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Spillovers between cryptocurrencies and financial markets in a global framework 全球框架下加密货币与金融市场之间的溢出效应
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-11-12 DOI: 10.1016/j.jimonfin.2024.103235
Darko B. Vuković , Michael Frömmel , Samuel A. Vigne , Vyacheslav Zinovev
{"title":"Spillovers between cryptocurrencies and financial markets in a global framework","authors":"Darko B. Vuković ,&nbsp;Michael Frömmel ,&nbsp;Samuel A. Vigne ,&nbsp;Vyacheslav Zinovev","doi":"10.1016/j.jimonfin.2024.103235","DOIUrl":"10.1016/j.jimonfin.2024.103235","url":null,"abstract":"<div><div>We employ the Bayesian Global Vector Autoregression (BGVAR) model to examine the transmission of adverse shocks originating in the cryptocurrency market to global financial markets. The analysis shows that these spillover effects are not limited to a specific group of countries but are instead global in nature. The results indicate that shocks originating in the cryptocurrency market adversely affect stock markets, bond indices, exchange rates, and volatility indices. These shocks, while typically moderate in magnitude and short in duration, suggest that cryptocurrencies act as mediators of short-term negative shocks. The study also underscores the heterogeneous nature of these impacts across different financial markets and countries, highlighting the varying sensitivities and responses to cryptocurrency market fluctuations. Importantly, this research represents the first application of the GVAR model in the context of the cryptocurrency market, to the best of our knowledge.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"150 ","pages":"Article 103235"},"PeriodicalIF":2.8,"publicationDate":"2024-11-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142663444","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 post-pandemic new normal for interest rates in emerging bond markets? Evidence from Chile 大流行后新兴债券市场利率的新常态？智利的证据
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-11-12 DOI: 10.1016/j.jimonfin.2024.103234
Luis Ceballos, Jens H.E. Christensen, Damian Romero
{"title":"A post-pandemic new normal for interest rates in emerging bond markets? Evidence from Chile","authors":"Luis Ceballos,&nbsp;Jens H.E. Christensen,&nbsp;Damian Romero","doi":"10.1016/j.jimonfin.2024.103234","DOIUrl":"10.1016/j.jimonfin.2024.103234","url":null,"abstract":"<div><div>Before the COVID-19 pandemic, researchers intensely debated the extent of the decline in the so-called equilibrium or natural rate of interest. Given the recent sharp increase in interest rates, we revisit this question in an emerging bond market context and offer a Chilean perspective using a dynamic term structure finance model estimated directly on the prices of individual Chilean inflation-indexed bonds with adjustments for bond-specific liquidity risk and real term premia. Beyond documenting the existence of large and time-varying liquidity risk premia in the bond prices, we estimate that the equilibrium real rate in Chile fell about 2 and a half percentage points in the 2003-2022 period and has remained low since then with model projections only suggesting a gradual reversal in coming years. Instead, recent increases in real interest rates in Chile are driven by spikes in the liquidity and term premia of inflation-indexed bond prices.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"150 ","pages":"Article 103234"},"PeriodicalIF":2.8,"publicationDate":"2024-11-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142663441","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 U.S. tariffs impact China’s domestic sourcing: Evidence from firm-to-firm transactions 美国关税如何影响中国的国内采购：来自企业间交易的证据
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-11-07 DOI: 10.1016/j.jimonfin.2024.103216
Binkai Chen , Dongmei Guo , Yuting Li , Junjie Xia , Mingzhi Xu
