Emerging Markets Review最新文献

I find a crackdown on shadow banking has real effects. For identification, I exploit a policy — the “New Regulations on Asset Management” (NRAM) — that restricts the issuance of wealth management products (WMP) in China. I show firms with high WMP exposure experience a decline in investments. The effects are pronounced for firms that are more profitable, have higher revenue growth, and are more financially constrained. Exploration of the possible channels of these effects shows a decline in the credit supply of banks that relied more on WMPs, driven by the fall in their shadow banking activities.

This paper examines the effects of foreign exchange (FX) communications on FX markets in Colombia and Mexico. Our estimations follow the calendar-time portfolio approach using daily data between 2000 and 2019 on exchange rates and known risk factors. We find an asymmetric effect of such communications: while there is strong evidence indicating that communications aimed at weakening the local currency affect the exchange rate level in the intended direction, there is no evidence of impact when examining communications intended to strengthen it. These results are consistent with fear of appreciation and with previous evidence from developed economies.

In this paper, we examine the impact of stress in the global supply chains on inflation and monetary policy in Mexico, a representative emerging market economy. Using non-linear local projections, we estimate the degree of monetary policy tightening required in a high-stress supply chain environment and compare it to that in a low-stress environment. We instrument the monetary policy shocks with shocks to the federal funds rate. Results suggest that in a high-stress regime, the effect of an increase in the monetary policy interest rate on inflation over a one-year period is reduced considerably. We argue that this reduction is due to the slow response of inflation expectations to a monetary policy tightening in a high-stress regime. Furthermore, raising the interest rate has an effect on producer price inflation, a channel that is absent in a low-stress regime. This finding highlights the role of monetary policy in stabilizing inflation when facing supply shocks that are not necessarily permanent.

This paper explores China's endogeneity of economic policy uncertainty (EPU). Previous studies have disagreed on the causal relationship between uncertainty and the business cycle. By using shock-based restrictions, we identify structural shocks and investigate the endogeneity of China's EPU index. The findings suggest that an increase in EPUs is more likely to cause fluctuations in the Chinese economy than the reverse. The paper also uncovers spillovers of China's EPU on the US EPU, indicating a national strategy at play. In the long run, EPU shocks in China account for at least 22% of China's economic activity variation and 30% of the US EPU variation. These findings remain consistent when accounting for the COVID-19 period, adopting heteroskedasticity identification schemes, and using alternative EPU indexes.

Does the degree of finance dependence, defined as firms' reliance on external finance for regular production activities, determine exporters' heterogeneous responses to real exchange rate shocks? This paper develops a stylized model to illustrate the role of finance dependence in shaping exporters' pricing decisions when the bilateral real exchange rate fluctuates. The model features distribution costs, endogenous markup, and firm heterogeneity. In the model, finance dependence can impact firms' export pricing decisions in a way isomorphic to firm productivity but in the opposite direction: firms with high finance dependence have a high demand elasticity and a low price elasticity to exchange rate fluctuations. Therefore, in response to real exchange rate shocks, financially more dependent firms exhibit lower exchange rate pass-through into export prices denominated in home country currency (RMB). To assess the model prediction, I develop a firm-destination-year-specific measure of finance dependence based on the basket of goods that firms export and employ the Chinese manufacturing firm export data from 2000 to 2006 for analysis. The empirical test is carried out at the most disaggregated firm-product-destination level and confirms the model prediction.

This paper examines how agricultural households in Tanzania use a labor coping strategy in occupational choices between agricultural and non-agricultural sectors due to farm locational effect. It investigates whether agricultural households diversify their income generating activities away from agriculture by using Multinomial logit Marginal Effects model. It employs three rounds panel data from the World Bank's Living Standards Measurement Study (LSMS) carried out in Tanzania as a typical case of SSA economies. The key finding indicates that for each additional kilometer from their residences, households choose non-agricultural self-employment sector by relocating labor from agricultural sector in response to the associated costs and income risks. The comparable results between distant and farmlands nearby households reveal that for farmlands located in each additional kilometer beyond 7.8 km, a typical household relocates away 20 more labor days from agricultural sector compared to the number of days relocated for a similar effect on a farmland located in close proximity to household residence. Meanwhile, the average household allocates 13 more labor days to non-agricultural self-employed sector compared to the number of labor days allocated to a farmland located in close proximity to household residence. There is no empirical evidence on labor movements to and from the non-agricultural waged sector. The policy outlook from the findings implies improvement of rural transport technology and infrastructure in order to curb the income loss due to distant farmlands.

This paper estimates a 3-country DSGE model to identify the drivers of exchange rate volatility in small open economies (SOE). In addition to the usual cross-country linkages through trade and asset holdings, the model features common shocks that affect economies symmetrically. Using data from Jamaica, the US and the G-7 region (excluding the US), the paper finds that external financial shocks are the primary drivers of exchange rate fluctuations in the SOE. While domestic financial shocks are bigger contributors than US and G-7 specific shocks, shocks that are common across the US and the G-7 generally play the main role. Nonfinancial shocks, domestic and external, are inconsequential for exchange rate volatility. Inferences from a vector autoregressive model with exogenous variables are consistent with these results.

This study empirically investigates the impact of the COVID-19 pandemic on the liquidity risk incurred by the peer-to-peer (P2P) lending market. As the pandemic adversely affects financial markets globally, a better understanding of the dynamics of successful P2P lending is necessary under the conditions of financial distress. By using the cross-country database of secondary market listing outcomes at Bondora (Estonia) and employing probit, ordered probit and tobit regression methods, we provide evidence of the pandemic-induced exposure to liquidity risk in the P2P lending market. Despite increased volatility in the financial markets, results show that COVID-19 risk increases the probability of successful listing during the pandemic. However, this outcome comes at significant liquidation costs for investors in the form of higher premiums. Further analysis based on listing outcomes and loan characteristics shows a negative association between COVID-19 risk and share of overdue loans and average overdue days in secondary market listings. Simultaneously, more experienced investors dominate the market as COVID-19 risk increases, a trend that is reflected in shorter listing times. The findings of this study imply certain early tendencies in financial markets during pandemic-induced turmoil and open new avenues for further research.

A growing body of literature provides evidence that mixed-ownership reform in China greatly affects firm behavior. This study focuses on a novel mixed ownership reform of China's private firms, which we define as “reverse mixed-ownership reform”. We find that firms' green innovation level improves after the reform. Environmental awareness and substantive resources are identified as two underlying mechanisms. These effects are stronger when a firm is in an area with a lower level of market openness and when managerial shareholding is lower. We also find evidence that firms make a trade-off between green innovation and financial performance after the reform.

This paper examines the role of trade credit in the transmission of global liquidity conditions. Specifically, we investigate whether trade credit complements or substitutes the decline in bank lending activity as global liquidity tightens. Using a detailed bank and firm-level dataset for Turkish firms, we find that firms which are more bank-finance constrained have less access to trade credit as global liquidity tightens. The rate of trade credit tightening is amplified during crisis periods. While bank-finance constrained firms receive significantly less trade credit from suppliers, they reduce the amount of trade credit that they extend to customers even more, implying that tightening trade credit conditions propagate further through supply chains. In addition, trade credit conditions deteriorate more for small firms and for cash-poor firms in times of crisis.