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The financial accelerator, wages, and optimal monetary policy 金融加速器、工资和最优货币政策
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-08-13 DOI: 10.1016/j.jimonfin.2024.103162
Tobias König
{"title":"The financial accelerator, wages, and optimal monetary policy","authors":"Tobias König","doi":"10.1016/j.jimonfin.2024.103162","DOIUrl":"10.1016/j.jimonfin.2024.103162","url":null,"abstract":"<div><p>I study the effects of labor market outcomes on firms' loan demand and credit intermediation. I first show in partial equilibrium that the presence of frictions in the banking sector lowers the capital factor demand elasticity to changes in real wages. This finding helps to connect the substitutability of labor and capital with credit conditions. Second, I use a new Keynesian banking model with an endogenous financial accelerator mechanism to study the role of lower capital factor demand elasticity in the transmission mechanism of monetary policy. Stabilizing nominal wages is close to the optimal monetary policy because it coincides with stabilizing the credit spread, the net worth gap, and the output gap. Inflation stabilization, in turn, imposes a policy trade-off with high welfare costs.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"148 ","pages":"Article 103162"},"PeriodicalIF":2.8,"publicationDate":"2024-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0261560624001499/pdfft?md5=3feb8ee8b86e1165b0a7eb0b73ac79e2&pid=1-s2.0-S0261560624001499-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142006982","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
Confidence spillovers, financial contagion, and stagnation 信心溢出效应、金融传染和停滞
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-08-13 DOI: 10.1016/j.jimonfin.2024.103163
Konstantin Platonov
{"title":"Confidence spillovers, financial contagion, and stagnation","authors":"Konstantin Platonov","doi":"10.1016/j.jimonfin.2024.103163","DOIUrl":"10.1016/j.jimonfin.2024.103163","url":null,"abstract":"<div><p>Financial crises tend to spread across countries, causing equity price crashes that cannot be fully explained by fundamentals. This paper introduces a two-country dynamic general equilibrium model of global financial crises that distinguishes between interdependence and financial contagion. Interdependence arises through trade and capital flows, while contagion occurs through a new channel: confidence spillovers. In the model, contagion is possible due to multiple dynamic and steady-state equilibria, even with fully rational consumers. Self-fulfilling beliefs about equity prices can shift the economy between equilibria, amplifying negative effects and causing contagion. The model has three policy implications. Firstly, monetary policy can offset recessions without causing inflation. Coordinated international policy can potentially improve welfare further. Secondly, capital controls can prevent contagion. Lastly, increased trust in government can mitigate negative confidence shocks. These recommendations emphasize the role of beliefs, where pessimism can spread internationally via the confidence channel, leading to contagion.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"148 ","pages":"Article 103163"},"PeriodicalIF":2.8,"publicationDate":"2024-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0261560624001505/pdfft?md5=c08d462c79d67f834076c0d8d3c419a8&pid=1-s2.0-S0261560624001505-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142006980","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
An unconventional FX tail risk story 非传统外汇尾部风险故事
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-08-13 DOI: 10.1016/j.jimonfin.2024.103152
Carlos Cañon , Eddie Gerba , Alberto Pambira , Evarist Stoja
{"title":"An unconventional FX tail risk story","authors":"Carlos Cañon ,&nbsp;Eddie Gerba ,&nbsp;Alberto Pambira ,&nbsp;Evarist Stoja","doi":"10.1016/j.jimonfin.2024.103152","DOIUrl":"10.1016/j.jimonfin.2024.103152","url":null,"abstract":"<div><p>We examine how the tail risk of currency returns over the past 20 years were impacted by central bank monetary and liquidity measures across the globe with an original and unique dataset that we make publicly available. Using a standard factor model, we derive theoretical measures of tail risks of currency returns which we then relate to the various policy instruments employed by central banks. We find empirical evidence for the existence of a cross-border transmission channel of central bank policy through the FX market. The tail impact is particularly sizeable for asset purchases and swap lines. The effects last for up to 1 month, and are proportionally higher for joint QE actions. This cross-border source of tail risk is largely undiversifiable, even after controlling for the U.S. dollar dominance and the effects of its own monetary policy stance.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"148 ","pages":"Article 103152"},"PeriodicalIF":2.8,"publicationDate":"2024-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0261560624001396/pdfft?md5=510ff8268079e59b3c1e6aece9b33654&pid=1-s2.0-S0261560624001396-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141984744","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
Exchange rate dynamics and the central bank's balance sheet 汇率动态和中央银行的资产负债表
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-08-13 DOI: 10.1016/j.jimonfin.2024.103156
Guillermo Gallacher , Camilo Granados , Janelle Mann
