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The dynamic trade and welfare effects of RCEP RCEP的动态贸易和福利效应
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-03-22 DOI: 10.1016/j.jimonfin.2025.103329
Chenxin Jin , Wei Jin , Bin Sheng , Zhen Sun , Bing Yan
{"title":"The dynamic trade and welfare effects of RCEP","authors":"Chenxin Jin ,&nbsp;Wei Jin ,&nbsp;Bin Sheng ,&nbsp;Zhen Sun ,&nbsp;Bing Yan","doi":"10.1016/j.jimonfin.2025.103329","DOIUrl":"10.1016/j.jimonfin.2025.103329","url":null,"abstract":"<div><div>This paper examines the trade and welfare effects of the Regional Comprehensive Economic Partnership (RCEP) using a dynamic multi-region, multi-sector general equilibrium model. By incorporating key innovations such as region-specific heterogeneity, financial market imperfections, and phased trade liberalization, the analysis captures both short- and long-term impacts of RCEP on its member and non-member economies. The findings reveal that RCEP significantly boosts trade and welfare for member countries, particularly China, Korea, and ASEAN, while creating positive spillover effects for non-members with close economic ties to the region. However, the agreement exacerbates regional inequalities within China and presents uneven sectoral impacts, with non-manufacturing sectors benefiting more than manufacturing. The study highlights the critical role of reducing non-tariff barriers and financial frictions to amplify welfare gains, particularly for emerging economies. Additionally, scenarios involving potential membership of the U.S. and India underscore the strategic importance of RCEP in shaping regional and global trade dynamics. This research contributes to the literature on trade agreements by offering a comprehensive, dynamic perspective on the long-term implications of RCEP.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"154 ","pages":"Article 103329"},"PeriodicalIF":2.8,"publicationDate":"2025-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143714234","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 the PBoC’s new MLF affects the yield curve 中国央行新推出的多边货币基金是如何影响收益率曲线的
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-03-20 DOI: 10.1016/j.jimonfin.2025.103327
Makram El-Shagi , Lunan Jiang
{"title":"How the PBoC’s new MLF affects the yield curve","authors":"Makram El-Shagi ,&nbsp;Lunan Jiang","doi":"10.1016/j.jimonfin.2025.103327","DOIUrl":"10.1016/j.jimonfin.2025.103327","url":null,"abstract":"<div><div>In this paper, we assess the impact of the Medium-term Lending Facility (MLF), an instrument recently introduced by the People’s Bank of China (PBoC), on treasury and corporate bond yields. This instrument and, more specifically, the transmission of its use through treasury bond yields to corporate bond yields play a major role in the more market-based policy framework the PBoC envisions for the future. Using a semi-parametric local projection framework, we show that the mechanism is already fairly effective, allowing the PBoC to manipulate the entire yield curve.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"154 ","pages":"Article 103327"},"PeriodicalIF":2.8,"publicationDate":"2025-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143680155","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
Shifting risk preferences of foreign institutional investors on corporate social responsibility amidst the U.S.-China trade war 中美贸易战中境外机构投资者对企业社会责任风险偏好的变化
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-03-18 DOI: 10.1016/j.jimonfin.2025.103328
Lu Yang , Haifeng Xu
{"title":"Shifting risk preferences of foreign institutional investors on corporate social responsibility amidst the U.S.-China trade war","authors":"Lu Yang ,&nbsp;Haifeng Xu","doi":"10.1016/j.jimonfin.2025.103328","DOIUrl":"10.1016/j.jimonfin.2025.103328","url":null,"abstract":"<div><div>In this study, we investigate the behavior of foreign institutional investors (FIIs) in China towards corporate social responsibility (CSR) amidst the uncertainties posed by the U.S.-China trade war. Utilizing a difference-in-differences estimation approach, our analysis reveals the shifting risk preferences of FIIs towards firms engaged in international trade and the specific impacts on firms listed on the Unverified List (UVL). Our findings indicate that FIIs subject to common geopolitical risk exhibit improvements in CSR performance, whereas FIIs affected by idiosyncratic geopolitical risk related to UVL show a decline in CSR performance. Furthermore, our research highlights that the shifting risk preferences of FIIs for CSR are significantly more evident among firms without U.S. capital. Collectively, our results suggest that FIIs are sensitive to geopolitical risk, which affects their commitment to CSR.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"154 ","pages":"Article 103328"},"PeriodicalIF":2.8,"publicationDate":"2025-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143680102","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
Mandatory versus voluntary: The real effect of ESG disclosures on corporate earnings management 强制性与自愿性：ESG披露对企业盈余管理的真实影响
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-03-13 DOI: 10.1016/j.jimonfin.2025.103323
Xue Cui , Ruochen Li , Shuyu Xue , Xiaomei Zhang
