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Doubling down: The synergy of CCyB release and monetary policy easing
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-04-03 DOI: 10.1016/j.jimonfin.2025.103330
Cristina Jude , Grégory Levieuge
{"title":"Doubling down: The synergy of CCyB release and monetary policy easing","authors":"Cristina Jude ,&nbsp;Grégory Levieuge","doi":"10.1016/j.jimonfin.2025.103330","DOIUrl":"10.1016/j.jimonfin.2025.103330","url":null,"abstract":"<div><div>At the height of the COVID-19 crisis, many countries have reduced their countercyclical capital buffer (CCyB) and cut key policy rates. We exploit this quasi-natural experiment to gauge the combined effects of these two policies on bank lending rates (BLRs). First, we theoretically show that the joint action of CCyB release and monetary policy easing lowers BLRs by more than the sum of their individual effects. We then empirically confirm this synergy by a difference-in-difference analysis. Notably, for one percentage point release of the CCyB, corporate BLRs decreased by around 11 basis points more compared to countries without CCyB relief. The lower the policy rate, the greater this effect, suggesting that the CCyB provided additional room for maneuver to monetary policy. In addition, releasing the CCyB has acted as a catalyst for a better transmission of policy rate cuts.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"155 ","pages":"Article 103330"},"PeriodicalIF":2.8,"publicationDate":"2025-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143817063","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
Natural disasters and financial stress: can macroprudential regulation tame green swans?
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-04-01 DOI: 10.1016/j.jimonfin.2025.103325
Pauline Avril , Grégory Levieuge , Camelia Turcu
{"title":"Natural disasters and financial stress: can macroprudential regulation tame green swans?","authors":"Pauline Avril ,&nbsp;Grégory Levieuge ,&nbsp;Camelia Turcu","doi":"10.1016/j.jimonfin.2025.103325","DOIUrl":"10.1016/j.jimonfin.2025.103325","url":null,"abstract":"<div><div>We empirically investigate the impact of natural disasters on the external finance premium (EFP), conditional on the rigorously implemented macroprudential regulation at the national level. Natural disaster intensity is measured using a unique set of geophysical indicators for a sample of 88 countries over the period 1996–2016. Using local projections, we show that the EFP rises significantly following storms when macroprudential regulation is lax, with this adverse financial impact increasing over time. By contrast, a strictly enforced macroprudential framework, especially one based on bank-oriented instruments, enhances systemic resilience and prevents financing conditions from tightening nationwide; in some cases, the EFP may even decline, particularly in middle-income countries and in response to extreme events. Finally, macroprudential stringency appears less critical in the case of floods, as their predictability may generally foster self-discipline.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"154 ","pages":"Article 103325"},"PeriodicalIF":2.8,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143760916","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
Machine learning the performance of hedge fund
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-04-01 DOI: 10.1016/j.jimonfin.2025.103332
Tian Ma , Wanwan Wang , Fuwei Jiang
{"title":"Machine learning the performance of hedge fund","authors":"Tian Ma ,&nbsp;Wanwan Wang ,&nbsp;Fuwei Jiang","doi":"10.1016/j.jimonfin.2025.103332","DOIUrl":"10.1016/j.jimonfin.2025.103332","url":null,"abstract":"<div><div>This study utilizes generative AI to predict and classify the performance of hedge funds based on groups of fund characteristics. Compared to commonly used machine learning methods, our method can successfully distinguish high- and low-performing funds across various investment strategies, with the return spread being the highest in the equity hedge strategy at 3.16 % monthly. The results are robust in risk-adjusted return prediction. Trend-based features are the most important predictors of future fund performance. Returns of predictive long-short portfolios are higher following periods of low narrative attention and favorable macroeconomic conditions. The asset allocation exercise highlights the significant economic value of machine learning. Our study enriches the burgeoning field of machine learning and artificial intelligence for finance by applying big data techniques to fund selection and allocation.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"155 ","pages":"Article 103332"},"PeriodicalIF":2.8,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143790961","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
Climate change uncertainty and corporate debt relationship: A quantile panel data analysis
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-04-01 DOI: 10.1016/j.jimonfin.2025.103320
Fredj Jawadi , Philippe Rozin , Abdoulkarim Idi Cheffou
