl":"10.1111/infi.12414","url":null,"abstract":"<p>This study examines the role of the global financial cycle (GFCy) in the propagation of uncertainty shocks from the United States to other national economies using a large-scale global vector autoregressive model of 33 countries. Although the dominant role of US uncertainty over global economic dynamics is established, the findings highlight the moderating role of the GFCy in the spillover effects of uncertainty shocks. The US uncertainty shocks, compared with own-domestic uncertainty shocks, are found to have a more prominent negative impact on output during stressed market conditions, implied by low values of the GFCy, while the impact turns largely insignificant during high GFCy states. The findings provide evidence in favour of a US uncertainty spillover multiplier, suggesting that the design of monetary policy as a response to US uncertainty needs to be contingent on the state of the integrated global financial markets, captured by the GFCy.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"25 3","pages":"313-340"},"PeriodicalIF":1.2,"publicationDate":"2022-06-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47162987","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 impact of Sino–US trade friction on the performance of China's textile and apparel industry 中美贸易摩擦对中国纺织服装行业业绩的影响
IF 1.2 4区 经济学
International Finance Pub Date : 2022-06-01 DOI: 10.1111/infi.12413
Maosheng Ye, Jim H. Shen, Eric Golson, Chien-Chiang Lee, Yuting Li
{"title":"The impact of Sino–US trade friction on the performance of China's textile and apparel industry","authors":"Maosheng Ye,&nbsp;Jim H. Shen,&nbsp;Eric Golson,&nbsp;Chien-Chiang Lee,&nbsp;Yuting Li","doi":"10.1111/infi.12413","DOIUrl":"10.1111/infi.12413","url":null,"abstract":"<p>This study applies the event-analysis method and takes three Chinese listed textile and apparel companies that are representative of the upstream, midstream, and downstream of the textile value chain as research objects. By tracking the Baidu index trend of the keyword “trade war” to identify the ‘time window’ for each iconic event, we apply the autoregressive distributed lag approach to examine the impact of important landmark events on the performance of these companies during the period of Sino–US trade friction in 2018. We find that the impact diminished over time. Additionally, compared with upstream companies, midstream and downstream companies were hurt more. However, the risks were generally controllable.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"25 2","pages":"151-166"},"PeriodicalIF":1.2,"publicationDate":"2022-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41281031","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: 29
Corporate investment and the exchange rate: The financial channel 企业投资与汇率:金融渠道
IF 1.2 4区 经济学
International Finance Pub Date : 2022-06-01 DOI: 10.1111/infi.12415
Ryan Banerjee, Boris Hofmann, Aaron Mehrotra
{"title":"Corporate investment and the exchange rate: The financial channel","authors":"Ryan Banerjee,&nbsp;Boris Hofmann,&nbsp;Aaron Mehrotra","doi":"10.1111/infi.12415","DOIUrl":"https://doi.org/10.1111/infi.12415","url":null,"abstract":"<p>Currency depreciation dampens corporate investment through a financial channel. Using firm-level data for 16 major economies, we find that depreciation reduces investment by interacting with firm leverage. The finding is consistent with predictions from a stylized model of credit risk in which the exchange rate affects credit supply and investment when firms borrow in foreign currency, or in local currency from foreign lenders. Empirically, the channel is significantly more pronounced in emerging market economies (EMEs), reflecting greater dependence on foreign funding and less developed financial systems. Our findings suggest that the depreciation of EME currencies since 2011 probably contributed in a significant way to the investment slowdown in these economies.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"25 3","pages":"296-312"},"PeriodicalIF":1.2,"publicationDate":"2022-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109160056","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
Global financial crisis versus COVID-19: Evidence from sentiment analysis 全球金融危机与新冠肺炎-19：来自情绪分析的证据
IF 1.2 4区 经济学
International Finance Pub Date : 2022-04-19 DOI: 10.1111/infi.12412
Aktham Maghyereh, Hussein Abdoh
