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Rethinking the delayed overshooting puzzle: An examination through present value framework
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
Management climate risk concern and corporate bond credit spread
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-02-13 DOI: 10.1016/j.jimonfin.2025.103293
Xinjie Lu , Qing Zeng , Yisu Huang , Hanlin Wu
{"title":"Management climate risk concern and corporate bond credit spread","authors":"Xinjie Lu ,&nbsp;Qing Zeng ,&nbsp;Yisu Huang ,&nbsp;Hanlin Wu","doi":"10.1016/j.jimonfin.2025.103293","DOIUrl":"10.1016/j.jimonfin.2025.103293","url":null,"abstract":"<div><div>This study constructs management climate risk concern from the perspectives of physical and transitional risk, aiming to add novel proxies for measuring corporate climate risk. Investigating the impact of management climate risk concern on corporate bond credit spread, we find that both management physical and transitional climate risk concern has significantly negative effects the bond credit spread, meaning the stronger the management concern about climate risk, the lower the credit spread of the corporate bonds. In addition, further discussions show management climate risk concern have more negative effects on bond spread particularly for bonds with lower credit ratings, worse environment governance and more attention by analysts. This study provides a new insight to assess climate risk from the perspective of management and enriches the practice of climate risk on corporate bonds.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"153 ","pages":"Article 103293"},"PeriodicalIF":2.8,"publicationDate":"2025-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143465343","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 risk and corporate bond credit spreads
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-02-13 DOI: 10.1016/j.jimonfin.2025.103297
Feng He , Xingzi Ren , Yueren Wang , Xingfan Lei
{"title":"Climate risk and corporate bond credit spreads","authors":"Feng He ,&nbsp;Xingzi Ren ,&nbsp;Yueren Wang ,&nbsp;Xingfan Lei","doi":"10.1016/j.jimonfin.2025.103297","DOIUrl":"10.1016/j.jimonfin.2025.103297","url":null,"abstract":"<div><div>This paper examines the impact of physical climate risk on corporate bond credit spreads in the Chinese market. Using a dataset of 30,087 bond-month observations from 2008 to 2023, we find that climate risk significantly increases bond credit spreads. Climate risk increases corporate default risk by reducing internal cash flows and increasing external financing constraints, thereby resulting in wider bond credit spreads. Cross-sectional tests show that the impact is more pronounced in bonds with longer maturity, firms in climate-sensitive sectors, firms with less transparent information environment, firms with more concentrated supply chains, and firms located geographically closer. Furthermore, we find that investor attention and corporate proactive risk management efforts could moderate the impact of climate risk. Our findings underscore the implications of climate risk management for corporate bond pricing.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"154 ","pages":"Article 103297"},"PeriodicalIF":2.8,"publicationDate":"2025-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143680154","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 debt Regime under Political, Economic, and climate uncertainties
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-02-12 DOI: 10.1016/j.jimonfin.2025.103298
Sitara Karim , Constantin Gurdgiev
{"title":"Corporate debt Regime under Political, Economic, and climate uncertainties","authors":"Sitara Karim ,&nbsp;Constantin Gurdgiev","doi":"10.1016/j.jimonfin.2025.103298","DOIUrl":"10.1016/j.jimonfin.2025.103298","url":null,"abstract":"<div><div>How do political, economic, and climate uncertainties influence corporate debt decisions across firms with different leverage exposures? This study explores the effects of these macro-level uncertainties on corporate debt strategies using a dataset of 11,305 firm-year observations based on a wide range of methodologies, including random effects GLS, differenced GMM, and system GMM. To explore informational complexity of the macro uncertainties-debt choices nexus, we examine the moderating roles of analyst coverage and market concentration on the given relationship. The findings reveal that political uncertainty significantly increases debt exposures in high-leverage firms, while climate uncertainty reduces leverage across all firms. Economic uncertainty, however, shows no significant effect on debt. The moderating effects of analyst coverage and market concentration are limited, with market concentration positively influencing debt holdings only in high-leverage firms. For policymakers and corporate managers, these insights emphasize the need to incorporate political and climate risks into financial decision-making, particularly for highly leveraged firms.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"153 ","pages":"Article 103298"},"PeriodicalIF":2.8,"publicationDate":"2025-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143437065","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
Bonds for a Bluer Tomorrow: Corporate climate concern and its impact on corporate bond maturities
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-02-12 DOI: 10.1016/j.jimonfin.2025.103296
Chao Liang , Jinyu Yang , Lihua Shen , Luu Duc Toan Huynh
