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Commodity prices redux: A global factor story 大宗商品价格下跌：一个全球因素的故事
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2026-05-01 Epub Date: 2026-04-25 DOI: 10.1016/j.jimonfin.2026.103588
Krzysztof Beck , Michail Filippidis , Karen Jackson , Georgios Magkonis
{"title":"Commodity prices redux: A global factor story","authors":"Krzysztof Beck ,&nbsp;Michail Filippidis ,&nbsp;Karen Jackson ,&nbsp;Georgios Magkonis","doi":"10.1016/j.jimonfin.2026.103588","DOIUrl":"10.1016/j.jimonfin.2026.103588","url":null,"abstract":"<div><div>In this study, we novelly employ a Bayesian Dynamic Factor Model (BDFM) and a Factor-Augmented Vector Autoregressive (FAVAR) model to investigate the relatively under-explored phenomenon of cross-commodity price synchronisation and the factors driving comovement in commodity prices. Our findings indicate that macroeconomic and financial factors are key determinants of world commodity prices, whereas uncertainty plays a comparatively minor role, accounting for less than 10% initially and remaining below 20% at longer horizons. At the level of commodity group prices, however, uncertainty becomes significantly more important, with its contribution exceeding one-third of the variance at longer horizons across all commodity groups. These results highlight a clear distinction between aggregate and disaggregated dynamics: global commodity prices are largely driven by macroeconomic and financial conditions, implying that policymakers retain meaningful scope to influence them, whereas commodity-group prices are more sensitive to shocks and uncertainty.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"165 ","pages":"Article 103588"},"PeriodicalIF":3.3,"publicationDate":"2026-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147803983","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 effects of uncertainty on the current account 不确定性对经常账户的影响
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2026-05-01 Epub Date: 2026-04-27 DOI: 10.1016/j.jimonfin.2026.103589
Davide Furceri , Georgios Karras , Khatereh Yarveisi
{"title":"The effects of uncertainty on the current account","authors":"Davide Furceri ,&nbsp;Georgios Karras ,&nbsp;Khatereh Yarveisi","doi":"10.1016/j.jimonfin.2026.103589","DOIUrl":"10.1016/j.jimonfin.2026.103589","url":null,"abstract":"<div><div>We use the World Uncertainty Index (WUI) to estimate the dynamic effects of uncertainty on the current account balance for a large sample of 143 developed and developing countries, during the period 1973–2021. Our analysis shows that higher uncertainty is associated with an increase in the current account balance which reflects both increased saving and reduced investment. These effects are sizable and statistically significant, peaking one year after the uncertainty shock, and gradually dying out in the long run. The effect varies across countries, being larger in countries characterized by lower social expenditure, less developed financial markets, and during periods of high financial stress.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"165 ","pages":"Article 103589"},"PeriodicalIF":3.3,"publicationDate":"2026-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147803984","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
Interest rate risk in the U.S. banking sector 美国银行业的利率风险
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2026-05-01 Epub Date: 2026-04-24 DOI: 10.1016/j.jimonfin.2026.103587
Azamat Abdymomunov , Jeffrey R. Gerlach , Yuji Sakurai
{"title":"Interest rate risk in the U.S. banking sector","authors":"Azamat Abdymomunov ,&nbsp;Jeffrey R. Gerlach ,&nbsp;Yuji Sakurai","doi":"10.1016/j.jimonfin.2026.103587","DOIUrl":"10.1016/j.jimonfin.2026.103587","url":null,"abstract":"<div><div>We study interest rate risk at U.S. banks by measuring the impact of interest rate changes on banks’ economic value of equity (EVE) and earnings. We find that a 100 bps increase in interest rates reduces the EVE of the aggregate banking sector in the range of 8% to 18%, depending on the composition of banks’ balance sheets, and increases banks’ net interest margin by 13 bps on average. In addition, we find that small banks have higher interest rate sensitivities than large banks. During the COVID-19 pandemic period, U.S. banks became more exposed to interest rate risk due to an increase in the share of long-term securities with low interest rates in their asset composition, contributing to a 40% decline in EVE when the Federal Reserve raised interest rates in 2022. Overall, our results show that U.S. banks are exposed to substantial interest rate risk.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"165 ","pages":"Article 103587"},"PeriodicalIF":3.3,"publicationDate":"2026-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147803985","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
Environmental provisions in trade agreements and outward foreign direct investment: Evidence from China 贸易协定中的环境条款与对外直接投资：来自中国的证据
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2026-05-01 Epub Date: 2026-04-27 DOI: 10.1016/j.jimonfin.2026.103590
Shixiong Liu , Jian Han
