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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 : 2025-08-15 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":"2025-08-15","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
Does what happens on-chain stays on-chain? The dynamics of blockchain token transactions and prices 链上发生的事情会保持在链上吗？区块链代币交易和价格的动态
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2025-08-14 DOI: 10.1016/j.jimonfin.2025.103408
Hugo Benedetti , Gabriel Rodríguez-Garnica
{"title":"Does what happens on-chain stays on-chain? The dynamics of blockchain token transactions and prices","authors":"Hugo Benedetti ,&nbsp;Gabriel Rodríguez-Garnica","doi":"10.1016/j.jimonfin.2025.103408","DOIUrl":"10.1016/j.jimonfin.2025.103408","url":null,"abstract":"<div><div>Cryptoassets, particularly tokens, have garnered investor interest due to high returns, yet comprehensive studies examining on-chain transaction data to assess their intrinsic value remain limited. This study addresses this gap by introducing new on-chain transaction-based measures of token usage, crypto-exchange supply pressures, and aggregate transaction intention (trading versus usage/holding). Using over 180 million records of Ethereum-based-tokens’ transaction data, we categorize on-chain transactions as peer-to-peer usage or crypto-exchange-related. Our findings show that while increased token usage intensity, whether through peer-to-peer or exchange transactions, positively correlates with higher token returns, imbalances in exchange flows have the opposite effect. Specifically, increased token inflows to exchanges signal potential supply pressure and increased token deposits signal aggregate intention to trade, both contributing to price declines. This research underscores on-chain data as a reliable economic signal and its impact on token valuations.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"158 ","pages":"Article 103408"},"PeriodicalIF":3.3,"publicationDate":"2025-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144879939","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
Do foreign firms cater to American investors’ dividend desires? 外国公司是否迎合了美国投资者的分红欲望？
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2025-08-13 DOI: 10.1016/j.jimonfin.2025.103406
Tat-kei Lai , Travis Ng , Kwok Ping Tsang
{"title":"Do foreign firms cater to American investors’ dividend desires?","authors":"Tat-kei Lai ,&nbsp;Travis Ng ,&nbsp;Kwok Ping Tsang","doi":"10.1016/j.jimonfin.2025.103406","DOIUrl":"10.1016/j.jimonfin.2025.103406","url":null,"abstract":"<div><div>Will foreign firms alter their dividend policies to cater to minority American investors’ tax preferences? Conceptually, in the context of foreign controlling shareholders making the tunneling-and-dividend decisions, foreign firms will not do so unless they value a broad American shareholder base. During a U.S. tax cut that increases American investors’ dividend desires only from qualified foreign corporations (QFCs), the dividend policies of those QFCs domiciled in low withholding tax jurisdictions exhibit a significantly stronger catering pattern than others. The conceptual framework and the empirical results jointly suggest that some foreign firms see the value of a broad American shareholder base.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"158 ","pages":"Article 103406"},"PeriodicalIF":3.3,"publicationDate":"2025-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144907041","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 FINANCIAL INTEGRATION, ECONOMIC GROWTH AND THRESHOLD EFFECTS: SOME PANEL EVIDENCE FOR EUROPE 国际金融一体化、经济增长和门槛效应：一些针对欧洲的面板证据
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2025-08-11 DOI: 10.1016/j.jimonfin.2025.103407
Guglielmo Maria Caporale , Anamaria Diana Sova , Robert Sova
{"title":"INTERNATIONAL FINANCIAL INTEGRATION, ECONOMIC GROWTH AND THRESHOLD EFFECTS: SOME PANEL EVIDENCE FOR EUROPE","authors":"Guglielmo Maria Caporale ,&nbsp;Anamaria Diana Sova ,&nbsp;Robert Sova","doi":"10.1016/j.jimonfin.2025.103407","DOIUrl":"10.1016/j.jimonfin.2025.103407","url":null,"abstract":"<div><div>This paper applies the Seo and Shin (2016) method for estimating dynamic panels with endogenous threshold effects to obtain new, robust evidence on nonlinearities in the relationship between international financial integration (IFI) and economic growth. This approach is based on a first-differenced GMM estimator which allows both the threshold variable and the regressors to be endogenous. More specifically, the present study analyses yearly data for 40 European countries from 1996 to 2021, this European focus yielding novel insights into a region with a diverse economic landscape. The IFI–growth nexus is examined using various IFI measures and thresholds reflecting country-specific characteristics, and then the analysis is extended by comparing the impact of the 2007–2009 global financial crisis (GFC) and of the Covid-19 pandemic respectively on the relationship of interest. The results provide clear evidence of nonlinearities and suggest that the effects of financial integration on economic growth vary depending on factors such as the level of financial development, trade openness, institutional quality, political and economic uncertainty, initial income, and financial openness. Further, the 2007–2009 GFC appears to have had a more significant impact than the Covid-19 pandemic.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"158 ","pages":"Article 103407"},"PeriodicalIF":3.3,"publicationDate":"2025-08-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144842683","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
