Journal of International Money and Finance最新文献_第9页

Which sectors go on when there is a sudden stop? An empirical analysis 当突然停机时，哪些部门会继续运行？实证分析

IF 2.5 2区经济学

Journal of International Money and Finance Pub Date : 2024-06-05 DOI: 10.1016/j.jimonfin.2024.103110

István Kónya , Miklós Váry

{"title":"Which sectors go on when there is a sudden stop? An empirical analysis","authors":"István Kónya , Miklós Váry","doi":"10.1016/j.jimonfin.2024.103110","DOIUrl":"https://doi.org/10.1016/j.jimonfin.2024.103110","url":null,"abstract":"<div><p>This paper analyzes the dynamics of sectoral Real Gross Value Added (RGVA) around sudden stops in foreign capital inflows. We identify sudden stop episodes statistically from changes in gross capital inflows from the financial account. In the baseline specification, we estimate changes in the growth rate of sectoral RGVA during sudden stops and in the few quarters preceding and following them. We also look at whether real exchange rate movements and the depth of the RGVA decline on impact explain different sectoral dynamics afterwards. In an additional exercise, we analyze deviations from the sectors' long-run growth path. Our findings indicate that: (i) the construction sector experiences the largest drop in its growth rate during sudden stops; (ii) generally, tradable sectors, especially manufacturing, face larger damages during sudden stops than nontradable sectors, but they decelerate less in the medium run than some service sectors; (iii) the depth of the initial slowdown is related to a more favorable subsequent performance (a rebound effect), while we find only very weak evidence that real exchange rate depreciations facilitate adjustment. Overall, our results suggest a prolonged reallocation of economic activity away from service sectors, towards the production of goods. This is consistent with a traditional view of the role of tradable and nontradable sectors in a sudden stop episode.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"146 ","pages":"Article 103110"},"PeriodicalIF":2.5,"publicationDate":"2024-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0261560624000974/pdfft?md5=4593640e462e607df1cc4d5c7c22d7c3&pid=1-s2.0-S0261560624000974-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141289789","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

The effect of fragmentation risk on monetary conditions in the euro area 分散风险对欧元区货币条件的影响

IF 2.5 2区经济学

Journal of International Money and Finance Pub Date : 2024-06-04 DOI: 10.1016/j.jimonfin.2024.103109

Ivo J.M. Arnold

{"title":"The effect of fragmentation risk on monetary conditions in the euro area","authors":"Ivo J.M. Arnold","doi":"10.1016/j.jimonfin.2024.103109","DOIUrl":"https://doi.org/10.1016/j.jimonfin.2024.103109","url":null,"abstract":"<div><p>This paper measures the output effects of financial fragmentation in the euro area by estimating an extended <em>IS</em> curve. Using a panel approach, we find that two fragmentation measures are significantly related to the output gap: sovereign spreads and spreads in the long-term cost of borrowing of the private sector. We use these output effects to construct a Monetary Conditions Index (<em>MCI</em>) for euro area countries. This index summarizes the combined effect of the monetary policy stance and financial fragmentation. We show that the <em>MCI</em> approach is well-suited to capture cross-country differences in a fragmentation-enhanced measure of the monetary policy stance. Using this metric, we find that during the sovereign debt crisis, the cross-country dispersion of <em>MCI</em>'s based on sovereign spreads was much larger than that based on the private cost of borrowing. We also show that convergence is slower for <em>MCI</em>'s based on sovereign spreads. We conclude that the causes of fragmentation in monetary conditions may change over time, and that this has implications for the appropriate policy response.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"146 ","pages":"Article 103109"},"PeriodicalIF":2.5,"publicationDate":"2024-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0261560624000962/pdfft?md5=362903c4b7cf359b45153108e282afbe&pid=1-s2.0-S0261560624000962-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141289788","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

Optimal monetary policy and the time-dependent price and wage Phillips curves: An international comparison 最优货币政策与随时间变化的价格和工资菲利普斯曲线：国际比较

IF 2.5 2区经济学

Journal of International Money and Finance Pub Date : 2024-06-02 DOI: 10.1016/j.jimonfin.2024.103111

Giovanni Di Bartolomeo , Carolina Serpieri

引用次数: 0

Latent fragility: Conditioning banks' joint probability of default on the financial cycle 潜在脆弱性：以金融周期作为银行联合违约概率的条件

