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Reconciling contrasting views on the growth effect of currency misalignments 调和关于货币失调对增长影响的不同观点
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-11-22 DOI: 10.1016/j.jimonfin.2024.103237
Cécile Couharde , Carl Grekou , Valérie Mignon , Florian Morvillier
{"title":"Reconciling contrasting views on the growth effect of currency misalignments","authors":"Cécile Couharde ,&nbsp;Carl Grekou ,&nbsp;Valérie Mignon ,&nbsp;Florian Morvillier","doi":"10.1016/j.jimonfin.2024.103237","DOIUrl":"10.1016/j.jimonfin.2024.103237","url":null,"abstract":"<div><div>This paper provides an in-depth analysis of the link between exchange rate misalignments and economic growth for a large sample of 170 countries over the 1973-2019 period. Although any significant departures from the equilibrium exchange rate levels are found undesirable, we show that undervaluations are more likely to stimulate economic growth in developing countries. However, this positive impact is observed only up to certain thresholds of development level and currency undervaluation. Consequently, strategies in developing countries that systematically undervalue currencies in real terms to foster growth should be carefully tailored, as they raise the risk for these economies of switching from a positive to a less favorable growth regime, depending on both their specific wealth level and the extent of their currency undervaluation.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"151 ","pages":"Article 103237"},"PeriodicalIF":2.8,"publicationDate":"2024-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142721010","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
Non-standard monetary policy and ECB communication: Confusion or predictability? 非标准货币政策与欧洲央行的沟通：混乱还是可预测性？
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-11-20 DOI: 10.1016/j.jimonfin.2024.103236
Quentin Bro de Comères, Cornel Oros, Marc Pourroy, Léonore Raguideau-Hannotin, Anne-Gaël Vaubourg
{"title":"Non-standard monetary policy and ECB communication: Confusion or predictability?","authors":"Quentin Bro de Comères,&nbsp;Cornel Oros,&nbsp;Marc Pourroy,&nbsp;Léonore Raguideau-Hannotin,&nbsp;Anne-Gaël Vaubourg","doi":"10.1016/j.jimonfin.2024.103236","DOIUrl":"10.1016/j.jimonfin.2024.103236","url":null,"abstract":"<div><div>Using a dataset of 273 press releases and introductory statements over the period 1999-2020, we investigate how the communication of the European Central Bank (ECB) influences the ability of market participants to predict its monetary decisions. We build four new indicators of communication intensity and frequency and measure predictability by decomposing the surprises on the variation of asset prices around monetary announcements into a “target” – which captures the standard dimension of monetary policy surprises – a “path” factor – which corresponds to the forward guidance dimension of monetary surprises – and a QE factor – which accounts for their quantitative easing dimension. Our findings reveal that the intensity and frequency of ECB communication reduce the surprise of market participants regarding non-standard dimensions of monetary policy. Moreover, the improvement of the predictability of monetary decisions is not achieved at the expense of greater confusion over standard monetary decisions. Additionally, the reduction in surprises operates through the information channel, by which monetary policy announcements transfer information about economic fundamentals from the central bank to market participants.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"151 ","pages":"Article 103236"},"PeriodicalIF":2.8,"publicationDate":"2024-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142721012","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
Understanding the use of unconventional monetary policy for portfolio decarbonisation in Europe 了解非常规货币政策在欧洲组合脱碳中的应用
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-11-16 DOI: 10.1016/j.jimonfin.2024.103231
José Antonio Muñiz , Charles Larkin , Shaen Corbet
