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The impact of exchange rate fluctuations on markups – firm-level evidence for Switzerland 汇率波动对加价的影响——瑞士企业层面的证据
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2025-12-01 Epub Date: 2025-09-01 DOI: 10.1016/j.jimonfin.2025.103422
Elizabeth Steiner, Yannic Stucki
{"title":"The impact of exchange rate fluctuations on markups – firm-level evidence for Switzerland","authors":"Elizabeth Steiner,&nbsp;Yannic Stucki","doi":"10.1016/j.jimonfin.2025.103422","DOIUrl":"10.1016/j.jimonfin.2025.103422","url":null,"abstract":"<div><div>This paper estimates the impact of exchange rate fluctuations on markups. Firm-level markups are estimated for a comprehensive panel of Swiss manufacturing firms for the period 2012–2017 using a production-function approach. The pass-through of the exchange rate is then estimated using an event–study design exploiting the large, sudden, and persistent appreciation of the Swiss franc against the euro in January 2015. The results show that following an appreciation, Swiss manufacturing firms adjust their markups very heterogeneously. Large firms, especially highly profitable large exporters, substantially decrease their markups. Owing to their sheer size, large firms shape the aggregate response. In contrast, the average firm does not respond significantly. This suggests that smaller firms, which are in the majority, are either unable or unwilling to absorb exchange rate movements by adjusting their markups.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"159 ","pages":"Article 103422"},"PeriodicalIF":3.3,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145020221","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
Foreign monetary policy and domestic inflation in emerging markets 新兴市场的外汇政策与国内通胀
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2025-12-01 Epub Date: 2025-09-10 DOI: 10.1016/j.jimonfin.2025.103434
Marco Flaccadoro, Valerio Nispi Landi
{"title":"Foreign monetary policy and domestic inflation in emerging markets","authors":"Marco Flaccadoro,&nbsp;Valerio Nispi Landi","doi":"10.1016/j.jimonfin.2025.103434","DOIUrl":"10.1016/j.jimonfin.2025.103434","url":null,"abstract":"<div><div>We set up a New Keynesian model for a small open economy with dominant currency pricing, to study the response of domestic inflation to an increase in the US interest rate. We show that the sign of the inflation response crucially depends on the monetary policy regime: after a US monetary tightening, inflation decreases in countries with an exchange rate peg; it increases in countries with a flexible exchange rate, unless the country follows a strict inflation targeting: in this latter case, inflation barely moves. These results are consistent with empirical evidence in a sample of emerging economies, using local projection methods.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"159 ","pages":"Article 103434"},"PeriodicalIF":3.3,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145096527","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
Systemic risk in global FX markets: Measurement and determinants 全球外汇市场的系统性风险：衡量和决定因素
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2025-12-01 Epub Date: 2025-09-23 DOI: 10.1016/j.jimonfin.2025.103435
Yanting Jiang , Juan Lin , Yanghan Chen
{"title":"Systemic risk in global FX markets: Measurement and determinants","authors":"Yanting Jiang ,&nbsp;Juan Lin ,&nbsp;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":"2025-12-01","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}
引用次数: 0
Risk-on/risk-off: Measuring shifts in investor risk bearing capacity 风险开启/风险关闭：衡量投资者风险承受能力的变化
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2025-12-01 Epub Date: 2025-09-22 DOI: 10.1016/j.jimonfin.2025.103438
Anusha Chari , Karlye Dilts Stedman , Christian Lundblad
{"title":"Risk-on/risk-off: Measuring shifts in investor risk bearing capacity","authors":"Anusha Chari ,&nbsp;Karlye Dilts Stedman ,&nbsp;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":"2025-12-01","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}
引用次数: 0
Managing capital inflows in a partially dollarized economy: The role of reserve requirements 管理部分美元化经济中的资本流入：准备金要求的作用
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2025-12-01 Epub Date: 2025-10-11 DOI: 10.1016/j.jimonfin.2025.103440
Eugenia Andreasen , Victoria Nuguer
{"title":"Managing capital inflows in a partially dollarized economy: The role of reserve requirements","authors":"Eugenia Andreasen ,&nbsp;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":"2025-12-01","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}
引用次数: 0
Stock market liberalization and corporate R&D disclosure: evidence from China 股票市场自由化与企业研发信息披露：来自中国的证据
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2025-12-01 Epub Date: 2025-08-29 DOI: 10.1016/j.jimonfin.2025.103420
Zhi Jin , Tingting Duan , Bingxuan Lin , Ke Xu
