Journal of International Money and Finance最新文献_第10页

Latent fragility: Conditioning banks' joint probability of default on the financial cycle 潜在脆弱性：以金融周期作为银行联合违约概率的条件

IF 2.5 2区经济学

Journal of International Money and Finance Pub Date : 2024-05-31 DOI: 10.1016/j.jimonfin.2024.103107

Paul Bochmann , Paul Hiebert , Yves Schüler , Miguel A. Segoviano

{"title":"Latent fragility: Conditioning banks' joint probability of default on the financial cycle","authors":"Paul Bochmann , Paul Hiebert , Yves Schüler , Miguel A. Segoviano","doi":"10.1016/j.jimonfin.2024.103107","DOIUrl":"https://doi.org/10.1016/j.jimonfin.2024.103107","url":null,"abstract":"<div><p>We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic risk. In this framework, banking sector distress in the form of the joint probability of default of financial intermediaries (reflecting contagion from both direct and indirect interconnectedness) is conditioned on the financial cycle (reflecting the buildup and unwinding of system-wide balance-sheet leverage). An empirical application to large systemic banks in the euro area, US and UK illustrates how the unraveling of excess leverage can magnify banking sector distress, including during the 2023 US banking sector turmoil. Capturing this dependence of banking sector distress on prevailing financial imbalances can enhance risk surveillance and stress testing alike. An empirical signaling exercise confirms that the CoJPoD outperforms the individual capacity of either its unconditional counterpart or the financial cycle in signaling financial crises – particularly at their onset – suggesting scope to increase the precision with which macroprudential policies are calibrated.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"146 ","pages":"Article 103107"},"PeriodicalIF":2.5,"publicationDate":"2024-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141314635","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

International macroeconomic vulnerability 国际宏观经济的脆弱性

IF 2.5 2区经济学

Journal of International Money and Finance Pub Date : 2024-05-31 DOI: 10.1016/j.jimonfin.2024.103105

Márcio Garcia , Diogo Guillen , Bernardo Ribeiro , João Velloso

{"title":"International macroeconomic vulnerability","authors":"Márcio Garcia , Diogo Guillen , Bernardo Ribeiro , João Velloso","doi":"10.1016/j.jimonfin.2024.103105","DOIUrl":"https://doi.org/10.1016/j.jimonfin.2024.103105","url":null,"abstract":"<div><p>Small open economies are known to be impacted by shocks to larger economies. This phenomenon is known as macroeconomic vulnerability. We propose and implement a novel index of macroeconomic vulnerability to foreign shocks for a given pair of a large economy and a small open economy. It uses a structural time-varying Bayesian VAR with a block-exogeneity hypothesis. The index is based on the sum of the responses of the small open economy to shocks in the large economy over time, thus allowing us to disentangle and measure the source of the shock, the impact variables, and the duration of impact. We highlight two results out of the many that our index unveils. First, we do not find a difference between the international impact of U.S. shocks during periods of crises versus stability. Second, we find that there is a growing decouple between emerging markets (EM) and developed markets (DM) on how their domestic inflation is affected by U.S. output shocks. Our approach can also be used to elucidate previously unknown transmission channels or unmeasured theoretical mechanisms. Finally, using a sample of developed and developing countries, we find that global banks do not increase the macroeconomic vulnerability of a country.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"146 ","pages":"Article 103105"},"PeriodicalIF":2.5,"publicationDate":"2024-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141264064","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

Co-Bubble transmission across clean and dirty Cryptocurrencies: Network and portfolio analysis 清洁和肮脏加密货币之间的共泡沫传输：网络和投资组合分析

IF 2.5 2区经济学

Journal of International Money and Finance Pub Date : 2024-05-28 DOI: 10.1016/j.jimonfin.2024.103108

Yan Chen , Lei Zhang , Elie Bouri

{"title":"Co-Bubble transmission across clean and dirty Cryptocurrencies: Network and portfolio analysis","authors":"Yan Chen , Lei Zhang , Elie Bouri","doi":"10.1016/j.jimonfin.2024.103108","DOIUrl":"10.1016/j.jimonfin.2024.103108","url":null,"abstract":"<div><p>This study proposes a co-bubble network to capture the transmission of co-bubbles across the prices of 37 cryptocurrencies from both static and dynamic perspectives. It considers the periods of the COVID-19 pandemic and the Russo-Ukrainian conflict, and distinguishes clean from dirty cryptocurrencies. The main findings are summarized as follows: Firstly, larger cryptocurrencies, such as Bitcoin, Ethereum, and BNB, have a higher probability of generating co-bubbles in other cryptocurrencies, indicating a strong interdependence among them. Secondly, the co-bubble network experiences notable changes around crisis events, with distinct characteristics observed during the COVID-19 pandemic compared to the Russo-Ukrainian conflict. Thirdly, the transmission of co-bubble influence exhibits time-varying characteristics, and centrality rankings of influential cryptocurrencies vary around the crises. Particularly, after the COVID-19 pandemic, Bitcoin and BNB experience a decline in centrality ranking, while smaller-cap cryptocurrencies show higher centrality rankings, suggesting the transmission of co-bubble effects from large to smaller cryptocurrencies. The centrality rankings of Bitcoin, Ethereum, and BNB show a contrasting pattern, maintaining higher levels in the ongoing post Russo-Ukrainian conflict period. Fourthly, different patterns of co-bubble transmission exist for dirty and clean groups, with dirty cryptocurrencies showing a much higher intensity of co-bubbles during the Russo-Ukrainian conflict. Finally, the portfolio analysis shows that co-bubble network centrality-driven portfolios outperform the baseline portfolio strategy, dirty group portfolio strategy, and clean group portfolio strategy, during the entire sample period and particularly the COVID-19 pandemic. The findings are useful for the decision making of cryptocurrency portfolio managers and policymakers concerned with the behaviour of influential cryptocurrencies and potential risks inferences.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"145 ","pages":"Article 103108"},"PeriodicalIF":2.5,"publicationDate":"2024-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141196366","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 impact of macroprudential policies on industrial growth 宏观审慎政策对工业增长的影响

