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Revisiting the fiscal theory of sovereign risk from a DSGE viewpoint 从 DSGE 的角度重新审视主权风险的财政理论
IF 4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-01-28 DOI: 10.1016/j.intfin.2024.101953
Eiji Okano , Kazuyuki Inagaki , Masataka Eguchi
{"title":"Revisiting the fiscal theory of sovereign risk from a DSGE viewpoint","authors":"Eiji Okano ,&nbsp;Kazuyuki Inagaki ,&nbsp;Masataka Eguchi","doi":"10.1016/j.intfin.2024.101953","DOIUrl":"https://doi.org/10.1016/j.intfin.2024.101953","url":null,"abstract":"<div><p><span>In this study, we revisit Uribe’s (2006) “fiscal theory of sovereign risk”, which suggests a trade-off between stabilizing inflation and suppressing default. Unlike Uribe (2006), we develop a class of </span>dynamic stochastic general equilibrium models<span> in which the production is endogenous with nominal rigidities but whereby the default mechanism follows Uribe (2006). This marginal change generates the New Keynesian Phillips curve that connects inflation and the output gap. Under the optimal monetary and fiscal (OMF) policy, the nominal interest rate and tax rate are both used as policy instruments. A change in the tax rate stabilizes inflation by stabilizing the output gap. Furthermore, this change in the tax rate stabilizes fiscal surplus. Therefore, a trade-off between stabilizing inflation and suppressing default is mitigated by the OMF policy. Note that the OMF policy is a de facto inflation stabilization policy; thus, the tax rate is viewed as a policy instrument for stabilizing inflation.</span></p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139653662","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
Does green matter for crowdfunding? International evidence 绿色对众筹是否重要？国际证据
IF 4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-01-28 DOI: 10.1016/j.intfin.2024.101950
Xiaobo Tang , Xingyuan Yao , Ruyi Dai , Qian Wang
{"title":"Does green matter for crowdfunding? International evidence","authors":"Xiaobo Tang ,&nbsp;Xingyuan Yao ,&nbsp;Ruyi Dai ,&nbsp;Qian Wang","doi":"10.1016/j.intfin.2024.101950","DOIUrl":"https://doi.org/10.1016/j.intfin.2024.101950","url":null,"abstract":"<div><p>This study investigates how crowdfunding is influenced by “green” factors. The findings reveal that green factors have a significant effect on crowdfunding success. Moreover, the effect of green factors on crowdfunding success has become more pronounced since the emergence of the COVID-19 pandemic. The empirical results further show that there is significant heterogeneity in this effect among developed and developing countries. Finally, we reveal that green factors, in conjunction with metrics such as the number of comments and backers, contribute to crowdfunding success rates. Overall, this study underscores the importance of environmental elements as predictors of crowdfunding success.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139901454","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
The efficiency of the Estr overnight index swap market Estr隔夜指数掉期市场的效率
IF 4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-01-26 DOI: 10.1016/j.intfin.2024.101943
Marco Realdon
{"title":"The efficiency of the Estr overnight index swap market","authors":"Marco Realdon","doi":"10.1016/j.intfin.2024.101943","DOIUrl":"10.1016/j.intfin.2024.101943","url":null,"abstract":"<div><p>This paper studies the profitability of market-neutral delta-hedged strategies trading the mispricing of Euro Short Term Rate Overnight Index Swaps (Estr OIS) signalled by standard affine term structure models. Calibrating these models produces pricing errors that signal mispricing and the deltas to hedge market risk. The paper presents simple-to-compute portfolio weights that maximise the OIS arbitrage portfolio information ratio subject to market-neutral delta-hedge constraints and subject to bid–ask spreads. The empirical evidence shows that only investors who can “split” the bid–ask spread can profitably exploit the pricings errors signalled by these models. Investors who can only ever trade at the bid or at the ask cannot profit. Pricing errors are strongly positively auto-correlated, which hampers the profitability of trades that expect the correction of such errors. These results imply that the Estr OIS market is quite efficient and are robust to a number of models and strategies. Four and five factor models are more profitable than three factor ones. Assuming that some OIS rates are observed without error reduces the profitability of models and strategies.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139638176","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
Digital finance era: Will individual investors become better players? 数字金融时代：个人投资者能否成为更好的参与者？
IF 4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-01-26 DOI: 10.1016/j.intfin.2024.101935
Xiaomeng Lu , Xianjun Zhang , Jiaojiao Guo , Pengpeng Yue