DeFi: Mirage or reality? Unveiling wealth centralization risk in Decentralized Finance 幻影还是现实？揭示去中心化金融中的财富集中化风险
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2025-08-09 DOI: 10.1016/j.jimonfin.2025.103404
Niranjan Sapkota
{"title":"DeFi: Mirage or reality? Unveiling wealth centralization risk in Decentralized Finance","authors":"Niranjan Sapkota","doi":"10.1016/j.jimonfin.2025.103404","DOIUrl":"10.1016/j.jimonfin.2025.103404","url":null,"abstract":"<div><div>This study examines centralization risk in decentralized finance (DeFi), with a focus on the impact of wealth concentration on risk exposure across its key components. An analysis of the top 58,600 wallet addresses from 586 projects among the top 1,000 DeFi tokens reveals significant centralization, particularly within layer-3 tokens. Using value at risk and expected shortfall measures, the analysis reveals heightened risk for stablecoins and decentralized autonomous organization (DAO) tokens, while oracles, smart contracts, and governance tokens remain largely unaffected by wealth centralization. Further analysis with the standard GARCH model and time-varying parameter vector autoregression (TVP-VAR) scaled by the wealth concentration ratio (WCR) reveals that DAOs generate much of their risk internally. Stablecoins, serving as critical stabilizing agents within DeFi, absorb systemic risk without transmitting it back, unlike oracle tokens. This reliance on stablecoins during volatile conditions underscores their unique risk absorber role. The internal risk dynamics of DAOs, driven by the wealthiest stakeholders, amplify vulnerabilities within DeFi and extend their influence to Bitcoin. These findings challenge the traditional understanding of DeFi, showing how wealth concentration reshapes risk exposure beyond the DeFi ecosystem, with far-reaching consequences.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"158 ","pages":"Article 103404"},"PeriodicalIF":3.3,"publicationDate":"2025-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144863873","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
Gains from commitment: The case for pegging the exchange rate 承诺带来的收益：盯住汇率的理由
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2025-08-09 DOI: 10.1016/j.jimonfin.2025.103403
Kai Arvai , Ricardo Duque Gabriel
{"title":"Gains from commitment: The case for pegging the exchange rate","authors":"Kai Arvai ,&nbsp;Ricardo Duque Gabriel","doi":"10.1016/j.jimonfin.2025.103403","DOIUrl":"10.1016/j.jimonfin.2025.103403","url":null,"abstract":"<div><div>This paper argues that the exchange rate regime matters for inflation and economic activity, with substantial benefits arising from a currency peg. At the heart of these benefits lies an increase in credibility that reduces the inflationary bias once central banks commit to pegging their currency to a credible anchor. Using an open economy model, we provide a credibility estimate for 170 economies for 1950–2019 which aligns with other central bank independence measures. We document that committing to a peg persistently lowers inflation and its volatility while increasing real economic growth. Less credible countries benefit more from fixing the exchange rate.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"158 ","pages":"Article 103403"},"PeriodicalIF":3.3,"publicationDate":"2025-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144842685","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 monetary surprises on exchange rates: Results from textual and high-frequency analysis 货币意外对汇率的影响：来自文本和高频分析的结果
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2025-08-06 DOI: 10.1016/j.jimonfin.2025.103401
Jean-Charles Bricongne , Louis Marolleau
{"title":"The impact of monetary surprises on exchange rates: Results from textual and high-frequency analysis","authors":"Jean-Charles Bricongne ,&nbsp;Louis Marolleau","doi":"10.1016/j.jimonfin.2025.103401","DOIUrl":"10.1016/j.jimonfin.2025.103401","url":null,"abstract":"<div><div>We investigate the immediate impact of monetary policy surprises on exchange rates by using a text indicator to detect them. A textual analysis method is applied to 746 business press articles. A database of monetary policy decisions is thus created. This database contains 510 decisions communicated between 2018 and 2023 for 11 countries with floating exchange rates and includes 78 surprises. To identify a causal effect, the impact of surprises on exchange rates is captured the minute the decision is communicated. This is done using high-frequency data. The amplitudes of exchange rate variations for surprises are compared with decisions qualified as “expected”. The results show that, compared to expected decisions, monetary surprises increase the amplitudes of minute-to-minute variations at the communication time by 0.19 percentage point (p.p.) up to 0.39p.p. In order of magnitude, the amplitudes of minute-to-minute variations for monetary surprises are 100 to 1,000 times greater than the median ones calculated over a year for the currencies in the database. Due to demand effects, appreciation and depreciation of currencies are immediate in the currency market following macroeconomic announcements.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"158 ","pages":"Article 103401"},"PeriodicalIF":3.3,"publicationDate":"2025-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144890419","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