{"title":"Understanding the use of unconventional monetary policy for portfolio decarbonisation in Europe","authors":"José Antonio Muñiz ,&nbsp;Charles Larkin ,&nbsp;Shaen Corbet","doi":"10.1016/j.jimonfin.2024.103231","DOIUrl":"10.1016/j.jimonfin.2024.103231","url":null,"abstract":"<div><div>This study examines the European Central Bank's (ECB) use of unconventional monetary policy to decarbonise its balance sheet, focusing specifically on the inherent trade-offs between monetary stability and environmental sustainability. We investigate how the ECB's green asset purchases, as part of its Corporate Sector Purchase Programme (CSPP), affect the liquidity of its portfolio compared to similar assets not held by the ECB. While these assets align with green objectives, they exhibit significantly lower liquidity than their non-green counterparts. This discrepancy highlights a fundamental tension within the ECB's policy framework: the commitment to environmental sustainability may undermine liquidity and, by extension, the overall effectiveness of monetary policy. Our findings suggest that the ECB's strategy to integrate environmental considerations into its operations, though successful in supporting greener initiatives, poses challenges for maintaining strong liquidity levels. The study underscores the need for innovative financial instruments and strategies to reconcile the dual objectives of promoting environmental sustainability and ensuring monetary stability.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"150 ","pages":"Article 103231"},"PeriodicalIF":2.8,"publicationDate":"2024-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142705084","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
Spillovers between cryptocurrencies and financial markets in a global framework 全球框架下加密货币与金融市场之间的溢出效应
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-11-12 DOI: 10.1016/j.jimonfin.2024.103235
Darko B. Vuković , Michael Frömmel , Samuel A. Vigne , Vyacheslav Zinovev
{"title":"Spillovers between cryptocurrencies and financial markets in a global framework","authors":"Darko B. Vuković ,&nbsp;Michael Frömmel ,&nbsp;Samuel A. Vigne ,&nbsp;Vyacheslav Zinovev","doi":"10.1016/j.jimonfin.2024.103235","DOIUrl":"10.1016/j.jimonfin.2024.103235","url":null,"abstract":"<div><div>We employ the Bayesian Global Vector Autoregression (BGVAR) model to examine the transmission of adverse shocks originating in the cryptocurrency market to global financial markets. The analysis shows that these spillover effects are not limited to a specific group of countries but are instead global in nature. The results indicate that shocks originating in the cryptocurrency market adversely affect stock markets, bond indices, exchange rates, and volatility indices. These shocks, while typically moderate in magnitude and short in duration, suggest that cryptocurrencies act as mediators of short-term negative shocks. The study also underscores the heterogeneous nature of these impacts across different financial markets and countries, highlighting the varying sensitivities and responses to cryptocurrency market fluctuations. Importantly, this research represents the first application of the GVAR model in the context of the cryptocurrency market, to the best of our knowledge.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"150 ","pages":"Article 103235"},"PeriodicalIF":2.8,"publicationDate":"2024-11-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142663444","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 post-pandemic new normal for interest rates in emerging bond markets? Evidence from Chile 大流行后新兴债券市场利率的新常态？智利的证据
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-11-12 DOI: 10.1016/j.jimonfin.2024.103234
Luis Ceballos, Jens H.E. Christensen, Damian Romero
{"title":"A post-pandemic new normal for interest rates in emerging bond markets? Evidence from Chile","authors":"Luis Ceballos,&nbsp;Jens H.E. Christensen,&nbsp;Damian Romero","doi":"10.1016/j.jimonfin.2024.103234","DOIUrl":"10.1016/j.jimonfin.2024.103234","url":null,"abstract":"<div><div>Before the COVID-19 pandemic, researchers intensely debated the extent of the decline in the so-called equilibrium or natural rate of interest. Given the recent sharp increase in interest rates, we revisit this question in an emerging bond market context and offer a Chilean perspective using a dynamic term structure finance model estimated directly on the prices of individual Chilean inflation-indexed bonds with adjustments for bond-specific liquidity risk and real term premia. Beyond documenting the existence of large and time-varying liquidity risk premia in the bond prices, we estimate that the equilibrium real rate in Chile fell about 2 and a half percentage points in the 2003-2022 period and has remained low since then with model projections only suggesting a gradual reversal in coming years. Instead, recent increases in real interest rates in Chile are driven by spikes in the liquidity and term premia of inflation-indexed bond prices.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"150 ","pages":"Article 103234"},"PeriodicalIF":2.8,"publicationDate":"2024-11-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142663441","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
