{"title":"What happens to emerging market economies when US yields go up?","authors":"Julián Caballero, Christian Upper","doi":"10.1016/j.jimonfin.2025.103442","DOIUrl":"10.1016/j.jimonfin.2025.103442","url":null,"abstract":"<div><div>This paper explores under what circumstances increases in US Treasury yields spill over into declines in emerging market economy (EME) asset prices. We identify episodes of sharp increases in US 10-year Treasury yields and explore under which conditions these are associated with reductions in EME local currency yields, exchange rates and equity prices. We find that rising US yields are more likely to be associated with adverse outcomes in emerging markets when they reflect (i) a rise in the US term premium and (ii) dollar appreciation. The effects of these variables are highly non-linear economically significant and robust to a variety of sensitivity checks. Of EME fundamentals, rising EME inflation expectations, a current account deficit and greater exchange rate flexibility seem to be associated with worse EME outcomes, although these results do not hold in all specifications.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"160 ","pages":"Article 103442"},"PeriodicalIF":3.3,"publicationDate":"2025-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145365670","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}
{"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}
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}
{"title":"Managing capital inflows in a partially dollarized economy: The role of reserve requirements","authors":"Eugenia Andreasen , Victoria Nuguer","doi":"10.1016/j.jimonfin.2025.103440","DOIUrl":"10.1016/j.jimonfin.2025.103440","url":null,"abstract":"<div><div>The paper examines the macroeconomic and bank-level effects of raising foreign currency reserve requirements in a partially dollarized economy. Focusing on Peru, we study policy changes implemented by the Central Bank between 2008 and 2017, aimed at containing rapid credit growth fueled by foreign currency deposits. Empirical results show that higher reserve requirements in foreign currency reduced overall credit supply, with heterogeneous effects across banks depending on their reliance on foreign currency funding. Motivated by these findings, we develop a dynamic stochastic general equilibrium model of a small open economy with financial frictions, bank heterogeneity, and financial dollarization. The model replicates the empirical results and provides insights into the mechanism through which this macroprudential tool affects credit and aggregate dynamics, highlighting its effectiveness in managing credit booms in dollarized banking systems.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"159 ","pages":"Article 103440"},"PeriodicalIF":3.3,"publicationDate":"2025-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145323909","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}
{"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}
José Garcia-Revelo , Grégory Levieuge , Jean-Guillaume Sahuc
{"title":"Revisiting 15 years of unusual transatlantic monetary policies","authors":"José Garcia-Revelo , Grégory Levieuge , Jean-Guillaume Sahuc","doi":"10.1016/j.jimonfin.2025.103441","DOIUrl":"10.1016/j.jimonfin.2025.103441","url":null,"abstract":"<div><div>The European Central Bank and the Federal Reserve introduced new policy instruments and made changes to their operational frameworks to address the global financial crisis (2008) and the Covid-19 pandemic (2020). We study the macroeconomic effects of these monetary policy evolutions on both sides of the Atlantic Ocean by developing and estimating a tractable two-country dynamic stochastic general equilibrium model. We show that the euro area and the United States faced shocks of different natures, explaining some asynchronous monetary policy measures between 2008 and 2023. However, counterfactual exercises highlight that all conventional and unconventional policies implemented since 2008 have appropriately <em>(i)</em> supported economic growth and <em>(ii)</em> maintained inflation on track in both areas. The exception is the delayed reaction to the inflationary surge during 2021–2022. Furthermore, exchange rate shocks played a significant role in shaping the overall monetary conditions of the two economies.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"159 ","pages":"Article 103441"},"PeriodicalIF":3.3,"publicationDate":"2025-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145267341","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}