{"title":"Exchange rate dynamics and the central bank's balance sheet","authors":"Guillermo Gallacher ,&nbsp;Camilo Granados ,&nbsp;Janelle Mann","doi":"10.1016/j.jimonfin.2024.103156","DOIUrl":"10.1016/j.jimonfin.2024.103156","url":null,"abstract":"<div><p>Are nominal exchange rate variations linked to the central bank's balance sheet, in particular to remunerated domestic liabilities? We use two metrics of implied exchange rates based on central bank balance sheet data: one is a traditional metric that includes the monetary base, and the other adds remunerated domestic liabilities. We first estimate a VAR model to investigate the endogenous interactions between central bank balance sheet components for a set of seven Latin American countries for the 2006:01-2019:12 period. Then, we use a pairwise cointegration framework to compare these two metrics of implied exchange rate with the spot (observed) exchange rate. We find that the implied exchange rates and the spot exchange rate are cointegrated for most of the set of Latin American countries. We also find that for a subset of our sample, the spot exchange rate adjusts to the metric that adds remunerated domestic liabilities. We conclude that remunerated domestic liabilities matter for understanding exchange rate dynamics, and explore a simple theoretical setup to better understand the mechanism.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"148 ","pages":"Article 103156"},"PeriodicalIF":2.8,"publicationDate":"2024-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142006981","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
Can rising urban house prices actually limit the outward FDI by firms in a home country? A story from China 城市房价上涨是否真的会限制母国企业的对外直接投资？来自中国的故事
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-08-12 DOI: 10.1016/j.jimonfin.2024.103164
Feng Yu , Ning Li , Castiel Chen Zhuang , Jingwei Chen
{"title":"Can rising urban house prices actually limit the outward FDI by firms in a home country? A story from China","authors":"Feng Yu ,&nbsp;Ning Li ,&nbsp;Castiel Chen Zhuang ,&nbsp;Jingwei Chen","doi":"10.1016/j.jimonfin.2024.103164","DOIUrl":"10.1016/j.jimonfin.2024.103164","url":null,"abstract":"<div><p>We investigate the effects of rising urban house prices on manufacturing firms’ decisions on outward foreign direct investment (outward FDI) in a home country. By utilizing the panel data of Chinese industrial enterprises in 2005–2013, our estimates suggest that, for every 210 manufacturing firms or 13 listed companies in China, one firm will forgo outward FDI when house prices double. As a result, there could have been 95 percent more manufacturing firms or 70 percent more listed firms conducting outward FDI if house prices remained unchanged during the study period. To address potential endogeneity issues, we exploit a fixed-effects instrumental variable model, a difference-in-differences strategy, and housing discontinuities at provincial borders among neighboring city/county pairs. To elucidate potential mechanisms, we employ the “Olley and Pakes” covariance to assess resource allocation efficiency and observe its negative correlation with house prices. Furthermore, we delve into the impact of house prices and resource allocation efficiency on TFP, and find that house prices and TFP are negatively correlated, while resource allocation efficiency and TFP are positively correlated. Finally, heterogeneity analyses reveal that rising house prices exert a stronger negative influence on outward FDI entry for firms that are less productive, larger, domestically-owned, more closely linked to the real estate industry, labor-intensive, and in industries with higher levels of outward FDI participation. These results underscore the fact that rising house prices could exacerbate resource misallocation, leading to a decline in enterprise TFP and subsequently reducing their outward FDI.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"147 ","pages":"Article 103164"},"PeriodicalIF":2.8,"publicationDate":"2024-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142013031","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
Extrapolation beyond peers: An asset pricing perspective 超越同行的推断：资产定价视角
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-08-10 DOI: 10.1016/j.jimonfin.2024.103153
Guohao Tang , Yiyong Wu , Guanyu Lou
{"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}
引用次数: 0
Exchange rate and corporate investment: Heterogeneous effects via the global value chain networks 汇率与企业投资：全球价值链网络的异质效应
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-08-08 DOI: 10.1016/j.jimonfin.2024.103159
Wendi Huang , Weikang Zhang
{"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}
引用次数: 0
Energy shocks in the Euro area: Disentangling the pass-through from oil and gas prices to inflation 欧元区的能源冲击：厘清石油和天然气价格对通货膨胀的传导作用
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-08-08 DOI: 10.1016/j.jimonfin.2024.103154
Chiara Casoli , Matteo Manera , Daniele Valenti
{"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}
引用次数: 0
Trade liberalization and entrepreneurship: Evidence from China’s WTO accession 贸易自由化与创业精神：中国加入世贸组织的证据
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-08-08 DOI: 10.1016/j.jimonfin.2024.103155
Ni Qin , Dongmin Kong , Qin Wang
{"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}
引用次数: 0
Globalisation and the efficiency-equity trade-off 全球化与效率-权益权衡
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-08-08 DOI: 10.1016/j.jimonfin.2024.103157
Roland Beck, Virginia Di Nino, Livio Stracca
{"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}
引用次数: 0
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