Journal of International Financial Markets Institutions & Money最新文献

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The countercyclicality of microlending rates: Does the business model of microfinance institutions matter?

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-04-24 DOI: 10.1016/j.intfin.2025.102163

Hélyoth T.S. Hessou , Hubert Tchakoute Tchuigoua

Microfinance institutions (MFIs) are critical to financial inclusion in developing countries, but face challenges in maintaining profitability while serving low-income populations, particularly during economic downturns. This study examines whether MFIs adjust interest rates in response to the business cycle, hypothesizing an increase during downturns. Analyzing data from 1,711 MFIs over 16 years (2003–2018), we find a negative relationship between interest rates and the business cycle. However, certain MFI characteristics mitigate this countercyclical behavior. Specifically, MFIs in the top tertile of the group lending method, deposit-taking MFIs, and subsidy-based MFIs show less cyclical interest rate behavior, contributing to greater stability. Further analysis sheds light on the mechanisms underlying this countercyclical behavior, leading to two main conclusions. First, shareholder-based MFIs tend to raise interest rates during economic downturns, suggesting that profit maximization drives the countercyclical effect. Second, increases in provisioning and funding costs are passed on to borrowers through higher interest rates during downturns. Using propensity score matching and Lewbel’s (2012) instrumental variable approach to address endogeneity concerns, our findings remain robust and consistent across different econometric specifications and measures of the business cycle.

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引用次数: 0

Global perspectives on open banking: Regulatory impacts and market response

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-04-15 DOI: 10.1016/j.intfin.2025.102159

Erdinc Akyildirim , Shaen Corbet , Abhishek Mukherjee , Michael Ryan

This study investigates the adoption of open banking across several diverse global jurisdictions, focusing specifically on regulatory and market implications. Employing a comparative analysis, we examine the dual nature of open banking as both a regulatory framework and a technological innovation, exploring how different regulatory approaches shape its implementation and market reception. Results indicate significant variation in market responses to open banking announcements, presenting evidence of the underlying factors driving these disparities, such as the role of regulatory environments, technological infrastructures, and bank size in shaping market reactions.

本研究调查了全球多个不同司法管辖区对开放银行业务的采用情况，特别关注其对监管和市场的影响。通过比较分析，我们研究了开放银行作为监管框架和技术创新的双重性质，探讨了不同的监管方法如何影响其实施和市场接受程度。结果表明，市场对开放银行业务公告的反应存在显著差异，并提供了推动这些差异的潜在因素的证据，如监管环境、技术基础设施和银行规模在影响市场反应方面的作用。

引用次数: 0

An intertemporal international asset pricing model: Theory and evidence

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-04-12 DOI: 10.1016/j.intfin.2025.102162

Gady Jacoby , Rose C. Liao , Yan Wang , Zhenyu Wu

We utilize an intertemporal CAPM (Merton, 1973) framework to examine how exposure to currency risk is priced in foreign equity markets. We identify the fundamental determinants of foreign equity return and foreign currency loadings with respect to a world equity factor and global currency risk factor. To capture the time-varying nature of risk exposures, we employ the mean-reverting dynamic conditional correlation (DCC) model of Engle (2002) to estimate conditional covariances and betas. Our regression results show that estimated risk-return coefficients on betas and covariances are significant and robust to subsample tests based on emerging markets and developed markets. We also show that the risk-return tradeoff on foreign equity returns and relative risk aversion vary cyclically across financial stress regimes.

引用次数: 0

Cash or Cache? Distributional and business cycle implications of CBDC holding limits

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-04-12 DOI: 10.1016/j.intfin.2025.102161

Jana Anjali Magin, Ulrike Neyer, Daniel Stempel

Many central banks are discussing the introduction of a Central Bank Digital Currency (CBDC). Empirical evidence suggests that households differ in their demand for a CBDC. This paper investigates the macroeconomic and distributional effects of different CBDC regimes within a New Keynesian model with a heterogeneous household sector. Households prefer to hold part of their income in CBDC as a means of payment as it facilitates transactions. If they cannot hold their preferred share of CBDC, they will face transaction costs. We find that the introduction of a binding limit on CBDC holdings can increase the shock absorption capabilities of an economy. If the limit is used as a monetary policy instrument, prices will be stabilized more effectively after shocks. However, a CBDC implies distributional effects across households.

