Journal of International Money and Finance最新文献

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Uncertainty and innovation in renewable energy 可再生能源的不确定性与创新
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-10-01 DOI: 10.1016/j.jimonfin.2024.103202
Luca Bettarelli , Davide Furceri , Pietro Pizzuto , Nadia Shakoor
{"title":"Uncertainty and innovation in renewable energy","authors":"Luca Bettarelli ,&nbsp;Davide Furceri ,&nbsp;Pietro Pizzuto ,&nbsp;Nadia Shakoor","doi":"10.1016/j.jimonfin.2024.103202","DOIUrl":"10.1016/j.jimonfin.2024.103202","url":null,"abstract":"<div><div>This paper empirically investigates the impact of economic and policy uncertainty on green innovation for a sample of 81 advanced and emerging market economies during the period 1976–2020. Our results show that increases in uncertainty lead to a long-lasting decrease in green innovation, measured by the number of new green energy patents. This effect holds for a wide set of technologies, it is larger during recessions and periods of higher financial stress, and in countries with less stringent environment protection regulations. Importantly, the effect of uncertainty on green patents is larger than on non-green patents. Results are robust to several sensitivity tests, including an instrumental variable approach and a difference-in-differences strategy.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"149 ","pages":"Article 103202"},"PeriodicalIF":2.8,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142421988","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
Green vs. brown: Climate risk showdown – who’s thriving, who’s diving? 绿色与褐色:气候风险对决--谁在茁壮成长,谁在沉沦?
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-09-24 DOI: 10.1016/j.jimonfin.2024.103198
Dongyang Zhang , Dingchuan Bai , Yizhi Wang
{"title":"Green vs. brown: Climate risk showdown – who’s thriving, who’s diving?","authors":"Dongyang Zhang ,&nbsp;Dingchuan Bai ,&nbsp;Yizhi Wang","doi":"10.1016/j.jimonfin.2024.103198","DOIUrl":"10.1016/j.jimonfin.2024.103198","url":null,"abstract":"<div><div>Increasingly complex climate change poses unprecedented risks and challenges. We attempt to analyze the strategic responses of firms in dealing with climate risk and whether green firms outperform brown firms by exploring the relationship between climate risk and firms’ cash flow. To this end, this paper uses the high-dimensional fixed-effects model for empirical analysis based on panel data of Chinese listed firms from Q1 2010 to Q4 2022. We find that firms have the motivation to hold more cash in the face of climate risk, and that brown firms will be more proactive in cash flow management compared to green firms. In addition, there are significant industry and seasonal effects of climate risk on firms’ cash flow. Mechanism tests find that climate risk prompts firms to increase cash flow by forcing them to reduce financial leverage and erode operating costs, as well as by inducing increased media attention to the firm. Heterogeneity analysis shows that the positive effect of climate risk on cash flow is more significant among low digital transformation firms, high financial constraints firms, firms with low managerial myopia, and SOEs. An analysis of the economic consequences shows that climate risk leads firms to be more aggressive in capturing market share, increasing productivity and strengthening ESG performance. The above findings help to enlighten firms on how to manage their risk exposures and adjust their internal governance structures as a way to maintain stable operations in an environment of intensified uncertainty. In brief, this paper highlights the differentiated financial decisions that green and brown firms make in response to climate risk, providing empirical evidence and policy implications for advancing the green transformation of firms.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"149 ","pages":"Article 103198"},"PeriodicalIF":2.8,"publicationDate":"2024-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142322777","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
Monetary and fiscal policy challenges in emerging markets amid elevated uncertainty 新兴市场在不确定性增加的情况下面临货币和财政政策挑战
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-09-23 DOI: 10.1016/j.jimonfin.2024.103199
Joshua Aizenman , John Beirne , Menzie D. Chinn , Yothin Jinjarak , Donghyun Park
{"title":"Monetary and fiscal policy challenges in emerging markets amid elevated uncertainty","authors":"Joshua Aizenman ,&nbsp;John Beirne ,&nbsp;Menzie D. Chinn ,&nbsp;Yothin Jinjarak ,&nbsp;Donghyun Park","doi":"10.1016/j.jimonfin.2024.103199","DOIUrl":"10.1016/j.jimonfin.2024.103199","url":null,"abstract":"<div><div>This editorial discusses papers published in a special issue that focuses on monetary and fiscal policy effectiveness and challenges in emerging economies, particularly during periods of amplified global risk aversion and financial market volatility.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"149 ","pages":"Article 103199"},"PeriodicalIF":2.8,"publicationDate":"2024-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142421991","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
Financial integration and hedging and safe haven properties of metals for sovereign bonds 金融一体化和对冲以及金属对主权债券的避险属性
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-09-23 DOI: 10.1016/j.jimonfin.2024.103195
Markus Höfler, Andrea Schertler