{"title":"Environmental provisions in trade agreements and outward foreign direct investment: Evidence from China","authors":"Shixiong Liu ,&nbsp;Jian Han","doi":"10.1016/j.jimonfin.2026.103590","DOIUrl":"10.1016/j.jimonfin.2026.103590","url":null,"abstract":"<div><div>This paper examines how environmental provisions in free trade agreements (FTAs) influence outward foreign direct investment (OFDI). Unlike traditional Bilateral Investment Treaties (BITs) aimed at asset protection, modern FTA provisions regulate production processes. We find that environmental provisions exert a significant negative impact on China’s overall OFDI. This deterrent effect operates through three distinct mechanisms. The compliance cost channel creates a filtering effect that curbs investment in pollution-intensive sectors while simultaneously triggering a compensatory mechanism through induced green innovation to mitigate compliance burdens. The institutional credibility channel drives an asymmetry in entry modes where environmental provisions exert a significantly stronger deterrent effect on cross-border M&amp;A than on greenfield investment. The regulatory uncertainty channel reveals a non-linear evolution regarding host-country enforcement where environmental provisions facilitate OFDI in moderately regulated environments by acting as commitment devices that resolve ambiguity but deter it elsewhere. Crucially, these regulatory effects are driven exclusively by provisions with explicit enforcement measures rather than aspirational goals. These findings suggest that environmental provisions reshape capital flows effectively only when specific binding clauses align with credible institutional contexts.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"165 ","pages":"Article 103590"},"PeriodicalIF":3.3,"publicationDate":"2026-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147804068","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
Ramsey-optimal fiscal spending and reserve accumulation policies under volatile aid 不稳定援助下的ramsey -最优财政支出与储备积累政策
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2026-05-01 Epub Date: 2026-04-18 DOI: 10.1016/j.jimonfin.2026.103584
Ioana R. Moldovan , Shu-Chun S. Yang , Luis-Felipe Zanna
{"title":"Ramsey-optimal fiscal spending and reserve accumulation policies under volatile aid","authors":"Ioana R. Moldovan ,&nbsp;Shu-Chun S. Yang ,&nbsp;Luis-Felipe Zanna","doi":"10.1016/j.jimonfin.2026.103584","DOIUrl":"10.1016/j.jimonfin.2026.103584","url":null,"abstract":"<div><div>This paper studies Ramsey-optimal fiscal spending and reserve accumulation policies in response to volatile aid flows in low-income countries (LICs). We develop a real Dynamic Stochastic General Equilibrium (DSGE) model of a small open economy that features government transfers and public investment as fiscal instruments and incorporates two prominent characteristics of LICs—Dutch disease (DD) externalities and financially constrained households. Ramsey-optimal policies involve partial aid spending and partial reserve accumulation, motivated by precautionary considerations. Stronger DD externalities lead to greater reserve accumulation to stabilize output and mitigate consumption volatility. While transfers smooth consumption directly, public investment supports it indirectly by sustaining future income through capital accumulation. Greater aid volatility calls for increased public investment, highlighting its role as a precautionary savings instrument through capital accumulation, beyond its developmental function.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"165 ","pages":"Article 103584"},"PeriodicalIF":3.3,"publicationDate":"2026-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147803982","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 KISS for central bank communication in times of high inflation 高通胀时期央行沟通的KISS
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2026-05-01 Epub Date: 2026-04-25 DOI: 10.1016/j.jimonfin.2026.103585
Mathias Hoffmann , Emanuel Moench , Lora Pavlova , Guido Schultefrankenfeld
{"title":"A KISS for central bank communication in times of high inflation","authors":"Mathias Hoffmann ,&nbsp;Emanuel Moench ,&nbsp;Lora Pavlova ,&nbsp;Guido Schultefrankenfeld","doi":"10.1016/j.jimonfin.2026.103585","DOIUrl":"10.1016/j.jimonfin.2026.103585","url":null,"abstract":"<div><div>During the post-pandemic inflation surge, many central banks used communication about the inflation outlook to limit spillovers from realized to expected inflation. We present novel survey evidence showing that ECB guidance about the projected inflation path lowers households’ inflation expectations when inflation is unusually high. Qualitative, positively framed messages have the largest effects on short-term expectations, while simple visualizations are particularly effective at longer horizons. Effects are heterogeneous across socio-demographic groups. Our findings suggest that, regarding their communication, central banks should ‘keep it sophisticatedly simple (KISS)’.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"165 ","pages":"Article 103585"},"PeriodicalIF":3.3,"publicationDate":"2026-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147859106","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
Reassessing the role of trend shocks in emerging-market business cycles 重新评估趋势冲击在新兴市场商业周期中的作用
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2026-04-01 Epub Date: 2026-04-02 DOI: 10.1016/j.jimonfin.2026.103573
Jong-Suk Han , Jiwoon Kim
