Journal of International Money and Finance最新文献

{"title":"Extrapolation beyond peers: An asset pricing perspective","authors":"Guohao Tang ,&nbsp;Yiyong Wu ,&nbsp;Guanyu Lou","doi":"10.1016/j.jimonfin.2024.103153","DOIUrl":"10.1016/j.jimonfin.2024.103153","url":null,"abstract":"<div><p>We introduce a novel measure that captures the beta deviation of individual firms from their industry peers within China's stock market. Our analysis reveals that stocks with greater beta deviation generate significantly higher future returns. This predictive power is unaffected by established return predictors and remains robust across alternative peer identification methods, beta estimation techniques, and subsample tests. Our findings suggest a behavioral interpretation, linking positive predictability to mispricing driven by investors' extrapolation biases. Overall, our research highlights the critical role of incorporating peer firms into asset pricing, particularly in emerging markets.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"148 ","pages":"Article 103153"},"PeriodicalIF":2.8,"publicationDate":"2024-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141992978","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":"Exchange rate and corporate investment: Heterogeneous effects via the global value chain networks","authors":"Wendi Huang ,&nbsp;Weikang Zhang","doi":"10.1016/j.jimonfin.2024.103159","DOIUrl":"10.1016/j.jimonfin.2024.103159","url":null,"abstract":"<div><p>This study analyzes how exchange rates affect corporate investment by scrutinizing firms' global value chain (GVC) networks. A salient feature of our analysis is that we adopt novel GVC datasets and methodologies to construct upstream- and downstream-specific exchange rates. We couple these GVC-integrated real exchange rates with global firm-level data and document that unfavorable exchange rate movements hinder operating performance and, therefore, corporate investment, especially among financially constrained firms. We use two large currency shocks in Brazil and Sweden to provide causal evidence. The results highlight nonnegligible frictions of how GVC-integrated real exchange rates affect corporate investment.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"147 ","pages":"Article 103159"},"PeriodicalIF":2.8,"publicationDate":"2024-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141978592","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":"Energy shocks in the Euro area: Disentangling the pass-through from oil and gas prices to inflation","authors":"Chiara Casoli ,&nbsp;Matteo Manera ,&nbsp;Daniele Valenti","doi":"10.1016/j.jimonfin.2024.103154","DOIUrl":"10.1016/j.jimonfin.2024.103154","url":null,"abstract":"<div><p>We develop a Bayesian Structural VAR model to study the relationship between different energy shocks and inflation dynamics in Europe. Specifically, we model the endogenous transmission from shocks identified by the global market of crude oil and the European natural gas market to two target macroeconomic variables, i.e. inflation expectations and realized headline inflation rate. Our results demonstrate that, since the post-pandemic recovery, inflation in the Euro area is mostly driven by energy price shocks and aggregate supply factors. In particular, the high peaks of the Eurozone inflation are mostly associated with natural gas supply shocks.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"147 ","pages":"Article 103154"},"PeriodicalIF":2.8,"publicationDate":"2024-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141978593","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":"Trade liberalization and entrepreneurship: Evidence from China’s WTO accession","authors":"Ni Qin ,&nbsp;Dongmin Kong ,&nbsp;Qin Wang","doi":"10.1016/j.jimonfin.2024.103155","DOIUrl":"10.1016/j.jimonfin.2024.103155","url":null,"abstract":"<div><p>We investigate the effect of trade liberalization on entrepreneurship. By using China’s World Trade Organization accession as an exogenous shock to conduct a difference-in-differences estimation, we find that trade liberalization has a sizeable positive effect on entrepreneurship. Our findings are robust to different specifications and endogeneity problems. We further discuss the plausible mechanisms driving our results: the trade induced competition, and input market channel. China’s WTO accession may lead to more entrepreneurship in areas with low levels of economic development, a high level of trust, and industries with a low level of external finance dependence.