{"title":"Financial integration and hedging and safe haven properties of metals for sovereign bonds","authors":"Markus Höfler,&nbsp;Andrea Schertler","doi":"10.1016/j.jimonfin.2024.103195","DOIUrl":"10.1016/j.jimonfin.2024.103195","url":null,"abstract":"<div><div>Previous research has shown that industrial metals outperform gold and other precious metals in terms of hedging and safe haven properties for sovereign bond holdings. We argue that the strength of these properties depends on how much the sovereign bond is globally integrated. We therefore model the hedging and safe haven properties of metals for sovereign bonds as moderated by how much bond returns are globally integrated. Our evidence from the sovereign bonds of 24 countries shows that industrial metals provide a stronger hedge and safe haven when sovereigns are more integrated, whereas precious metals do not. The inflation and exchange rates also affect the hedging properties of metals, but bond integration has the strongest economic effect. This evidence helps explain why metals are excellent hedging or safe haven assets for some sovereign bond investors but not for others.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"149 ","pages":"Article 103195"},"PeriodicalIF":2.8,"publicationDate":"2024-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142359141","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
Heterogeneity in exchange rate pass-through to import prices in Thailand: Evidence from micro data 泰国汇率对进口价格传递的异质性:来自微观数据的证据
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-09-18 DOI: 10.1016/j.jimonfin.2024.103196
Tosapol Apaitan, Pym Manopimoke, Nuwat Nookhwun, Jettawat Pattararangrong
{"title":"Heterogeneity in exchange rate pass-through to import prices in Thailand: Evidence from micro data","authors":"Tosapol Apaitan,&nbsp;Pym Manopimoke,&nbsp;Nuwat Nookhwun,&nbsp;Jettawat Pattararangrong","doi":"10.1016/j.jimonfin.2024.103196","DOIUrl":"10.1016/j.jimonfin.2024.103196","url":null,"abstract":"<div><div>We use transaction-level customs data and show that there is significant the Thai border. Our findings uncover several structural determinants of ERPT, where we document lower ERPT for (i) prices of differentiated goods, (ii) firms with a higher degree of market power, (iii) prices of goods controlled by the government and (iv) goods invoiced in the local currency. We also find that for the large majority of Thai imports that are invoiced in the US dollar under the dominant currency pricing (DCP) paradigm, price responses to the US dollar are much stronger than those associated with the bilateral exchange rate vis-à-vis the exporters' currency, but only in the short run. Finally, by investigating state-dependent properties of ERPT, we find that small exchange rate changes are associated with higher ERPT, while the degree of pass-through is stronger during episodes of depreciations rather than appreciations, particularly for goods that practice DCP.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"149 ","pages":"Article 103196"},"PeriodicalIF":2.8,"publicationDate":"2024-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142421986","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
COVID-19 and redemptions from Irish-resident bond funds COVID-19 和爱尔兰居民债券基金的赎回
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-09-17 DOI: 10.1016/j.jimonfin.2024.103197
David Doran, Vahagn Galstyan
{"title":"COVID-19 and redemptions from Irish-resident bond funds","authors":"David Doran,&nbsp;Vahagn Galstyan","doi":"10.1016/j.jimonfin.2024.103197","DOIUrl":"10.1016/j.jimonfin.2024.103197","url":null,"abstract":"<div><p>This paper examines net redemptions from bond funds domiciled in Ireland at the onset of the COVID-19 pandemic. We analyse various empirical specifications to determine whether factors such as fund leverage, measures of liquidity, portfolio risk and portfolio concentration, among others, explain outflows from Irish-domiciled bond funds in March 2020. The findings indicate that funds with a larger share of short-term securities and riskier bond portfolios experienced higher redemptions. Our analysis also suggests that fund size and age are significant factors affecting outflows. When examining various sub-samples, we find evidence of more reactive behaviour among investors in actively managed funds compared to passively managed funds. We also find that retail bond funds demonstrate greater sensitivity to risk and leverage, while professional funds show evidence of lower risk aversion. These results provide insights that can help inform policymakers’ view of regulatory tools for market-based finance, a key priority internationally.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"149 ","pages":"Article 103197"},"PeriodicalIF":2.8,"publicationDate":"2024-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142274882","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
Gas price shocks and euro area inflation 天然气价格冲击和欧元区通货膨胀
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-09-16 DOI: 10.1016/j.jimonfin.2024.103183
Jakob Feveile Adolfsen , Massimo Ferrari Minesso , Jente Esther Mork , Ine Van Robays
{"title":"Gas price shocks and euro area inflation","authors":"Jakob Feveile Adolfsen ,&nbsp;Massimo Ferrari Minesso ,&nbsp;Jente Esther Mork ,&nbsp;Ine Van Robays","doi":"10.1016/j.jimonfin.2024.103183","DOIUrl":"10.1016/j.jimonfin.2024.103183","url":null,"abstract":"<div><p>This paper develops a Bayesian VAR model to identify three structural shocks driving the European gas market: demand, supply, and inventory shocks. We document how gas price fluctuations have a heterogeneous pass-through to euro area prices depending on the underlying shock driving them. The pass-through is stronger and more persistent when gas prices are driven by aggregate demand or supply pressures, while inventory shocks have a weaker impact. Supply shocks, moreover, are found to pass through to all components of euro area inflation—producer prices, wages, and core inflation—which has implications for monetary policy. Finally, we document how the response of gas prices to shocks is non-linear and is significantly magnified in periods when the economy operates at capacity and, therefore, unemployment is low.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"149 ","pages":"Article 103183"},"PeriodicalIF":2.8,"publicationDate":"2024-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142274880","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
