Journal of International Money and Finance最新文献_第2页

A Markov-switching dynamic factor framework for dating global economic cycles 预测全球经济周期的马尔可夫转换动态因子框架

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2025-06-03 DOI: 10.1016/j.jimonfin.2025.103377

Arabinda Basistha

{"title":"A Markov-switching dynamic factor framework for dating global economic cycles","authors":"Arabinda Basistha","doi":"10.1016/j.jimonfin.2025.103377","DOIUrl":"10.1016/j.jimonfin.2025.103377","url":null,"abstract":"<div><div>An important issue in identifying global recessions is the limited availability of output data at the quarterly and monthly frequencies over longer time horizons. A related issue is the heterogeneity in evidence about specific recessionary episodes. We utilize the context that commodity prices are determined in the global markets, and four base metals have flexible nominal prices at the monthly frequency from the 1960s. We use the base metal prices to supplement the information about the global economy in the GDP data of 32 countries and the World Industrial Production index. We estimate the quarterly episodes of global recessions from the 1960s using extended Markov-switching dynamic factor models with multiple indicators. We further adapt the quarterly models to a mixed-frequency Markov-switching dynamic factor model to estimate the monthly episodes. Our estimates show eight episodes of global recessions at the quarterly frequency. Monthly estimates also capture the eight quarterly episodes of global recessions. The results are robust to several model and data sensitivity analyses. Regressions using 32 countries show reductions in GDP growth for all countries during the global recession episodes. Further analysis shows that the four global recessions that are common with other studies are deeper and more widespread recessions than the other four downturns. The analysis highlights heterogeneity in the size and the spread of global recessions while providing empirical evidence in favor of four specific recessions with mixed support in the past literature.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"157 ","pages":"Article 103377"},"PeriodicalIF":2.8,"publicationDate":"2025-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144254293","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 influence of maritime freight cost tail risk on publicly traded industrial and transport companies 海运成本尾部风险对上市工业和运输公司的影响

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2025-06-02 DOI: 10.1016/j.jimonfin.2025.103358

Erdinc Akyildirim , Shaen Corbet , Michael Ryan , Abhishek Mukherjee

{"title":"The influence of maritime freight cost tail risk on publicly traded industrial and transport companies","authors":"Erdinc Akyildirim , Shaen Corbet , Michael Ryan , Abhishek Mukherjee","doi":"10.1016/j.jimonfin.2025.103358","DOIUrl":"10.1016/j.jimonfin.2025.103358","url":null,"abstract":"<div><div>This study examines the influence of maritime freight cost tail risk events on stock market prices of industrial and transport-related firms. Our findings reveal a significant asymmetry: extreme negative movements in these indices have a disproportionately large adverse impact on stock returns compared to extreme positive movements. As these indices serve as barometers of global economic health, sharp declines signal contractions in global demand, fuelling investor apprehension. These concerns outweigh the potential benefits of lower input costs for most firms. We also uncover substantial heterogeneity among stock responses. Notably, owing to their perceived higher risk, smaller firms and those with ESG controversies are more severely impacted by these negative tail-risk events. Further, we document that strong ESG commitments are sometimes beneficial during negative tail risk events, but not always. These mixed findings suggest that the effects of ESG commitments during tail risk events operate through multiple channels, and these impacts may vary depending on firm characteristics and the nature of the ESG activity.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"157 ","pages":"Article 103358"},"PeriodicalIF":2.8,"publicationDate":"2025-06-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144229884","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 firm-level and aggregate effects of corporate payout policy 公司派息政策的公司层面和总体效应

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2025-06-02 DOI: 10.1016/j.jimonfin.2025.103373

Stylianos Asimakopoulos , James Malley , Apostolis Philippopoulos

引用次数: 0

Investigating the impact of global events on cryptocurrency performance: a big data event study approach 调查全球事件对加密货币性能的影响：大数据事件研究方法

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2025-05-31 DOI: 10.1016/j.jimonfin.2025.103375

Efstathios Polyzos , Layal Youssef

{"title":"Investigating the impact of global events on cryptocurrency performance: a big data event study approach","authors":"Efstathios Polyzos , Layal Youssef","doi":"10.1016/j.jimonfin.2025.103375","DOIUrl":"10.1016/j.jimonfin.2025.103375","url":null,"abstract":"<div><div>This paper investigates the impact of various crypto and global events from 2017 to 2023 on the performance of cryptocurrencies. We examine 47 significant events, analysing their effects on over 10,000 cryptocurrencies. Using an advanced event-study approach with big data, we analyse cumulative abnormal returns in data windows ranging from 3 to 150 days before and after these events and compute confidence intervals of the impact using the Welch <em>t</em>-test. We find a strong positive response of the crypto market to economic crises and negative response to political events, with the latter being driven primarily by older, established cryptocurrencies. We also find a smaller positive impact for environmental crises and a smaller negative impact for health and social crises. We compute beta coefficients for all cryptocurrencies in our sample and crypto market return indicators starting from 2013, which we provide as Supplementary data. Our work invites a reconsideration of the role of cryptocurrencies as safe havens during crisis events, demonstrating that these assets behave differently for different types of crises. Our comprehensive analysis fills a gap in the literature, offering fresh insights for investors aiming to use cryptocurrencies as hedging tools.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"157 ","pages":"Article 103375"},"PeriodicalIF":2.8,"publicationDate":"2025-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144239334","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

CEO’s R&D experience and green innovation: Evidence from China CEO研发经验与绿色创新：来自中国的证据

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2025-05-29 DOI: 10.1016/j.jimonfin.2025.103374