{"title":"Mandatory versus voluntary: The real effect of ESG disclosures on corporate earnings management","authors":"Xue Cui ,&nbsp;Ruochen Li ,&nbsp;Shuyu Xue ,&nbsp;Xiaomei Zhang","doi":"10.1016/j.jimonfin.2025.103323","DOIUrl":"10.1016/j.jimonfin.2025.103323","url":null,"abstract":"<div><div>This paper aims to explore the real effect of mandatory and voluntary environmental, social, and governance (ESG) disclosure on corporate earnings management. We find that mandatory ESG disclosure has a negative effect on firms’ earnings management, while voluntary disclosure has almost no significant impact. We exploit China’s 2008 mandate regulation and construct a difference-in-differences design to show that firms with mandatory ESG disclosure experience an alleviation of information asymmetry through increased transparency of specific accounting items and eventually decrease earnings management. In addition, the negative effect of mandatory ESG disclosure is more pronounced for firms with stronger motivations to manipulate earnings. We also find that the ESG disclosure quality is higher under mandatory disclosure and the environmental, social, and government performance is improved for firms disclosed ESG reports. Our results support the view that mandatory ESG disclosure has informative advantages over voluntary disclosure and improves the quality of financial reporting.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"154 ","pages":"Article 103323"},"PeriodicalIF":2.8,"publicationDate":"2025-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143680157","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
Does monetary policy uncertainty moderate the transmission of policy shocks to government bond yields? 货币政策的不确定性是否缓和了政策冲击对政府债券收益率的传导？
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-03-13 DOI: 10.1016/j.jimonfin.2025.103321
Shan Ying , Jeffrey Sheen , Xin Gu , Ben Zhe Wang
{"title":"Does monetary policy uncertainty moderate the transmission of policy shocks to government bond yields?","authors":"Shan Ying ,&nbsp;Jeffrey Sheen ,&nbsp;Xin Gu ,&nbsp;Ben Zhe Wang","doi":"10.1016/j.jimonfin.2025.103321","DOIUrl":"10.1016/j.jimonfin.2025.103321","url":null,"abstract":"<div><div>How does the FED’s monetary policy uncertainty generated by Federal Open Market Committee (FOMC) communications affect the impact of monetary policy shocks on market interest rates? We measure perceived monetary policy uncertainty from changes in short-term option prices around FOMC announcements and show that it is related to measures of uncertainty communicated through policy announcements and also to how policy commitment is communicated. Monetary policy uncertainty primarily moderates the impact of forward guidance shocks on long-term government bond yields. Our results suggest this moderation process is delivered through changes in the term premium component rather than the expected component of yields.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"154 ","pages":"Article 103321"},"PeriodicalIF":2.8,"publicationDate":"2025-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143680156","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
Is disagreement beneficial for market efficiency? Evidence from ESG ratings 分歧是否有利于提高市场效率？来自环境、社会和治理评级的证据
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-03-10 DOI: 10.1016/j.jimonfin.2025.103322
Libo Yin , Xiaoye Zhu , Zhi Su , Hongliang Guo
{"title":"Is disagreement beneficial for market efficiency? Evidence from ESG ratings","authors":"Libo Yin ,&nbsp;Xiaoye Zhu ,&nbsp;Zhi Su ,&nbsp;Hongliang Guo","doi":"10.1016/j.jimonfin.2025.103322","DOIUrl":"10.1016/j.jimonfin.2025.103322","url":null,"abstract":"<div><div>ESG rating disagreement refers to discrepancies in ESG performance ratings assigned to a firm by different rating agencies. This study investigates how ESG rating disagreement impacts firm pricing efficiency. These findings demonstrate that ESG rating disagreement contributes to promoting firm pricing efficiency. This effect is especially noticeable during periods of decreased market sentiment, volatility, turnover, and increased liquidity and among firms with specific characteristics, including large market capitalization, value orientation, higher institutional ownership, and superior ESG ratings. The facilitative effect of ESG rating disagreement stems from the diverse information provided by ESG rating agencies, which is more effectively incorporated into stock prices because of the enhanced learning effect of investors. This study is important for achieving a more comprehensive and objective understanding of ESG rating disagreement in financial markets.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"154 ","pages":"Article 103322"},"PeriodicalIF":2.8,"publicationDate":"2025-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143628113","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
Forecasting corporate bond returns amid climate change risk: A dynamic forecast combination approach 气候变化风险下公司债券收益预测：动态预测组合方法
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-03-10 DOI: 10.1016/j.jimonfin.2025.103324
Feng Ma, Yangli Guo, Qin Luo, Juandan Zhong
