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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
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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
Inflation convergence over time: Sector-level evidence within Europe 通货膨胀随时间趋同：欧洲行业层面的证据
IF 1.2 4区 经济学
International Finance Pub Date : 2022-03-08 DOI: 10.1111/infi.12407
Hakan Yilmazkuday
{"title":"Inflation convergence over time: Sector-level evidence within Europe","authors":"Hakan Yilmazkuday","doi":"10.1111/infi.12407","DOIUrl":"10.1111/infi.12407","url":null,"abstract":"<p>This paper investigates inflation convergence among European countries by using sector-level data for the period between 1997:M1 and 2019:M12. Panel unit root tests at the country-sector level are conducted by using moving windows, which are useful for analyzing changes in inflation convergence and the corresponding speed of convergence over time. The results suggest that there is evidence for inflation convergence for the majority of sectors within Europe, although certain countries have experienced disruptions, especially during the 2008 financial crisis. Regarding the speed of inflation convergence, the average half-life across European countries decreased from about 15 months to about 8 months during the sample period. Important sector-level implications follow for European Union (EU) candidate countries and non-euro EU member countries in regard to the Maastricht Treaty.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"25 2","pages":"183-217"},"PeriodicalIF":1.2,"publicationDate":"2022-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47591641","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: 1
Gauging the effect of investor overconfidence on trading volume from the perspective of the relationship between lagged stock returns and current trading volume 从滞后股票收益率与当前交易量的关系看投资者过度自信对交易量的影响
IF 1.2 4区 经济学
International Finance Pub Date : 2022-03-01 DOI: 10.1111/infi.12405
Jiayu Huang, Yifan Wang, Yaojun Fan, Hexuan Li
{"title":"Gauging the effect of investor overconfidence on trading volume from the perspective of the relationship between lagged stock returns and current trading volume","authors":"Jiayu Huang,&nbsp;Yifan Wang,&nbsp;Yaojun Fan,&nbsp;Hexuan Li","doi":"10.1111/infi.12405","DOIUrl":"10.1111/infi.12405","url":null,"abstract":"<p>Is investor overconfidence a major source of stock-market trading volume? This study refers to the work of Grossman and Odean, introduces the assumption of investor overconfidence and empirically examines the influence of investor overconfidence on market trading volume in China's A-share market through a vector autoregressive model estimation and Granger causality test. We find that overconfidence and self-attribution exist in China's A-share market. When the market is on an upswing, investors attribute large returns to the accuracy of their private information and the quality of their investment abilities; thus they trade more frequently, causing trading volume to increase more quickly. Conversely, when the market is on a downswing, investors attribute their investment losses to uncontrollable external factors; thus they become unwilling to trade, causing trading volume to shrink rapidly.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"25 1","pages":"103-123"},"PeriodicalIF":1.2,"publicationDate":"2022-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48064641","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: 4
Financial structure convergence 金融结构趋同
IF 1.2 4区 经济学
International Finance Pub Date : 2022-02-23 DOI: 10.1111/infi.12403
Can Sever
{"title":"Financial structure convergence","authors":"Can Sever","doi":"10.1111/infi.12403","DOIUrl":"10.1111/infi.12403","url":null,"abstract":"<p>Financial structure, the degree to which a country's financial system is market- or bank-based, matters for economic outcomes. Hence, it is important to understand the drivers of financial structure. This paper sheds light on this issue and explores a specific mechanism in the evolution of financial structure, namely convergence. Financial structure is shown to converge across countries over time. This pattern remains similar even after controlling for macroeconomic and institutional factors, or for banking sector characteristics. It is not specific to a region, and appears to be similarly strong around the globe. However, financial structure convergence is somewhat weaker in the emerging market and developing economies relative to the advanced economies. Given the role of financial structure in economic performance, these findings have implications for macroeconomic and financial policies. Moreover, bridging cross-country gaps in financial structure has potential consequences for income differences across countries.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"25 1","pages":"65-83"},"PeriodicalIF":1.2,"publicationDate":"2022-02-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44142053","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: 1
Do credit rating agencies reward fiscal prudence? 信用评级机构是否奖励财政审慎？
IF 1.2 4区 经济学
International Finance Pub Date : 2022-02-20 DOI: 10.1111/infi.12404
João T. Jalles
{"title":"Do credit rating agencies reward fiscal prudence?","authors":"João T. Jalles","doi":"10.1111/infi.12404","DOIUrl":"10.1111/infi.12404","url":null,"abstract":"<p>Governments are responsible for economic policy implementation, and their actions affect financial and capital market outcomes. Specifically, the way fiscal policy is conducted matters when credit agencies have to decide on how to rate a sovereign. This paper empirically assesses the effect of a new time-varying measure of fiscal counter-cyclicality on the sovereign credit ratings of the main agencies: Fitch, Standard &amp; Poor's, and Moody's. I focus on a heterogeneous sample of 63 advanced and developing economies between 1980 and 2015. First, we find that the degree of fiscal counter-cyclicality is generally positive and has been increasing over time, being larger in advanced economies. Second, the more counter-cyclical a fiscal policy is, the better the assessment a rating agency gives to that country, particularly if it is an advanced one. This suggests that fiscal prudence and stabilization concerns are rewarded. Our results are robust to several sensitivity and robustness checks.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"25 1","pages":"2-22"},"PeriodicalIF":1.2,"publicationDate":"2022-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49622376","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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