Emerging Markets Review最新文献

This paper assesses whether and how setting up a sovereign wealth fund has a buffer effect against currency crises. Using an innovative dynamic logit panel model framework and a unique dataset covering 34 emerging countries over the period 1989–2019, we empirically show that sovereign wealth funds reduce the occurrence of currency crises. This result is robust to different econometric specifications, alternative definitions of sovereign wealth funds, controlling for currency crisis risk factors, and income level sampling. Our findings have important implications for financial stability and for policymakers, who could further exploit the potential of sovereign wealth funds to better manage foreign exchange risks.

We build a dynamic factor model to forecast inflation in a small open economy. The model is estimated with both market and survey data, and a unique two-step methodology to incorporate exogenous factors. Estimations with market data provide a better fit for in-sample and out-of-sample values of inflation. More importantly, our model outperforms univariate and estimated DSGE models, the more common approaches to inflation forecasting that perform well for advanced economies. Our findings, therefore, suggest that a dynamic factor modelling approach for a small open economy such as Jamaica can be a good alternative to the preferred methods for forecasting inflation in advanced economies.

Relationships between firms and between firms and financial institutions influence firms' credit risk. Thus, these relationships should be crucial considerations in credit evaluation. This paper constructs a comprehensive SME network, which integrates multiple types of inter-firm associations and considers lender-borrower relationships, and then establish credit evaluation models utilizing network microstructure and machine learning. We find that complex interfirm relationships contained in network-based features can significantly enhance the credit risk evaluation of SMEs and the predictive contribution of different levels of network structural features varies. We further find that specific network microstructures containing lender-borrower relationships tend to be associated with high defaulting probabilities. It suggests that if a SME is closely linked to microlending institutions through multiple relationships, its defaulting probability will increase.

Although the impact of micro-credit and direct cash transfers on women economic empowerment has been extensively studied, the impact of having access to a bank account remains relatively understudied. This paper uses a detailed national representative dataset of female household heads in Ghana to analyze the relation between access to formal and informal financial accounts and women's economic empowerment. Using propensity score matching, our results elicit that women who have a financial account are more likely to be employed and tend to have higher income. The results are mainly driven by ownership of a formal account (i.e., in a commercial bank) while the impact of informal account ownership is not statistically significant. Thus our findings call for higher promotion of formal banking, particularly among women in rural and poorer areas where financial inclusion is lower.

We examine the impact of compliance and familiarity with fixed assets' disclosure requirements on firm value in Indonesia. Data were manually tabulated from 1672 financial statements of publicly listed firms during the period from 2013 to 2020 to test our hypotheses. We find that both the compliance level and familiarity level gradually increase over time. The result shows that greater compliance with IFRS accounting standards is associated with greater firm value. Interestingly, we find a negative association between the familiarity sub-index and firm value, suggesting that unfamiliarity with more complex accounting standards can lead to lower firm value.

This paper provides a novel look at capital flow determinants by assessing the role of expectations and media sentiments. Analyzing eight emerging market economies, we assess the effects of macroeconomic expectations and disagreement among professionals and various media-based sentiment indicators. Our results show that survey and sentiment indicators which are available in real time contain useful information about capital flow dynamics which go beyond the effects of conventional push and pull factors for all countries we analyze. News sentiment related to the exchange rate have the strongest effects on capital flows. Finally, we identify substantial heterogeneity across countries.

The study examines how mandatory disclosures impact banks' earnings management in India. The Reserve Bank of India (RBI) enforced disclosures fearing underdeclaration of non-performing assets (NPA) and attributable loan loss provision (LLP). In a way, such disclosure requirement was a “name and shame” strategy by the RBI. Our study hypothesizes disclosures to reduce information asymmetry and moral hazard - in a way reflected in the discretionary LLP. The results broadly support our hypothesis that regulatory enforcement through disclosures had the intended effect of hamstringing the banks' ability to manage earnings. Thus, mandatory disclosures positively affect discretionary LLP reduction, consequently minimizing the latitude that banks enjoy.

This study investigates the influence of global financial market conditions on financial risk connectedness and transmission among the Middle East and North Africa (MENA) economies. Utilizing weekly realized stock market volatilities as a measure of risk and employing a smooth transition threshold vector autoregressive (STVAR) model to analyze risk transmission under varying levels of financial stress, the authors also examine the impact of external macroeconomic conditions on the risk connectedness of MENA economies. The results indicate that the overall connectedness, based on a standard VAR model, is moderate at 48.34%. However, in the low financial stress regime, overall connectedness increases to 52.79%, and in the high financial stress regime, it rises to 72.94%, indicating stronger risk interdependency among MENA countries during times of high stress. In the high financial stress regime, Kuwait, Oman, Qatar, Saudi Arabia, Turkey, and the United Arab Emirates are identified as net risk transmitters among MENA countries. The study also reveals that risk transmission across MENA is more pronounced in the regime-dependent model compared to the overall mean-based VAR model.

Using a proprietary dataset collected by the National Bureau of Statistics of the People's Republic of China (NBS), we are able to compare earnings reported to the NBS in the pre-IPO (initial public offerings) period with earnings for the same firm and the same year reported in firms' IPO prospectus. While Ball and Shivakumar (2008) find that in the U.K., financials reported at IPOs tend to be more conservative than the original reports, we find the opposite: income reported by Chinese firms in their IPO prospectus tend to be higher than those reported to the NBS. In the year immediately preceding the IPO, the discrepancy is mostly driven by firms inflating earnings in the IPO prospectus to increase issue prices. In earlier years, firms in provinces with weak law enforcement report lower earnings to the NBS to avoid taxes, which also contributes to the discrepancy between the IPO and NBS data. These findings suggest that firms tell different lies to different audiences. The discrepancy between the IPO and NBS earnings is positively correlated with the IPO issue price, indicating that firms are able to increase their IPO proceeds by raising earnings in the IPO prospectus from the original NBS reports. Furthermore, firms with the highest discrepancies experience the most significant declines in return on assets (ROA) and the most negative abnormal returns after the IPOs. Our paper complements the existent literature on earnings quality at IPOs, sheds light on firms' tax avoidance behaviors, and is of practical value to regulators.

In this novel investigation of creditor governance in an emerging market, this paper examines the monitoring by Indian lenders of firms' earnings management and financial reporting quality through the appointment of a bank-affiliated director to the borrower's board. Specifically, we study the effect of having a bank-affiliated director on the board (a “BDB”), prior to the implementation of India's Insolvency and Bankruptcy Code (IBC). This setting represents a business environment characterized by underdeveloped financial institutions, a weak legal system, and inefficient bankruptcy resolutions. Unlike the U.S., where BDBs play a limited monitoring role, our evidence suggests bank-affiliated directors played an active role in firm governance and lowered earnings management as well as improving financial reporting quality in India during the period of our study. Specifically, we find lower discretionary accruals among firms with BDBs in cross-sectional, pre-post, performance matched, and propensity score matched analyses – signaling higher reporting quality and less earnings management. This finding holds after controlling for endogeneity and when measures of accounting conservatism or earnings persistence are utilized as additional measures of reporting quality. Further, the dampening effect of BDBs on discretionary accruals is more pronounced for companies subject to greater information asymmetry and those prone to agency problems. In addition, firms with BDBs on the board have less volatile ROAs and lower idiosyncratic risk, consistent with BDBs encouraging borrowers to pursue less risky investments to safeguard creditors' interests. As the first examination of the monitoring influence of BDBs on financial reporting quality – and earnings management in particular – in an emerging market, our results provide unique insights for policymakers and creditors seeking to enhance governance and reporting quality of firms in evolving business environments.