Journal of International Money and Finance最新文献

Can fiscal consolidations announcements help anchor inflation expectations?

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2024-11-28 DOI: 10.1016/j.jimonfin.2024.103247

Antonio C. David, Samuel Pienknagura, Juan F. Yépez

{"title":"Can fiscal consolidations announcements help anchor inflation expectations?","authors":"Antonio C. David, Samuel Pienknagura, Juan F. Yépez","doi":"10.1016/j.jimonfin.2024.103247","DOIUrl":"10.1016/j.jimonfin.2024.103247","url":null,"abstract":"<div><div>Using quarterly economic data and a comprehensive database on fiscal policy consolidation announcements for a sample of advanced economies and emerging markets, we quantify the effects of fiscal tightening on inflation expectations. We find that fiscal consolidation announcements reduce inflation expectations over the medium-term (three and five-years ahead), but not in the short-term (one-year ahead). There is also some evidence that consolidation announcements reduce “disagreement” about expected future inflation at longer horizons. The inflation anchoring role of consolidation announcements is enhanced by the strength of a country's fiscal and monetary frameworks, and when fiscal and monetary policy work in tandem. In addition, we find that initial conditions matter—inflation expectation's response to consolidation announcements is larger in periods of high contemporaneous inflation. With these results in hand, we show that the effectiveness of fiscal consolidation in limiting realized inflation depends greatly on the response of inflation expectations to consolidation announcements. These results show that fiscal policy is crucial to anchor inflation expectations and a key element of a credible disinflationary process.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"151 ","pages":"Article 103247"},"PeriodicalIF":2.8,"publicationDate":"2024-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142745062","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

Influence of ESG on corporate debt default risk: An analysis of the dual risk scenarios

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2024-11-26 DOI: 10.1016/j.jimonfin.2024.103248

Yuping Shang , Zisheng Xiao , Asma Nasim , Xin Zhao

{"title":"Influence of ESG on corporate debt default risk: An analysis of the dual risk scenarios","authors":"Yuping Shang , Zisheng Xiao , Asma Nasim , Xin Zhao","doi":"10.1016/j.jimonfin.2024.103248","DOIUrl":"10.1016/j.jimonfin.2024.103248","url":null,"abstract":"<div><div>In the context of sustainable development and high-quality corporate growth, this study examines the impact of Environmental, Social, and Governance (ESG) performance on corporate debt default risk among Chinese A-share listed corporates. It explores the mechanisms by which ESG performance influences debt risk, including diversification of funding sources, optimized capital utilization, and improved market supply–demand dynamics. The mitigating effect of ESG on debt risk is more pronounced in state-owned enterprises, large corporations, and corporations with robust internal controls, especially under conditions of low marketization and adverse macroeconomic circumstances. Moreover, in light of the global emphasis on climate risks, this study assesses their significant influence on debt default risk, particularly through the environmental aspect of ESG. Innovatively, this study incorporates dual climate risk scenarios to comprehensively analyze the interaction between ESG performance and debt default risk. Findings indicate that ESG performance significantly lowers debt risk in corporates facing higher internal climate challenges, while the effects on external supply chain climate risks are less evident. These insights contribute to the theoretical understanding of ESG and financial risk management and provide practical strategies for corporates pursuing sustainability in an unstable climatic environment.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"151 ","pages":"Article 103248"},"PeriodicalIF":2.8,"publicationDate":"2024-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142745063","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 inflation uncertainty on firms and the macroeconomy 通胀不确定性对企业和宏观经济的影响

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2024-11-22 DOI: 10.1016/j.jimonfin.2024.103239

Carola Binder , Ezgi Ozturk , Xuguang Simon Sheng

引用次数: 0

Reconciling contrasting views on the growth effect of currency misalignments 调和关于货币失调对增长影响的不同观点

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2024-11-22 DOI: 10.1016/j.jimonfin.2024.103237

Cécile Couharde , Carl Grekou , Valérie Mignon , Florian Morvillier

引用次数: 0

Non-standard monetary policy and ECB communication: Confusion or predictability? 非标准货币政策与欧洲央行的沟通：混乱还是可预测性？

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2024-11-20 DOI: 10.1016/j.jimonfin.2024.103236

Quentin Bro de Comères, Cornel Oros, Marc Pourroy, Léonore Raguideau-Hannotin, Anne-Gaël Vaubourg

