Journal of International Money and Finance最新文献_第8页

Blowing against the Wind? a narrative approach to central Bank foreign exchange intervention 中央银行外汇干预的叙事方法？

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2024-07-04 DOI: 10.1016/j.jimonfin.2024.103129

Alain Naef

{"title":"Blowing against the Wind? a narrative approach to central Bank foreign exchange intervention","authors":"Alain Naef","doi":"10.1016/j.jimonfin.2024.103129","DOIUrl":"https://doi.org/10.1016/j.jimonfin.2024.103129","url":null,"abstract":"<div><p>Most countries in the world use foreign exchange intervention, but measuring the success of the policy is difficult. By using a narrative approach, I identify interventions when the central bank manages to influence the exchange rate based on pure luck. I separate them from interventions when the central bank actually impacted the exchange rate. Because intervention records are daily aggregates, an intervention might appear to have changed the direction of the exchange rate, when it is more likely to have been caused by market news. This analysis allows to have a better understanding of how successful central bank operations really are. I use new daily data on Bank of England interventions in the 1980 s and 1990 s. Some studies find that interventions work in up to 80 % of cases. Yet, by accounting for intraday market moving news, I find in adverse conditions, the Bank of England managed to influence the exchange rate only in 8 % of cases. I use natural language processing to confirm the validity of the narrative approach. Using lasso and a VAR analysis, I investigate what makes the Bank of England intervene. I find that only movement on the Deutschmark and not US dollar exchange rate made the Bank intervene. Also, I find that interest rate hikes were mostly a tool for currency management and accompanied by large reserve sales.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"146 ","pages":"Article 103129"},"PeriodicalIF":2.8,"publicationDate":"2024-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0261560624001165/pdfft?md5=3d2335fa61ec4f9fd3f903d2488570ff&pid=1-s2.0-S0261560624001165-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141596614","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

Geopolitics and the global economy 地缘政治与全球经济

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2024-07-03 DOI: 10.1016/j.jimonfin.2024.103124

Barry Eichengreen

引用次数: 0

Trend inflation and exchange rate dynamics: A new Keynesian approach 趋势性通货膨胀和汇率动态：新凯恩斯主义方法

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2024-07-03 DOI: 10.1016/j.jimonfin.2024.103128

Takashi Kano

引用次数: 0

Cross-country variation in economic preferences and the asset composition of international investment positions 经济偏好的跨国差异与国际投资头寸的资产构成

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2024-07-02 DOI: 10.1016/j.jimonfin.2024.103130

Mika Nieminen , Kamila Kuziemska-Pawlak

{"title":"Cross-country variation in economic preferences and the asset composition of international investment positions","authors":"Mika Nieminen , Kamila Kuziemska-Pawlak","doi":"10.1016/j.jimonfin.2024.103130","DOIUrl":"https://doi.org/10.1016/j.jimonfin.2024.103130","url":null,"abstract":"<div><p>A stylized fact of international capital markets is that advanced countries tend to be long and developing countries short in risky assets (i.e., portfolio equity and foreign direct investment (FDI)). In other words, residents of advanced countries hold a larger stock of portfolio equity abroad than residents of developing countries, and firms in advanced countries have more foreign subsidiaries than firms in developing countries. This paper is the first to utilize a large-scale international survey on economic preferences to propose a behavioral explanation for the heterogeneity in the asset composition of international investment positions. We provide robust empirical evidence that countries with a high time preference (i.e., patience) or a high risk preference (i.e., risk-taking) tend to have a positive net international investment position and a positive net risky position. In addition, we show that countries with a high degree of negative reciprocity (e.g., willingness to punish for unfair action) tend to have a positive net FDI position. Overall, our findings suggest that preferences are important determinants of cross-country variation in net foreign asset positions.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"146 ","pages":"Article 103130"},"PeriodicalIF":2.8,"publicationDate":"2024-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0261560624001177/pdfft?md5=625c89a619910be909c6d076ef387715&pid=1-s2.0-S0261560624001177-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141542498","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

Are exchange rates absorbers of global oil shocks? A generalized structural analysis 汇率是全球石油冲击的吸收器吗？广义结构分析

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2024-07-01 DOI: 10.1016/j.jimonfin.2024.103126

Andre Harrison , Xiaochun Liu , Shamar L. Stewart

{"title":"Are exchange rates absorbers of global oil shocks? A generalized structural analysis","authors":"Andre Harrison , Xiaochun Liu , Shamar L. Stewart","doi":"10.1016/j.jimonfin.2024.103126","DOIUrl":"https://doi.org/10.1016/j.jimonfin.2024.103126","url":null,"abstract":"<div><p>This paper studies the impact of global oil market shocks on the level, volatility, and correlation dynamics of real effective exchange rates over time. We find that the USD and the EURO act as shock absorbers, as shocks to the global oil market explain substantial proportions of the volatility and correlation dynamics of each exchange rate – compared to the small or even negligible contributions of exogenous interest rate and effective exchange rate shocks. Further we find an interesting “puzzle” that the Euro Area unexpectedly behaves as if it were an oil exporting country - the EURO appreciates in response to a flow demand shock that increases oil price. Our findings are garnered from a generalized time-varying SVAR model with stochastic volatility that allows for correlated disturbances between observation and transition equations and among transition equations themselves. This approach of enriching dynamics between the first and second moments of endogenous variables is particularly suitable for capturing the transmission of structural level oil shocks to the volatility of exchange rates and their correlation with the global oil market.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"146 ","pages":"Article 103126"},"PeriodicalIF":2.8,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141596616","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