Umair Bin Yousaf , Imran Yousaf , Haroon Hussain , Muhammad Jameel Hussain

引用次数: 0

A comprehensive MacroEconomic uncertainty measure for the euro area and its implications to COVID-19 欧元区宏观经济不确定性综合指标及其对COVID-19的影响

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2025-05-26 DOI: 10.1016/j.jimonfin.2025.103370

Mariarosaria Comunale , Anh Dinh Minh Nguyen

{"title":"A comprehensive MacroEconomic uncertainty measure for the euro area and its implications to COVID-19","authors":"Mariarosaria Comunale , Anh Dinh Minh Nguyen","doi":"10.1016/j.jimonfin.2025.103370","DOIUrl":"10.1016/j.jimonfin.2025.103370","url":null,"abstract":"<div><div>This paper develops a new data-driven metric to capture MacroEconomic Uncertainty (MEU) in the euro area. The measure is constructed as the conditional volatility of the unforecastable components of a large set of time series, accounting for the features of monetary union as well as cross-country heterogeneity. The MEU shows the largest spike at the time of the COVID-19 outbreak and is noticeably different from other more financial-oriented and policy-driven uncertainty measures. It also reveals a significant increase in inflation uncertainty in 2021–2022. Our BVAR-based analysis shows that an unexpected increase in the MEU has a negative and persistent impact on the euro area’s industrial production, with the largest drop in the production of capital goods and durable consumer goods. Also, the effects are heterogeneous across member countries. Notably, the MEU shocks contribute significantly to the reduction of industrial production during the first wave of COVID-19, causing about 40–50 % of the decline in April 2020. Public debt increases in response to increased uncertainty. Finally, an increase in MEU negatively affects Emerging Europe countries, contributing the most to the decline in their economic activity during the COVID-19 period.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"157 ","pages":"Article 103370"},"PeriodicalIF":2.8,"publicationDate":"2025-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144213167","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

Changes in corporate employment under climate risk 气候风险下企业就业的变化

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2025-05-24 DOI: 10.1016/j.jimonfin.2025.103368

Wanli Li , Junrui Chen , Kaibin Yuan

{"title":"Changes in corporate employment under climate risk","authors":"Wanli Li , Junrui Chen , Kaibin Yuan","doi":"10.1016/j.jimonfin.2025.103368","DOIUrl":"10.1016/j.jimonfin.2025.103368","url":null,"abstract":"<div><div>Using observation data from the meteorological station closest to firms among 928 stations across mainland China, we construct firm-level physical climate risk indicators. We find that climate risks lead firms to tighten employment, which is more pronounced in labor-intensive firms, non-state-owned firms, firms with higher tax burdens, and regions with higher minimum wage standard. Mechanism tests indicate that climate risks reduce corporate employment by shrinking production scales, deteriorating business performance, and intensifying financing frictions. Furthermore, government efforts to build climate-resilient cities, invest in flood control and implement corporate tax reductions, along with the development of the insurance industry, can alleviate the adverse effects of climate risks on local firms’ employment. Firms can also address climate risks by enhancing financial flexibility and organizational resilience. Additionally, firms may also resort to wage reductions in response to climate risks, but whether they choose wage reductions or cutting employment depends on the flexibility to lower their existing wage levels.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"157 ","pages":"Article 103368"},"PeriodicalIF":2.8,"publicationDate":"2025-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144147982","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

Economic uncertainty measures, experts and large language models 经济不确定性测量，专家和大型语言模型

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2025-05-22 DOI: 10.1016/j.jimonfin.2025.103369

Maria Elena Bontempi , Wojciech Charemza , Svetlana Makarova

引用次数: 0

A news-based macro uncertainty index for Italy 意大利基于新闻的宏观不确定性指数

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2025-05-22 DOI: 10.1016/j.jimonfin.2025.103371

Michele Catalano , Lorenzo Forni

{"title":"A news-based macro uncertainty index for Italy","authors":"Michele Catalano , Lorenzo Forni","doi":"10.1016/j.jimonfin.2025.103371","DOIUrl":"10.1016/j.jimonfin.2025.103371","url":null,"abstract":"<div><div>In this study, we introduce an innovative high-frequency uncertainty index derived from an extensive dataset of Italian news sources. Our index methodically sorts news items by their macroeconomic significance and underlying sentiment. We focus on a period of analysis, from July 2017 to July 2021, characterized by pronounced uncertainties, notably the emergence of the 5 Star-Lega government coalition in 2018, which introduced significant political unpredictability, and the onset of the COVID-19 pandemic. We uncover a significant correlation between our newly developed uncertainty index and measures of sovereign risk (such as the BTP-Bund spread) during the tenure of the 5 Star-Lega government. However, this correlation diminishes following the initiation of the European Central Bank’s quantitative easing program, underscoring the substantial influence of political uncertainty on sovereign risk before the ECB’s intervention. The index is applied to dissect the Italian macroeconomic business cycle using a mixed-frequency model that integrates both financial and real economy indicators. Additionally, the study presents a nonlinear model leveraging the index to assess its predictive power in forecasting the Italian business cycle in recent years. The findings provide substantial evidence of the index’s predictive capabilities, highlighting its effectiveness in foreseeing shifts in the business cycle.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"157 ","pages":"Article 103371"},"PeriodicalIF":2.8,"publicationDate":"2025-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144166954","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

Discouraged Borrowers and Sentimental Shocks 气馁的借款者和情感冲击

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2025-05-19 DOI: 10.1016/j.jimonfin.2025.103359

Dimitris Anastasiou , Fotios Pasiouras , Anastasios Rizos , Artemis Stratopoulou

引用次数: 0