Journal of International Money and Finance最新文献

{"title":"The intersection of security attributes of national debt and socially responsible investment objectives","authors":"Yang Liu ,&nbsp;Aihua Wang ,&nbsp;Rong Tan","doi":"10.1016/j.jimonfin.2024.103265","DOIUrl":"10.1016/j.jimonfin.2024.103265","url":null,"abstract":"<div><div>Amidst the backdrop of globalization, the deepening economic interdependence among nations is unmistakable. The government bond market, a crucial element of the financial system, carries profound implications for socially responsible investments (SRI) owing to its stability and security. Focusing on the spillover of government bond yields, this study employs the QVAR model’s generalized variance decomposition method to assess the spillover effects of long-term and short-term government bond yields under different extreme states. The terms “spillover” and “spillback” are respectively used to denote of the government bond market, thereby assessing the safety attributes of government bond assets. Additionally, a panel model is constructed to examine whether economic interconnectedness is a primary factor in the risk resistance and transfer capability of the government bond market. The results indicate that, first, under extreme states, the capacity to resist the risk of the government bond market is weaker than in normal states, In comparison, the capacity to transfer risk is stronger, reflecting structural changes in the security attributes of government bond assets. Secondly, considering the resilience of government bonds to risk, both short-term and long-term government bonds in various nations demonstrate enhanced safety attributes under high-risk circumstances compared to low-risk scenarios. Regarding their capacity to transfer risk, the safety attributes of short-term government bonds tend to vary, whereas long-term government bonds exhibit more robust safety features under low-risk conditions. Third, the level of economic correlation serves as a prospective indicator for identifying the safety attributes of the government bond market, exerting a significant influence on both the capacity to resist risk and the capacity to transfer risk of the government bond market. Each economy should persistently deepen its comprehension of economic interconnections within the context of globalization, augment the safety and allure of government bond assets, and perpetually refine investment portfolios to bolster their risk resilience and transfer. This will attract more socially responsible investors, thereby providing financial support and risk mitigation for sustainable development.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"152 ","pages":"Article 103265"},"PeriodicalIF":2.8,"publicationDate":"2025-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143171724","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":"SDG performance and stock returns: Fresh insights from China","authors":"Chen Zhang-Hangjian ,&nbsp;Xu Mengqing ,&nbsp;Ren Fei ,&nbsp;Xiong Xiong","doi":"10.1016/j.jimonfin.2024.103264","DOIUrl":"10.1016/j.jimonfin.2024.103264","url":null,"abstract":"<div><div>This paper employs the micro evaluation data from Robeco, which pertains to the degree of firms’ contribution to the attainment of the UN’ SDG goals, to investigate the impact of corporate sustainability on stock price performance and the associated economic mechanisms. The empirical results suggest that firms’ sustainability has a significant negative effect on excess returns, particularly the contribution of firms to the social dimension of sustainability. Firms’ SDG performance can alleviate financing constraints and reduce financial risk, but it does not significantly enhance financial performance, leading to market capital outflows from high SDG-performing firms, especially from individual investors. Furthermore, our results suggest that high SDG-performing firms are undervalued and do not increase the information content in their stock prices, which may be the main reason for the negative effect of SDG performance. We also conduct a series of heterogeneity tests, which show that firms from regions with high environmental regulatory intensity and less economic development, as well as heavily polluting firms and firms with poorer information environments, experience greater negative effects. These findings have implications for investors to properly understand corporate sustainability and for regulators to promote the development of a low-carbon economy.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"152 ","pages":"Article 103264"},"PeriodicalIF":2.8,"publicationDate":"2024-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143104936","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 market stabilization role of central bank asset purchases: High-frequency evidence from the COVID-19 crisis","authors":"Marco Bernardini ,&nbsp;Annalisa De Nicola","doi":"10.1016/j.jimonfin.2024.103257","DOIUrl":"10.1016/j.jimonfin.2024.103257","url":null,"abstract":"<div><div>We investigate the flow effects of the Eurosystem government bond purchases conducted in Italy during the early stages of the COVID-19 crisis. Using confidential high-frequency data and local projections, we find that the purchase of long-term bonds reduced corresponding yields by an average of 4 to 5 basis points per billion euros on impact. These effects persisted after the purchases and were strongly transmitted along the yield curve, leading to marked improvements in liquidity conditions, while remaining mostly confined to the domestic market. We further document that the effects were considerably more pronounced – nearly doubling in size – at the peak of the crisis, when market liquidity dried up and the euro area bond market became highly fragmented along national borders. Our findings point to a crucial role of actual purchases in stabilizing financial markets, beyond that of purchase announcements. They also support the rationale for more flexible and targeted interventions during periods of market distress.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"152 ","pages":"Article 103257"},"PeriodicalIF":2.8,"publicationDate":"2024-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143171725","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":"Can structural loan policy promote low-carbon transition of manufacturing enterprises? New evidence from China","authors":"Can Tang ,&nbsp;Bing Wang ,&nbsp;Wenping Zheng","doi":"10.1016/j.jimonfin.2024.103250","DOIUrl":"10.1016/j.jimonfin.2024.103250","url":null,"abstract":"<div><div>This paper examines the energy impact of a policy toolkit of expanding medium- and long-term loan policy in the manufacturing industry in China. Based on a novel firm-level data from 2018 to 2021, this paper employs a difference-in-difference model to investigate the causal effect of finance on green transition. The results indicate that the implementation of medium- and long-term loan policies can effectively reduce the energy consumption of manufacturing enterprises and promote energy transformation. Among, for small and medium-sized enterprises and non-heavily polluting manufacturing enterprises, the role of state-owned enterprises is more significant. However, firms affected by the US-China trade war and the Federal Reserve’s interest rate hike are not significantly positively affected by lending policies. In addition, the expansion of medium- and long-term loan policies for the manufacturing industry can promote the energy transformation of the manufacturing industry by easing the financing constraints of enterprises, which has important theoretical significance for the implementation of China’s fiscal and taxation policies. Lastly, policies can improve the level of economic performance of firms and lead to an increase in the number of innovators in firms.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"152 ","pages":"Article 103250"},"PeriodicalIF":2.8,"publicationDate":"2024-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143171722","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":"Can fiscal consolidations announcements help anchor inflation expectations?","authors":"Antonio C. David,&nbsp;Samuel Pienknagura,&nbsp;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}

