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

Exchange rate contagion and international trade: Insights from the TENET method 汇率传染与国际贸易：来自TENET方法的启示

IF 3.3 2区经济学

Journal of International Money and Finance Pub Date : 2026-01-01 Epub Date: 2025-11-10 DOI: 10.1016/j.jimonfin.2025.103471

Kefei Han , Manyu Kong , Qiuhua Xu , Jiayi Zhou

{"title":"Exchange rate contagion and international trade: Insights from the TENET method","authors":"Kefei Han , Manyu Kong , Qiuhua Xu , Jiayi Zhou","doi":"10.1016/j.jimonfin.2025.103471","DOIUrl":"10.1016/j.jimonfin.2025.103471","url":null,"abstract":"<div><div>This study employs the Tail-Event driven NETwork (TENET) method to construct contagion networks of exchange rate tail risks among 40 major global currencies over the period 2010–2023. Based on these networks, we develop indicators to measure systemic risk and analyze their dynamic evolution. The results reveal that, during periods of extreme events, the contagion level among major currencies escalates markedly, demonstrating cyclic patterns. Moreover, compared with emerging economies, developed economies tend to exhibit a higher level of exchange rate tail-risk emission but a lower level of risk reception, with a discernible synchronization between risk reception and emission. This study further investigates how exchange rate tail-risk contagion influences international trade. The analysis shows that such contagion adversely affects both imports and exports, with a more pronounced impact on imports. The reduction in trade volume due to exchange rate tail risk is mainly observed between developed and emerging economies, as well as between member and non-member countries of specific economic cooperation organizations. These results provide empirical evidence of the trade-related consequences of exchange rate tail-risk contagion and highlight the importance of mitigating such contagion and enhancing financial resilience in international trade.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"160 ","pages":"Article 103471"},"PeriodicalIF":3.3,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145526520","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

Does the uncovered interest parity hold better in korea? 未公开的利率平价在韩国是否更适用？

IF 3.3 2区经济学

Journal of International Money and Finance Pub Date : 2026-01-01 Epub Date: 2025-11-06 DOI: 10.1016/j.jimonfin.2025.103470

Joonyoung Hur , Kwanho Shin

{"title":"Does the uncovered interest parity hold better in korea?","authors":"Joonyoung Hur , Kwanho Shin","doi":"10.1016/j.jimonfin.2025.103470","DOIUrl":"10.1016/j.jimonfin.2025.103470","url":null,"abstract":"<div><div>In this paper, we observe that while the Uncovered Interest Parity (UIP) condition in Korea was frequently violated until the end of the Global Financial Crisis (GFC), it has increasingly been upheld in more recent years. Using a time-varying coefficient vector autoregressive (TVC-VAR) model, we provide explanations for this finding. First, the impact of global risk shocks, proxied by exogenous increases in the VIX index, on the UIP premium has decreased since the Global Financial Crisis, contributing to the resurgence of the UIP condition. Second, while the exchange rate becomes less responsive to global risk shocks over time, it shows increased sensitivity to shocks in the interest rate differential. This heightened responsiveness has more immediately narrowed the deviations from the UIP condition. In addition, our findings highlight that high global risk around the GFC led to significant short-run capital outflows. Conversely, in the period following the mid-2010s, such capital outflows have not been significant in response to rises in the VIX. This reversal indicates a notable change in the dynamics of global risk impacts on Korea’s financial flows.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"160 ","pages":"Article 103470"},"PeriodicalIF":3.3,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145526519","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 announcement effect on international currency choices: Theory and evidence 公告对国际货币选择的影响：理论与证据

IF 3.3 2区经济学

Journal of International Money and Finance Pub Date : 2026-01-01 Epub Date: 2025-10-24 DOI: 10.1016/j.jimonfin.2025.103450

Han Han , Tao Liu , Dong Lu

引用次数: 0

Life cycle performance of hedge fund managers 对冲基金经理的生命周期绩效

IF 3.3 2区经济学

Journal of International Money and Finance Pub Date : 2026-01-01 Epub Date: 2025-10-18 DOI: 10.1016/j.jimonfin.2025.103447