{"title":"Reassessing the role of trend shocks in emerging-market business cycles","authors":"Jong-Suk Han ,&nbsp;Jiwoon Kim","doi":"10.1016/j.jimonfin.2026.103573","DOIUrl":"10.1016/j.jimonfin.2026.103573","url":null,"abstract":"<div><div>This paper reassesses the role of trend shocks in emerging-market business cycles by integrating all previously studied financial frictions within a unified, estimated SOE-RBC model. Focusing on Korea (with Mexico as a benchmark), the model features transitory and trend productivity shocks, a world interest-rate shock, and three financial frictions: a debt-elastic country spread, an expected-productivity premium, and a working-capital requirement. Using Korean quarterly data (1994Q1–2012Q4), reduced-form evidence shows that consumption in Korea responds more strongly to output than in Mexico and that the spread is governed by both debt and expected productivity, whereas in Mexico it is driven only by debt. Joint GMM estimation of the structural model and counterfactuals indicates a dominant trend component: trend shocks account for about 82% of TFP-growth variance and roughly 66% of output volatility and 76% of consumption volatility, whereas fluctuations in Mexico are chiefly transitory. Removing financial frictions eliminates countercyclical interest-rate and trade-balance behavior, lowers output volatility, and raises consumption volatility; restoring only the expected-productivity premium largely reinstates countercyclicality, while the debt-elastic channel is key for output amplification. The working-capital parameter is negligible.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"164 ","pages":"Article 103573"},"PeriodicalIF":3.3,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147656476","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
US macroeconomic shocks and international business cycle 美国宏观经济冲击与国际经济周期
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2026-04-01 Epub Date: 2026-03-21 DOI: 10.1016/j.jimonfin.2026.103569
Grzegorz Wesołowski, Oleg Gurshev
{"title":"US macroeconomic shocks and international business cycle","authors":"Grzegorz Wesołowski,&nbsp;Oleg Gurshev","doi":"10.1016/j.jimonfin.2026.103569","DOIUrl":"10.1016/j.jimonfin.2026.103569","url":null,"abstract":"<div><div>This study investigates the influence of six distinct shocks originating in the US on the international business cycle. To this end, it utilizes impulse response functions and forecast error variance decompositions from panel local projections. We find that key US macroeconomic shocks contribute significantly to business cycle synchronization between the US and other economies. These shocks also explain a considerable share of output fluctuations in the panel of twenty-one countries. Investigating the spillovers of US innovations in subsamples, we document that their effects are particularly strong in Emerging Market Economies, key US trading partners, and countries with close financial linkages to the US. Among the individual shocks, technology and financial shocks are the most important drivers of the spillovers.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"164 ","pages":"Article 103569"},"PeriodicalIF":3.3,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147656623","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
“Crowding in” effect of public investment on private investment revisited 重新审视公共投资对私人投资的“挤入”效应
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2026-04-01 Epub Date: 2026-03-18 DOI: 10.1016/j.jimonfin.2026.103567
John Nana Francois , Maty Konte , Franz Ulrich Ruch
{"title":"“Crowding in” effect of public investment on private investment revisited","authors":"John Nana Francois ,&nbsp;Maty Konte ,&nbsp;Franz Ulrich Ruch","doi":"10.1016/j.jimonfin.2026.103567","DOIUrl":"10.1016/j.jimonfin.2026.103567","url":null,"abstract":"<div><div>Developing countries face a $3 trillion annual investment gap to meet the 2030 Sustainable Development Goals, yet private investment growth remains weak. This paper explores two related questions critical to understanding public investment as an effective fiscal policy tool for addressing private investment shortfalls: (1) What is the structural relationship between public and private investment? and (2) Does public investment stimulate private investment? We use changes in predicted disbursements on loans from official creditors to developing country governments to identify the exogenous component of changes in public investment. Accordingly, our estimates identify a local average treatment effect corresponding to increases in public investment financed through official external loans. Employing panel data for 109 developing countries over 1980-2019, we find that public investment is an <em>Edgeworth complement</em> to private investment, raising its marginal productivity. Quantitatively, we find a crowding-in effect, where an extra dollar of public investment that is accompanied by an expansion of official external finance increases private investment by 1.6 dollars. The crowding-in effect is visible for up to three years, rising to about 2 dollars. Our results also reveal strong evidence of crowding-in of private investment in Sub-Saharan Africa and low-income countries—underscoring the importance of official financing to countries where investment needs are greatest but access to affordable finance remains limited.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"164 ","pages":"Article 103567"},"PeriodicalIF":3.3,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147656475","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
Corrigendum to “Trust, risk, and provisions: how man-made disasters shape banking behavior”. [J. Int. Money Finan. 164 (2026) 103553] 《信任、风险和准备金：人为灾难如何影响银行行为》的勘误表。[J。Int。财经，164 (2026)103553 [j]
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2026-04-01 Epub Date: 2026-02-28 DOI: 10.1016/j.jimonfin.2026.103557
Huining Feng , Jie Guo , Yanyin Li , Rong Xu
{"title":"Corrigendum to “Trust, risk, and provisions: how man-made disasters shape banking behavior”. [J. Int. Money Finan. 164 (2026) 103553]","authors":"Huining Feng ,&nbsp;Jie Guo ,&nbsp;Yanyin Li ,&nbsp;Rong Xu","doi":"10.1016/j.jimonfin.2026.103557","DOIUrl":"10.1016/j.jimonfin.2026.103557","url":null,"abstract":"","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"164 ","pages":"Article 103557"},"PeriodicalIF":3.3,"publicationDate":"2026-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"147656622","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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