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Nothing special about an allowance for corporate equity: Evidence from Italian banks 公司股权备抵并无特别之处：意大利银行的证据
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-10-31 DOI: 10.1016/j.jimonfin.2024.103219
Dennis Dreusch , Felix Noth , Peter Reichling
{"title":"Nothing special about an allowance for corporate equity: Evidence from Italian banks","authors":"Dennis Dreusch ,&nbsp;Felix Noth ,&nbsp;Peter Reichling","doi":"10.1016/j.jimonfin.2024.103219","DOIUrl":"10.1016/j.jimonfin.2024.103219","url":null,"abstract":"<div><div>This paper analyzes the impact of reduced tax incentives for equity financing on banks' regulatory capital ratios under the Basel III regime. We are particularly interested in a recent interest rate cut in the Italian corporate equity allowance, which reduces the relative tax advantage of equity financing. The results show that banks respond to this increased tax disparity by significantly reducing their regulatory capital while at the same time reducing their risk-taking. The decline in capital is more pronounced for small banks and outweighs the initial capital gains from the introduction of this tax instrument. Our results challenge the use of equity allowances, in that financial stability gains persist only as long as costly tax subsidies remain intact and diminish as the size of the subsidy is reduced.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"150 ","pages":"Article 103219"},"PeriodicalIF":2.8,"publicationDate":"2024-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142586713","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
Fiscal policy design and inflation: The COVID-19 pandemic experience 财政政策设计与通货膨胀：COVID-19 大流行病的经验
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-10-29 DOI: 10.1016/j.jimonfin.2024.103210
Galina Hale , John Leer , Fernanda Nechio
{"title":"Fiscal policy design and inflation: The COVID-19 pandemic experience","authors":"Galina Hale ,&nbsp;John Leer ,&nbsp;Fernanda Nechio","doi":"10.1016/j.jimonfin.2024.103210","DOIUrl":"10.1016/j.jimonfin.2024.103210","url":null,"abstract":"<div><div>The significant rise in inflation (nearly) worldwide has been associated with different shocks and a range of policy responses to the COVID-19 pandemic. We study how the design of fiscal support measures helps explain the origins of the post-pandemic inflationary bout by exploring the heterogeneity of fiscal support measures across 10 large economies. Because conventional measures of real activity were distorted in the early stages of the pandemic, we control for the underlying state of the real economy using household sentiment data. We find that five weeks following support announcements, fiscal support measures already had statistically and economically significant, albeit not large, inflationary effects. The magnitude of the effect was twice as large in an environment of improving consumer sentiment and, in that case, the effects did not differ significantly whether the fiscal support targeted consumers or firms. Moreover, the inflationary effect was larger and much more immediate if the support involved cash transfers. Our findings suggest that policy design mattered for the underlying inflationary pressures in the aftermath of the pandemic.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"150 ","pages":"Article 103210"},"PeriodicalIF":2.8,"publicationDate":"2024-10-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142663443","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
Green innovation through trade: The impact of European Union emissions trading scheme on Chinese exporters 通过贸易实现绿色创新：欧盟排放交易计划对中国出口商的影响
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-10-22 DOI: 10.1016/j.jimonfin.2024.103215
Yinan Liu , Peiyao Lv , Hao Zhao
{"title":"Green innovation through trade: The impact of European Union emissions trading scheme on Chinese exporters","authors":"Yinan Liu ,&nbsp;Peiyao Lv ,&nbsp;Hao Zhao","doi":"10.1016/j.jimonfin.2024.103215","DOIUrl":"10.1016/j.jimonfin.2024.103215","url":null,"abstract":"<div><div>This paper investigates the international diffusion of green innovation through trade, focusing on the impact of the European Union Emissions Trading Scheme (EU ETS) on Chinese exporters. Using a difference-in-differences approach with firm-level data from 2000 to 2013, we find that the EU ETS significantly increased green patent applications among China-to-EU exporters. The likelihood of green patent applications increased by 0.2%, effectively doubling the pre-policy rate. Our mechanism analyses indicate that the increase is driven by the learning-by-exporting effect, rather than market size effects or the anticipation of regulatory and market condition changes. These results highlight the role of international trade in disseminating green technology and demonstrate how environmental regulations can foster innovation across global markets.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"149 ","pages":"Article 103215"},"PeriodicalIF":2.8,"publicationDate":"2024-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142525956","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
Bond supply expectations and the term structure of interest rates 债券供应预期和利率的期限结构
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-10-22 DOI: 10.1016/j.jimonfin.2024.103217
M. Billio , F. Busetto , A. Dufour , S. Varotto