Asset bubbles and financial frictions in small open economies☆ 小型开放经济体中的资产泡沫与金融摩擦☆。
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-11-08 DOI: 10.1016/j.jimonfin.2024.103230
Feng Dong , Dongzhou Mei , Zehua Xiao
{"title":"Asset bubbles and financial frictions in small open economies☆","authors":"Feng Dong ,&nbsp;Dongzhou Mei ,&nbsp;Zehua Xiao","doi":"10.1016/j.jimonfin.2024.103230","DOIUrl":"10.1016/j.jimonfin.2024.103230","url":null,"abstract":"<div><div>Financial cycles involving asset bubbles frequently coincide with the cyclical expansion and contraction of credit conditions. The collapse of asset and credit bubbles frequently precedes financial crises and economic recessions. We develop a small open economy DSGE model that incorporates asset bubbles and banking frictions. Credit-constrained firms trade in intrinsically useless bubble assets. Financial intermediaries, constrained by their balance sheets, introduce banking friction into financial markets. The static analysis suggests that increases in foreign interest rates unfavorably impact the formation of domestic bubbles. Dynamic analysis indicates that asset bubbles amplify macroeconomic fluctuations, with banking leverage constraints intensifying this effect. Therefore, asset bubbles amplify and propagate economic fluctuations. Unconventional monetary policy, macroprudential policy, and bubbly bailout policy could mitigate the amplification effects of banking leverage constraints and asset bubble bursts on macroeconomic fluctuations, which are mediated through reducing risk premiums, curbing capital outflows, and sustaining asset bubble channels, respectively. Finally, combining unconventional monetary policies with bubbly bailout policies and macroprudential policies yields superior outcomes.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"150 ","pages":"Article 103230"},"PeriodicalIF":2.8,"publicationDate":"2024-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142705105","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 U.S. tariffs impact China’s domestic sourcing: Evidence from firm-to-firm transactions 美国关税如何影响中国的国内采购：来自企业间交易的证据
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-11-07 DOI: 10.1016/j.jimonfin.2024.103216
Binkai Chen , Dongmei Guo , Yuting Li , Junjie Xia , Mingzhi Xu
{"title":"How U.S. tariffs impact China’s domestic sourcing: Evidence from firm-to-firm transactions","authors":"Binkai Chen ,&nbsp;Dongmei Guo ,&nbsp;Yuting Li ,&nbsp;Junjie Xia ,&nbsp;Mingzhi Xu","doi":"10.1016/j.jimonfin.2024.103216","DOIUrl":"10.1016/j.jimonfin.2024.103216","url":null,"abstract":"<div><div>This paper investigates how tariff shocks influence the domestic performance of Chinese firms, leveraging quarterly data on both international and domestic transactions from 2017 to 2018. Our analysis uncovers several key findings: (i) a one percent increase in export tariffs leads to a 0.235 percent increase in sales to domestic buyers, suggesting that higher export costs drive suppliers to prioritize domestic markets, primarily affecting the extensive margin; (ii) a similar increase in countervailing import tariffs results in a 0.995 percent decrease in domestic purchases, underscoring a complementary relationship between China’s imported intermediates and domestic products; (iii) larger firms exhibit smaller magnitudes of domestic sales and are more likely to reduce their domestic intermediate inputs in response to a negative external risk. These findings highlight that understanding the complementary relationship between imports and domestic inputs is crucial for developing strategies to mitigate the adverse effects of tariff policies on domestic production.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"150 ","pages":"Article 103216"},"PeriodicalIF":2.8,"publicationDate":"2024-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142663446","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
Innovation’s false spring: U.S. export controls and Chinese patent quality 创新的假春天：美国出口管制与中国专利质量
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-11-05 DOI: 10.1016/j.jimonfin.2024.103229
Yankun Kang , Xin Ma , Mi Xie , Ninghua Zhong