{"title":"Bonds for a Bluer Tomorrow: Corporate climate concern and its impact on corporate bond maturities","authors":"Chao Liang ,&nbsp;Jinyu Yang ,&nbsp;Lihua Shen ,&nbsp;Luu Duc Toan Huynh","doi":"10.1016/j.jimonfin.2025.103296","DOIUrl":"10.1016/j.jimonfin.2025.103296","url":null,"abstract":"<div><div>The study examines whether and how corporate climate concern (<span><math><mrow><mi>CCC</mi></mrow></math></span>) affects the maturity of corporate bonds. Based on the information in a company annual report’s management discussion and analysis (MD&amp;A) section, we construct a corporate climate concern index using text analysis methods. The empirical findings indicate that <span><math><mrow><mi>CCC</mi></mrow></math></span> promotes the issuance of longer-term corporate bonds. The findings are robust to controlling for endogeneity issues, and using an alternative <span><math><mrow><mi>CCC</mi></mrow></math></span> measurement and alternative estimation models. A mechanism analysis explains the positive effect of <span><math><mrow><mi>CCC</mi></mrow></math></span> on corporate bond maturity as follows: companies with a high level of concern for climate issues are 1) more inclined to raise funds by issuing longer-term bonds to support their long-term climate management investment plans and 2) more likely to obtain approval for the issuance of longer-term bonds. In addition, we show that the positive effect of <span><math><mrow><mi>CCC</mi></mrow></math></span> on bond maturity is pronounced in firms in better financial conditions and with greater R&amp;D investments.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"153 ","pages":"Article 103296"},"PeriodicalIF":2.8,"publicationDate":"2025-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143419966","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
Central bank independence and inflation tail risks—Evidence from emerging markets
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-02-12 DOI: 10.1016/j.jimonfin.2025.103285
Luis I. Jácome , Samuel Pienknagura
{"title":"Central bank independence and inflation tail risks—Evidence from emerging markets","authors":"Luis I. Jácome ,&nbsp;Samuel Pienknagura","doi":"10.1016/j.jimonfin.2025.103285","DOIUrl":"10.1016/j.jimonfin.2025.103285","url":null,"abstract":"<div><div>We study the link between central bank independence and episodes of unusually high inflation—what we call inflation tail risks—and highlight the perils of weakening central bank independence. Using a novel historical dataset of central bank independence for 17 Latin American, our empirical analysis finds that, in addition to the well-established negative association between central bank independence and inflation, high central bank independence is associated with reductions in the likelihood of high inflation episodes, as shown by linear probability models and quantile regressions. Moreover, a dynamic quantile regression approach shows that the benefits of central bank independence in terms of reducing high inflation accumulate over time. Finally, using alternative measures of central bank independence, we find that the lessons stemming from Latin America's experience extend to emerging markets more broadly.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"153 ","pages":"Article 103285"},"PeriodicalIF":2.8,"publicationDate":"2025-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143474179","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
In the same boat: Climate risk and hidden debt in the supply chain
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-02-12 DOI: 10.1016/j.jimonfin.2025.103299
Yishuang Liu , Hanmin Dong , Yueyang Wang
{"title":"In the same boat: Climate risk and hidden debt in the supply chain","authors":"Yishuang Liu ,&nbsp;Hanmin Dong ,&nbsp;Yueyang Wang","doi":"10.1016/j.jimonfin.2025.103299","DOIUrl":"10.1016/j.jimonfin.2025.103299","url":null,"abstract":"<div><div>This study explores how companies adjust trade credit in response to climate change risks within supply chains. Covering 20,946 company-supplier-year pair observations from 2003 to 2022 in China, we find that: (1) As climate-related physical risks from suppliers increase, customer companies reduce accounts payable to mitigate financial vulnerabilities and enhance supply chain resilience. A one-unit increase in climate risk can cause a 0.01% decline in the short-term accounts payable and a 0.03% decrease in the long-term. (2) Companies tend to terminate supplier-customer relationships if these climate uncertainties persist beyond two years. While companies invest in innovation and reallocate resources for climate adaptation, unexpected shocks continue to affect their financial decisions, particularly when risk exposure exceeds experience-based expectations. (3) Proximity in geography, administration, and economy improves supply chain collaboration, leading to earlier supplier payments. In contrast, customer companies increase accounts payable if suppliers are located in regions with less adaptation ability.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"153 ","pages":"Article 103299"},"PeriodicalIF":2.8,"publicationDate":"2025-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143429527","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
Carbon risk and debt financing: An international perspective
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-02-12 DOI: 10.1016/j.jimonfin.2025.103294
Xiaohang Ren , Wenqi Li , Kun Duan , Andrew Urquhart