IF 2.5 2区经济学

Journal of International Money and Finance Pub Date : 2024-05-31 DOI: 10.1016/j.jimonfin.2024.103107

Paul Bochmann , Paul Hiebert , Yves Schüler , Miguel A. Segoviano

{"title":"Latent fragility: Conditioning banks' joint probability of default on the financial cycle","authors":"Paul Bochmann , Paul Hiebert , Yves Schüler , Miguel A. Segoviano","doi":"10.1016/j.jimonfin.2024.103107","DOIUrl":"https://doi.org/10.1016/j.jimonfin.2024.103107","url":null,"abstract":"<div><p>We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic risk. In this framework, banking sector distress in the form of the joint probability of default of financial intermediaries (reflecting contagion from both direct and indirect interconnectedness) is conditioned on the financial cycle (reflecting the buildup and unwinding of system-wide balance-sheet leverage). An empirical application to large systemic banks in the euro area, US and UK illustrates how the unraveling of excess leverage can magnify banking sector distress, including during the 2023 US banking sector turmoil. Capturing this dependence of banking sector distress on prevailing financial imbalances can enhance risk surveillance and stress testing alike. An empirical signaling exercise confirms that the CoJPoD outperforms the individual capacity of either its unconditional counterpart or the financial cycle in signaling financial crises – particularly at their onset – suggesting scope to increase the precision with which macroprudential policies are calibrated.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"146 ","pages":"Article 103107"},"PeriodicalIF":2.5,"publicationDate":"2024-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141314635","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

International macroeconomic vulnerability 国际宏观经济的脆弱性

IF 2.5 2区经济学

Journal of International Money and Finance Pub Date : 2024-05-31 DOI: 10.1016/j.jimonfin.2024.103105

Márcio Garcia , Diogo Guillen , Bernardo Ribeiro , João Velloso

{"title":"International macroeconomic vulnerability","authors":"Márcio Garcia , Diogo Guillen , Bernardo Ribeiro , João Velloso","doi":"10.1016/j.jimonfin.2024.103105","DOIUrl":"https://doi.org/10.1016/j.jimonfin.2024.103105","url":null,"abstract":"<div><p>Small open economies are known to be impacted by shocks to larger economies. This phenomenon is known as macroeconomic vulnerability. We propose and implement a novel index of macroeconomic vulnerability to foreign shocks for a given pair of a large economy and a small open economy. It uses a structural time-varying Bayesian VAR with a block-exogeneity hypothesis. The index is based on the sum of the responses of the small open economy to shocks in the large economy over time, thus allowing us to disentangle and measure the source of the shock, the impact variables, and the duration of impact. We highlight two results out of the many that our index unveils. First, we do not find a difference between the international impact of U.S. shocks during periods of crises versus stability. Second, we find that there is a growing decouple between emerging markets (EM) and developed markets (DM) on how their domestic inflation is affected by U.S. output shocks. Our approach can also be used to elucidate previously unknown transmission channels or unmeasured theoretical mechanisms. Finally, using a sample of developed and developing countries, we find that global banks do not increase the macroeconomic vulnerability of a country.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"146 ","pages":"Article 103105"},"PeriodicalIF":2.5,"publicationDate":"2024-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141264064","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

Co-Bubble transmission across clean and dirty Cryptocurrencies: Network and portfolio analysis 清洁和肮脏加密货币之间的共泡沫传输：网络和投资组合分析

IF 2.5 2区经济学

Journal of International Money and Finance Pub Date : 2024-05-28 DOI: 10.1016/j.jimonfin.2024.103108