Rose Ruoxi Huang , Elaine Yongshi Jie , Yue Ma

{"title":"Life cycle performance of hedge fund managers","authors":"Rose Ruoxi Huang , Elaine Yongshi Jie , Yue Ma","doi":"10.1016/j.jimonfin.2025.103447","DOIUrl":"10.1016/j.jimonfin.2025.103447","url":null,"abstract":"<div><div>We document that hedge fund managers exhibit a hump-shaped relationship between their work experience and performance. This observed pattern reflects the dynamic interplay between two contrasting effects of career concerns and incentives channel. In the early years of their careers, fund managers face significant career concerns, which exert high pressure to induce effort in their jobs. Meanwhile, managers also have a strong incentive to build their expertise, leading to better performance. However, as their performance steadily ascends, the rate of improvement decelerates. This is because their career concerns start to ebb away, leading to a cutback on effort that offsets their incentive effects. Consequently, after reaching its peak around the five-year mark, their performance tends to deteriorate afterwards. Additionally, we find that manager’s investment skill contributes positively to fund performance and female managers or master degree holders perform better than their counterparts. Fund size links to performance through diminishing returns to scale. Smaller funds exhibit better performance, whereas larger funds attract better managers. Managers in financial centers outperform their peers in non-financial centers due to both sorting and learning effects. Managers with a prior fund-related background perform better than their peers without it. However, the outperformance of both managers in financial centers and those with fund-related background diminishes in the long run. In a natural experiment setting, we show the stock market crash had a permanent negative impact on the performance of managers. Our findings are robust across varying numbers of manager-fund overlaps, investment strategies, and alternative performance measures.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"160 ","pages":"Article 103447"},"PeriodicalIF":3.3,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145335224","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

Risky firms and fragile banks: implications for macroprudential policy 高风险公司和脆弱银行：对宏观审慎政策的启示

IF 3.3 2区经济学

Journal of International Money and Finance Pub Date : 2026-01-01 Epub Date: 2025-10-30 DOI: 10.1016/j.jimonfin.2025.103451

Tommaso Gasparini , Vivien Lewis , Stéphane Moyen , Stefania Villa

引用次数: 0

Exchange rate forecasting with macroeconomic data: Evidence from a novel comprehensive ensemble approach 基于宏观经济数据的汇率预测：来自一种新的综合集成方法的证据

IF 3.3 2区经济学

Journal of International Money and Finance Pub Date : 2026-01-01 Epub Date: 2025-10-17 DOI: 10.1016/j.jimonfin.2025.103446

Yun bai , Chuanmiao Yan , Fuxin Jiang , Yunjie Wei , Shouyang Wang

{"title":"Exchange rate forecasting with macroeconomic data: Evidence from a novel comprehensive ensemble approach","authors":"Yun bai , Chuanmiao Yan , Fuxin Jiang , Yunjie Wei , Shouyang Wang","doi":"10.1016/j.jimonfin.2025.103446","DOIUrl":"10.1016/j.jimonfin.2025.103446","url":null,"abstract":"<div><div>The foreign exchange market operates as a high-dimensional, dynamic, and complex system influenced by multiple factors and their interrelations. In this paper, we propose a comprehensive ensemble framework for exchange rate forecasting that effectively captures the intricate fluctuation patterns inherent in exchange rate data. Our framework integrates economic theories, technical indicators, and other relevant factors to enhance predictive accuracy. To achieve this, we first decompose the exchange rate time series using ensemble empirical mode decomposition with adaptive noise (CEEMDAN). The resulting components are then segmented into high- and low-frequency groups using the Wilcoxon rank test. Based on macroeconomic fundamentals and technical indicators, we select predictive variables to be included in the model. Next, we conduct comparative experiments to verify the role of export and import (EI) data in exchange rate forecasting. We employ the time convolutional network (TCN) model to predict four important exchange rate time series. The empirical results—validated across forecasting horizons of 1, 3, and 6 months—consistently demonstrate that the proposed method outperforms benchmark models, offering a more accurate and reliable framework for exchange rate predictions. These findings underscore the robustness and predictive power of our approach, confirming its effectiveness in anticipating fluctuations in exchange rates over different time scales. The results highlight the strong correlation between exchange rates, macroeconomic conditions, and investment transactions. Moreover, the comparative experiments reveal that the inclusion of EI data significantly improves the prediction accuracy of the model, emphasizing the importance of this factor in exchange rate forecasting.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"160 ","pages":"Article 103446"},"PeriodicalIF":3.3,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145365669","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

How strong is the link between the global financial cycle and national macro-financial dynamics? A wavelet analysis 全球金融周期与国家宏观金融动态之间的联系有多紧密？小波分析

IF 3.3 2区经济学

Journal of International Money and Finance Pub Date : 2025-12-01 Epub Date: 2025-08-26 DOI: 10.1016/j.jimonfin.2025.103419

Christian R. Proaño , Leonardo Quero Virla , Till Strohsal

引用次数: 0

Diversification strategies and investment opportunities in the international banking industry 国际银行业的多元化战略与投资机会

IF 3.3 2区经济学

Journal of International Money and Finance Pub Date : 2025-12-01 Epub Date: 2025-08-23 DOI: 10.1016/j.jimonfin.2025.103418

Manapol Ekkayokkaya , Pisploen Ploenchitt , Christian C.P. Wolff

引用次数: 0

The investment implications of sustainable investing 可持续投资的投资含义