{"title":"Influence of ESG on corporate debt default risk: An analysis of the dual risk scenarios","authors":"Yuping Shang ,&nbsp;Zisheng Xiao ,&nbsp;Asma Nasim ,&nbsp;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}

{"title":"The effects of inflation uncertainty on firms and the macroeconomy","authors":"Carola Binder ,&nbsp;Ezgi Ozturk ,&nbsp;Xuguang Simon Sheng","doi":"10.1016/j.jimonfin.2024.103239","DOIUrl":"10.1016/j.jimonfin.2024.103239","url":null,"abstract":"<div><div>We construct measures of inflation uncertainty for 33 countries using data from professional forecasters. Inflation uncertainty, as proxied by inflation forecast disagreement, rose substantially in most, but not all, countries following the pandemic. Using panel local projections, we show that inflation uncertainty reduces real economic activity. This holds true at the country level, where higher inflation uncertainty leads to lower industrial production, and at the firm level, where it results in lower real sales and employment. Global openness amplifies this negative impact, with the amplification effect being more pronounced for financial openness than for trade openness. Higher inflation uncertainty also leads to higher inflation.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"151 ","pages":"Article 103239"},"PeriodicalIF":2.8,"publicationDate":"2024-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142700129","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":"Reconciling contrasting views on the growth effect of currency misalignments","authors":"Cécile Couharde ,&nbsp;Carl Grekou ,&nbsp;Valérie Mignon ,&nbsp;Florian Morvillier","doi":"10.1016/j.jimonfin.2024.103237","DOIUrl":"10.1016/j.jimonfin.2024.103237","url":null,"abstract":"<div><div>This paper provides an in-depth analysis of the link between exchange rate misalignments and economic growth for a large sample of 170 countries over the 1973-2019 period. Although any significant departures from the equilibrium exchange rate levels are found undesirable, we show that undervaluations are more likely to stimulate economic growth in developing countries. However, this positive impact is observed only up to certain thresholds of development level and currency undervaluation. Consequently, strategies in developing countries that systematically undervalue currencies in real terms to foster growth should be carefully tailored, as they raise the risk for these economies of switching from a positive to a less favorable growth regime, depending on both their specific wealth level and the extent of their currency undervaluation.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"151 ","pages":"Article 103237"},"PeriodicalIF":2.8,"publicationDate":"2024-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142721010","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}

{"title":"Non-standard monetary policy and ECB communication: Confusion or predictability?","authors":"Quentin Bro de Comères,&nbsp;Cornel Oros,&nbsp;Marc Pourroy,&nbsp;Léonore Raguideau-Hannotin,&nbsp;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}

{"title":"Understanding the use of unconventional monetary policy for portfolio decarbonisation in Europe","authors":"José Antonio Muñiz ,&nbsp;Charles Larkin ,&nbsp;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}