Journal of International Money and Finance最新文献

{"title":"Time-varying effects of financial uncertainty shocks on macroeconomic fluctuations in Peru","authors":"Mauricio Alvarado,&nbsp;Gabriel Rodríguez","doi":"10.1016/j.jimonfin.2025.103276","DOIUrl":"10.1016/j.jimonfin.2025.103276","url":null,"abstract":"<div><div>This article employs a family of VAR models with time-varying parameters and stochastic volatility (TVP-VAR-SV) to estimate the impact of external financial uncertainty shocks on a set of macroeconomic variables in Peru for the period from 1996Q1 to 2022Q4. The main findings can be summarized as follows: (i) a simple VAR model with stochastic volatility is sufficient to capture uncertainty dynamics compared to TVP-VAR alternatives; (ii) uncertainty shocks have a negative and significant impact on private investment growth in the medium and long term; (iii) the impact on private investment growth is three times greater than that on GDP growth; (iv) uncertainty shocks behave like aggregate supply shocks, leading to an increase in the inflation rate; and (v) uncertainty shocks have stronger effects in scenarios characterized by unfavorable financial conditions.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"152 ","pages":"Article 103276"},"PeriodicalIF":2.8,"publicationDate":"2025-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143104589","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}

{"title":"The quantile connectedness of the international housing market","authors":"Xichen Wang","doi":"10.1016/j.jimonfin.2025.103266","DOIUrl":"10.1016/j.jimonfin.2025.103266","url":null,"abstract":"<div><div>This paper investigates the interconnectedness of the international housing market using quantile connectedness models. It finds that: (1) House price shocks spread more strongly in tails than in the median. (2) Large positive shocks spread as strongly as large adverse shocks. (3) The US housing market is the leading transmitter of systematic shocks. The machine learning algorithms further reveal that the US interest rate is the most influential global factor in predicting spillover intensities. These findings suggest that policymakers should monitor global contagions, paying attention to booms/busts in US house prices and fluctuations in its monetary policy.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"152 ","pages":"Article 103266"},"PeriodicalIF":2.8,"publicationDate":"2025-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143171726","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}

{"title":"Firm-level climate change risk and corporate debt maturity","authors":"John W. Goodell ,&nbsp;Alessia Palma ,&nbsp;Andrea Paltrinieri ,&nbsp;Stefano Piserà","doi":"10.1016/j.jimonfin.2025.103275","DOIUrl":"10.1016/j.jimonfin.2025.103275","url":null,"abstract":"<div><div>Exploiting a sample of worldwide listed firms, we explore the effect of firm-level climate change exposure on debt maturity structure. We find that climate change risk is negatively and statistically significantly associated with long-term maturity debt issuance. Further, we find that the climate change risk-debt maturity structure relationship is non-linear and changes according to firm-specific, country legal origins and macroeconomic conditions. We confirm our results by running several robustness tests to reduce endogeneity concerns, sample selection biases, and econometric model specification. Taken together, our evidence reveals firm debt maturity preferences when climate change risk increases, extending the literature on both climate change effects on financial markets as well as firm-level determinants of maturity structure determinants.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"152 ","pages":"Article 103275"},"PeriodicalIF":2.8,"publicationDate":"2025-01-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143104935","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}

{"title":"Renaming with purpose: Investor response and fund manager behaviour after fund ESG renaming","authors":"Kayshani Gibbon ,&nbsp;Jeroen Derwall ,&nbsp;Dirk Gerritsen ,&nbsp;Kees Koedijk","doi":"10.1016/j.jimonfin.2024.103263","DOIUrl":"10.1016/j.jimonfin.2024.103263","url":null,"abstract":"<div><div>Motivated by concerns that mutual funds' stated integration of environmental, social and governance (ESG) criteria in investing is cosmetic, we study the widespread phenomenon that mutual funds change their name to include ESG terms. Using a unique global sample of ESG-related name changes by 740 retail and 317 institutional share classes between July 2016 and September 2022, we investigate investors' response and fund managers' behaviour in terms of fund flows, portfolio-level ESG metrics and fees. Using difference-in-differences analyses and accounting for heterogeneous treatment effects, we provide mixed evidence on whether funds increase flows by renaming, although effects appear significant for funds domiciled in Europe. We subsequently document that fund managers do appear to improve the ESG performance, reduce exposure to controversial businesses, decrease the carbon intensity, and lower the overall ESG risks of their portfolios after ESG renaming. Renaming has no material impact on funds' expenses. The results alleviate concerns that funds use ESG-oriented name changes cosmetically and imply that they are renaming with purpose.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"152 ","pages":"Article 103263"},"PeriodicalIF":2.8,"publicationDate":"2025-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143171727","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}