{"title":"Carbon risk and debt financing: An international perspective","authors":"Xiaohang Ren ,&nbsp;Wenqi Li ,&nbsp;Kun Duan ,&nbsp;Andrew Urquhart","doi":"10.1016/j.jimonfin.2025.103294","DOIUrl":"10.1016/j.jimonfin.2025.103294","url":null,"abstract":"<div><div>Threatening escalation of carbon emissions has elicited increasing attention to the significance of carbon risk in shaping a firm’s debt financing decision. Despite the policy significance, the relationship between carbon risk and debt financing remains to be resolved. This paper provides a firm-level investigation to seek insights into the impact of carbon risk on debt financing. Employing an international dataset covering 24 economies, our results suggest that rising carbon risk leads to debt expansion, validating the liquidity shortage view that carbon risk enlarges firm’s liquidity concerns to resort to debt financing. The debt expansion effect of carbon risk is found to be more pronounced in countries with high uncertainty and low socio-economic development, industries with high competition, firms with non-high-tech attributes, low financial constraints, limited growth opportunities, and leverage ratios below the optimal level. Further analysis supports the Porter hypothesis by showing that carbon risk and its resultant debt expansion can enhance corporate performance in a time-lagged pattern.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"153 ","pages":"Article 103294"},"PeriodicalIF":2.8,"publicationDate":"2025-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143429528","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
Measuring transitory inflation: Implications for monetary policy and stock market volatility
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-02-04 DOI: 10.1016/j.jimonfin.2025.103284
Yosef Bonaparte , Frank J. Fabozzi , Matt Peron
{"title":"Measuring transitory inflation: Implications for monetary policy and stock market volatility","authors":"Yosef Bonaparte ,&nbsp;Frank J. Fabozzi ,&nbsp;Matt Peron","doi":"10.1016/j.jimonfin.2025.103284","DOIUrl":"10.1016/j.jimonfin.2025.103284","url":null,"abstract":"<div><div>We present a methodology for developing a transitory inflation (TI) measure that captures persistent deviations from mean inflation, distinguishing it from underlying inflation. First, we analyze the decay rate of TI as it reverts to stationary inflation, finding that convergence typically ranges between two to four years. We then examine the impact of TI on monetary policy, demonstrating that a surge in TI increases monetary policy uncertainty and is followed by interest rate hikes by the Federal Reserve. Furthermore, we investigate how TI influences key stock market outcomes and find its impact varies across sectors and by market capitalization; overall, higher TI is associated with lower asset prices, especially for small-cap stocks, and higher stock market volatility. We also identify rising oil prices as a significant driver of TI.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"153 ","pages":"Article 103284"},"PeriodicalIF":2.8,"publicationDate":"2025-02-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143474180","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
Market mechanisms for energy transition: Fossil energy price shocks and irrational renewable energy financing
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2025-02-01 DOI: 10.1016/j.jimonfin.2024.103251
Siquan Wang , Anna Min Du , Boqiang Lin
{"title":"Market mechanisms for energy transition: Fossil energy price shocks and irrational renewable energy financing","authors":"Siquan Wang ,&nbsp;Anna Min Du ,&nbsp;Boqiang Lin","doi":"10.1016/j.jimonfin.2024.103251","DOIUrl":"10.1016/j.jimonfin.2024.103251","url":null,"abstract":"<div><div>China is taking a leading role in the renewable energy industry and is dedicated to promoting the market-based operation mechanism of the energy transition. Nearly all media attribute it to industrial policies; however, this is insufficient to explain the periodic overcapacity risk behind the rapid development − neglecting the market irrationality behind the prosperity and failing to provide further guidance for the proactive government. Based on the micro-level evidence of enterprise business data, this study explores the market feedback mechanism between renewable energy business expansion and financing under the fossil energy price shocks to disclose the market irrationality mechanism triggered by coal, a key inducement. We first establish an empirical framework to explore the relationship, which remains stable under instrumental variable regression and dual-factor moderating effect with extreme weather damage. Furthermore, we compare the mechanisms of China and the United States to furnish more empirical evidence. The results demonstrate that China’s renewable energy financing displays irrationality in signal transmission and market financing feedback, as well as the possible presence of market overreaction by analyzing the financing feedback during the occurrence and disappearance of fossil energy price shocks. The findings offer further policy operability for the theory of active government.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"151 ","pages":"Article 103251"},"PeriodicalIF":2.8,"publicationDate":"2025-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143104301","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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