{"title":"Non-standard monetary policy and ECB communication: Confusion or predictability?","authors":"Quentin Bro de Comères, Cornel Oros, Marc Pourroy, Léonore Raguideau-Hannotin, Anne-Gaël Vaubourg","doi":"10.1016/j.jimonfin.2024.103236","DOIUrl":"10.1016/j.jimonfin.2024.103236","url":null,"abstract":"<div><div>Using a dataset of 273 press releases and introductory statements over the period 1999-2020, we investigate how the communication of the European Central Bank (ECB) influences the ability of market participants to predict its monetary decisions. We build four new indicators of communication intensity and frequency and measure predictability by decomposing the surprises on the variation of asset prices around monetary announcements into a “target” – which captures the standard dimension of monetary policy surprises – a “path” factor – which corresponds to the forward guidance dimension of monetary surprises – and a QE factor – which accounts for their quantitative easing dimension. Our findings reveal that the intensity and frequency of ECB communication reduce the surprise of market participants regarding non-standard dimensions of monetary policy. Moreover, the improvement of the predictability of monetary decisions is not achieved at the expense of greater confusion over standard monetary decisions. Additionally, the reduction in surprises operates through the information channel, by which monetary policy announcements transfer information about economic fundamentals from the central bank to market participants.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"151 ","pages":"Article 103236"},"PeriodicalIF":2.8,"publicationDate":"2024-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142721012","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

Understanding the use of unconventional monetary policy for portfolio decarbonisation in Europe 了解非常规货币政策在欧洲组合脱碳中的应用

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2024-11-16 DOI: 10.1016/j.jimonfin.2024.103231

José Antonio Muñiz , Charles Larkin , Shaen Corbet

{"title":"Understanding the use of unconventional monetary policy for portfolio decarbonisation in Europe","authors":"José Antonio Muñiz , Charles Larkin , Shaen Corbet","doi":"10.1016/j.jimonfin.2024.103231","DOIUrl":"10.1016/j.jimonfin.2024.103231","url":null,"abstract":"<div><div>This study examines the European Central Bank's (ECB) use of unconventional monetary policy to decarbonise its balance sheet, focusing specifically on the inherent trade-offs between monetary stability and environmental sustainability. We investigate how the ECB's green asset purchases, as part of its Corporate Sector Purchase Programme (CSPP), affect the liquidity of its portfolio compared to similar assets not held by the ECB. While these assets align with green objectives, they exhibit significantly lower liquidity than their non-green counterparts. This discrepancy highlights a fundamental tension within the ECB's policy framework: the commitment to environmental sustainability may undermine liquidity and, by extension, the overall effectiveness of monetary policy. Our findings suggest that the ECB's strategy to integrate environmental considerations into its operations, though successful in supporting greener initiatives, poses challenges for maintaining strong liquidity levels. The study underscores the need for innovative financial instruments and strategies to reconcile the dual objectives of promoting environmental sustainability and ensuring monetary stability.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"150 ","pages":"Article 103231"},"PeriodicalIF":2.8,"publicationDate":"2024-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142705084","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

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

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

引用次数: 0

Asset bubbles and financial frictions in small open economies☆ 小型开放经济体中的资产泡沫与金融摩擦☆。

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2024-11-08 DOI: 10.1016/j.jimonfin.2024.103230

Feng Dong , Dongzhou Mei , Zehua Xiao

{"title":"Asset bubbles and financial frictions in small open economies☆","authors":"Feng Dong , Dongzhou Mei , Zehua Xiao","doi":"10.1016/j.jimonfin.2024.103230","DOIUrl":"10.1016/j.jimonfin.2024.103230","url":null,"abstract":"<div><div>Financial cycles involving asset bubbles frequently coincide with the cyclical expansion and contraction of credit conditions. The collapse of asset and credit bubbles frequently precedes financial crises and economic recessions. We develop a small open economy DSGE model that incorporates asset bubbles and banking frictions. Credit-constrained firms trade in intrinsically useless bubble assets. Financial intermediaries, constrained by their balance sheets, introduce banking friction into financial markets. The static analysis suggests that increases in foreign interest rates unfavorably impact the formation of domestic bubbles. Dynamic analysis indicates that asset bubbles amplify macroeconomic fluctuations, with banking leverage constraints intensifying this effect. Therefore, asset bubbles amplify and propagate economic fluctuations. Unconventional monetary policy, macroprudential policy, and bubbly bailout policy could mitigate the amplification effects of banking leverage constraints and asset bubble bursts on macroeconomic fluctuations, which are mediated through reducing risk premiums, curbing capital outflows, and sustaining asset bubble channels, respectively. Finally, combining unconventional monetary policies with bubbly bailout policies and macroprudential policies yields superior outcomes.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"150 ","pages":"Article 103230"},"PeriodicalIF":2.8,"publicationDate":"2024-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142705105","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 , Dongmei Guo , Yuting Li , Junjie Xia , 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