发布求助
文献互助 智能选刊 最新文献

Journal of International Money and Finance最新文献

筛选
英文 中文
Doubling down: The synergy of CCyB release and monetary policy easing 加倍下注：释放商业银行和放松货币政策的协同作用
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-04-03 DOI: 10.1016/j.jimonfin.2025.103330
Cristina Jude , Grégory Levieuge
{"title":"Doubling down: The synergy of CCyB release and monetary policy easing","authors":"Cristina Jude ,&nbsp;Grégory Levieuge","doi":"10.1016/j.jimonfin.2025.103330","DOIUrl":"10.1016/j.jimonfin.2025.103330","url":null,"abstract":"<div><div>At the height of the COVID-19 crisis, many countries have reduced their countercyclical capital buffer (CCyB) and cut key policy rates. We exploit this quasi-natural experiment to gauge the combined effects of these two policies on bank lending rates (BLRs). First, we theoretically show that the joint action of CCyB release and monetary policy easing lowers BLRs by more than the sum of their individual effects. We then empirically confirm this synergy by a difference-in-difference analysis. Notably, for one percentage point release of the CCyB, corporate BLRs decreased by around 11 basis points more compared to countries without CCyB relief. The lower the policy rate, the greater this effect, suggesting that the CCyB provided additional room for maneuver to monetary policy. In addition, releasing the CCyB has acted as a catalyst for a better transmission of policy rate cuts.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"155 ","pages":"Article 103330"},"PeriodicalIF":2.8,"publicationDate":"2025-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143817063","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
Natural disasters and financial stress: can macroprudential regulation tame green swans? 自然灾害和金融压力：宏观审慎监管能驯服绿天鹅吗？
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-04-01 DOI: 10.1016/j.jimonfin.2025.103325
Pauline Avril , Grégory Levieuge , Camelia Turcu
{"title":"Natural disasters and financial stress: can macroprudential regulation tame green swans?","authors":"Pauline Avril ,&nbsp;Grégory Levieuge ,&nbsp;Camelia Turcu","doi":"10.1016/j.jimonfin.2025.103325","DOIUrl":"10.1016/j.jimonfin.2025.103325","url":null,"abstract":"<div><div>We empirically investigate the impact of natural disasters on the external finance premium (EFP), conditional on the rigorously implemented macroprudential regulation at the national level. Natural disaster intensity is measured using a unique set of geophysical indicators for a sample of 88 countries over the period 1996–2016. Using local projections, we show that the EFP rises significantly following storms when macroprudential regulation is lax, with this adverse financial impact increasing over time. By contrast, a strictly enforced macroprudential framework, especially one based on bank-oriented instruments, enhances systemic resilience and prevents financing conditions from tightening nationwide; in some cases, the EFP may even decline, particularly in middle-income countries and in response to extreme events. Finally, macroprudential stringency appears less critical in the case of floods, as their predictability may generally foster self-discipline.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"154 ","pages":"Article 103325"},"PeriodicalIF":2.8,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143760916","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
Machine learning the performance of hedge fund 机器学习对冲基金的表现
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-04-01 DOI: 10.1016/j.jimonfin.2025.103332
Tian Ma , Wanwan Wang , Fuwei Jiang
{"title":"Machine learning the performance of hedge fund","authors":"Tian Ma ,&nbsp;Wanwan Wang ,&nbsp;Fuwei Jiang","doi":"10.1016/j.jimonfin.2025.103332","DOIUrl":"10.1016/j.jimonfin.2025.103332","url":null,"abstract":"<div><div>This study utilizes generative AI to predict and classify the performance of hedge funds based on groups of fund characteristics. Compared to commonly used machine learning methods, our method can successfully distinguish high- and low-performing funds across various investment strategies, with the return spread being the highest in the equity hedge strategy at 3.16 % monthly. The results are robust in risk-adjusted return prediction. Trend-based features are the most important predictors of future fund performance. Returns of predictive long-short portfolios are higher following periods of low narrative attention and favorable macroeconomic conditions. The asset allocation exercise highlights the significant economic value of machine learning. Our study enriches the burgeoning field of machine learning and artificial intelligence for finance by applying big data techniques to fund selection and allocation.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"155 ","pages":"Article 103332"},"PeriodicalIF":2.8,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143790961","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
Climate change uncertainty and corporate debt relationship: A quantile panel data analysis 气候变化不确定性与企业债务关系：分位数面板数据分析
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-04-01 DOI: 10.1016/j.jimonfin.2025.103320
