Journal of International Money and Finance最新文献

What happens to emerging market economies when US yields go up? 当美国国债收益率上升时，新兴市场经济体会发生什么？

IF 3.3 2区经济学

Journal of International Money and Finance Pub Date : 2025-10-20 DOI: 10.1016/j.jimonfin.2025.103442

Julián Caballero, Christian Upper

引用次数: 0

Life cycle performance of hedge fund managers 对冲基金经理的生命周期绩效

IF 3.3 2区经济学

Journal of International Money and Finance Pub Date : 2025-10-18 DOI: 10.1016/j.jimonfin.2025.103447

Rose Ruoxi Huang , Elaine Yongshi Jie , Yue Ma

{"title":"Life cycle performance of hedge fund managers","authors":"Rose Ruoxi Huang , Elaine Yongshi Jie , Yue Ma","doi":"10.1016/j.jimonfin.2025.103447","DOIUrl":"10.1016/j.jimonfin.2025.103447","url":null,"abstract":"<div><div>We document that hedge fund managers exhibit a hump-shaped relationship between their work experience and performance. This observed pattern reflects the dynamic interplay between two contrasting effects of career concerns and incentives channel. In the early years of their careers, fund managers face significant career concerns, which exert high pressure to induce effort in their jobs. Meanwhile, managers also have a strong incentive to build their expertise, leading to better performance. However, as their performance steadily ascends, the rate of improvement decelerates. This is because their career concerns start to ebb away, leading to a cutback on effort that offsets their incentive effects. Consequently, after reaching its peak around the five-year mark, their performance tends to deteriorate afterwards. Additionally, we find that manager’s investment skill contributes positively to fund performance and female managers or master degree holders perform better than their counterparts. Fund size links to performance through diminishing returns to scale. Smaller funds exhibit better performance, whereas larger funds attract better managers. Managers in financial centers outperform their peers in non-financial centers due to both sorting and learning effects. Managers with a prior fund-related background perform better than their peers without it. However, the outperformance of both managers in financial centers and those with fund-related background diminishes in the long run. In a natural experiment setting, we show the stock market crash had a permanent negative impact on the performance of managers. Our findings are robust across varying numbers of manager-fund overlaps, investment strategies, and alternative performance measures.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"160 ","pages":"Article 103447"},"PeriodicalIF":3.3,"publicationDate":"2025-10-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145335224","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

Exchange rate forecasting with macroeconomic data: Evidence from a novel comprehensive ensemble approach 基于宏观经济数据的汇率预测：来自一种新的综合集成方法的证据

IF 3.3 2区经济学

Journal of International Money and Finance Pub Date : 2025-10-17 DOI: 10.1016/j.jimonfin.2025.103446

Yun bai , Chuanmiao Yan , Fuxin Jiang , Yunjie Wei , Shouyang Wang

{"title":"Exchange rate forecasting with macroeconomic data: Evidence from a novel comprehensive ensemble approach","authors":"Yun bai , Chuanmiao Yan , Fuxin Jiang , Yunjie Wei , Shouyang Wang","doi":"10.1016/j.jimonfin.2025.103446","DOIUrl":"10.1016/j.jimonfin.2025.103446","url":null,"abstract":"<div><div>The foreign exchange market operates as a high-dimensional, dynamic, and complex system influenced by multiple factors and their interrelations. In this paper, we propose a comprehensive ensemble framework for exchange rate forecasting that effectively captures the intricate fluctuation patterns inherent in exchange rate data. Our framework integrates economic theories, technical indicators, and other relevant factors to enhance predictive accuracy. To achieve this, we first decompose the exchange rate time series using ensemble empirical mode decomposition with adaptive noise (CEEMDAN). The resulting components are then segmented into high- and low-frequency groups using the Wilcoxon rank test. Based on macroeconomic fundamentals and technical indicators, we select predictive variables to be included in the model. Next, we conduct comparative experiments to verify the role of export and import (EI) data in exchange rate forecasting. We employ the time convolutional network (TCN) model to predict four important exchange rate time series. The empirical results—validated across forecasting horizons of 1, 3, and 6 months—consistently demonstrate that the proposed method outperforms benchmark models, offering a more accurate and reliable framework for exchange rate predictions. These findings underscore the robustness and predictive power of our approach, confirming its effectiveness in anticipating fluctuations in exchange rates over different time scales. The results highlight the strong correlation between exchange rates, macroeconomic conditions, and investment transactions. Moreover, the comparative experiments reveal that the inclusion of EI data significantly improves the prediction accuracy of the model, emphasizing the importance of this factor in exchange rate forecasting.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"160 ","pages":"Article 103446"},"PeriodicalIF":3.3,"publicationDate":"2025-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145365669","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