{"title":"How U.S. tariffs impact China’s domestic sourcing: Evidence from firm-to-firm transactions","authors":"Binkai Chen ,&nbsp;Dongmei Guo ,&nbsp;Yuting Li ,&nbsp;Junjie Xia ,&nbsp;Mingzhi Xu","doi":"10.1016/j.jimonfin.2024.103216","DOIUrl":"10.1016/j.jimonfin.2024.103216","url":null,"abstract":"<div><div>This paper investigates how tariff shocks influence the domestic performance of Chinese firms, leveraging quarterly data on both international and domestic transactions from 2017 to 2018. Our analysis uncovers several key findings: (i) a one percent increase in export tariffs leads to a 0.235 percent increase in sales to domestic buyers, suggesting that higher export costs drive suppliers to prioritize domestic markets, primarily affecting the extensive margin; (ii) a similar increase in countervailing import tariffs results in a 0.995 percent decrease in domestic purchases, underscoring a complementary relationship between China’s imported intermediates and domestic products; (iii) larger firms exhibit smaller magnitudes of domestic sales and are more likely to reduce their domestic intermediate inputs in response to a negative external risk. These findings highlight that understanding the complementary relationship between imports and domestic inputs is crucial for developing strategies to mitigate the adverse effects of tariff policies on domestic production.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"150 ","pages":"Article 103216"},"PeriodicalIF":2.8,"publicationDate":"2024-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142663446","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
Innovation’s false spring: U.S. export controls and Chinese patent quality 创新的假春天：美国出口管制与中国专利质量
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-11-05 DOI: 10.1016/j.jimonfin.2024.103229
Yankun Kang , Xin Ma , Mi Xie , Ninghua Zhong
{"title":"Innovation’s false spring: U.S. export controls and Chinese patent quality","authors":"Yankun Kang ,&nbsp;Xin Ma ,&nbsp;Mi Xie ,&nbsp;Ninghua Zhong","doi":"10.1016/j.jimonfin.2024.103229","DOIUrl":"10.1016/j.jimonfin.2024.103229","url":null,"abstract":"<div><div>This paper evaluates the effect of U.S. export restrictions, enacted in 2018, on China’s patent production. An analysis of patent-level datasets indicates a significant surge in Chinese patent filings in sanctioned technological domains. This quantitative growth, however, is accompanied by a decrease in patent quality, evidenced by reduced citation counts and market worth. Specifically, state-owned enterprises (SOEs) have witnessed a substantial rise in patent filings post-2018, while private firms exhibit a more modest increase. Despite the surge in patent quantity, the overall quality of patents—particularly those originating from SOEs—has deteriorated significantly. This study contributes to the body of research concerning the economic consequences of the US-China trade dispute and offers original insights into the implications of trade sanctions on innovation quality.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"150 ","pages":"Article 103229"},"PeriodicalIF":2.8,"publicationDate":"2024-11-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142663445","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
Trade circumvention in free trade areas 自由贸易区的贸易规避
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-11-05 DOI: 10.1016/j.jimonfin.2024.103232
Jianpeng Deng, Jialin Li, Joseph Mai, Yanmin Shi, Linke Zhu
{"title":"Trade circumvention in free trade areas","authors":"Jianpeng Deng,&nbsp;Jialin Li,&nbsp;Joseph Mai,&nbsp;Yanmin Shi,&nbsp;Linke Zhu","doi":"10.1016/j.jimonfin.2024.103232","DOIUrl":"10.1016/j.jimonfin.2024.103232","url":null,"abstract":"<div><div>Do Regional Trade Agreements (RTAs) incentivize non-member countries to engage in trade circumvention through member countries, and how much does this behavior contribute to increased trade among RTA members? This paper provides empirical evidence on the prevalence of illicit transshipment through RTAs and quantifies its contribution to trade growth in a case study of NAFTA. Using global trade data and guided by a discrete choice model of shipment methods, we estimate the causal impact of tariff differentials created by RTAs on illicit transshipment, inferred from trade discrepancies. Our results show that circumvention increases more for products with larger preferential margins after the establishment of an RTA, with re-exports serving as a key channel. We also find substantial heterogeneity in these effects. In the case of NAFTA, we find that trade circumvention contributed to 16.4% of the increase in U.S. imports from Mexico in 2018, when the U.S. returned to protectionist policies.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"150 ","pages":"Article 103232"},"PeriodicalIF":2.8,"publicationDate":"2024-11-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142593292","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
