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The development of local currency bond markets and uncovered interest rate parity 发展本币债券市场，并发现利率平价
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-02-26 DOI: 10.1016/j.jimonfin.2025.103310
Cyn-Young Park , Kwanho Shin
{"title":"The development of local currency bond markets and uncovered interest rate parity","authors":"Cyn-Young Park ,&nbsp;Kwanho Shin","doi":"10.1016/j.jimonfin.2025.103310","DOIUrl":"10.1016/j.jimonfin.2025.103310","url":null,"abstract":"<div><div>This study examines how the growth of local currency bond markets (LCBM) and the expansion of nonbank financial institutions (NBFI) influence the uncovered interest parity (UIP) condition, based on the actual expectations of market participants in emerging market economies (EMEs). Using data from January 1996 to April 2022, we find a reduction in UIP deviations with the growth of LCBMs and the expansion of NBFIs in EMEs. This progress also brings the dynamics of UIP premiums in these markets closer to those seen in advanced economies. Additionally, in EMEs with a larger size of LCBMs, capital flows exhibit increased sensitivity to UIP premiums. However, despite the development of LCBMs, we find strong evidence of the ’original sin redux’ in both advanced and emerging economies, as evidenced by the increase (or decrease) of gross portfolio debt inflows with an appreciating (or depreciating) exchange rate. Additionally, we find that LCBM advancements amplify the impact of actual exchange rate depreciation, but only in EMEs.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"154 ","pages":"Article 103310"},"PeriodicalIF":2.8,"publicationDate":"2025-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143551429","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
Corporate response to monetary policies: Do foreign subsidiaries and local firms behave differently? 企业对货币政策的反应：外国子公司和本地公司的行为是否不同？
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-02-25 DOI: 10.1016/j.jimonfin.2025.103302
Jiarui Zhang , Yingying Shi , Lei Li
{"title":"Corporate response to monetary policies: Do foreign subsidiaries and local firms behave differently?","authors":"Jiarui Zhang ,&nbsp;Yingying Shi ,&nbsp;Lei Li","doi":"10.1016/j.jimonfin.2025.103302","DOIUrl":"10.1016/j.jimonfin.2025.103302","url":null,"abstract":"<div><div>Multinational companies (MNCs) have greater financial flexibility than local firms because they can access the international capital market at a lower cost. This may help reduce the financial constraint of their subsidiaries and therefore their dependence on local credit conditions. In this paper, we show that subsidiaries of MNCs are less affected by local monetary contraction than domestic firms in terms of investment. This effect is pronounced when foreign share of the subsidiary increases (willingness to help), if the parent firm comes from a financially more developed country (ability to help), or if the subsidiaries are operating in financially vulnerable industries (need for help). We find evidences that MNCs move financial resources across borders through equity transfer or trade credit provision to help their subsidiaries during host country’ monetary contraction periods.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"154 ","pages":"Article 103302"},"PeriodicalIF":2.8,"publicationDate":"2025-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143535179","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
ESG rating changes and stock returns ESG评级变化与股票收益
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-02-24 DOI: 10.1016/j.jimonfin.2025.103309
Rients Galema, Dirk Gerritsen
{"title":"ESG rating changes and stock returns","authors":"Rients Galema,&nbsp;Dirk Gerritsen","doi":"10.1016/j.jimonfin.2025.103309","DOIUrl":"10.1016/j.jimonfin.2025.103309","url":null,"abstract":"<div><div>We analyze the impact of MSCI ESG rating score changes on stock returns for U.S.-listed firms. Consistent with ESG’s importance for long-term value, we find that stock prices adjust over a prolonged period of time. Specifically, we find that it takes the market multiple months to reflect changes in numerical ratings. Using holding periods of six months, decreases in ratings are followed by annualized negative abnormal returns of approximately 3 %. Our results are not driven by significant firm-level ESG news events. We find evidence that part of the effect is driven by relatively salient aspects of ESG. In line with this, we find that only E rating changes are important for six-month returns while S and G changes do not have a discernible impact. We consider two mechanisms through which ESG rating changes could impact stock returns. We find that institutional investors changing their holdings around rating changes is the primary mechanism that drives our results, with sustainable index revisions having a secondary effect. Our results suggest that ESG rating changes are relevant for capital markets.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"154 ","pages":"Article 103309"},"PeriodicalIF":2.8,"publicationDate":"2025-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143610946","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
Can exchange rate pass-throughs be perverse? A robust multiple-prior Bayesian SVAR approach* 汇率传递会有悖常理吗？一种鲁棒多先验贝叶斯SVAR方法*
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-02-24 DOI: 10.1016/j.jimonfin.2025.103312
Yushi Yoshida , Weiyang Zhai