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"147 ","pages":"Article 103155"},"PeriodicalIF":2.8,"publicationDate":"2024-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141964418","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":"Globalisation and the efficiency-equity trade-off","authors":"Roland Beck,&nbsp;Virginia Di Nino,&nbsp;Livio Stracca","doi":"10.1016/j.jimonfin.2024.103157","DOIUrl":"10.1016/j.jimonfin.2024.103157","url":null,"abstract":"<div><p>We revisit the effects of globalisation over the past 50 years in a large sample of advanced and emerging countries. We use accessions to Globalisation Clubs (WTO, OECD, EU), financial liberalisation and an instrument for trade openness to study the trade-off between efficiency (proxied by real GDP per capita and TFP) and equity (proxied by the labour share of income and the Gini index of inequality). We find that (i) most of our episodes lead to an increase in trade openness (ii) the effects on GDP per capita are mostly positive with some interesting exceptions and (iii) there is little evidence that globalisation shocks lead to more inequality.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"148 ","pages":"Article 103157"},"PeriodicalIF":2.8,"publicationDate":"2024-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142128770","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":"Prices and returns: Role of inflation","authors":"Yulong Sun","doi":"10.1016/j.jimonfin.2024.103149","DOIUrl":"10.1016/j.jimonfin.2024.103149","url":null,"abstract":"<div><p>We find that the market dividend yield and earnings yield can positively predict future inflation internationally. The inflation predictability of price ratios could invert the standard asset pricing predictive results. For example, dividend yields do forecast real dividend growth but not nominal dividend growth. We extend the analysis to the earnings yield as a robust analysis and document a similar predictive pattern. Further term structure analysis suggests that the financial ratio variation decomposition also differs significantly in nominal and real terms. In nominal-term decomposition, discount rate news is found to be the primary contributor to variations in price ratios while in real-term decomposition, cash flow news plays a more significant role, with its importance increasing over longer investment horizons. Our study utilizes consistent inflation predictability evidence in advanced economies to re-evaluate the global relationship between price ratios and inflation. We confirm that inflation is an international state variable in post-1970s samples and that the correlation between inflation and price ratios can almost entirely be attributed to the relationship between expected inflation and future growth prospects. This finding offers an explanation for the previously puzzling correlation between the dividend-price ratio and future inflation.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"147 ","pages":"Article 103149"},"PeriodicalIF":2.8,"publicationDate":"2024-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141932554","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":"China’s GDP-at-Risk: Real-Time Monitoring, Risk Tracing, and Macroeconomic Policy Effects","authors":"Jianli Sui ,&nbsp;Wenqiang Lv ,&nbsp;Xiang Gao ,&nbsp;Kees G. Koedijk","doi":"10.1016/j.jimonfin.2024.103150","DOIUrl":"10.1016/j.jimonfin.2024.103150","url":null,"abstract":"<div><p>Timely monitoring GDP-at-risk and tracing economic downside risk sources can help establish effective risk warning and prevention systems. This study constructs a probability distribution for China’s economic growth with skewness determined by a multidimensional predictor information set of macro fundamentals. Such a treatment allows us to identify changing drivers of economic downside risks during monitoring GDP-at-risk’s dynamic evolutionary path. We also employ a time-varying parameter vector autoregression model with random volatility to explore the heterogeneous impacts of different macroeconomic policy instruments on economic slowdowns. Our results provide empirical support for macroeconomic management and policy formulation in emerging markets. We reach three conclusions. First, the dynamics of GDP-at-risk exhibit significant event-driven characteristics, and economic downside risk increases significantly under the influence of extreme events. Moreover, the probability distribution of economic growth is asymmetric--as the downside risk of the economy increases, its upside potential increases disproportionately. Second, the time-varying risk trace of GDP-at-risk shows that the contribution of financial conditions and local government debt to economic downside risk declines. The importance of the risk-driving role of housing price growth gradually increases, suggesting that China’s property prices can provide more valuable early warning information about future growth risk, allowing time for precise preventive measures. Nevertheless, interest rates and inflation as risk divers have consistently minimal impacts. Third, the heterogeneity impulse response function of GDP-at-risk suggests that quantity-based monetary policy and fiscal policy can manage economic downside risks in the short run. In contrast, price-based monetary policy can curb economic overheating and reduce downside risks in the medium to long term. Therefore, the effect of price-based monetary policy is more sustainable in China.