Geopolitical turmoil and investor green preference: Evidence from the corporate bond market 地缘政治动荡与投资者的绿色偏好：来自公司债券市场的证据
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-11-01 DOI: 10.1016/j.jimonfin.2024.103218
Paolo Fiorillo , Antonio Meles , Dario Salerno , Vincenzo Verdoliva
{"title":"Geopolitical turmoil and investor green preference: Evidence from the corporate bond market","authors":"Paolo Fiorillo ,&nbsp;Antonio Meles ,&nbsp;Dario Salerno ,&nbsp;Vincenzo Verdoliva","doi":"10.1016/j.jimonfin.2024.103218","DOIUrl":"10.1016/j.jimonfin.2024.103218","url":null,"abstract":"<div><div>In this study, we analyze a sample of 1,630 corporate green bonds issued internationally between November 2012 and January 2024 to investigate the yield differences between green and non-green bonds. Our findings reveal a small greenium, particularly significant in the secondary market among carbon-intensive industries, first-time green bond issuers, and riskier issuances. We show that Geopolitical Risk (GPR) significantly influences the greenium in the secondary market, primarily driven by geopolitical acts rather than threats. Additionally, we establish that third-party certifications and corporate exposure to environmental risk are critical in explaining the GPR-greenium relationship. These results underscore the importance of GPR in enhancing investor preference for green bonds, offering important implications for both practice and policy.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"149 ","pages":"Article 103218"},"PeriodicalIF":2.8,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142552752","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
Carbon risk and corporate maturity mismatch 碳风险和企业期限错配
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-11-01 DOI: 10.1016/j.jimonfin.2024.103213
Ming Huang , Xiaoxiao Wang , Xuewu Wang , Qunzi Zhang
{"title":"Carbon risk and corporate maturity mismatch","authors":"Ming Huang ,&nbsp;Xiaoxiao Wang ,&nbsp;Xuewu Wang ,&nbsp;Qunzi Zhang","doi":"10.1016/j.jimonfin.2024.103213","DOIUrl":"10.1016/j.jimonfin.2024.103213","url":null,"abstract":"<div><div>This study investigates the impact of carbon risk on the corporate maturity mismatch of investment and debt. We find that carbon risk exacerbates maturity mismatches, primarily by increasing debt default risk, which in turn reduces both the availability and maturity of bank loans. At the same time, carbon risk drives firms to undertake riskier investments, compelling them to rely more heavily on short-term financing to support long-term projects. Heterogeneity analysis reveals that the impact of carbon risk on maturity mismatch is more pronounced in firms that are smaller in size, exhibit weaker financial performance, have higher leverage, hold less cash, or engage in less green innovation. Moreover, under heightened carbon risk, increased maturity mismatch appears to reduce agency costs and enhance firm performance, thereby improving resource allocation. This finding supports the monitoring role of maturity mismatch. Our results remain robust across multiple sensitivity tests.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"149 ","pages":"Article 103213"},"PeriodicalIF":2.8,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142552811","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
Not all banking crises are alike: Assessing their distributional impacts relative to pre-crisis credit gaps 并非所有的银行危机都是一样的：评估危机前信贷缺口对分配的影响
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-10-31 DOI: 10.1016/j.jimonfin.2024.103220
Jean-Marc Atsebi , Samuel Ligonnière , Clément Mathonnat
{"title":"Not all banking crises are alike: Assessing their distributional impacts relative to pre-crisis credit gaps","authors":"Jean-Marc Atsebi ,&nbsp;Samuel Ligonnière ,&nbsp;Clément Mathonnat","doi":"10.1016/j.jimonfin.2024.103220","DOIUrl":"10.1016/j.jimonfin.2024.103220","url":null,"abstract":"<div><div>The empirical literature on the effects of banking crises on income inequality has yielded mixed findings. In this paper, we aim to reconcile these mixed results by evaluating the effects of banking crises on income inequality in relation to pre-crisis credit gaps. We apply the Local Projections methodology to a yearly panel of 68 banking crises that occurred in 59 countries over the period 1970–2017. Three key results emerge. First, banking crises lead to increased income inequality. Second, only those banking crises preceded by larger credit gaps show a significant increase in income inequality. Third, a deeper contraction in the credit supply and a higher unemployment rate are two channels that could potentially explain why inequality rises more after banking crises with larger pre-crisis credit gaps. These results underscore the importance of macroprudential policies that, as well as limiting the amplitude of the financial cycle and the associated risks of financial crises, could also play a key role in reducing the distributional consequences of banking crises.