{"title":"Bond supply expectations and the term structure of interest rates","authors":"M. Billio ,&nbsp;F. Busetto ,&nbsp;A. Dufour ,&nbsp;S. Varotto","doi":"10.1016/j.jimonfin.2024.103217","DOIUrl":"10.1016/j.jimonfin.2024.103217","url":null,"abstract":"<div><div>This paper investigates the influence of forward-looking government bond supply information on changes in the term structure of interest rates. While traditional arbitrage-free models suggest that bond supply should not impact bond yields, models accounting for preferred-habitat investors and imperfect asset substitutability raise this possibility. By analysing debt supply expectations derived from Germany's Treasury press releases, we find that news about expected bond supply affects bond yields, supporting the notion that supply expectations influence current interest rates. Our study also extends macro-finance models, highlighting the significant role of supply expectations in term structure dynamics. Additionally, we provide insights into the puzzle of German government bond yields falling below the ECB deposit rate.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"150 ","pages":"Article 103217"},"PeriodicalIF":2.8,"publicationDate":"2024-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142593291","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
Economic policy uncertainty in OFDI host countries and the cross-section of stock returns 对外直接投资东道国经济政策的不确定性与股票收益的横截面
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-10-17 DOI: 10.1016/j.jimonfin.2024.103214
Ya Peng, Xueyong Zhang
{"title":"Economic policy uncertainty in OFDI host countries and the cross-section of stock returns","authors":"Ya Peng,&nbsp;Xueyong Zhang","doi":"10.1016/j.jimonfin.2024.103214","DOIUrl":"10.1016/j.jimonfin.2024.103214","url":null,"abstract":"<div><div>This study examines the association between foreign economic policy uncertainty (FEPU) originating from the host countries (regions) of outward foreign direct investment (OFDI) and expected stock returns. We construct a novel variable, <em>FEPU</em>, based on the year-end OFDI amounts of Chinese listed multinational enterprises (MNEs) and the EPU indices of 23 host countries (regions). Our findings reveal that stocks with higher <em>FEPU</em> outperform those with lower <em>FEPU</em> by 4.96 % annually. Beyond predicting short-term expected returns, <em>FEPU</em> also exhibits strong positive predictive power for firms’ long-term cumulative returns. Additionally, through mechanism tests, we demonstrate that this excess return is attributable to compensation for risk premium. Unlike the majority of studies that focus solely on the impact of EPU within a single country or region, we examine the cross-border implications of EPU. This approach offers an innovative perspective on the pricing of MNEs’ stocks by characterizing the exposure to external EPU.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"149 ","pages":"Article 103214"},"PeriodicalIF":2.8,"publicationDate":"2024-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142525954","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
Import licenses, intermediaries, and price pass-through: Evidence from the Chinese steel market 进口许可证、中间商和价格传递：来自中国钢铁市场的证据
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-10-16 DOI: 10.1016/j.jimonfin.2024.103209
Puyang Sun , Kewei Ma , Li Su
{"title":"Import licenses, intermediaries, and price pass-through: Evidence from the Chinese steel market","authors":"Puyang Sun ,&nbsp;Kewei Ma ,&nbsp;Li Su","doi":"10.1016/j.jimonfin.2024.103209","DOIUrl":"10.1016/j.jimonfin.2024.103209","url":null,"abstract":"<div><div>This study examines the impact of abolishing the exclusive license of importing iron ore on price pass-through in the Chinese steel market. We model the intermediate traders' role in alleviating market uncertainties, which have a critical impact on price pass-through. In addition, we leverage the monthly iron ore import prices and steel market prices in Chinese cities, and employ a difference-in-difference framework to empirically analyze the impact of the import license reform on price pass-through. We show that the reform on average reduces the price pass-through by 15 percentage points, which is around 3 points further in treated cities. Our findings imply the price pass-through hinges on market uncertainties, and the reform, although eliminating double marginalization, makes downstream steel producers have to face market uncertainties directly, and results in a lower price pass-through.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"149 ","pages":"Article 103209"},"PeriodicalIF":2.8,"publicationDate":"2024-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142441858","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
Did interest rate guidance in emerging markets work? 新兴市场的利率指导起作用了吗？
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-10-16 DOI: 10.1016/j.jimonfin.2024.103212
Julián Caballero , Blaise Gadanecz
{"title":"Did interest rate guidance in emerging markets work?","authors":"Julián Caballero ,&nbsp;Blaise Gadanecz","doi":"10.1016/j.jimonfin.2024.103212","DOIUrl":"10.1016/j.jimonfin.2024.103212","url":null,"abstract":"<div><div>Central banks in emerging market economies experimented with explicit interest rate guidance during 2020-2021. We explore the effectiveness of this policy. Despite some heterogeneity, interest rate guidance generally provided additional monetary stimulus, as reflected in lower medium-term yields and lower term spreads. The magnitude of the reduction in 10-year yields ranged between five and twenty basis points. In the immediate aftermath of the guidance, we do not observe a systematic negative market reaction – such as de-anchoring of inflation expectations, currency depreciation pressures, or increased sovereign credit risk – that would be associated with a loss of central bank credibility or with concerns about fiscal dominance.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"149 ","pages":"Article 103212"},"PeriodicalIF":2.8,"publicationDate":"2024-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142444843","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
