Journal of International Money and Finance最新文献

{"title":"Climate change exposure and green bonds issuance","authors":"Khaled Guesmi ,&nbsp;Panagiota Makrychoriti ,&nbsp;Emmanouil G. Pyrgiotakis","doi":"10.1016/j.jimonfin.2025.103281","DOIUrl":"10.1016/j.jimonfin.2025.103281","url":null,"abstract":"<div><div>In this study, we examine the relationship between firm-level climate change exposure and green bond issuance. We find that firms exposed to climate change are more likely to issue green bonds. This relationship is primarily motivated by the firms’ desire to hedge against physical and regulatory risks rather than to capitalize on new climate-related opportunities. Green bonds issued by climate-exposed firms have lower proceeds, higher coupon rates and larger maturities. The issuance of such bonds is associated with higher ESG scores but not with lower carbon emissions. Our findings survive a battery of robustness tests including endogeneity checks, and are important to issuers, asset managers and bond market regulators.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"152 ","pages":"Article 103281"},"PeriodicalIF":2.8,"publicationDate":"2025-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143104566","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}

{"title":"Climate policy uncertainty and synergistic industrial agglomeration: What role does financial development play?","authors":"Qunxi Kong ,&nbsp;Ziqi Wang ,&nbsp;Peipei Wu ,&nbsp;Dan Peng","doi":"10.1016/j.jimonfin.2025.103282","DOIUrl":"10.1016/j.jimonfin.2025.103282","url":null,"abstract":"<div><div>The intensification of global climate change and the uncertainty surrounding climate policies have significantly impacted economic development, particularly in the optimization of industrial structures. We analyze the relationship between climate policy uncertainty (CPU), financial development, and synergistic industrial agglomeration, utilizing panel data from cities at or above the prefectural level in China from 2003 to 2019. The results indicate that climate policy uncertainty has a significant negative effect on the synergistic agglomeration of manufacturing and productive services, particularly in the economically developed and highly urbanized eastern region. Furthermore, a U-shaped nonlinear relationship exists between climate policy uncertainty and agglomeration. Additionally, the level of financial development significantly mitigates the negative impact of climate policy uncertainty on industrial agglomeration, contributing to its stability and sustainability. We suggest that enhancing the transparency and stability of climate policies, strengthening the financial system, and promoting coordinated regional development can foster synergistic industrial agglomeration and alleviate the adverse effects of climate policy uncertainty.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"152 ","pages":"Article 103282"},"PeriodicalIF":2.8,"publicationDate":"2025-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143171723","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":"Stablecoin price dynamics under a peg-stabilising mechanism","authors":"Cho-Hoi Hui ,&nbsp;Andrew Wong ,&nbsp;Chi-Fai Lo","doi":"10.1016/j.jimonfin.2025.103280","DOIUrl":"10.1016/j.jimonfin.2025.103280","url":null,"abstract":"<div><div>Stablecoins are created in various public or private blockchains, and their growing uses include payments, settlements, lending, and even as safe assets in periods of turmoil. They are designed to maintain credible price stability similar to that of a currency pegged to another currency (e.g. the US dollar) operated under a currency board monetary system. To study the peg-stabilising mechanism for stablecoin prices and associated dynamics, this paper uses the analogy of a currency board and the theory of the quasi-bounded target zone model based on the standard flexible-price monetary framework. The solution to the model equation illustrates that the price is more stable in a narrower trading bandwidth and less sensitive to changes in the fundamental variable (i.e. demand for stablecoins) with a stronger stabilising force in the fundamental dynamics. The empirical results using the stablecoin Tether demonstrate that the model can describe Tether’s price dynamics. The mean reversion in the Tether price dynamics representing the stabilising force is positively related to market liquidity in the stablecoin market and volatility in the price of Bitcoin, suggesting that the increased market liquidity and safe haven characteristic of Tether stabilise its price. Tether’s blockchain migration with a larger investor base enhanced the peg-stabilising mechanism. This paper also discusses the implications for prudential treatment of stablecoins, including trading bandwidths, market liquidity condition, and the quality of backing reserves.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"152 ","pages":"Article 103280"},"PeriodicalIF":2.8,"publicationDate":"2025-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143171728","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":"Inequality, current account imbalances, and middle incomes","authors":"Océane Blomme ,&nbsp;Jérôme Héricourt","doi":"10.1016/j.jimonfin.2025.103267","DOIUrl":"10.1016/j.jimonfin.2025.103267","url":null,"abstract":"<div><div>This paper investigates the complex relationship between current account balance and income inequality, specifically emphasizing the potential sources of nonlinearities. Based on a dataset for 52 developed and developing countries over the period 1990-2019, we first show a one-standard-deviation increase in various income-inequality indicators generates a decrease in the ratio of current account to GDP by -0.5 to -0.9 percentage points in developed