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Financial connectivity in cross-border lending and crises: Role of financial and legislative integration 跨境贷款和危机中的金融连通性：金融和立法一体化的作用
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2025-03-29 DOI: 10.1016/j.intfin.2025.102137
Müge Demir , Zeynep Önder
{"title":"Financial connectivity in cross-border lending and crises: Role of financial and legislative integration","authors":"Müge Demir ,&nbsp;Zeynep Önder","doi":"10.1016/j.intfin.2025.102137","DOIUrl":"10.1016/j.intfin.2025.102137","url":null,"abstract":"<div><div>This study investigates whether financial and legislative integration affects the relationship between financial stability and connectivity in the bank-to-bank and bank-to-non-bank cross-border lending markets of 25 European countries by using network analysis and the locational banking statistics of the Bank for International Settlements. We test whether connecting through a single market or a single currency affects the interplay between financial stability and connectivity across the members of the European Union. The results suggest that as the level of financial connectivity increases, using the single currency, the euro, helps to improve the resilience of the European Union in response to the crisis in both bank-to-bank and bank-to-non-bank lending markets but legislative-regulatory integration does not have any significant effect. The positive effect of the euro on financial stability is observed not only for systemic crises but also for residual events.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"101 ","pages":"Article 102137"},"PeriodicalIF":5.4,"publicationDate":"2025-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143724969","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Can bilateral RMB swap reduce monetary policy spillovers from the United States to China? 双边人民币互换能否减少美国货币政策对中国的溢出效应？
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2025-03-21 DOI: 10.1016/j.intfin.2025.102157
Mi Zhang , Ahmet Sensoy , Duc Khuong Nguyen , Feiyang Cheng
{"title":"Can bilateral RMB swap reduce monetary policy spillovers from the United States to China?","authors":"Mi Zhang ,&nbsp;Ahmet Sensoy ,&nbsp;Duc Khuong Nguyen ,&nbsp;Feiyang Cheng","doi":"10.1016/j.intfin.2025.102157","DOIUrl":"10.1016/j.intfin.2025.102157","url":null,"abstract":"<div><div>This study analyzes the impact of bilateral RMB swap agreements on the transmission of US monetary policy to China, while focusing on the underlying mechanisms and potential heterogeneous effects. Our findings demonstrate that these agreements significantly attenuate US monetary policy spillovers to China. Mechanistically, we show that bilateral swaps promote Chinese exports to trading partner countries, thereby mitigating the negative consequences of US monetary policy. Notably, agreements with emerging economies exhibit a stronger mitigating effect than those with advanced economies. These results offer policymakers valuable insights for managing international monetary policy spillovers.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"101 ","pages":"Article 102157"},"PeriodicalIF":5.4,"publicationDate":"2025-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143686882","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Predicting the conditional distribution of US stock market systemic Stress: The role of climate risks 预测美国股市系统性压力的条件分布：气候风险的作用
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2025-03-21 DOI: 10.1016/j.intfin.2025.102156
Massimiliano Caporin , Petre Caraiani , Oguzhan Cepni , Rangan Gupta
{"title":"Predicting the conditional distribution of US stock market systemic Stress: The role of climate risks","authors":"Massimiliano Caporin ,&nbsp;Petre Caraiani ,&nbsp;Oguzhan Cepni ,&nbsp;Rangan Gupta","doi":"10.1016/j.intfin.2025.102156","DOIUrl":"10.1016/j.intfin.2025.102156","url":null,"abstract":"<div><div>This paper explores how climate risks impact the overall systemic stress levels in the United States (US). We initially apply the TrAffic Light System for Systemic Stress (<em>TALIS<sup>3</sup></em>) approach that classifies the stock markets across all 50 states based on their stress levels, to create an aggregate stress measure called <em>ATALIS<sup>3</sup></em>. Then, we utilize a nonparametric causality-in-quantiles approach to thoroughly assess the predictive power of climate risks across the entire conditional distribution of <em>ATALIS<sup>3</sup></em>, accounting for any data nonlinearity and structural changes. Our analysis covers daily data from July 1996 to March 2023, reveals that various climate risk indicators can predict the entire conditional distribution of <em>ATALIS<sup>3</sup></em>, particularly around its median. The full-sample result also carries over time, when the nonparametric causality-in-quantiles test is conducted based on a rolling-window. Our findings showing that climate risks are positively associated with <em>ATALIS<sup>3</sup></em> over its entire conditional distribution, provide crucial insights for investors and policymakers regarding the economic impact of environmental changes, especially since we confirm that the results continue to be robust in an international-setting involving 11 important stock markets of the European Union.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"101 ","pages":"Article 102156"},"PeriodicalIF":5.4,"publicationDate":"2025-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143686881","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Securing passive liquidity: The impact of Europe’s first asymmetric speed bump on market liquidity 确保被动流动性：欧洲首次非对称减速带对市场流动性的影响
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2025-03-19 DOI: 10.1016/j.intfin.2025.102145