IF 2.5 2区经济学

Journal of International Money and Finance Pub Date : 2024-05-24 DOI: 10.1016/j.jimonfin.2024.103106

Carlos Madeira

引用次数: 0

The volatility of capital flows in emerging markets: Measures and determinants 新兴市场资本流动的波动性：措施和决定因素

IF 2.5 2区经济学

Journal of International Money and Finance Pub Date : 2024-05-15 DOI: 10.1016/j.jimonfin.2024.103095

Maria Sole Pagliari , Swarnali Ahmed Hannan

{"title":"The volatility of capital flows in emerging markets: Measures and determinants","authors":"Maria Sole Pagliari , Swarnali Ahmed Hannan","doi":"10.1016/j.jimonfin.2024.103095","DOIUrl":"https://doi.org/10.1016/j.jimonfin.2024.103095","url":null,"abstract":"<div><p>Capital flow volatility is a concern for macroeconomic and financial stability. Nonetheless, literature is scarce in this topic. Our paper sheds light on this issue along two dimensions. First, using quarterly data for 33 emerging markets and developing economies, we introduce new estimates of volatility for total <em>multilateral</em> gross capital in- and outflows and key categories, based on the residuals of ARIMA models. We find that a combination of our proposed approach and the commonly used standard deviation best identifies sharp rises during episodes of heightened global risk aversion, thus underscoring the need for a multi-faceted approach to gauge capital flow volatility. Second, we perform panel regressions to understand the determinants of volatility using both ARIMA and standard deviation measures of volatility. While there are variations across different categories of capital flows, generally speaking we identify three main drivers: the US interest rates, global risk aversion, and domestic real GDP. Overall, our findings call for a richer set of volatility estimates, beyond standard deviation, and also show that the determinants of capital flow volatility could vary depending on the measurement approach and the category of flow under analysis.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"145 ","pages":"Article 103095"},"PeriodicalIF":2.5,"publicationDate":"2024-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141073034","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

RMB internationalization and exchange rate exposure of Chinese listed firms 人民币国际化与中国上市公司的汇率风险

IF 2.5 2区经济学

Journal of International Money and Finance Pub Date : 2024-05-13 DOI: 10.1016/j.jimonfin.2024.103098

Qing He , Bailin Liang , Junyi Liu

引用次数: 0

Commodity prices and international Inflation, 1851–1913 商品价格和国际通货膨胀，1851-1913 年

IF 2.5 2区经济学

Journal of International Money and Finance Pub Date : 2024-05-11 DOI: 10.1016/j.jimonfin.2024.103097

Stefan Gerlach , Rebecca Stuart

引用次数: 0

Inspecting cross-border macro-financial mechanisms 检查跨境宏观金融机制

IF 2.5 2区经济学

Journal of International Money and Finance Pub Date : 2024-05-10 DOI: 10.1016/j.jimonfin.2024.103094

Eddie Gerba , Danilo Leiva-León , Margarita Rubio

引用次数: 0

Commodity currencies revisited: The role of global commodity price uncertainty 重温商品货币：全球商品价格不确定性的作用

IF 2.5 2区经济学

Journal of International Money and Finance Pub Date : 2024-05-10 DOI: 10.1016/j.jimonfin.2024.103096

Theodora Bermpei , Laurent Ferrara , Aikaterini Karadimitropoulou , Athanasios Triantafyllou

引用次数: 0

Long-run perspectives on r-g in OECD countries: An empirical analysis 关于 r-g 的长期观点</mml:mrow

IF 2.5 2区经济学

Journal of International Money and Finance Pub Date : 2024-05-09 DOI: 10.1016/j.jimonfin.2024.103093

Freddy Heylen , Marthe Mareels , Christophe Van Langenhove

{"title":"Long-run perspectives on r-g in OECD countries: An empirical analysis","authors":"Freddy Heylen , Marthe Mareels , Christophe Van Langenhove","doi":"10.1016/j.jimonfin.2024.103093","DOIUrl":"10.1016/j.jimonfin.2024.103093","url":null,"abstract":"<div><p>The difference between the implicit nominal interest rate and the growth rate of nominal GDP is a key determinant of the dynamics and the sustainability of public debt. This paper studies the determinants of <span><math><mrow><mi>r</mi><mo>-</mo><mi>g</mi></mrow></math></span> in a panel of 17 OECD countries since the early 1980s. Whereas the focus of existing empirical studies is mainly on fiscal, monetary and financial factors behind the interest–growth difference, our approach and contribution are to highlight in particular the role of real long-run determinants, such as technical progress, employment growth, demographic change, and income inequality. This allows us to derive empirically based projections for <span><math><mrow><mi>r</mi><mo>-</mo><mi>g</mi></mrow></math></span> beyond the next five or ten years. Our baseline expectation is that <span><math><mrow><mi>r</mi><mo>-</mo><mi>g</mi></mrow></math></span> will stay below zero for the next two decades in most European countries that we study. An important policy implication is that the debt-carrying capacity of governments is substantially higher now than in the 1980s or 1990s. For the United States, however, our baseline projection of <span><math><mrow><mi>r</mi><mo>-</mo><mi>g</mi></mrow></math></span> is positive.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"145 ","pages":"Article 103093"},"PeriodicalIF":2.5,"publicationDate":"2024-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0261560624000809/pdfft?md5=0b0c7161a99fe44f58c7485f2d7d5b27&pid=1-s2.0-S0261560624000809-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141024640","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