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"150 ","pages":"Article 103220"},"PeriodicalIF":2.8,"publicationDate":"2024-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142663442","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
Nothing special about an allowance for corporate equity: Evidence from Italian banks 公司股权备抵并无特别之处：意大利银行的证据
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-10-31 DOI: 10.1016/j.jimonfin.2024.103219
Dennis Dreusch , Felix Noth , Peter Reichling
{"title":"Nothing special about an allowance for corporate equity: Evidence from Italian banks","authors":"Dennis Dreusch ,&nbsp;Felix Noth ,&nbsp;Peter Reichling","doi":"10.1016/j.jimonfin.2024.103219","DOIUrl":"10.1016/j.jimonfin.2024.103219","url":null,"abstract":"<div><div>This paper analyzes the impact of reduced tax incentives for equity financing on banks' regulatory capital ratios under the Basel III regime. We are particularly interested in a recent interest rate cut in the Italian corporate equity allowance, which reduces the relative tax advantage of equity financing. The results show that banks respond to this increased tax disparity by significantly reducing their regulatory capital while at the same time reducing their risk-taking. The decline in capital is more pronounced for small banks and outweighs the initial capital gains from the introduction of this tax instrument. Our results challenge the use of equity allowances, in that financial stability gains persist only as long as costly tax subsidies remain intact and diminish as the size of the subsidy is reduced.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"150 ","pages":"Article 103219"},"PeriodicalIF":2.8,"publicationDate":"2024-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142586713","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
Fiscal policy design and inflation: The COVID-19 pandemic experience 财政政策设计与通货膨胀：COVID-19 大流行病的经验
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-10-29 DOI: 10.1016/j.jimonfin.2024.103210
Galina Hale , John Leer , Fernanda Nechio
{"title":"Fiscal policy design and inflation: The COVID-19 pandemic experience","authors":"Galina Hale ,&nbsp;John Leer ,&nbsp;Fernanda Nechio","doi":"10.1016/j.jimonfin.2024.103210","DOIUrl":"10.1016/j.jimonfin.2024.103210","url":null,"abstract":"<div><div>The significant rise in inflation (nearly) worldwide has been associated with different shocks and a range of policy responses to the COVID-19 pandemic. We study how the design of fiscal support measures helps explain the origins of the post-pandemic inflationary bout by exploring the heterogeneity of fiscal support measures across 10 large economies. Because conventional measures of real activity were distorted in the early stages of the pandemic, we control for the underlying state of the real economy using household sentiment data. We find that five weeks following support announcements, fiscal support measures already had statistically and economically significant, albeit not large, inflationary effects. The magnitude of the effect was twice as large in an environment of improving consumer sentiment and, in that case, the effects did not differ significantly whether the fiscal support targeted consumers or firms. Moreover, the inflationary effect was larger and much more immediate if the support involved cash transfers. Our findings suggest that policy design mattered for the underlying inflationary pressures in the aftermath of the pandemic.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"150 ","pages":"Article 103210"},"PeriodicalIF":2.8,"publicationDate":"2024-10-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142663443","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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