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"147 ","pages":"Article 103150"},"PeriodicalIF":2.8,"publicationDate":"2024-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141962878","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":"Individualism and bank financial structure similarity","authors":"Yuejiao Duan ,&nbsp;Omrane Guedhami ,&nbsp;Xinming Li ,&nbsp;Daxuan Zhao","doi":"10.1016/j.jimonfin.2024.103151","DOIUrl":"10.1016/j.jimonfin.2024.103151","url":null,"abstract":"<div><p>We use a sample of 75 countries to conduct the first international study of national culture on bank financial structure similarity. We construct a novel and comprehensive measure of bank financial structure similarity using banks’ financial statement data. Our empirical results show that individualism is robustly and positively associated with bank financial structure similarity, holding bank-pair levels, bank levels, and country levels equal. We find that other cultural dimensions, such as power distance, uncertainty avoidance, masculinity, and long-term orientation, have little effect on similarity. Our work also shows that financial structure similarity is correlated with higher bank risk.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"148 ","pages":"Article 103151"},"PeriodicalIF":2.8,"publicationDate":"2024-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142077353","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":"Exchange rate in emerging markets: Shock absorber or source of shock?","authors":"Pym Manopimoke ,&nbsp;Nuwat Nookhwun ,&nbsp;Jettawat Pattararangrong","doi":"10.1016/j.jimonfin.2024.103148","DOIUrl":"10.1016/j.jimonfin.2024.103148","url":null,"abstract":"<div><p>This paper examines the stabilization role of flexible exchange rates for emerging economies within the Latin America and Asia regions. Based on a structural VAR model, we utilize zero, sign and exchange rate pass-through restrictions to identify structural macroeconomic shocks. Overall, we find that exogenous exchange rate shocks drive around half of total exchange rate fluctuations in emerging economies. Despite this predominant role, we find evidence that exchange rates do not act as a source of shocks to the real economy, but they instead absorb and reduce output growth and inflation volatilities. Based on counterfactual analyses, we further find that this shock-insulation property is highly shock-dependent, where the benefits of flexible exchange rates are sizable for demand and global monetary policy shocks, but are overall small in the face of supply shocks. Results also differ across time horizons, where the shock stabilization benefits are mainly limited to the short run for output, but also extend to the medium term for inflation. We also find that the net benefits of flexible exchange rates as a shock absorber are in general larger for emerging economies in Latin America than in Asia, particularly during crises periods. Finally, while we find that the stabilization role of exchange rates hinges upon the nature of underlying structural shocks, there is also a positive association with structural determinants such as a country's degree of exchange rate flexibility and trade openness.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"148 ","pages":"Article 103148"},"PeriodicalIF":2.8,"publicationDate":"2024-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142041359","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":"Liquidity in the German corporate bond market: Has the CSPP made a difference?","authors":"Lena Boneva ,&nbsp;Mevlud Islami ,&nbsp;Kathi Schlepper","doi":"10.1016/j.jimonfin.2024.103147","DOIUrl":"10.1016/j.jimonfin.2024.103147","url":null,"abstract":"<div><p>The Eurosystem purchased €178 billion of corporate bonds between June 2016 and December 2018 under the Corporate Sector Purchase Programme (CSPP). Did these purchases lead to a deterioration of liquidity conditions in the corporate bond market, thus raising concerns about unintended consequences of large-scale asset purchases? To answer this question, we combine the Bundesbank's detailed CSPP purchase records with a range of liquidity indicators. We find that while the flow of purchases initially supported secondary market liquidity by providing a predictable source of demand, liquidity conditions deteriorated in the long-run as the Bundesbank reduced the stock of corporate bonds available for trading in the secondary market.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"147 ","pages":"Article 103147"},"PeriodicalIF":2.8,"publicationDate":"2024-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0261560624001347/pdfft?md5=a33d11f4809ce81ba7fdd8ebae196ba7&pid=1-s2.0-S0261560624001347-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141932555","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}