{"title":"Systemic risk in global FX markets: Measurement and determinants","authors":"Yanting Jiang , Juan Lin , Yanghan Chen","doi":"10.1016/j.jimonfin.2025.103435","DOIUrl":"10.1016/j.jimonfin.2025.103435","url":null,"abstract":"<div><div>This paper examines systemic risk in global foreign exchange (FX) markets using a dynamic skew-<span><math><mi>t</mi></math></span> factor copula model for 36 currencies from 2015 to 2024. We document significant time variation in systemic risk with pronounced spikes during major global disruptions. Exchange rate regimes significantly influence currency vulnerability, with floating and intermediate regimes providing better insulation against systemic risk than fixed regimes. We identify an inverted U-shaped relationship between global economic integration and currency vulnerability: initial trade and FDI integration increases vulnerability until reaching critical thresholds, beyond which deeper integration reduces vulnerability. These findings have important implications for systemic risk management in increasingly interconnected FX markets.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"159 ","pages":"Article 103435"},"PeriodicalIF":3.3,"publicationDate":"2025-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145158268","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}
{"title":"The impact of financial stress shocks on commodity prices","authors":"Kai Wang , Cheng Zhang , Zhiping Zhou","doi":"10.1016/j.jimonfin.2025.103436","DOIUrl":"10.1016/j.jimonfin.2025.103436","url":null,"abstract":"<div><div>This paper examines the impact of financial distress on commodity returns over the 1990–2023 period. Using Markov switching vector autoregressive models to identify three regimes, we find that an unexpected increase in financial distress is negatively associated with commodity returns. The analysis of impulse response functions suggests that the impact of financial stress shocks on commodity returns is approximately three times greater during the crisis regime, which includes the subprime mortgage crisis and the COVID-19 pandemic, than normal times. Further examination of specific commodities, including foodstuffs, metals, and raw industrials, demonstrates that heightened financial stress also leads to a larger decline in commodity returns in the crisis regime. We also show that the impact is stronger for metals than foodstuffs and raw industrials.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"159 ","pages":"Article 103436"},"PeriodicalIF":3.3,"publicationDate":"2025-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145220409","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}
Anusha Chari , Karlye Dilts Stedman , Christian Lundblad
{"title":"Risk-on/risk-off: Measuring shifts in investor risk bearing capacity","authors":"Anusha Chari , Karlye Dilts Stedman , Christian Lundblad","doi":"10.1016/j.jimonfin.2025.103438","DOIUrl":"10.1016/j.jimonfin.2025.103438","url":null,"abstract":"<div><div>This paper defines risk-on/risk-off (RORO), an elusive terminology in pervasive use, as high frequency variation in global investor risk taking behavior. Our daily RORO index captures time-varying investor risk appetite across multiple dimensions: advanced economy credit risk, equity market volatility, funding conditions, and currency dynamics. The index exhibits risk-off skewness and fat tails, suggesting its amplifying potential for extreme, destabilizing events. Compared to other measures, our index reflects the diverse provenance of investor behavior (and therefore of risk) in a parsimonious form. Practical applications of the RORO index highlight its valuable role in understanding international portfolio reallocation and return predictability.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"159 ","pages":"Article 103438"},"PeriodicalIF":3.3,"publicationDate":"2025-09-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145220410","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}
{"title":"Real exchange rate, financial constraints and product innovation: Evidence from China","authors":"Liang Fu , Chun-Yu Ho , Xiao Wei , Xiaoli Zhang","doi":"10.1016/j.jimonfin.2025.103437","DOIUrl":"10.1016/j.jimonfin.2025.103437","url":null,"abstract":"<div><div>This paper examines how real exchange rate (RER) movements affects product innovation using a panel dataset of Chinese manufacturing firms. We construct a firm-specific effective RER to reflect each firm’s unique exposure to exchange rate shocks based on its composition of trading partners. Product innovation is measured by the share of new product sales in total sales (NPS), an indicator that reflects the successful commercialization of product innovation. Our main results report that RER appreciation reduces NPS. We further hypothesize that decreased profits from diminished exports, induced by RER appreciation, tighten financial constraints on developing new products. Empirical evidence supports this hypothesis: the negative effect of RER appreciation on NPS is more pronounced for financially constrained firms, specifically those with private ownerships, less fixed assets, a lower current ratio, a lower net liquidity ratio, or those located in cities with lower levels of financial development.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"159 ","pages":"Article 103437"},"PeriodicalIF":3.3,"publicationDate":"2025-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145158267","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}