{"title":"Innovation’s false spring: U.S. export controls and Chinese patent quality","authors":"Yankun Kang ,&nbsp;Xin Ma ,&nbsp;Mi Xie ,&nbsp;Ninghua Zhong","doi":"10.1016/j.jimonfin.2024.103229","DOIUrl":"10.1016/j.jimonfin.2024.103229","url":null,"abstract":"<div><div>This paper evaluates the effect of U.S. export restrictions, enacted in 2018, on China’s patent production. An analysis of patent-level datasets indicates a significant surge in Chinese patent filings in sanctioned technological domains. This quantitative growth, however, is accompanied by a decrease in patent quality, evidenced by reduced citation counts and market worth. Specifically, state-owned enterprises (SOEs) have witnessed a substantial rise in patent filings post-2018, while private firms exhibit a more modest increase. Despite the surge in patent quantity, the overall quality of patents—particularly those originating from SOEs—has deteriorated significantly. This study contributes to the body of research concerning the economic consequences of the US-China trade dispute and offers original insights into the implications of trade sanctions on innovation quality.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"150 ","pages":"Article 103229"},"PeriodicalIF":2.8,"publicationDate":"2024-11-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142663445","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 circumvention in free trade areas 自由贸易区的贸易规避
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-11-05 DOI: 10.1016/j.jimonfin.2024.103232
Jianpeng Deng, Jialin Li, Joseph Mai, Yanmin Shi, Linke Zhu
{"title":"Trade circumvention in free trade areas","authors":"Jianpeng Deng,&nbsp;Jialin Li,&nbsp;Joseph Mai,&nbsp;Yanmin Shi,&nbsp;Linke Zhu","doi":"10.1016/j.jimonfin.2024.103232","DOIUrl":"10.1016/j.jimonfin.2024.103232","url":null,"abstract":"<div><div>Do Regional Trade Agreements (RTAs) incentivize non-member countries to engage in trade circumvention through member countries, and how much does this behavior contribute to increased trade among RTA members? This paper provides empirical evidence on the prevalence of illicit transshipment through RTAs and quantifies its contribution to trade growth in a case study of NAFTA. Using global trade data and guided by a discrete choice model of shipment methods, we estimate the causal impact of tariff differentials created by RTAs on illicit transshipment, inferred from trade discrepancies. Our results show that circumvention increases more for products with larger preferential margins after the establishment of an RTA, with re-exports serving as a key channel. We also find substantial heterogeneity in these effects. In the case of NAFTA, we find that trade circumvention contributed to 16.4% of the increase in U.S. imports from Mexico in 2018, when the U.S. returned to protectionist policies.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"150 ","pages":"Article 103232"},"PeriodicalIF":2.8,"publicationDate":"2024-11-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142593292","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
Geopolitical turmoil and investor green preference: Evidence from the corporate bond market 地缘政治动荡与投资者的绿色偏好：来自公司债券市场的证据
IF 2.8 2区 经济学
Journal of International Money and Finance Pub Date : 2024-11-01 DOI: 10.1016/j.jimonfin.2024.103218
Paolo Fiorillo , Antonio Meles , Dario Salerno , Vincenzo Verdoliva
{"title":"Geopolitical turmoil and investor green preference: Evidence from the corporate bond market","authors":"Paolo Fiorillo ,&nbsp;Antonio Meles ,&nbsp;Dario Salerno ,&nbsp;Vincenzo Verdoliva","doi":"10.1016/j.jimonfin.2024.103218","DOIUrl":"10.1016/j.jimonfin.2024.103218","url":null,"abstract":"<div><div>In this study, we analyze a sample of 1,630 corporate green bonds issued internationally between November 2012 and January 2024 to investigate the yield differences between green and non-green bonds. Our findings reveal a small greenium, particularly significant in the secondary market among carbon-intensive industries, first-time green bond issuers, and riskier issuances. We show that Geopolitical Risk (GPR) significantly influences the greenium in the secondary market, primarily driven by geopolitical acts rather than threats. Additionally, we establish that third-party certifications and corporate exposure to environmental risk are critical in explaining the GPR-greenium relationship. These results underscore the importance of GPR in enhancing investor preference for green bonds, offering important implications for both practice and policy.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"149 ","pages":"Article 103218"},"PeriodicalIF":2.8,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142552752","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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