{"title":"Stock market liberalization and corporate R&D disclosure: evidence from China","authors":"Zhi Jin ,&nbsp;Tingting Duan ,&nbsp;Bingxuan Lin ,&nbsp;Ke Xu","doi":"10.1016/j.jimonfin.2025.103420","DOIUrl":"10.1016/j.jimonfin.2025.103420","url":null,"abstract":"<div><div>This paper investigates the impact of stock market liberalization on corporate R&amp;D disclosure using the Mainland China–Hong Kong Stock Connect program as a quasi-natural experiment. Contrary to the widely held view that liberalization enhances overall corporate transparency, we find that the topics of R&amp;D information disclosure are more scattered, and the narrative is less specific following liberalization. This effect is particularly pronounced among firms with higher proprietary costs. We argue that increased exposure to foreign investors intensifies competitive pressures, leading firms to strategically limit public disclosure of sensitive R&amp;D information to mitigate the risk of information leakage. Additionally, we document a rise in private communications with investors post-liberalization, particularly on R&amp;D-related topics, suggesting a deliberate shift toward more selective disclosure channels where firms can better control the audience and content of information shared.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"159 ","pages":"Article 103420"},"PeriodicalIF":3.3,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144997592","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
Price discovery in bitcoin spot and futures markets 比特币现货和期货市场的价格发现
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2025-12-01 Epub Date: 2025-08-15 DOI: 10.1016/j.jimonfin.2025.103415
Kevin Robertson, Rene Zhang
{"title":"Price discovery in bitcoin spot and futures markets","authors":"Kevin Robertson,&nbsp;Rene Zhang","doi":"10.1016/j.jimonfin.2025.103415","DOIUrl":"10.1016/j.jimonfin.2025.103415","url":null,"abstract":"<div><div>The growing significance of derivatives within the fragmented bitcoin trading ecosystem has heightened scrutiny regarding the markets that lead bitcoin’s price discovery. This paper delves into the intricate dynamics of bitcoin spot and futures trade activity, employing a robust framework for high-frequency lead-lag analysis utilizing the Hayashi-Yoshida estimator. Our findings reveal that the CME bitcoin futures market plays a leading role in price formation, with transaction size emerging as a critical determinant of market leadership. Furthermore, we provide an in-depth exploration of the unique microstructure of bitcoin markets, highlighting how varying trade sparsity influences price discovery metrics. This comprehensive analysis contributes valuable insights for both market participants and regulators, fostering a deeper understanding of the factors that shape market efficiency.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"159 ","pages":"Article 103415"},"PeriodicalIF":3.3,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145049960","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
Hedging sanctions risk: Cryptocurrency in central bank reserves 对冲制裁风险：央行储备中的加密货币
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2025-12-01 Epub Date: 2025-09-09 DOI: 10.1016/j.jimonfin.2025.103433
Matthew Ferranti
{"title":"Hedging sanctions risk: Cryptocurrency in central bank reserves","authors":"Matthew Ferranti","doi":"10.1016/j.jimonfin.2025.103433","DOIUrl":"10.1016/j.jimonfin.2025.103433","url":null,"abstract":"<div><div>Central banks may shift their international reserve holdings in order to protect themselves ex-ante against the risk of financial sanctions by fiat reserve currency issuers. For example, from 2016 to 2021, countries facing a higher risk of US sanctions increased the gold share of their reserves more than countries facing a lower risk of US sanctions. This paper explores the potential for Bitcoin to serve as an alternative hedging asset. I describe a dynamic Bayesian copula model to simulate the joint returns of Bitcoin and other reserve assets under a wide range of plausible sanctions probabilities, quantifying the extent to which varying levels of sanctions risk increase optimal gold, renminbi, and Bitcoin allocations. I conclude that sanctions risk may diminish the appeal of US Treasuries, propel broader diversification in central bank reserves, and bolster the long-run fundamental value of both cryptocurrency and gold.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"159 ","pages":"Article 103433"},"PeriodicalIF":3.3,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145096528","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
Real exchange rate, financial constraints and product innovation: Evidence from China 实际汇率、金融约束与产品创新：来自中国的证据
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2025-12-01 Epub Date: 2025-09-15 DOI: 10.1016/j.jimonfin.2025.103437
Liang Fu , Chun-Yu Ho , Xiao Wei , Xiaoli Zhang
{"title":"Real exchange rate, financial constraints and product innovation: Evidence from China","authors":"Liang Fu ,&nbsp;Chun-Yu Ho ,&nbsp;Xiao Wei ,&nbsp;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":"2025-12-01","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}
引用次数: 0
The impact of financial stress shocks on commodity prices 金融压力冲击对大宗商品价格的影响
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2025-12-01 Epub Date: 2025-09-23 DOI: 10.1016/j.jimonfin.2025.103436
Kai Wang , Cheng Zhang , Zhiping Zhou
{"title":"The impact of financial stress shocks on commodity prices","authors":"Kai Wang ,&nbsp;Cheng Zhang ,&nbsp;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":"2025-12-01","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}
引用次数: 0
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