Yan Chen , Lei Zhang , Elie Bouri

{"title":"Co-Bubble transmission across clean and dirty Cryptocurrencies: Network and portfolio analysis","authors":"Yan Chen , Lei Zhang , Elie Bouri","doi":"10.1016/j.jimonfin.2024.103108","DOIUrl":"10.1016/j.jimonfin.2024.103108","url":null,"abstract":"<div><p>This study proposes a co-bubble network to capture the transmission of co-bubbles across the prices of 37 cryptocurrencies from both static and dynamic perspectives. It considers the periods of the COVID-19 pandemic and the Russo-Ukrainian conflict, and distinguishes clean from dirty cryptocurrencies. The main findings are summarized as follows: Firstly, larger cryptocurrencies, such as Bitcoin, Ethereum, and BNB, have a higher probability of generating co-bubbles in other cryptocurrencies, indicating a strong interdependence among them. Secondly, the co-bubble network experiences notable changes around crisis events, with distinct characteristics observed during the COVID-19 pandemic compared to the Russo-Ukrainian conflict. Thirdly, the transmission of co-bubble influence exhibits time-varying characteristics, and centrality rankings of influential cryptocurrencies vary around the crises. Particularly, after the COVID-19 pandemic, Bitcoin and BNB experience a decline in centrality ranking, while smaller-cap cryptocurrencies show higher centrality rankings, suggesting the transmission of co-bubble effects from large to smaller cryptocurrencies. The centrality rankings of Bitcoin, Ethereum, and BNB show a contrasting pattern, maintaining higher levels in the ongoing post Russo-Ukrainian conflict period. Fourthly, different patterns of co-bubble transmission exist for dirty and clean groups, with dirty cryptocurrencies showing a much higher intensity of co-bubbles during the Russo-Ukrainian conflict. Finally, the portfolio analysis shows that co-bubble network centrality-driven portfolios outperform the baseline portfolio strategy, dirty group portfolio strategy, and clean group portfolio strategy, during the entire sample period and particularly the COVID-19 pandemic. The findings are useful for the decision making of cryptocurrency portfolio managers and policymakers concerned with the behaviour of influential cryptocurrencies and potential risks inferences.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"145 ","pages":"Article 103108"},"PeriodicalIF":2.5,"publicationDate":"2024-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141196366","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

The impact of macroprudential policies on industrial growth 宏观审慎政策对工业增长的影响

IF 2.5 2区经济学

Journal of International Money and Finance Pub Date : 2024-05-24 DOI: 10.1016/j.jimonfin.2024.103106

Carlos Madeira

引用次数: 0

The volatility of capital flows in emerging markets: Measures and determinants 新兴市场资本流动的波动性：措施和决定因素

IF 2.5 2区经济学

Journal of International Money and Finance Pub Date : 2024-05-15 DOI: 10.1016/j.jimonfin.2024.103095

Maria Sole Pagliari , Swarnali Ahmed Hannan

{"title":"The volatility of capital flows in emerging markets: Measures and determinants","authors":"Maria Sole Pagliari , Swarnali Ahmed Hannan","doi":"10.1016/j.jimonfin.2024.103095","DOIUrl":"https://doi.org/10.1016/j.jimonfin.2024.103095","url":null,"abstract":"<div><p>Capital flow volatility is a concern for macroeconomic and financial stability. Nonetheless, literature is scarce in this topic. Our paper sheds light on this issue along two dimensions. First, using quarterly data for 33 emerging markets and developing economies, we introduce new estimates of volatility for total <em>multilateral</em> gross capital in- and outflows and key categories, based on the residuals of ARIMA models. We find that a combination of our proposed approach and the commonly used standard deviation best identifies sharp rises during episodes of heightened global risk aversion, thus underscoring the need for a multi-faceted approach to gauge capital flow volatility. Second, we perform panel regressions to understand the determinants of volatility using both ARIMA and standard deviation measures of volatility. While there are variations across different categories of capital flows, generally speaking we identify three main drivers: the US interest rates, global risk aversion, and domestic real GDP. Overall, our findings call for a richer set of volatility estimates, beyond standard deviation, and also show that the determinants of capital flow volatility could vary depending on the measurement approach and the category of flow under analysis.</p></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"145 ","pages":"Article 103095"},"PeriodicalIF":2.5,"publicationDate":"2024-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141073034","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

RMB internationalization and exchange rate exposure of Chinese listed firms 人民币国际化与中国上市公司的汇率风险

IF 2.5 2区经济学

Journal of International Money and Finance Pub Date : 2024-05-13 DOI: 10.1016/j.jimonfin.2024.103098

Qing He , Bailin Liang , Junyi Liu

引用次数: 0

Commodity prices and international Inflation, 1851–1913 商品价格和国际通货膨胀，1851-1913 年

IF 2.5 2区经济学

Journal of International Money and Finance Pub Date : 2024-05-11 DOI: 10.1016/j.jimonfin.2024.103097

Stefan Gerlach , Rebecca Stuart

引用次数: 0