{"title":"The intersection of security attributes of national debt and socially responsible investment objectives","authors":"Yang Liu ,&nbsp;Aihua Wang ,&nbsp;Rong Tan","doi":"10.1016/j.jimonfin.2024.103265","DOIUrl":"10.1016/j.jimonfin.2024.103265","url":null,"abstract":"<div><div>Amidst the backdrop of globalization, the deepening economic interdependence among nations is unmistakable. The government bond market, a crucial element of the financial system, carries profound implications for socially responsible investments (SRI) owing to its stability and security. Focusing on the spillover of government bond yields, this study employs the QVAR model’s generalized variance decomposition method to assess the spillover effects of long-term and short-term government bond yields under different extreme states. The terms “spillover” and “spillback” are respectively used to denote of the government bond market, thereby assessing the safety attributes of government bond assets. Additionally, a panel model is constructed to examine whether economic interconnectedness is a primary factor in the risk resistance and transfer capability of the government bond market. The results indicate that, first, under extreme states, the capacity to resist the risk of the government bond market is weaker than in normal states, In comparison, the capacity to transfer risk is stronger, reflecting structural changes in the security attributes of government bond assets. Secondly, considering the resilience of government bonds to risk, both short-term and long-term government bonds in various nations demonstrate enhanced safety attributes under high-risk circumstances compared to low-risk scenarios. Regarding their capacity to transfer risk, the safety attributes of short-term government bonds tend to vary, whereas long-term government bonds exhibit more robust safety features under low-risk conditions. Third, the level of economic correlation serves as a prospective indicator for identifying the safety attributes of the government bond market, exerting a significant influence on both the capacity to resist risk and the capacity to transfer risk of the government bond market. Each economy should persistently deepen its comprehension of economic interconnections within the context of globalization, augment the safety and allure of government bond assets, and perpetually refine investment portfolios to bolster their risk resilience and transfer. This will attract more socially responsible investors, thereby providing financial support and risk mitigation for sustainable development.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"152 ","pages":"Article 103265"},"PeriodicalIF":2.8,"publicationDate":"2025-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143171724","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}

{"title":"SDG performance and stock returns: Fresh insights from China","authors":"Chen Zhang-Hangjian ,&nbsp;Xu Mengqing ,&nbsp;Ren Fei ,&nbsp;Xiong Xiong","doi":"10.1016/j.jimonfin.2024.103264","DOIUrl":"10.1016/j.jimonfin.2024.103264","url":null,"abstract":"<div><div>This paper employs the micro evaluation data from Robeco, which pertains to the degree of firms’ contribution to the attainment of the UN’ SDG goals, to investigate the impact of corporate sustainability on stock price performance and the associated economic mechanisms. The empirical results suggest that firms’ sustainability has a significant negative effect on excess returns, particularly the contribution of firms to the social dimension of sustainability. Firms’ SDG performance can alleviate financing constraints and reduce financial risk, but it does not significantly enhance financial performance, leading to market capital outflows from high SDG-performing firms, especially from individual investors. Furthermore, our results suggest that high SDG-performing firms are undervalued and do not increase the information content in their stock prices, which may be the main reason for the negative effect of SDG performance. We also conduct a series of heterogeneity tests, which show that firms from regions with high environmental regulatory intensity and less economic development, as well as heavily polluting firms and firms with poorer information environments, experience greater negative effects. These findings have implications for investors to properly understand corporate sustainability and for regulators to promote the development of a low-carbon economy.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"152 ","pages":"Article 103264"},"PeriodicalIF":2.8,"publicationDate":"2024-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143104936","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}

{"title":"The market stabilization role of central bank asset purchases: High-frequency evidence from the COVID-19 crisis","authors":"Marco Bernardini ,&nbsp;Annalisa De Nicola","doi":"10.1016/j.jimonfin.2024.103257","DOIUrl":"10.1016/j.jimonfin.2024.103257","url":null,"abstract":"<div><div>We investigate the flow effects of the Eurosystem government bond purchases conducted in Italy during the early stages of the COVID-19 crisis. Using confidential high-frequency data and local projections, we find that the purchase of long-term bonds reduced corresponding yields by an average of 4 to 5 basis points per billion euros on impact. These effects persisted after the purchases and were strongly transmitted along the yield curve, leading to marked improvements in liquidity conditions, while remaining mostly confined to the domestic market. We further document that the effects were considerably more pronounced – nearly doubling in size – at the peak of the crisis, when market liquidity dried up and the euro area bond market became highly fragmented along national borders. Our findings point to a crucial role of actual purchases in stabilizing financial markets, beyond that of purchase announcements. They also support the rationale for more flexible and targeted interventions during periods of market distress.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"152 ","pages":"Article 103257"},"PeriodicalIF":2.8,"publicationDate":"2024-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143171725","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}