countries, but has a weaker impact when the sample is expanded to include emerging and developing countries. We then show those average impacts are distorted along the distribution of economic and financial development variables. The negative impact of income inequality on current account is actually strongly conditioned to the size of financial markets and the degree of financial liberalization. For those countries displaying low GDP per capita or low levels of financial liberalization, additional income inequality seems to improve the current account balance. In addition, the decrease in the current account balance is in most cases from 1.1 to 1.9 times more important in the median country when the increase in inequality is driven by the income of top earners relative to the middle class rather than by the increase in top earners' incomes at the expense of the lowest percentiles of the distribution. These results are robust to various checks for endogeneity concerns, as well as to alternative specifications, samples, and variable definitions.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"152 ","pages":"Article 103267"},"PeriodicalIF":2.8,"publicationDate":"2025-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143104567","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}

{"title":"Time-varying effects of financial uncertainty shocks on macroeconomic fluctuations in Peru","authors":"Mauricio Alvarado,&nbsp;Gabriel Rodríguez","doi":"10.1016/j.jimonfin.2025.103276","DOIUrl":"10.1016/j.jimonfin.2025.103276","url":null,"abstract":"<div><div>This article employs a family of VAR models with time-varying parameters and stochastic volatility (TVP-VAR-SV) to estimate the impact of external financial uncertainty shocks on a set of macroeconomic variables in Peru for the period from 1996Q1 to 2022Q4. The main findings can be summarized as follows: (i) a simple VAR model with stochastic volatility is sufficient to capture uncertainty dynamics compared to TVP-VAR alternatives; (ii) uncertainty shocks have a negative and significant impact on private investment growth in the medium and long term; (iii) the impact on private investment growth is three times greater than that on GDP growth; (iv) uncertainty shocks behave like aggregate supply shocks, leading to an increase in the inflation rate; and (v) uncertainty shocks have stronger effects in scenarios characterized by unfavorable financial conditions.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"152 ","pages":"Article 103276"},"PeriodicalIF":2.8,"publicationDate":"2025-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143104589","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":"The quantile connectedness of the international housing market","authors":"Xichen Wang","doi":"10.1016/j.jimonfin.2025.103266","DOIUrl":"10.1016/j.jimonfin.2025.103266","url":null,"abstract":"<div><div>This paper investigates the interconnectedness of the international housing market using quantile connectedness models. It finds that: (1) House price shocks spread more strongly in tails than in the median. (2) Large positive shocks spread as strongly as large adverse shocks. (3) The US housing market is the leading transmitter of systematic shocks. The machine learning algorithms further reveal that the US interest rate is the most influential global factor in predicting spillover intensities. These findings suggest that policymakers should monitor global contagions, paying attention to booms/busts in US house prices and fluctuations in its monetary policy.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"152 ","pages":"Article 103266"},"PeriodicalIF":2.8,"publicationDate":"2025-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143171726","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":"Firm-level climate change risk and corporate debt maturity","authors":"John W. Goodell ,&nbsp;Alessia Palma ,&nbsp;Andrea Paltrinieri ,&nbsp;Stefano Piserà","doi":"10.1016/j.jimonfin.2025.103275","DOIUrl":"10.1016/j.jimonfin.2025.103275","url":null,"abstract":"<div><div>Exploiting a sample of worldwide listed firms, we explore the effect of firm-level climate change exposure on debt maturity structure. We find that climate change risk is negatively and statistically significantly associated with long-term maturity debt issuance. Further, we find that the climate change risk-debt maturity structure relationship is non-linear and changes according to firm-specific, country legal origins and macroeconomic conditions. We confirm our results by running several robustness tests to reduce endogeneity concerns, sample selection biases, and econometric model specification. Taken together, our evidence reveals firm debt maturity preferences when climate change risk increases, extending the literature on both climate change effects on financial markets as well as firm-level determinants of maturity structure determinants.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"152 ","pages":"Article 103275"},"PeriodicalIF":2.8,"publicationDate":"2025-01-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143104935","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":"Renaming with purpose: Investor response and fund manager behaviour after fund ESG renaming","authors":"Kayshani Gibbon ,&nbsp;Jeroen Derwall ,&nbsp;Dirk Gerritsen ,&nbsp;Kees Koedijk","doi":"10.1016/j.jimonfin.2024.103263","DOIUrl":"10.1016/j.jimonfin.2024.103263","url":null,"abstract":"<div><div>Motivated by concerns that mutual funds' stated integration of environmental, social and governance (ESG) criteria in investing is cosmetic, we study the widespread phenomenon that mutual funds change their name to include ESG terms. Using a unique global sample of ESG-related name changes by 740 retail and 317 institutional share classes between July 2016 and September 2022, we investigate investors' response and fund managers' behaviour in terms of fund flows, portfolio-level ESG metrics and fees. Using difference-in-differences analyses and accounting for heterogeneous treatment effects, we provide mixed evidence on whether funds increase flows by renaming, although effects appear significant for funds domiciled in Europe. We subsequently document that fund managers do appear to improve the ESG performance, reduce exposure to controversial businesses, decrease the carbon intensity, and lower the overall ESG risks of their portfolios after ESG renaming. Renaming has no material impact on funds' expenses. The results alleviate concerns that funds use ESG-oriented name changes cosmetically and imply that they are renaming with purpose.