Caroline Le Moign
{"title":"Securing passive liquidity: The impact of Europe’s first asymmetric speed bump on market liquidity","authors":"Caroline Le Moign","doi":"10.1016/j.intfin.2025.102145","DOIUrl":"10.1016/j.intfin.2025.102145","url":null,"abstract":"<div><div>This study evaluates the impact of Europe’s first asymmetric speed bump, an order delay introduced by Eurex in 2019 for French equity options, as an innovative response to high-frequency trading externalities. Using a matched transaction-level database and a difference-in-difference strategy, we analyze liquidity changes on Eurex and its competitor Euronext. Results show significant improvements in Eurex liquidity, with decreased spreads and increased market depth. Notably, positive spillover effects were observed on Euronext for cross-listed options, with decreased spreads and an increase in aggressive HFT presence. These findings support the effectiveness of asymmetric speed bumps in mitigating latency arbitrage and enhancing market liquidity across competing platforms.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"101 ","pages":"Article 102145"},"PeriodicalIF":5.4,"publicationDate":"2025-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143686346","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
News and intraday retail investor order flow in foreign exchange markets 外汇市场的新闻和日内散户投资者订单流
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2025-03-19 DOI: 10.1016/j.intfin.2025.102146
Theofilia Kaourma , Andreas Milidonis , George Nishiotis , Marios Panayides
{"title":"News and intraday retail investor order flow in foreign exchange markets","authors":"Theofilia Kaourma ,&nbsp;Andreas Milidonis ,&nbsp;George Nishiotis ,&nbsp;Marios Panayides","doi":"10.1016/j.intfin.2025.102146","DOIUrl":"10.1016/j.intfin.2025.102146","url":null,"abstract":"<div><div>This paper examines the trading behavior of individual investors using a proprietary intraday dataset of a large pool of retail investor aggregate (minute by minute) long and short positions in EUR/USD. Standard event study analysis shows no significant adjustment in trading ahead of scheduled macro news announcements and trading contrary to the announcement surprise after the event. A panel regression analysis shows that such contrarian trading behavior is mainly driven by lagged returns rather than fundamental macro news. Further, intraday time series analysis shows that the lagged overall news sentiment also significantly affects retail investor trading. Finally, to verify the uninformed nature of retail trading, we show that simple cross-over trading strategies that exploit retail investors’ order flow could be profitable. Overall, our results suggest that retail investors in currency markets are influenced by news sentiment and past returns, but do not appear able to extract fundamental information from public news. Our findings support the differential abilities of market participants to interpret public information as reflected through the intraday trading activity of retail currency traders.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"101 ","pages":"Article 102146"},"PeriodicalIF":5.4,"publicationDate":"2025-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143686345","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Sovereign credit rating provision and financial development 主权信用评级提供与金融发展
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2025-03-18 DOI: 10.1016/j.intfin.2025.102153
Oskar Kowalewski , Prabesh Luitel , Rosanne Vanpée
{"title":"Sovereign credit rating provision and financial development","authors":"Oskar Kowalewski ,&nbsp;Prabesh Luitel ,&nbsp;Rosanne Vanpée","doi":"10.1016/j.intfin.2025.102153","DOIUrl":"10.1016/j.intfin.2025.102153","url":null,"abstract":"<div><div>This paper examines the impact of obtaining a sovereign credit rating for the first time on financial development in 50 emerging countries. Controlling for endogeneity and selection bias, we show that receiving an initial sovereign credit rating significantly transforms domestic financial systems. Rated countries experience a reallocation of bank assets, reduced reliance on domestic bank financing, and increased access to international bond markets, enabling expanded private-sector credit. Sovereign ratings also stimulate local currency bond market development and enhance foreign currency bond issuance. Additionally, they attract portfolio equity inflows and foster the internationalization of domestic banks, though their effects on direct debt flows and FDI are less pronounced. Overall, our findings highlight the critical role of sovereign credit ratings in advancing financial development and integration in emerging markets.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"101 ","pages":"Article 102153"},"PeriodicalIF":5.4,"publicationDate":"2025-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143641922","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Could an economy get stuck on a rational pessimism sunspot path? The case of Japan 经济会陷入理性悲观的太阳黑子路径吗？日本的例子
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2025-03-17 DOI: 10.1016/j.intfin.2025.102142
Vo Phuong Mai Le , David Meenagh , Patrick Minford