{"title":"Can structural loan policy promote low-carbon transition of manufacturing enterprises? New evidence from China","authors":"Can Tang ,&nbsp;Bing Wang ,&nbsp;Wenping Zheng","doi":"10.1016/j.jimonfin.2024.103250","DOIUrl":"10.1016/j.jimonfin.2024.103250","url":null,"abstract":"<div><div>This paper examines the energy impact of a policy toolkit of expanding medium- and long-term loan policy in the manufacturing industry in China. Based on a novel firm-level data from 2018 to 2021, this paper employs a difference-in-difference model to investigate the causal effect of finance on green transition. The results indicate that the implementation of medium- and long-term loan policies can effectively reduce the energy consumption of manufacturing enterprises and promote energy transformation. Among, for small and medium-sized enterprises and non-heavily polluting manufacturing enterprises, the role of state-owned enterprises is more significant. However, firms affected by the US-China trade war and the Federal Reserve’s interest rate hike are not significantly positively affected by lending policies. In addition, the expansion of medium- and long-term loan policies for the manufacturing industry can promote the energy transformation of the manufacturing industry by easing the financing constraints of enterprises, which has important theoretical significance for the implementation of China’s fiscal and taxation policies. Lastly, policies can improve the level of economic performance of firms and lead to an increase in the number of innovators in firms.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"152 ","pages":"Article 103250"},"PeriodicalIF":2.8,"publicationDate":"2024-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143171722","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}

{"title":"Can fiscal consolidations announcements help anchor inflation expectations?","authors":"Antonio C. David,&nbsp;Samuel Pienknagura,&nbsp;Juan F. Yépez","doi":"10.1016/j.jimonfin.2024.103247","DOIUrl":"10.1016/j.jimonfin.2024.103247","url":null,"abstract":"<div><div>Using quarterly economic data and a comprehensive database on fiscal policy consolidation announcements for a sample of advanced economies and emerging markets, we quantify the effects of fiscal tightening on inflation expectations. We find that fiscal consolidation announcements reduce inflation expectations over the medium-term (three and five-years ahead), but not in the short-term (one-year ahead). There is also some evidence that consolidation announcements reduce “disagreement” about expected future inflation at longer horizons. The inflation anchoring role of consolidation announcements is enhanced by the strength of a country's fiscal and monetary frameworks, and when fiscal and monetary policy work in tandem. In addition, we find that initial conditions matter—inflation expectation's response to consolidation announcements is larger in periods of high contemporaneous inflation. With these results in hand, we show that the effectiveness of fiscal consolidation in limiting realized inflation depends greatly on the response of inflation expectations to consolidation announcements. These results show that fiscal policy is crucial to anchor inflation expectations and a key element of a credible disinflationary process.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"151 ","pages":"Article 103247"},"PeriodicalIF":2.8,"publicationDate":"2024-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142745062","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}

{"title":"Influence of ESG on corporate debt default risk: An analysis of the dual risk scenarios","authors":"Yuping Shang ,&nbsp;Zisheng Xiao ,&nbsp;Asma Nasim ,&nbsp;Xin Zhao","doi":"10.1016/j.jimonfin.2024.103248","DOIUrl":"10.1016/j.jimonfin.2024.103248","url":null,"abstract":"<div><div>In the context of sustainable development and high-quality corporate growth, this study examines the impact of Environmental, Social, and Governance (ESG) performance on corporate debt default risk among Chinese A-share listed corporates. It explores the mechanisms by which ESG performance influences debt risk, including diversification of funding sources, optimized capital utilization, and improved market supply–demand dynamics. The mitigating effect of ESG on debt risk is more pronounced in state-owned enterprises, large corporations, and corporations with robust internal controls, especially under conditions of low marketization and adverse macroeconomic circumstances. Moreover, in light of the global emphasis on climate risks, this study assesses their significant influence on debt default risk, particularly through the environmental aspect of ESG. Innovatively, this study incorporates dual climate risk scenarios to comprehensively analyze the interaction between ESG performance and debt default risk. Findings indicate that ESG performance significantly lowers debt risk in corporates facing higher internal climate challenges, while the effects on external supply chain climate risks are less evident. These insights contribute to the theoretical understanding of ESG and financial risk management and provide practical strategies for corporates pursuing sustainability in an unstable climatic environment.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"151 ","pages":"Article 103248"},"PeriodicalIF":2.8,"publicationDate":"2024-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142745063","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}