{"title":"Global financial crisis versus COVID-19: Evidence from sentiment analysis","authors":"Aktham Maghyereh,&nbsp;Hussein Abdoh","doi":"10.1111/infi.12412","DOIUrl":"10.1111/infi.12412","url":null,"abstract":"<p>This study examines the relationship between sentiment and the realized volatility of returns for different asset classes (stocks, bonds, foreign currency, and commodities). Specifically, we aim to answer two key questions: first, how does sentiment relate to volatility during crises (mainly during the global financial crisis [GFC] and the COVID-19 pandemic)? Second, can sentiment be used to forecast volatility during crises? Using two nonparametric methods, mutual information and transfer entropy, we find that information sharing and transfer increased during the pandemic. We also find that sentiment information transfer to the volatility of assets differed between the GFC and the COVID-19 crisis. Since sentiment can reduce uncertainty around the realized variance of assets, we investigate the forecasting ability of sentiment during crises. We find that sentiment has a greater predictive power on realized volatility during crises, with a differential impact on volatility depending on the asset class. Our findings carry important implications for hedging, risk management and building models to predict variance during crises.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"25 2","pages":"218-248"},"PeriodicalIF":1.2,"publicationDate":"2022-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/infi.12412","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46924658","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 25/1 内容:国际金融25/1
IF 1.2 4区 经济学
International Finance Pub Date : 2022-04-11 DOI: 10.1111/infi.12393
{"title":"Content: International Finance 25/1","authors":"","doi":"10.1111/infi.12393","DOIUrl":"https://doi.org/10.1111/infi.12393","url":null,"abstract":"","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"25 1","pages":"1"},"PeriodicalIF":1.2,"publicationDate":"2022-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/infi.12393","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109167200","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
Doubly heterogeneous monetary spillovers 双重异质货币溢出效应
IF 1.2 4区 经济学
International Finance Pub Date : 2022-03-30 DOI: 10.1111/infi.12410
Nihar Shah
{"title":"Doubly heterogeneous monetary spillovers","authors":"Nihar Shah","doi":"10.1111/infi.12410","DOIUrl":"10.1111/infi.12410","url":null,"abstract":"<p>Monetary spillovers are heterogeneous in two ways: how central banks generate them and how countries receive them. First, the Fed is mostly unique in its ability to affect other countries' financial markets, among ten developed central banks. This is noteworthy given the lack of data on other central banks' spillovers. This paper makes public a novel data set of these ten central banks' monetary shocks to support future research. Second, the Fed affects recipient countries in different ways, with the bonds and currencies of countries with high-interest rates reacting differently than those of low-rate countries. This can help shed light on theories around the Fed's spillovers, and this paper demonstrates how the exact pattern is inconsistent with models in which developed central banks react to the Fed.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"25 2","pages":"126-150"},"PeriodicalIF":1.2,"publicationDate":"2022-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47748811","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
Does the monetary policy regime matter in the effect of credit on growth? 在信贷对经济增长的影响中，货币政策机制是否重要?
IF 1.2 4区 经济学
International Finance Pub Date : 2022-03-25 DOI: 10.1111/infi.12411
Amaia Altuzarra, Ricardo Bustillo, Carlos Rodríguez
{"title":"Does the monetary policy regime matter in the effect of credit on growth?","authors":"Amaia Altuzarra,&nbsp;Ricardo Bustillo,&nbsp;Carlos Rodríguez","doi":"10.1111/infi.12411","DOIUrl":"10.1111/infi.12411","url":null,"abstract":"<p>This study sheds light on the finance–growth link by (i) carefully taking into account the lessons learned from the empirical literature, (ii) extending the period of analysis to include the years following the global financial crisis (GFC), (iii) adding the monetary-policy regime as a concomitant factor in this relation, and (iv) running different specifications and following a robust econometric approach. We find that the positive effect of finance via credit vanishes between the end of the 1990s and the beginning of the 2000s, coinciding with most countries reaching a high level of bank credit and with the GFC. This finding is also observed if an inverted U-shaped specification is used to capture the relation between finance and growth. As for the monetary-policy regime, the results reveal that the inflation-targeting strategy does not exert a positive influence on economic growth.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"25 3","pages":"341-374"},"PeriodicalIF":1.2,"publicationDate":"2022-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/infi.12411","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46495716","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: 1
Foreign-funded credit: Funding the credit cycle? 外资信贷:为信贷周期提供资金?