{"title":"Forecasting corporate bond returns amid climate change risk: A dynamic forecast combination approach","authors":"Feng Ma,&nbsp;Yangli Guo,&nbsp;Qin Luo,&nbsp;Juandan Zhong","doi":"10.1016/j.jimonfin.2025.103324","DOIUrl":"10.1016/j.jimonfin.2025.103324","url":null,"abstract":"<div><div>This study examines the predictability of Chinese corporate bond returns in the context of climate change risk using the Climate Change Concern Index (CCCI) derived from text data. The results show that the CCCI has strong predictive power in both the in-sample and out-of-sample analyses, especially for AAA-rated bonds and bonds with shorter maturities. In addition, applying the Dynamic Forecast Combination method shows that state factors such as economic activity significantly improve the overall predictive power of bond returns, especially in times of low economic activity. The inclusion of climate risk in the prediction of bond returns also brings tangible economic benefits, as shown by the increased certainty-equivalent returns and Sharpe ratios. These results show that climate risk is a significant source of systemic risk and can predict risk premiums in the bond market. Investors should also consider climate risk and economic conditions when constructing portfolios.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"154 ","pages":"Article 103324"},"PeriodicalIF":2.8,"publicationDate":"2025-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143628112","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
Making a virtue out of necessity: The effect of negative interest rates on bank cost efficiency 因祸得福：负利率对银行成本效率的影响
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-03-07 DOI: 10.1016/j.jimonfin.2025.103306
Giuseppe Avignone , Claudia Girardone , Cosimo Pancaro , Livia Pancotto , Alessio Reghezza
{"title":"Making a virtue out of necessity: The effect of negative interest rates on bank cost efficiency","authors":"Giuseppe Avignone ,&nbsp;Claudia Girardone ,&nbsp;Cosimo Pancaro ,&nbsp;Livia Pancotto ,&nbsp;Alessio Reghezza","doi":"10.1016/j.jimonfin.2025.103306","DOIUrl":"10.1016/j.jimonfin.2025.103306","url":null,"abstract":"<div><div>Do negative interest rates affect banks’ cost efficiency? We exploit the unprecedented intro- duction of negative policy interest rates in the euro area to investigate whether banks <em>make a virtue out of necessity</em> in reacting to negative interest rates by adjusting their cost efficiency. We find that banks most affected by negative interest rates responded by enhancing their cost efficiency. We also show that improvements in cost efficiency are more pronounced for banks that are larger, less profitable, with lower asset quality and that operate in more competitive banking sectors. In addition, we document that enhancements in cost efficiency are statistically significant only when breaching the zero lower bound, indicating that the pass-through of interest rates to cost efficiency is not effective when policy rates are positive. These findings hold important policy implications as they provide evidence on a beneficial second-order effect of negative interest rates on bank efficiency.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"155 ","pages":"Article 103306"},"PeriodicalIF":2.8,"publicationDate":"2025-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143844932","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
Not only green: Sustainability and debt capital markets 不仅仅是绿色：可持续发展和债务资本市场
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-03-04 DOI: 10.1016/j.jimonfin.2025.103319
Annette Becker , Serena Fatica , Michela Rancan
{"title":"Not only green: Sustainability and debt capital markets","authors":"Annette Becker ,&nbsp;Serena Fatica ,&nbsp;Michela Rancan","doi":"10.1016/j.jimonfin.2025.103319","DOIUrl":"10.1016/j.jimonfin.2025.103319","url":null,"abstract":"<div><div>Using a large international sample of corporate borrowers over the period 2014–22, we study the determinants of issuing green, sustainability and social (GSS) bonds. First, we document a remarkable growth of the GSS segment in the most recent years, possibly spurred by the public commitment towards financing a sustainable economic recovery after the COVID-19 pandemic. The results from a multinomial logit for the choice of bond type confirm that countries’ sustainability stance acts as an incentive for corporate access to the sustainable bond segment. Moreover, borrowers in sectors that are green or can become green, as well as those that have already issued and committed to external assurance on the GSS segment, are more likely to raise funds with non-conventional securities.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"154 ","pages":"Article 103319"},"PeriodicalIF":2.8,"publicationDate":"2025-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143714298","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
Synthetic leverage and fund risk-taking 合成杠杆和基金冒险
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-03-01 DOI: 10.1016/j.jimonfin.2025.103308
Daniel Fricke
{"title":"Synthetic leverage and fund risk-taking","authors":"Daniel Fricke","doi":"10.1016/j.jimonfin.2025.103308","DOIUrl":"10.1016/j.jimonfin.2025.103308","url":null,"abstract":"<div><div>This paper studies mutual fund risk-taking through synthetic leverage. For this purpose, I propose a novel measure of synthetic leverage that does not rely on confidential regulatory data. In my empirical analysis of German equity funds, I find that synthetic leverage strongly contributes to overall risk-taking. Importantly, a simple validation exercise based on regulatory data indicates that synthetically leveraged funds indeed display larger derivatives exposures. Overall, these results indicate that synthetic leverage should be closely monitored.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"154 ","pages":"Article 103308"},"PeriodicalIF":2.8,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143551430","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
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