Heterogeneous inflation expectations: A call for customized monetary policy communication? 异质通胀预期：定制化货币政策沟通的呼声？
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-10-15 DOI: 10.1016/j.jimonfin.2024.103211
J.P. Medina , Miguel Mello , Jorge Ponce
{"title":"Heterogeneous inflation expectations: A call for customized monetary policy communication?","authors":"J.P. Medina ,&nbsp;Miguel Mello ,&nbsp;Jorge Ponce","doi":"10.1016/j.jimonfin.2024.103211","DOIUrl":"10.1016/j.jimonfin.2024.103211","url":null,"abstract":"<div><div>The extent to which firms differentiate their inflation expectations between one-year and two-year horizons is an important indicator of changes in inflation expectations. Within a monetary policy framework aimed at reducing the inflation rate toward the target band, firms that obtain information from the central bank are more likely to distinguish between these horizons and expect inflation to converge toward the target. Generally, decision-makers do not differentiate between horizons, but when they do, they are more likely to anticipate convergence. Conversely, external advisors often differentiate between horizons and are more likely to expect divergence. The heterogeneity in how inflation expectations are formed—depending on who within the firm sets these expectations, the information they use, and their use of aggregate inflation expectations data—suggests a need for customized monetary policy communication.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"149 ","pages":"Article 103211"},"PeriodicalIF":2.8,"publicationDate":"2024-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142441856","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
Are R&D-intensive firms more resilient to trade shocks? Evidence from the U.S.–China trade war 研发密集型企业是否更能抵御贸易冲击？来自中美贸易战的证据
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-10-15 DOI: 10.1016/j.jimonfin.2024.103208
Kenneth A. Kim , Hongjun Xie , Xiaojia Zheng
{"title":"Are R&D-intensive firms more resilient to trade shocks? Evidence from the U.S.–China trade war","authors":"Kenneth A. Kim ,&nbsp;Hongjun Xie ,&nbsp;Xiaojia Zheng","doi":"10.1016/j.jimonfin.2024.103208","DOIUrl":"10.1016/j.jimonfin.2024.103208","url":null,"abstract":"<div><div>We study whether research and development (R&amp;D)-intensive Chinese firms were more resilient during the 2018–2019 U.S.-China trade war. Using an event study, we confirm that (unsurprisingly) Chinese exporting firms that were most affected by the new U.S. tariffs suffered larger valuation declines than other firms. However, among those most affected, those that were R&amp;D intensive suffered significantly less severe declines. We also identify a channel that allowed R&amp;D-intensive firms to better absorb the trade shock: their production efficiency improved amidst the trade war, due to enhanced operational efficiency and lower operating costs. Furthermore, in response to the trade disruptions, numerous R&amp;D-intensive Chinese companies acquired U.S. firms.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"149 ","pages":"Article 103208"},"PeriodicalIF":2.8,"publicationDate":"2024-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142441859","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
Is high debt Constraining monetary policy? evidence from inflation expectations 高债务是否制约了货币政策？
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-10-15 DOI: 10.1016/j.jimonfin.2024.103206
Luis Brandao-Marques , Marco Casiraghi , Gaston Gelos , Olamide Harrison , Gunes Kamber
{"title":"Is high debt Constraining monetary policy? evidence from inflation expectations","authors":"Luis Brandao-Marques ,&nbsp;Marco Casiraghi ,&nbsp;Gaston Gelos ,&nbsp;Olamide Harrison ,&nbsp;Gunes Kamber","doi":"10.1016/j.jimonfin.2024.103206","DOIUrl":"10.1016/j.jimonfin.2024.103206","url":null,"abstract":"<div><div>This paper examines whether high public debt levels pose a challenge to containing inflation. It does so by assessing the impact of public debt surprises on inflation expectations advanced- and emerging market economies. It finds that debt surprises raise long-term inflation expectations in emerging market economies in a persistent way, but not in advanced economies. The effects are stronger when initial debt levels are already high, when inflation levels are initially high, and when debt dollarization is significant. By contrast, debt surprises have only modest effects in countries with inflation targeting regimes. Increased debt levels may complicate the fight against inflation in emerging market economies with high and dollarized debt levels, and weaker monetary policy frameworks.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"149 ","pages":"Article 103206"},"PeriodicalIF":2.8,"publicationDate":"2024-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142525955","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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