{"title":"Digital finance era: Will individual investors become better players?","authors":"Xiaomeng Lu ,&nbsp;Xianjun Zhang ,&nbsp;Jiaojiao Guo ,&nbsp;Pengpeng Yue","doi":"10.1016/j.intfin.2024.101935","DOIUrl":"10.1016/j.intfin.2024.101935","url":null,"abstract":"<div><p>Exploring the intersection of new technologies and financial services, this study probes the role of digital inclusive finance in enhancing the performance of individual investors. Utilizing a unique dataset, we examine the influence of digital inclusive finance in diverse financial environments, particularly focusing on areas with varying levels of traditional financial development and investor protection. Our panel-data statistical model addresses endogeneity concerns, revealing that digital inclusive finance notably boosts investor performance, primarily through enhanced investment diversification and reduced disposition effect. These improvements are more pronounced in regions with underdeveloped traditional finance or robust investor protection. This study not only contributes to understanding the nexus between digital inclusive finance and investor behavior but also suggests policy implications. We recommend leveraging digital financial strategies to empower investors, particularly in less developed financial regions, to maximize the benefits of digital inclusive finance inclusivity.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139631766","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
Infrastructure financing in Africa 非洲基础设施融资
IF 4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-01-24 DOI: 10.1016/j.intfin.2024.101954
Qiongfang Lu, Craig Wilson
{"title":"Infrastructure financing in Africa","authors":"Qiongfang Lu,&nbsp;Craig Wilson","doi":"10.1016/j.intfin.2024.101954","DOIUrl":"10.1016/j.intfin.2024.101954","url":null,"abstract":"<div><p>We explore current development and constraints on infrastructure financing in Africa. We examine how infrastructure development in African countries affects ownership and capital structure choices of private and public–private partnership infrastructure projects. Using data from 33 African countries over 17 years, our findings suggest that infrastructure projects in African countries with better infrastructure development tend to have more private investment, more long-term investment, and they tend to use more debt financing, including more commercial debt, and less equity in their capital structure. For the least developed African countries, where debt financing is scarce, equity investment is vital for infrastructure financing.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139632673","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
Examining the impact of liquidity creation on bank stability in the Asia Pacific region: Do ESG disclosures play a moderating role? 研究亚太地区流动性创造对银行稳定性的影响：环境、社会和治理信息披露是否起到调节作用？
IF 4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-01-24 DOI: 10.1016/j.intfin.2024.101955
Juhi Gupta , Smita Kashiramka
{"title":"Examining the impact of liquidity creation on bank stability in the Asia Pacific region: Do ESG disclosures play a moderating role?","authors":"Juhi Gupta ,&nbsp;Smita Kashiramka","doi":"10.1016/j.intfin.2024.101955","DOIUrl":"10.1016/j.intfin.2024.101955","url":null,"abstract":"<div><p>The global financial crisis reignited concerns regarding the stability and sustainability of banks. Since liquidity creation (LC) is a core output of banks, we examine if the nexus between LC and bank stability is conditional on ESG (environmental, social, and governance) disclosure by banks. Our sample comprises 178 commercial banks (1568 observations) during the period 2010–2019 in the Asia-Pacific region. Using a two-step system GMM estimation, our results document a positive impact of LC on bank stability. Additionally, ESG disclosures positively moderate the stability effect of LC, i.e., higher LC is associated with significantly more enhancement in bank stability for banks that have a higher disclosure of ESG scores compared to banks that have a moderate disclosure. Furthermore, we also provide evidence of variation in the moderating role of ESG disclosures in advanced and emerging economies. Overall, our results recommend that integrating ESG practices into banks' internal processes improves their financial soundness. Additionally, blanket implementation of liquidity regulations might be detrimental to banks’ stability.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139589268","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
Migration fear and stock price crash risk 移民恐惧与股价暴跌风险
IF 4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-01-24 DOI: 10.1016/j.intfin.2024.101945
Kuntal K. Das, Mona Yaghoubi