New spare tires: local currency credit as a global shock absorber 新的备用轮胎：本币信用成为全球减震器
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2025-08-05 DOI: 10.1016/j.jimonfin.2025.103400
Stefan Avdjiev , John Burger , Bryan Hardy
{"title":"New spare tires: local currency credit as a global shock absorber","authors":"Stefan Avdjiev ,&nbsp;John Burger ,&nbsp;Bryan Hardy","doi":"10.1016/j.jimonfin.2025.103400","DOIUrl":"10.1016/j.jimonfin.2025.103400","url":null,"abstract":"<div><div>It is well-known that dollar credit to emerging market (EM) corporates has expanded dramatically in the past two decades. However, the concurrent expansion of local currency credit, facilitated by more developed domestic financial systems, has been less recognized. This paper first uses data on EM corporates’ borrowing through bonds and syndicated loans to show the considerable rise of their local currency debt. It then utilizes comprehensive firm-level data to document that EM corporates’ local currency borrowing can offset shocks to their dollar debt, and how this varies across firms and countries. A broad dollar appreciation is associated with a decline in credit to ‘’local’’ firms (smaller, non-exporting, with low profitability) but has no significant impact on ‘’global’’ firms (larger, exporting, highly profitable). Firms in the mid-range (of these dimensions) see lower dollar debt in response to a stronger dollar, but replace it with local currency debt, thus offsetting the shock.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"158 ","pages":"Article 103400"},"PeriodicalIF":3.3,"publicationDate":"2025-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144826906","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
Currencies in turbulence: exploring the impact of natural disasters on exchange rates 动荡中的货币：探讨自然灾害对汇率的影响
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2025-08-01 DOI: 10.1016/j.jimonfin.2025.103397
Anh Thi-Ngoc Nguyen, Ha Minh Nguyen
{"title":"Currencies in turbulence: exploring the impact of natural disasters on exchange rates","authors":"Anh Thi-Ngoc Nguyen,&nbsp;Ha Minh Nguyen","doi":"10.1016/j.jimonfin.2025.103397","DOIUrl":"10.1016/j.jimonfin.2025.103397","url":null,"abstract":"<div><div>This paper investigates the impact of disasters caused by natural hazards on exchange rate movements in different country groups with different exchange rate regimes. Using a panel local projection model with a high-frequency monthly dataset of 177 countries during 1970M1–2019M12, we find that exchange rate movements are more sensitive to disasters in emerging markets and developing countries (EMDEs) than in advanced economies (AEs). Furthermore, exchange rate reactions to natural shocks depend on exchange rate regimes adopted by EMDEs. On average, both nominal and real exchange rates could depreciate up to 6 percent two years after the disasters in non-pegged regimes. Our findings suggest that EMDEs with flexible exchange rate regimes could observe a faster recovery through nominal and real depreciations, although they should be mindful about policy implications that may arise from large exchange rate fluctuations caused by disaster shocks.</div><div>JEL Classification Numbers: F31, Q54.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"157 ","pages":"Article 103397"},"PeriodicalIF":3.3,"publicationDate":"2025-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144781458","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
Intraday volatility connectedness on the forex market: the role of uncertainty 外汇市场的日内波动连通性：不确定性的作用
IF 3.3 2区 经济学
Journal of International Money and Finance Pub Date : 2025-08-01 DOI: 10.1016/j.jimonfin.2025.103398
Michał Rubaszek , Karol Szafranek , Gazi Salah Uddin
{"title":"Intraday volatility connectedness on the forex market: the role of uncertainty","authors":"Michał Rubaszek ,&nbsp;Karol Szafranek ,&nbsp;Gazi Salah Uddin","doi":"10.1016/j.jimonfin.2025.103398","DOIUrl":"10.1016/j.jimonfin.2025.103398","url":null,"abstract":"<div><div>We quantify intraday volatility connectedness between major currencies and assess how it is related to various uncertainty measures. For that purpose, we integrate the well-known Diebold-Yilmaz spillover methodology with a TVP VAR model estimated on a unique, vast dataset of over 460K five-minute quotations from Jan. 1, 2018 to Feb. 29, 2024 for five most heavily traded currency pairs of USD against EUR, JPY, AUD, CAD and GBP. In contrast to existing studies, which either use data of lower sampling frequency or employ high-frequency data only to calculate daily realized moments, we use intraday data directly for model estimation. This enables us to show that volatility connectedness at intraday frequency presents a complementary picture to estimates based on daily data. Within the quantile regression framework we demonstrate that the level of total intraday connectedness is affected by the level of uncertainty proxied by the implied volatility at stock markets. Our study highlights the importance of using high-frequency data in order to better understand forex market dynamics.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"157 ","pages":"Article 103398"},"PeriodicalIF":3.3,"publicationDate":"2025-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144781457","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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