IF 1.2 4区 经济学
International Finance Pub Date : 2022-03-22 DOI: 10.1111/infi.12406
Patty Duijm
{"title":"Foreign-funded credit: Funding the credit cycle?","authors":"Patty Duijm","doi":"10.1111/infi.12406","DOIUrl":"https://doi.org/10.1111/infi.12406","url":null,"abstract":"<p>This study investigates what drives the credit cycle, focusing on the role of foreign-funded bank credit (FFC). Considering credit cycles in 41 countries over the period 1985–2015, this study finds that credit booms are associated with an increase in the share of FFC in an economy. This especially holds for emerging economies and for credit provided to nonfinancial corporations. The increased credit needs during a boom may cause the substitution of domestically funded credit by FFC, as the growth in FFC is less restricted than domestically funded credit, such as the domestic deposit base.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"25 2","pages":"167-182"},"PeriodicalIF":1.2,"publicationDate":"2022-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109173148","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
Output fluctuations and portfolio flows to emerging economies: The role of monetary uncertainty 产出波动、投资组合资本流向新兴经济体：货币政策不确定性的作用
IF 1.2 4区 经济学
International Finance Pub Date : 2022-03-21 DOI: 10.1111/infi.12409
Nguyen Ba Trung
{"title":"Output fluctuations and portfolio flows to emerging economies: The role of monetary uncertainty","authors":"Nguyen Ba Trung","doi":"10.1111/infi.12409","DOIUrl":"10.1111/infi.12409","url":null,"abstract":"<p>This paper examines the role of monetary-policy uncertainty (MPU) in driving business cycles in emerging economies. We employ a Bayesian vector autoregression model with stochastic volatility as the mean for different emerging economies. We find that MPU works as a crucial driver of business cycles in emerging economies. First, we show that an MPU shock can trigger instability in emerging economies by provoking risk/volatility in both financial and exchange-rate markets. Second, an MPU shock can lead to a decline in both output growth and capital inflows in emerging economies. Our empirical results suggest that the central banks of emerging economies should attempt to improve transparency in their monetary policy-making by increasing the effectiveness of public communication and forward guidance.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"25 3","pages":"285-295"},"PeriodicalIF":1.2,"publicationDate":"2022-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47238266","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
Time-varying impacts of expectations on housing markets across hot and cold phases 在冷热阶段对房地产市场预期的时变影响
IF 1.2 4区 经济学
International Finance Pub Date : 2022-03-20 DOI: 10.1111/infi.12408
MeiChi Huang
{"title":"Time-varying impacts of expectations on housing markets across hot and cold phases","authors":"MeiChi Huang","doi":"10.1111/infi.12408","DOIUrl":"10.1111/infi.12408","url":null,"abstract":"<p>This study investigates time-varying roles of people's expectations in driving the US housing price and quantity dynamics using a Threshold Vector Autoregressive model. The expectation measure, a good-time-to-buy (GTTB) index, works as the threshold indicator to classify pessimism and optimism phases, and represents the model-based measure of uncertainty. There is strong evidence for regime switches in responses to shocks across the two phases. The results show that good and bad shocks play similar roles in housing markets. Tiny responses of GTTB to both large good and bad shocks in the two regimes suggest “too bad to be believed” and “too good to be believed” patterns. The estimation is biased as volatility shocks are neglected in the housing boom and bust.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"25 2","pages":"249-265"},"PeriodicalIF":1.2,"publicationDate":"2022-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47740228","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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