{"title":"Climate change uncertainty and corporate debt relationship: A quantile panel data analysis","authors":"Fredj Jawadi ,&nbsp;Philippe Rozin ,&nbsp;Abdoulkarim Idi Cheffou","doi":"10.1016/j.jimonfin.2025.103320","DOIUrl":"10.1016/j.jimonfin.2025.103320","url":null,"abstract":"<div><div>Is there a link between climate change action and the corporate debt market? Climate concerns are affecting a growing number of firms, their capital demand and indebtedness, as their exposure to ecological transition and climate change risk can influence their capital cost, capital demand and therefore their corporate debt decisions. This study examines the impact of climate change risk/unertainty on corporate debt and tests further lead-lag effects. To this end, we rely on data related to US companies listed on the S&amp;P500 over the period 1990–2024, focusing on a large sample over a timeline characterized by different episodes, crises, and tensions related to climate change. Accordingly, we define the relationship between US corporate debt and climate change uncertainty using linear and nonlinear specifications. Our results show that pressure linked to ecological transition and climate change risk has had a significant impact on US firms’ debt and their capital structure. However, it appears that the impact of climate risks varies depending on the quantile under consideration and therefore the level of firm’s debt, suggesting further evidence of asymmetry and nonlinearity.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"154 ","pages":"Article 103320"},"PeriodicalIF":2.8,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143738846","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 dynamic trade and welfare effects of RCEP
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-03-22 DOI: 10.1016/j.jimonfin.2025.103329
Chenxin Jin , Wei Jin , Bin Sheng , Zhen Sun , Bing Yan
{"title":"The dynamic trade and welfare effects of RCEP","authors":"Chenxin Jin ,&nbsp;Wei Jin ,&nbsp;Bin Sheng ,&nbsp;Zhen Sun ,&nbsp;Bing Yan","doi":"10.1016/j.jimonfin.2025.103329","DOIUrl":"10.1016/j.jimonfin.2025.103329","url":null,"abstract":"<div><div>This paper examines the trade and welfare effects of the Regional Comprehensive Economic Partnership (RCEP) using a dynamic multi-region, multi-sector general equilibrium model. By incorporating key innovations such as region-specific heterogeneity, financial market imperfections, and phased trade liberalization, the analysis captures both short- and long-term impacts of RCEP on its member and non-member economies. The findings reveal that RCEP significantly boosts trade and welfare for member countries, particularly China, Korea, and ASEAN, while creating positive spillover effects for non-members with close economic ties to the region. However, the agreement exacerbates regional inequalities within China and presents uneven sectoral impacts, with non-manufacturing sectors benefiting more than manufacturing. The study highlights the critical role of reducing non-tariff barriers and financial frictions to amplify welfare gains, particularly for emerging economies. Additionally, scenarios involving potential membership of the U.S. and India underscore the strategic importance of RCEP in shaping regional and global trade dynamics. This research contributes to the literature on trade agreements by offering a comprehensive, dynamic perspective on the long-term implications of RCEP.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"154 ","pages":"Article 103329"},"PeriodicalIF":2.8,"publicationDate":"2025-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143714234","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
How the PBoC’s new MLF affects the yield curve
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-03-20 DOI: 10.1016/j.jimonfin.2025.103327
Makram El-Shagi , Lunan Jiang
{"title":"How the PBoC’s new MLF affects the yield curve","authors":"Makram El-Shagi ,&nbsp;Lunan Jiang","doi":"10.1016/j.jimonfin.2025.103327","DOIUrl":"10.1016/j.jimonfin.2025.103327","url":null,"abstract":"<div><div>In this paper, we assess the impact of the Medium-term Lending Facility (MLF), an instrument recently introduced by the People’s Bank of China (PBoC), on treasury and corporate bond yields. This instrument and, more specifically, the transmission of its use through treasury bond yields to corporate bond yields play a major role in the more market-based policy framework the PBoC envisions for the future. Using a semi-parametric local projection framework, we show that the mechanism is already fairly effective, allowing the PBoC to manipulate the entire yield curve.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"154 ","pages":"Article 103327"},"PeriodicalIF":2.8,"publicationDate":"2025-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143680155","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
Shifting risk preferences of foreign institutional investors on corporate social responsibility amidst the U.S.-China trade war
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-03-18 DOI: 10.1016/j.jimonfin.2025.103328
Lu Yang , Haifeng Xu
{"title":"Shifting risk preferences of foreign institutional investors on corporate social responsibility amidst the U.S.-China trade war","authors":"Lu Yang ,&nbsp;Haifeng Xu","doi":"10.1016/j.jimonfin.2025.103328","DOIUrl":"10.1016/j.jimonfin.2025.103328","url":null,"abstract":"<div><div>In this study, we investigate the behavior of foreign institutional investors (FIIs) in China towards corporate social responsibility (CSR) amidst the uncertainties posed by the U.S.-China trade war. Utilizing a difference-in-differences estimation approach, our analysis reveals the shifting risk preferences of FIIs towards firms engaged in international trade and the specific impacts on firms listed on the Unverified List (UVL). Our findings indicate that FIIs subject to common geopolitical risk exhibit improvements in CSR performance, whereas FIIs affected by idiosyncratic geopolitical risk related to UVL show a decline in CSR performance. Furthermore, our research highlights that the shifting risk preferences of FIIs for CSR are significantly more evident among firms without U.S. capital. Collectively, our results suggest that FIIs are sensitive to geopolitical risk, which affects their commitment to CSR.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"154 ","pages":"Article 103328"},"PeriodicalIF":2.8,"publicationDate":"2025-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143680102","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