{"title":"Could an economy get stuck on a rational pessimism sunspot path? The case of Japan","authors":"Vo Phuong Mai Le ,&nbsp;David Meenagh ,&nbsp;Patrick Minford","doi":"10.1016/j.intfin.2025.102142","DOIUrl":"10.1016/j.intfin.2025.102142","url":null,"abstract":"<div><div>Developed economies have experienced slower growth since the 2008 financial crisis, creating fears of “secular stagnation.” Rational expectations models have forward-looking sunspot solutions, which could cause this; here we investigate the case of Japan. We show that a New Keynesian model with a weak equilibrium growth path driven by pessimism sunspot belief shocks matches Japanese economic behaviour. Another possibility is a conventional model where productivity growth has simply slowed down for unknown reasons. Nevertheless, a welfare-optimising approach implies fiscal policy should commit to eliminating the potential sunspot while being prepared to revert to normal policy if inflation rises.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"101 ","pages":"Article 102142"},"PeriodicalIF":5.4,"publicationDate":"2025-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143637202","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Does inflation targeting track record matter for asset prices? Evidence from stock, bond, and foreign exchange markets 通胀目标制对资产价格有影响吗？证据来自股票、债券和外汇市场
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2025-03-11 DOI: 10.1016/j.intfin.2025.102141
Zhongxia Zhang
{"title":"Does inflation targeting track record matter for asset prices? Evidence from stock, bond, and foreign exchange markets","authors":"Zhongxia Zhang","doi":"10.1016/j.intfin.2025.102141","DOIUrl":"10.1016/j.intfin.2025.102141","url":null,"abstract":"<div><div>Many central banks have adopted inflation targeting as their monetary policy frameworks since 1990. Yet, monetary authorities’ track records of managing inflation with respect to the stated policy objectives have varied significantly. This paper examines how inflation targeting track records affect asset prices within three common asset classes: stocks, bonds, and exchange rates. The analysis reveals heterogeneous and enduring effects of track records on financial markets. A stronger track record in inflation targeting leads to a more negative reaction from stock markets to inflationary pressures, with effects persisting for about four quarters. Additionally, the sensitivity of rising long-term sovereign bond yields to inflation diminishes for about three quarters as the track record improves. Moreover, credible inflation targeters are more likely to allow greater flexibility in exchange rates to deal with inflationary shocks. Consequently, credible inflation targeting track records produce desirable policy outcomes by reinforcing monetary policy transmission and saving fiscal space.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"101 ","pages":"Article 102141"},"PeriodicalIF":5.4,"publicationDate":"2025-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143592075","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
The effects of the counter-cyclical factor on renminbi co-movements 逆周期因素对人民币联动的影响
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2025-03-11 DOI: 10.1016/j.intfin.2025.102144
Yike Sun
{"title":"The effects of the counter-cyclical factor on renminbi co-movements","authors":"Yike Sun","doi":"10.1016/j.intfin.2025.102144","DOIUrl":"10.1016/j.intfin.2025.102144","url":null,"abstract":"<div><div>The counter-cyclical factor is a foreign exchange policy instrument employed by the Chinese monetary authority to adjust the central parity rate of the renminbi (RMB). This study examines how this policy tool influences the RMB’s co-movements with other currencies. A novel measure of the counter-cyclical factor’s intensity is derived from a rolling estimation of the RMB two-pillar model, enabling a more precise evaluation of the factor’s role. This measure is then incorporated into a modified Frankel–Wei model to assess the factor’s influence. Empirical results indicate that, although the counter-cyclical factor is applied more intensively during the second implementation phase, it reduces RMB co-movements more significantly during the first phase. Further analysis suggests that the initial implementation induces notable RMB appreciation, which in turn weakens the RMB’s correlations with other currencies.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"101 ","pages":"Article 102144"},"PeriodicalIF":5.4,"publicationDate":"2025-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143592166","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Beyond education: International student inflow and outbound cross-border mergers and acquisitions 超越教育：国际学生流入和对外跨境并购
IF 5.4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2025-03-08 DOI: 10.1016/j.intfin.2025.102143
Hao Wang , Shuting Tan , Yonghui Han
{"title":"Beyond education: International student inflow and outbound cross-border mergers and acquisitions","authors":"Hao Wang ,&nbsp;Shuting Tan ,&nbsp;Yonghui Han","doi":"10.1016/j.intfin.2025.102143","DOIUrl":"10.1016/j.intfin.2025.102143","url":null,"abstract":"<div><div>This paper investigates the impact of international education exchange on cross-border mergers and acquisitions (CBMA). Using a comprehensive panel dataset covering 141 countries from 2006 to 2018, we find that international students studying in China have a positive impact on China’s outbound CBMA. Such an effect operates through diplomatic relations, economic cooperation and cultural convergence as the underlying mechanisms. The effect of international education exchange is more pronounced for degree-seeking students than for non-degree-seeking students. Moreover, non-degree-seeking scholarship recipients exert a stronger influence on CBMA than degree-seeking scholarship recipients.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"101 ","pages":"Article 102143"},"PeriodicalIF":5.4,"publicationDate":"2025-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143576746","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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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