Fredj Jawadi , Philippe Rozin , Abdoulkarim Idi Cheffou
{"title":"Climate change uncertainty and corporate debt relationship: A quantile panel data analysis","authors":"Fredj Jawadi ,&nbsp;Philippe Rozin ,&nbsp;Abdoulkarim Idi Cheffou","doi":"10.1016/j.jimonfin.2025.103320","DOIUrl":"10.1016/j.jimonfin.2025.103320","url":null,"abstract":"<div><div>Is there a link between climate change action and the corporate debt market? Climate concerns are affecting a growing number of firms, their capital demand and indebtedness, as their exposure to ecological transition and climate change risk can influence their capital cost, capital demand and therefore their corporate debt decisions. This study examines the impact of climate change risk/unertainty on corporate debt and tests further lead-lag effects. To this end, we rely on data related to US companies listed on the S&amp;P500 over the period 1990–2024, focusing on a large sample over a timeline characterized by different episodes, crises, and tensions related to climate change. Accordingly, we define the relationship between US corporate debt and climate change uncertainty using linear and nonlinear specifications. Our results show that pressure linked to ecological transition and climate change risk has had a significant impact on US firms’ debt and their capital structure. However, it appears that the impact of climate risks varies depending on the quantile under consideration and therefore the level of firm’s debt, suggesting further evidence of asymmetry and nonlinearity.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"154 ","pages":"Article 103320"},"PeriodicalIF":2.8,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143738846","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
Monetary and fiscal policy in a two-country model with behavioral expectations 具有行为预期的两国模型中的货币和财政政策
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-03-22 DOI: 10.1016/j.jimonfin.2025.103331
Michał Brzoza-Brzezina , Paweł R. Galiński , Krzysztof Makarski
{"title":"Monetary and fiscal policy in a two-country model with behavioral expectations","authors":"Michał Brzoza-Brzezina ,&nbsp;Paweł R. Galiński ,&nbsp;Krzysztof Makarski","doi":"10.1016/j.jimonfin.2025.103331","DOIUrl":"10.1016/j.jimonfin.2025.103331","url":null,"abstract":"<div><div>We check how monetary and fiscal policies (in particular their open-economy dimensions) are affected by expectations being behavioral in the spirit of Gabaix (2020). We first show that the data strongly favor this setting compared with the standard rational expectations assumption. Then we document several novel findings. First, monetary policy is less powerful and faces a higher sacrifice ratio when agents are behavioral. Second, the Taylor principle is affected: determinacy regions are larger if the economy is more open or the central bank abroad is more hawkish. Third, fiscal policy and its international spillovers are amplified under behavioral expectations. In contrast, the spillovers of monetary policy are dampened. Fourth, behavioral expectations contribute to solving the puzzle of excess foreign currency returns (UIP puzzle).</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"155 ","pages":"Article 103331"},"PeriodicalIF":2.8,"publicationDate":"2025-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143828562","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 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
Asymmetric international risk sharing and the business cycle 不对称的国际风险分担与商业周期
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-03-20 DOI: 10.1016/j.jimonfin.2025.103326
Pierfederico Asdrubali , Soyoung Kim , Haerang Park
{"title":"Asymmetric international risk sharing and the business cycle","authors":"Pierfederico Asdrubali ,&nbsp;Soyoung Kim ,&nbsp;Haerang Park","doi":"10.1016/j.jimonfin.2025.103326","DOIUrl":"10.1016/j.jimonfin.2025.103326","url":null,"abstract":"<div><div>International risk sharing in OECD countries weakens during domestic recessions, when its role is most needed. Instead, no significant changes emerge during boom periods or in relation to the global business cycle. The asymmetry in the risk sharing response is driven mainly by dis-smoothing effects in the capital market channel and the credit market channel. Specifically, interest payments to abroad and credit constraints of households increase during domestic recessions, limiting the smoothing role of risk sharing channels. However, countries with more internationally integrated financial markets and corporate disclosure can mitigate the dis-smoothing effects of these two channels and thus the asymmetry in international risk sharing. These findings contribute to rationalizing heterogeneous results in the literature on the impact of globalization and financial frictions on international risk sharing.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"156 ","pages":"Article 103326"},"PeriodicalIF":2.8,"publicationDate":"2025-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143947138","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
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信