Giorgio Canarella, Luis A. Gil-Alana, Rangan Gupta, Stephen M. Miller
{"title":"The behaviour of real interest rates: New evidence from a 'suprasecular' perspective","authors":"Giorgio Canarella, Luis A. Gil-Alana, Rangan Gupta, Stephen M. Miller","doi":"10.1111/infi.12402","DOIUrl":"https://doi.org/10.1111/infi.12402","url":null,"abstract":"<p>We examine the temporal dynamics of the historical series of real interest rates for France, Germany, Italy, Japan, the Netherlands, Spain pre-1730 and post-1800, the United Kingdom, and the United States stretching back to the 14th century. We use the Robinson approach to determine the fractional order of integration and examine both linear deterministic trends and multiple smooth breaks. In the latter case we make use of the Chebyshev polynomials in time. With the exception of two countries (Italy and France), where the linear model appears more appropriate, our results reveal evidence that real interest rates are driven by the interaction between nonlinearities in the deterministic trends and fractional integration processes. They suggest that real interest rates are mean-reverting but not as persistent as suggested in the literature. In particular, the nonlinear model with autocorrelated errors provides no evidence of long memory, which questions most of the literature on real interest rates. The implications of these results are relevant to evaluate the effectiveness of policy interventions and the theoretical implications of different macroeconomic models as shocks affecting real interest rates will dissipate by themselves.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"25 1","pages":"46-64"},"PeriodicalIF":1.2,"publicationDate":"2022-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"109171084","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}
{"title":"Detecting persistent one-sided intervention in foreign exchange markets: A simple test","authors":"Shiu-Sheng Chen, Jen-Kuan Wang","doi":"10.1111/infi.12401","DOIUrl":"10.1111/infi.12401","url":null,"abstract":"<p>This paper examines currency manipulation policies in foreign exchange markets. In particular, we focus on whether a country has implemented one-sided interventions that mostly lean against the appreciation wind in foreign exchange markets. Using quarterly data from 1998:Q1 to 2017:Q2 for 10 emerging countries, we find that China, Singapore, and Taiwan engaged in one-sided interventions. A further rolling regression analysis shows some moderate evidence that Taiwan is the only country conducting one-sided interventions on a continuing basis.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"25 1","pages":"23-45"},"PeriodicalIF":1.2,"publicationDate":"2022-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48839700","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}
{"title":"The nonlinear causal relationship between short‐ and long‐term interest rates: An empirical assessment of the United States, the United Kingdom, and Japan","authors":"Huiqing Li, Yang Su","doi":"10.1111/infi.12400","DOIUrl":"https://doi.org/10.1111/infi.12400","url":null,"abstract":"","PeriodicalId":46336,"journal":{"name":"International Finance","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2021-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44984857","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}
{"title":"Information asymmetry and capital structure: Evidence from the Chinese stock market","authors":"Kung-Cheng Ho, Yujing Gong","doi":"10.1111/infi.12399","DOIUrl":"10.1111/infi.12399","url":null,"abstract":"<p>Using a unique data set of information ratings (IRs) for firms listed on the Shenzhen Stock Exchange from 2001 to 2018, we examine the impact of information asymmetry on capital structure decisions in China. We determine that firms with higher IRs have fewer debt issuances and lower leverage. This negative relationship is consistent for firms listed on the Main Board, Small and Medium-sized Enterprise (SME) board and Growth Enterprise Market (GEM) board. We further decompose IR into accounting-associated and nonaccounting-associated components and find that both are negatively correlated with leverage. Additional analyses reveal that for firms listed on the SME and GEM boards, the nonaccounting-associated component exhibits a stronger relationship with leverage than does the accounting-associated component. Our results suggest that information asymmetry is instrumental in capital-structure decision-making.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"25 1","pages":"84-102"},"PeriodicalIF":1.2,"publicationDate":"2021-11-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42913768","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}
{"title":"The risk‐taking channel of currency appreciation: A structural VAR investigation of Asian emerging market economies","authors":"Hyeon‐seung Huh, David Kim","doi":"10.1111/infi.12398","DOIUrl":"https://doi.org/10.1111/infi.12398","url":null,"abstract":"","PeriodicalId":46336,"journal":{"name":"International Finance","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2021-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/infi.12398","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41536794","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}
{"title":"Contagion of fear: Is the impact of COVID-19 on sovereign risk really indiscriminate?","authors":"Serhan Cevik, Belma Öztürkkal","doi":"10.1111/infi.12397","DOIUrl":"10.1111/infi.12397","url":null,"abstract":"<p>This paper investigates the impact of infectious diseases on the evolution of sovereign credit default swap (CDS) spreads for a panel of 77 countries. Using annual data over 2004–2020, we find that infectious-disease outbreaks have no discernible effect on CDS spreads, after controlling for macroeconomic and institutional factors. However, a granular analysis using high-frequency data indicates that the COVID-19 pandemic has had a significant impact on CDS spreads. This adverse effect appears to be more pronounced in advanced economies, which may reflect the greater severity of the pandemic and depth of the economic crisis in these countries, at least during the initial stage of the outbreak, as well as underreporting in developing countries due to differences in testing availability and institutional capacity. While more stringent containment measures help lower sovereign CDS spreads, the fiscal burden of these efforts could undermine credit worthiness and eventually push the cost of borrowing higher.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"24 2","pages":"134-154"},"PeriodicalIF":1.2,"publicationDate":"2021-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/infi.12397","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41509806","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}
{"title":"Expectations, unemployment and inflation: An empirical investigation","authors":"V. Galstyan","doi":"10.1111/INFI.12396","DOIUrl":"https://doi.org/10.1111/INFI.12396","url":null,"abstract":"This paper analyses the empirical relation between inflation and unemployment over the past 25 years by using a panel state-space model. After controlling for the global factor, I find that the domestic rate of unemployment explains 11 percent in the variation of headline inflation, suggesting a significant power that domestic slack has in influencing medium-term core inflation. The global factor, in turn, is well explained by global oil and food prices as well as global trade integration. The contribution of the global slack in explaining the global component of inflation is negligible. Additionally, using a set of threshold regressions, I identify break points that split inflation dynamics into various regimes. In particular, I find a higher sensitivity of inflation to unemployment in high-inflation and/or low unemployment regimes. This finding is consistent with less frequent price adjustments of firms in low-inflation and high-unemployment environments.","PeriodicalId":46336,"journal":{"name":"International Finance","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2021-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/INFI.12396","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45218093","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}
{"title":"Reserve accumulation, inflation, and moral hazard: Evidence from a natural experiment","authors":"Livia Chițu","doi":"10.1111/infi.12391","DOIUrl":"10.1111/infi.12391","url":null,"abstract":"<p>This study tests whether international reserve accumulation is inflationary because of moral hazard and incentive effects. We use the 2009 allocation of Special Drawing Rights (SDR) as a natural experiment to trace the effect of an exogenous nonmonetary shock on International Monetary Fund members' reserve holdings. In countries that received large SDR allocations, inflation was about half a percentage point higher in the 2 years following the allocation, controlling for other standard determinants. This effect is commensurate with the size of these countries' discretionary fiscal deficits. This result is consistent with the hypothesis that reserve accumulation may be inflationary because of incentive effects.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"24 2","pages":"219-235"},"PeriodicalIF":1.2,"publicationDate":"2021-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/infi.12391","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122219724","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}