A presence of absence: The benign emergence of monetary stability 缺席的存在：货币稳定的良性出现

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2024-06-27 DOI: 10.1016/j.jimonfin.2024.103125

A.K. Rose , A.I.G. Rose

引用次数: 0

The dollar versus the euro as international reserve currencies 美元与欧元作为国际储备货币的对比

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2024-06-17 DOI: 10.1016/j.jimonfin.2024.103123

Menzie D. Chinn , Jeffrey A. Frankel , Hiro Ito

{"title":"The dollar versus the euro as international reserve currencies","authors":"Menzie D. Chinn , Jeffrey A. Frankel , Hiro Ito","doi":"10.1016/j.jimonfin.2024.103123","DOIUrl":"https://doi.org/10.1016/j.jimonfin.2024.103123","url":null,"abstract":"<div><p>We begin by examining determinants of aggregate foreign exchange reserve holdings by central banks (size of issuing country’s economy and financial markets, ability of the currency to hold value, and inertia). But understanding the determination of reserve holdings probably requires going beyond the aggregate numbers, instead observing individual central bank behavior, including characteristics of the holding country (bilateral trade with the issuing country, bilateral currency peg, and proxies for bilateral exposure to sanctions), in addition to the characteristics of the reserve currency issuer. On a currency-by-currency basis, US dollar holdings are somewhat well explained by several issuer characteristics; but the other currencies are less successfully explained. It may be that the results from currency-by-currency estimation are impaired by insufficient sample size. This consideration offers a motivation for pooling the data across the major currencies and imposing the constraints that reserve holdings are determined in the same way for each currency. In this setting, most economic determinants enter with significance: economic size as measured by GDP, bilateral currency peg, and bilateral trade share. While one geopolitical factor (congruence in voting in the UN) is typically significant in the expected manner (with the exception of the US dollar), the other geopolitical factor (sanctions) does not enter with significance.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"146 ","pages":"Article 103123"},"PeriodicalIF":2.8,"publicationDate":"2024-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141444242","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

Inflation targeting and capital flows: A tale of two cycles in developing countries 通货膨胀目标制与资本流动：发展中国家两个周期的故事

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2024-06-14 DOI: 10.1016/j.jimonfin.2024.103121

Olena Ogrokhina , Cesar M. Rodriguez

{"title":"Inflation targeting and capital flows: A tale of two cycles in developing countries","authors":"Olena Ogrokhina , Cesar M. Rodriguez","doi":"10.1016/j.jimonfin.2024.103121","DOIUrl":"10.1016/j.jimonfin.2024.103121","url":null,"abstract":"<div><p>Global factors have traditionally determined capital flows, but domestic policies also matter. Developing countries face the challenge of managing procyclical capital inflows that can destabilize their macroeconomic environment. Inflation targeting can help solve this problem by enhancing the credibility and predictability of monetary policy. In this paper, we explore how inflation targeting affects the cyclical behavior of capital inflows in developing countries. First, we complement the data on international capital flows from the IMF with locational and consolidated banking statistics from the BIS. Second, we address the self-selection associated with inflation targeting by using entropy balancing. We find that inflation targeting reduces the procyclicality of capital inflows in developing countries. Specifically, inflation-targeting countries receive more (less) capital inflows during recessions (booms) than non-targeting countries. <em>Other investment debt</em> from the private sector mainly drives this effect. Our results are robust to various sensitivity checks and alternative specifications and methodologies.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"146 ","pages":"Article 103121"},"PeriodicalIF":2.8,"publicationDate":"2024-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141416440","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

Lessons from low interest rate policy: How did euro area banks respond? 低利率政策的经验教训：欧元区银行如何应对？

IF 2.8 2区经济学

Journal of International Money and Finance Pub Date : 2024-06-13 DOI: 10.1016/j.jimonfin.2024.103122

Jorien Freriks, Jan Kakes

引用次数: 0

How do institutions affect output recovery after financial crises? 机构如何影响金融危机后的产出恢复？

IF 2.5 2区经济学

Journal of International Money and Finance Pub Date : 2024-06-09 DOI: 10.1016/j.jimonfin.2024.103120

Hsien-Yi Chen , Sheng-Syan Chen , Chong-Chuo Chang

引用次数: 0