{"title":"Migration fear and stock price crash risk","authors":"Kuntal K. Das,&nbsp;Mona Yaghoubi","doi":"10.1016/j.intfin.2024.101945","DOIUrl":"10.1016/j.intfin.2024.101945","url":null,"abstract":"<div><p>We examine whether migration fear increases future stock price crash risk. We find that a 10 percentage point increase in the migration fear index increases the future stock price crash risk by 17 to 19 percentage points. Our results hold after controlling for macroeconomic conditions, including economic policy uncertainty, and using instrumental variables to address endogeneity issues. The impact of migration fear on crash risk is larger for firms with greater asymmetric information and firms with weaker monitoring mechanisms. We conclude that migration fear can significantly change risk tolerance in financial markets and affect stock price crash risk.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1042443124000118/pdfft?md5=38ee3802991c1aff110bd88bdd527435&pid=1-s2.0-S1042443124000118-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139634424","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
Greenhouse gas emissions and the stability of equity markets 温室气体排放与股票市场的稳定性
IF 4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-01-22 DOI: 10.1016/j.intfin.2024.101952
David Y. Aharon , Ahmed S. Baig , Gady Jacoby , Zhenyu Wu
{"title":"Greenhouse gas emissions and the stability of equity markets","authors":"David Y. Aharon ,&nbsp;Ahmed S. Baig ,&nbsp;Gady Jacoby ,&nbsp;Zhenyu Wu","doi":"10.1016/j.intfin.2024.101952","DOIUrl":"10.1016/j.intfin.2024.101952","url":null,"abstract":"<div><p>We test the impact of GHG emissions on equity markets’ volatility. Our results confirm that CO<sub>2</sub> and other greenhouse gases emissions such as agricultural nitrous oxide, and methane emissions are associated with increased stock market volatility. This relationship holds across different measures of volatility, emissions, and specifications using nearly 30 years’ worth of index-level data from stock exchanges across 50 countries. These findings lend support to the notion that carbon risk is priced into financial markets, and that green finance could promote more stable global equity markets in the future and thereby foster a more sustainable economic system.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139518817","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
A novel integration of the Fama–French and Black–Litterman models to enhance portfolio management 法马-弗伦奇模型和布莱克-利特曼模型的新整合，以加强投资组合管理
IF 4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-01-22 DOI: 10.1016/j.intfin.2024.101949
Hyungjin Ko , Bumho Son , Jaewook Lee
{"title":"A novel integration of the Fama–French and Black–Litterman models to enhance portfolio management","authors":"Hyungjin Ko ,&nbsp;Bumho Son ,&nbsp;Jaewook Lee","doi":"10.1016/j.intfin.2024.101949","DOIUrl":"10.1016/j.intfin.2024.101949","url":null,"abstract":"<div><p>We propose a novel portfolio model integrating the Fama–French three-factor model into the Black–Litterman framework, enabling efficient investment strategies. The model surpasses traditional benchmarks, significantly increasing alpha, minimizing estimation error, and improving diversification. Performance improvements are shown by a tripled Sharpe ratio and doubled Certainty Equivalent Return compared to standard models. It maintains stability across different parameters and economic climates, leveraging improved weight adjustment to reduce estimation errors and withstand market volatility. It provides a new perspective for portfolio construction, leveraging long-term insights from asset pricing theory with significant implications.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139518818","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
State-owned banks and international shock transmission 国有银行与国际冲击传导
IF 4 2区 经济学
Journal of International Financial Markets Institutions & Money Pub Date : 2024-01-22 DOI: 10.1016/j.intfin.2024.101947
Marcin Borsuk , Oskar Kowalewski , Paweł Pisany
{"title":"State-owned banks and international shock transmission","authors":"Marcin Borsuk ,&nbsp;Oskar Kowalewski ,&nbsp;Paweł Pisany","doi":"10.1016/j.intfin.2024.101947","DOIUrl":"https://doi.org/10.1016/j.intfin.2024.101947","url":null,"abstract":"<div><p>This study re-examines the relationship between commercial bank ownership and lending growth from 1996–2019. The results show that before the 2008 financial crisis, both categories of foreign banks expanded lending, predominantly in developing countries. A shift occurred in the lending behavior of foreign banks post-2008. Bank-specific characteristics became more influential in determining credit growth. During host country banking crises, foreign state-controlled banks demonstrated higher loan growth rates than private-owned banks and reduced credit growth abroad during banking crises in home countries. Lastly, during the 2008 crisis, domestic state-controlled banks stabilized lending activity, while both types of foreign banks reduced lending.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1042443124000131/pdfft?md5=5495d59d6f2f3b7a4943d9c654f7e945&pid=1-s2.0-S1042443124000131-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139549978","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
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