{"title":"Can exchange rate pass-throughs be perverse? A robust multiple-prior Bayesian SVAR approach*","authors":"Yushi Yoshida ,&nbsp;Weiyang Zhai","doi":"10.1016/j.jimonfin.2025.103312","DOIUrl":"10.1016/j.jimonfin.2025.103312","url":null,"abstract":"<div><div>We apply a robust multiple-prior structural VAR model to estimate the exchange rate pass-through of Japan between January 1995 and July 2023, covering the unconventional monetary policy regime. In addition to traditional sign restrictions, we impose narrative sign restrictions on the basis of two economic episodes. According to conventional confidence intervals, the estimated exchange rate pass-through induced by exogenous exchange rate shocks or persistent global shocks is consistent with the conventional view; i.e., the depreciation of the Japanese yen induces inflation at the consumer level. On the other hand, we find evidence of a perverse exchange rate pass-through induced by demand shock. However, according to robust credible intervals, only the exchange rate pass-through induced by demand shock remains statistically significant. Thus, the demand-shock-induced exchange rate pass-through effect may be undermining the continuous efforts of the Bank of Japan to achieve the target of a two-percent inflation rate.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"154 ","pages":"Article 103312"},"PeriodicalIF":2.8,"publicationDate":"2025-02-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143526666","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
Governance arrangements and the use of macroprudential policy 治理安排和宏观审慎政策的使用
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-02-21 DOI: 10.1016/j.jimonfin.2025.103307
Soyoung Kim , Aaron Mehrotra , Seri Shim
{"title":"Governance arrangements and the use of macroprudential policy","authors":"Soyoung Kim ,&nbsp;Aaron Mehrotra ,&nbsp;Seri Shim","doi":"10.1016/j.jimonfin.2025.103307","DOIUrl":"10.1016/j.jimonfin.2025.103307","url":null,"abstract":"<div><div>We analyse how the institutional arrangement for macroprudential policy, in particular the central bank’s role, affects the use of macroprudential policy. To this aim, we use a survey of central banks regarding their financial stability policy arrangements and a panel dataset including 31 economies. By estimating structural panel vector autoregressions and local projections, we find that a greater role for the central bank in macroprudential policy decisions tends to be associated with a more contractionary response of macroprudential policy to credit shocks. These results are robust to controlling for the potential endogeneity of the governance arrangement. We note the important role of powers assigned to the macroprudential authority but document that the results are not driven by the degree of central bank independence. While interest rates also rise in response to credit shocks, we find smaller differences in the interest rate response between economies. In addition, we document that even in the cases where macroprudential policy tightens in response to credit shocks, macroprudential policy measures tend to be undertaken only infrequently.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"154 ","pages":"Article 103307"},"PeriodicalIF":2.8,"publicationDate":"2025-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143561977","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
Compass guided: Northbound capital flow and investment clustering in China 指南针指引：中国资本北上流动与投资集聚
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-02-17 DOI: 10.1016/j.jimonfin.2025.103305
Yunbi An , Zhao Chen , Clement Man Yiu Liu , Qingfu Liu , Chuanjie Wang
{"title":"Compass guided: Northbound capital flow and investment clustering in China","authors":"Yunbi An ,&nbsp;Zhao Chen ,&nbsp;Clement Man Yiu Liu ,&nbsp;Qingfu Liu ,&nbsp;Chuanjie Wang","doi":"10.1016/j.jimonfin.2025.103305","DOIUrl":"10.1016/j.jimonfin.2025.103305","url":null,"abstract":"<div><div>We study the trading behavior of boundedly rational investors chasing cross-border capital flow in the context of the Shanghai-/Shenzhen-Hong Kong Stock Connect program. The capital flow from Hong Kong to mainland China via this channel, referred to as northbound capital flow (NCF), is widely recognized as smart money in China. We find that mainland Chinese investors exhibit a strong tendency to herd toward stocks with substantial net NCF flows, and investors are especially prone to herd around trade-oriented NCF that pursues short-term gains. We show that the herd behavior is due to enhanced investor sentiment induced by substantial NCF flows. In addition, NCF outflows lead to a more pronounced herding effect, and investment clustering in small-cap stocks is more prominent. Moreover, market panic and the dispersion of stock information mitigate investor herd behavior. Our research provides new insight into the economic consequences of cross-border capital flows in emerging market countries.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"153 ","pages":"Article 103305"},"PeriodicalIF":2.8,"publicationDate":"2025-02-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143480630","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 economic consequences of fiscal rules 财政规则的经济后果
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-02-14 DOI: 10.1016/j.jimonfin.2025.103286
Niklas Potrafke