Mandatory versus voluntary: The real effect of ESG disclosures on corporate earnings management
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-03-13 DOI: 10.1016/j.jimonfin.2025.103323
Xue Cui , Ruochen Li , Shuyu Xue , Xiaomei Zhang
{"title":"Mandatory versus voluntary: The real effect of ESG disclosures on corporate earnings management","authors":"Xue Cui ,&nbsp;Ruochen Li ,&nbsp;Shuyu Xue ,&nbsp;Xiaomei Zhang","doi":"10.1016/j.jimonfin.2025.103323","DOIUrl":"10.1016/j.jimonfin.2025.103323","url":null,"abstract":"<div><div>This paper aims to explore the real effect of mandatory and voluntary environmental, social, and governance (ESG) disclosure on corporate earnings management. We find that mandatory ESG disclosure has a negative effect on firms’ earnings management, while voluntary disclosure has almost no significant impact. We exploit China’s 2008 mandate regulation and construct a difference-in-differences design to show that firms with mandatory ESG disclosure experience an alleviation of information asymmetry through increased transparency of specific accounting items and eventually decrease earnings management. In addition, the negative effect of mandatory ESG disclosure is more pronounced for firms with stronger motivations to manipulate earnings. We also find that the ESG disclosure quality is higher under mandatory disclosure and the environmental, social, and government performance is improved for firms disclosed ESG reports. Our results support the view that mandatory ESG disclosure has informative advantages over voluntary disclosure and improves the quality of financial reporting.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"154 ","pages":"Article 103323"},"PeriodicalIF":2.8,"publicationDate":"2025-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143680157","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 monetary policy uncertainty moderate the transmission of policy shocks to government bond yields?
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-03-13 DOI: 10.1016/j.jimonfin.2025.103321
Shan Ying , Jeffrey Sheen , Xin Gu , Ben Zhe Wang
{"title":"Does monetary policy uncertainty moderate the transmission of policy shocks to government bond yields?","authors":"Shan Ying ,&nbsp;Jeffrey Sheen ,&nbsp;Xin Gu ,&nbsp;Ben Zhe Wang","doi":"10.1016/j.jimonfin.2025.103321","DOIUrl":"10.1016/j.jimonfin.2025.103321","url":null,"abstract":"<div><div>How does the FED’s monetary policy uncertainty generated by Federal Open Market Committee (FOMC) communications affect the impact of monetary policy shocks on market interest rates? We measure perceived monetary policy uncertainty from changes in short-term option prices around FOMC announcements and show that it is related to measures of uncertainty communicated through policy announcements and also to how policy commitment is communicated. Monetary policy uncertainty primarily moderates the impact of forward guidance shocks on long-term government bond yields. Our results suggest this moderation process is delivered through changes in the term premium component rather than the expected component of yields.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"154 ","pages":"Article 103321"},"PeriodicalIF":2.8,"publicationDate":"2025-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143680156","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
Is disagreement beneficial for market efficiency? Evidence from ESG ratings 分歧是否有利于提高市场效率？来自环境、社会和治理评级的证据
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-03-10 DOI: 10.1016/j.jimonfin.2025.103322
Libo Yin , Xiaoye Zhu , Zhi Su , Hongliang Guo
{"title":"Is disagreement beneficial for market efficiency? Evidence from ESG ratings","authors":"Libo Yin ,&nbsp;Xiaoye Zhu ,&nbsp;Zhi Su ,&nbsp;Hongliang Guo","doi":"10.1016/j.jimonfin.2025.103322","DOIUrl":"10.1016/j.jimonfin.2025.103322","url":null,"abstract":"<div><div>ESG rating disagreement refers to discrepancies in ESG performance ratings assigned to a firm by different rating agencies. This study investigates how ESG rating disagreement impacts firm pricing efficiency. These findings demonstrate that ESG rating disagreement contributes to promoting firm pricing efficiency. This effect is especially noticeable during periods of decreased market sentiment, volatility, turnover, and increased liquidity and among firms with specific characteristics, including large market capitalization, value orientation, higher institutional ownership, and superior ESG ratings. The facilitative effect of ESG rating disagreement stems from the diverse information provided by ESG rating agencies, which is more effectively incorporated into stock prices because of the enhanced learning effect of investors. This study is important for achieving a more comprehensive and objective understanding of ESG rating disagreement in financial markets.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"154 ","pages":"Article 103322"},"PeriodicalIF":2.8,"publicationDate":"2025-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143628113","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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