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"152 ","pages":"Article 103263"},"PeriodicalIF":2.8,"publicationDate":"2025-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143171727","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}

{"title":"The intersection of security attributes of national debt and socially responsible investment objectives","authors":"Yang Liu ,&nbsp;Aihua Wang ,&nbsp;Rong Tan","doi":"10.1016/j.jimonfin.2024.103265","DOIUrl":"10.1016/j.jimonfin.2024.103265","url":null,"abstract":"<div><div>Amidst the backdrop of globalization, the deepening economic interdependence among nations is unmistakable. The government bond market, a crucial element of the financial system, carries profound implications for socially responsible investments (SRI) owing to its stability and security. Focusing on the spillover of government bond yields, this study employs the QVAR model’s generalized variance decomposition method to assess the spillover effects of long-term and short-term government bond yields under different extreme states. The terms “spillover” and “spillback” are respectively used to denote of the government bond market, thereby assessing the safety attributes of government bond assets. Additionally, a panel model is constructed to examine whether economic interconnectedness is a primary factor in the risk resistance and transfer capability of the government bond market. The results indicate that, first, under extreme states, the capacity to resist the risk of the government bond market is weaker than in normal states, In comparison, the capacity to transfer risk is stronger, reflecting structural changes in the security attributes of government bond assets. Secondly, considering the resilience of government bonds to risk, both short-term and long-term government bonds in various nations demonstrate enhanced safety attributes under high-risk circumstances compared to low-risk scenarios. Regarding their capacity to transfer risk, the safety attributes of short-term government bonds tend to vary, whereas long-term government bonds exhibit more robust safety features under low-risk conditions. Third, the level of economic correlation serves as a prospective indicator for identifying the safety attributes of the government bond market, exerting a significant influence on both the capacity to resist risk and the capacity to transfer risk of the government bond market. Each economy should persistently deepen its comprehension of economic interconnections within the context of globalization, augment the safety and allure of government bond assets, and perpetually refine investment portfolios to bolster their risk resilience and transfer. This will attract more socially responsible investors, thereby providing financial support and risk mitigation for sustainable development.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"152 ","pages":"Article 103265"},"PeriodicalIF":2.8,"publicationDate":"2025-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143171724","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":"SDG performance and stock returns: Fresh insights from China","authors":"Chen Zhang-Hangjian ,&nbsp;Xu Mengqing ,&nbsp;Ren Fei ,&nbsp;Xiong Xiong","doi":"10.1016/j.jimonfin.2024.103264","DOIUrl":"10.1016/j.jimonfin.2024.103264","url":null,"abstract":"<div><div>This paper employs the micro evaluation data from Robeco, which pertains to the degree of firms’ contribution to the attainment of the UN’ SDG goals, to investigate the impact of corporate sustainability on stock price performance and the associated economic mechanisms. The empirical results suggest that firms’ sustainability has a significant negative effect on excess returns, particularly the contribution of firms to the social dimension of sustainability. Firms’ SDG performance can alleviate financing constraints and reduce financial risk, but it does not significantly enhance financial performance, leading to market capital outflows from high SDG-performing firms, especially from individual investors. Furthermore, our results suggest that high SDG-performing firms are undervalued and do not increase the information content in their stock prices, which may be the main reason for the negative effect of SDG performance. We also conduct a series of heterogeneity tests, which show that firms from regions with high environmental regulatory intensity and less economic development, as well as heavily polluting firms and firms with poorer information environments, experience greater negative effects. These findings have implications for investors to properly understand corporate sustainability and for regulators to promote the development of a low-carbon economy.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"152 ","pages":"Article 103264"},"PeriodicalIF":2.8,"publicationDate":"2024-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143104936","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}