ETFs and tail dependence: Evidence from Chinese stock market ETF与尾部依赖:中国股市的证据
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-09-12 DOI: 10.1016/j.jimonfin.2024.103194
Wei Ning , Jiahua Zhao , Fuwei Jiang
{"title":"ETFs and tail dependence: Evidence from Chinese stock market","authors":"Wei Ning ,&nbsp;Jiahua Zhao ,&nbsp;Fuwei Jiang","doi":"10.1016/j.jimonfin.2024.103194","DOIUrl":"10.1016/j.jimonfin.2024.103194","url":null,"abstract":"<div><p>Using Chinese A-share market data, we empirically examine the impact of exchange-traded funds (ETFs) on tail dependence of the underlying securities. Our results show that ETFs can increase the tail dependence of stocks in their basket, showing that the average tail dependence of a stock is higher when it has stronger ETF holding similarity with other stocks. We investigate the role of arbitrage activity and find that ETF holding similarity increases stocks’ ETF arbitrage activity. This effect is primarily on discount arbitrage rather than premium arbitrage, which leads to higher tail dependence among stocks. Alongside propagating demand shocks from the ETF market to underlying securities, ETFs also propagate tail event shock from one stock to other stocks in their baskets. Additionally, arbitrage activities through ETFs add a new layer of non-fundamental tail dependence to the underlying securities. Unlike mutual funds, ETFs lead to more frequent and idiosyncratic tail risk contagion among underlying securities. Our study sheds light on how ETFs provide new channels for risk contagion among underlying securities in emerging markets.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"149 ","pages":"Article 103194"},"PeriodicalIF":2.8,"publicationDate":"2024-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142274881","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
Asymmetry and non-linearity in exchange rate pass-through: Evidence from scanner data 汇率传递的不对称性和非线性:来自扫描仪数据的证据
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-09-12 DOI: 10.1016/j.jimonfin.2024.103193
In Kyung Kim , Jinhyuk Lee , Hyejoon Im
{"title":"Asymmetry and non-linearity in exchange rate pass-through: Evidence from scanner data","authors":"In Kyung Kim ,&nbsp;Jinhyuk Lee ,&nbsp;Hyejoon Im","doi":"10.1016/j.jimonfin.2024.103193","DOIUrl":"10.1016/j.jimonfin.2024.103193","url":null,"abstract":"<div><p>Using retail scanner data from Kazakhstan, an emerging economy with significant and unexpected exchange rate fluctuations, we observe an incomplete yet substantial exchange rate pass-through (ERPT) into prices. Specifically, we note a 50% change occurring a year after the initial shock. The ERPT demonstrates asymmetry in response to exchange rate movements. Notably, the direction of this asymmetry is opposite for imported versus domestic products. Furthermore, our findings indicate that ERPT is non-linear; the price response is more pronounced when the exchange shock is small, aligning with the existence of menu costs. Understanding these asymmetric and non-linear price responses to exchange rate shocks may be crucial for formulating effective inflation targeting policies, especially in emerging economies prone to high inflation.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"149 ","pages":"Article 103193"},"PeriodicalIF":2.8,"publicationDate":"2024-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142274879","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
Public and Private Investment as Catalysts for Growth: An analysis of emerging markets and developing economies with a focus on Asia 作为增长催化剂的公共和私人投资:以亚洲为重点的新兴市场和发展中经济体分析
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-09-03 DOI: 10.1016/j.jimonfin.2024.103166
João Tovar Jalles , Donghyun Park , Irfan Qureshi
{"title":"Public and Private Investment as Catalysts for Growth: An analysis of emerging markets and developing economies with a focus on Asia","authors":"João Tovar Jalles ,&nbsp;Donghyun Park ,&nbsp;Irfan Qureshi","doi":"10.1016/j.jimonfin.2024.103166","DOIUrl":"10.1016/j.jimonfin.2024.103166","url":null,"abstract":"<div><p>The paper analyzes the growth impact of public and private investment shocks based on a large sample of emerging and developing countries over the period 1980–2021 with a particular focus on the Asian region. We develop new measures of investment shocks based on cyclically adjusted investment data. Estimations using local projections suggest that public investment shocks play a much greater role in boosting economic growth in comparison with private investment shocks. In EMDEs (including in Asia) the growth response to investment shocks is positive and much stronger in recessions (relative to economic expansions) and in countries with more fiscal space. Finally, public investment shocks in EMDE and Asian samples crowd-in private investment and private consumption.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"148 ","pages":"Article 103166"},"PeriodicalIF":2.8,"publicationDate":"2024-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142128634","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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