{"title":"The economic consequences of fiscal rules","authors":"Niklas Potrafke","doi":"10.1016/j.jimonfin.2025.103286","DOIUrl":"10.1016/j.jimonfin.2025.103286","url":null,"abstract":"<div><div>Fiscal rules are controversial. They mitigate politicians' flexibility in responding to shocks and pursuing expansionary fiscal policy. They help, however, to handle politicians' commitment problem in fiscal policies. I portray the new and fast growing empirical literature in public economics that examines the economic consequences of fiscal rules. The survey encompasses the literature on fiscal rules at the national, sub-national and local level. The results show that fiscal rules reduce budget deficits, public spending and borrowing costs and increase GDP growth. The results do not suggest that fiscal rules decrease public investment. Future research should examine in more detail the unintended effects of fiscal rules such as how they relate to creative accounting.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"153 ","pages":"Article 103286"},"PeriodicalIF":2.8,"publicationDate":"2025-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143429526","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
Firm’s aging perception and debt leverage: A textual analysis 企业老化认知与债务杠杆：一个文本分析
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-02-13 DOI: 10.1016/j.jimonfin.2025.103295
Qin Wang , Tong Liu , Dongmin Kong , Wenzhe Zhang
{"title":"Firm’s aging perception and debt leverage: A textual analysis","authors":"Qin Wang ,&nbsp;Tong Liu ,&nbsp;Dongmin Kong ,&nbsp;Wenzhe Zhang","doi":"10.1016/j.jimonfin.2025.103295","DOIUrl":"10.1016/j.jimonfin.2025.103295","url":null,"abstract":"<div><div>This paper examines the effect of firms’ perceptions of population aging on corporate capital structure at the firm level. We construct a novel aging indicator for firms using textual analysis of the annual reports of China’s A-share listed firms. We find that firms perceiving greater aging tend to have lower leverage. This negative impact exhibits heterogeneity, with a more pronounced effect observed among non-state-owned enterprises, those located in areas with advanced economic development, as well as among labor-intensive and non-high-tech firms. The plausible mechanisms involve operating risks and financing constraints. Additionally, automation, as a way of factor substitution to address demographic changes, may alleviate the resulting negative impact on leverage. By revealing the significant effect of aging on corporate financing decisions, our study has clear implications for firms and regulators concerned with this demographic transition and improves the understanding of the sociodemographic influence on corporate activities.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"153 ","pages":"Article 103295"},"PeriodicalIF":2.8,"publicationDate":"2025-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143419773","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 did Chinese exporters manage the trade war? 中国出口商是如何应对贸易战的？
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-02-13 DOI: 10.1016/j.jimonfin.2025.103300
Liugang Sheng , Huasheng Song , Xueqian Zheng
{"title":"How did Chinese exporters manage the trade war?","authors":"Liugang Sheng ,&nbsp;Huasheng Song ,&nbsp;Xueqian Zheng","doi":"10.1016/j.jimonfin.2025.103300","DOIUrl":"10.1016/j.jimonfin.2025.103300","url":null,"abstract":"<div><div>This paper studies how Chinese exporters managed the recent US tariff hikes. Contrary to the conventional wisdom of horizontal trade diversion, China did not divert more of its products to other Northern countries but more to the South. Moving down the quality ladder of destinations helps Chinese exporters escape competition for high-quality products in the North and lowers penetration costs in the South. This vertical trade diversion reduces quality-adjusted export prices but raises qualities and gross prices of Chinese diverted exports, particularly in poor countries and for products with high quality scopes, implying that it may benefit the South more.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"153 ","pages":"Article 103300"},"PeriodicalIF":2.8,"publicationDate":"2025-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143453430","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
Rethinking the delayed overshooting puzzle: An examination through present value framework 对延迟超调之谜的再思考：基于现值框架的检验
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-02-13 DOI: 10.1016/j.jimonfin.2025.103301
Jaeho Yun
{"title":"Rethinking the delayed overshooting puzzle: An examination through present value framework","authors":"Jaeho Yun","doi":"10.1016/j.jimonfin.2025.103301","DOIUrl":"10.1016/j.jimonfin.2025.103301","url":null,"abstract":"<div><div>This paper examines the dynamic responses of real exchange rates in several developed economies to US monetary policy shocks, with a particular focus on the delayed overshooting puzzle. Using a present value model, I decompose the real exchange rate into cash flow and discount rate components and analyze their reactions to US monetary shocks identified through high-frequency identification. The empirical findings indicate that short-term real exchange rate movements are shaped by a combination of multiple exchange rate theories, calling into question the robustness of the delayed overshooting phenomenon. In contrast, long-term dynamics are primarily driven by the discount rate component. Among the three economic models considered—the Dornbusch overshooting model, the consumption-based model, and the global risk-taking channel—the behavior of real exchange rates aligns most closely with the global risk-taking channel.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"153 ","pages":"Article 103301"},"PeriodicalIF":2.8,"publicationDate":"2025-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143429525","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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