Managing capital inflows in a partially dollarized economy: The role of reserve requirements 管理部分美元化经济中的资本流入：准备金要求的作用

IF 3.3 2区经济学

Journal of International Money and Finance Pub Date : 2025-10-11 DOI: 10.1016/j.jimonfin.2025.103440

Eugenia Andreasen , Victoria Nuguer

引用次数: 0

The term structure of interest rates in a noisy information model 噪声信息模型下的利率期限结构

IF 3.3 2区经济学

Journal of International Money and Finance Pub Date : 2025-10-09 DOI: 10.1016/j.jimonfin.2025.103443

Raphaelle G. Coulombe , James McNeil

{"title":"The term structure of interest rates in a noisy information model","authors":"Raphaelle G. Coulombe , James McNeil","doi":"10.1016/j.jimonfin.2025.103443","DOIUrl":"10.1016/j.jimonfin.2025.103443","url":null,"abstract":"<div><div>We study the term structure of interest rates in an endowment economy with noisy information and CRRA preferences. Exogenous prices and consumption consist of both temporary and permanent components, but the household observes only their aggregate values. We show that on average the term spread in this environment is positive and on a scale close to what we observe in the data, a fact that many existing macroeconomic models struggle to reproduce without very large coefficients of relative risk aversion. In our partial-information framework, uncertainty about the decomposition of the endowment and prices into their temporary and permanent components combined with a negative correlation in consumption growth explains why the slope of the yield curve is positive on average. We estimate our model using Bayesian methods and US data from 1961–2007 and find that the average interest rate spread is 0.85 %, compared with 0.98 % in the data. Further, we estimate a coefficient of relative risk aversion of only 4.86. Noisy information accounts for 44 % of the scale of the term premium, with the remainder principally explained by real activity and nominal factors playing only a small role.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"159 ","pages":"Article 103443"},"PeriodicalIF":3.3,"publicationDate":"2025-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145323910","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

Revisiting 15 years of unusual transatlantic monetary policies 回顾15年来不同寻常的跨大西洋货币政策

IF 3.3 2区经济学

Journal of International Money and Finance Pub Date : 2025-09-27 DOI: 10.1016/j.jimonfin.2025.103441

José Garcia-Revelo , Grégory Levieuge , Jean-Guillaume Sahuc

引用次数: 0

Systemic risk in global FX markets: Measurement and determinants 全球外汇市场的系统性风险：衡量和决定因素

IF 3.3 2区经济学

Journal of International Money and Finance Pub Date : 2025-09-23 DOI: 10.1016/j.jimonfin.2025.103435

Yanting Jiang , Juan Lin , Yanghan Chen

引用次数: 0

The impact of financial stress shocks on commodity prices 金融压力冲击对大宗商品价格的影响

IF 3.3 2区经济学

Journal of International Money and Finance Pub Date : 2025-09-23 DOI: 10.1016/j.jimonfin.2025.103436

Kai Wang , Cheng Zhang , Zhiping Zhou

引用次数: 0

Risk-on/risk-off: Measuring shifts in investor risk bearing capacity 风险开启/风险关闭：衡量投资者风险承受能力的变化

IF 3.3 2区经济学

Journal of International Money and Finance Pub Date : 2025-09-22 DOI: 10.1016/j.jimonfin.2025.103438

Anusha Chari , Karlye Dilts Stedman , Christian Lundblad

引用次数: 0

Real exchange rate, financial constraints and product innovation: Evidence from China 实际汇率、金融约束与产品创新：来自中国的证据

IF 3.3 2区经济学

Journal of International Money and Finance Pub Date : 2025-09-15 DOI: 10.1016/j.jimonfin.2025.103437

Liang Fu , Chun-Yu Ho , Xiao Wei , Xiaoli Zhang

引用次数: 0