引用次数: 0

Do U.S. Institutional investors react to international politics?

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-04-06 DOI: 10.1016/j.intfin.2025.102160

Jun Myung Song , Woochan Kim

This study explores whether foreign policy disagreements with the United States affect overseas portfolio investment decisions of U.S. institutional investors. Employing bilateral disagreement measures derived from contrasting voting decisions at the United Nations (UN) General Assembly, we find strong empirical evidence affirming this connection. We find a drop in U.S. institutional ownership in non-U.S. firms if the country they are listed in undergoes a downturn in their political relations with the U.S. Furthermore, our research unveils that this reduced U.S. institutional ownership primarily originates from investors’ reluctance to allocate capital to firms generating operating income in the U.S. Our results are further substantiated through Difference-in-Differences analyses centered around France and Germany’s opposition to the U.S.-initiated Iraq incursion in January 2003. Firms based in France and Germany experience a reduction in U.S. institutional holdings, accompanied by a decline in analyst earnings per share (EPS) forecasts. Lastly, we find that political tensions between the U.S. and a foreign nation negatively impact the valuation of firms based in that foreign country, with this effect primarily driven by divestment actions undertaken by U.S. institutional investors.

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引用次数: 0

Diversification and firm risk: New evidence on exchange rate exposure

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-04-04 DOI: 10.1016/j.intfin.2025.102158

Taek Ho Kwon , Sung C. Bae , Chenyang Liu

This study examines the effect of industrial diversification on exchange rate exposure based on the resource-based and portfolio views of corporate diversification. Sampling Korean firms, we report new evidence that once the effect of geographic diversification is controlled and the self-selection bias is corrected, industrial diversification provides a strong positive effect in reducing exchange rate exposure. The mitigating effect of industrial diversification on FX exposure is more pronounced for geographically diversified firms which are in nature highly exposed to FX risk. Our results indicate that industrial diversification helps firms with international operations reduce their exchange rate exposure, supporting the complementary role of industrial diversification in managing FX risk associated with geographic diversification. Our study offers further discussions on potential mechanisms through which industrial and geographic diversification interacts in FX risk reduction.

引用次数: 0

Financial connectivity in cross-border lending and crises: Role of financial and legislative integration

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-03-29 DOI: 10.1016/j.intfin.2025.102137

Müge Demir , Zeynep Önder

This study investigates whether financial and legislative integration affects the relationship between financial stability and connectivity in the bank-to-bank and bank-to-non-bank cross-border lending markets of 25 European countries by using network analysis and the locational banking statistics of the Bank for International Settlements. We test whether connecting through a single market or a single currency affects the interplay between financial stability and connectivity across the members of the European Union. The results suggest that as the level of financial connectivity increases, using the single currency, the euro, helps to improve the resilience of the European Union in response to the crisis in both bank-to-bank and bank-to-non-bank lending markets but legislative-regulatory integration does not have any significant effect. The positive effect of the euro on financial stability is observed not only for systemic crises but also for residual events.

引用次数: 0

Can bilateral RMB swap reduce monetary policy spillovers from the United States to China?

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-03-21 DOI: 10.1016/j.intfin.2025.102157

Mi Zhang , Ahmet Sensoy , Duc Khuong Nguyen , Feiyang Cheng

This study analyzes the impact of bilateral RMB swap agreements on the transmission of US monetary policy to China, while focusing on the underlying mechanisms and potential heterogeneous effects. Our findings demonstrate that these agreements significantly attenuate US monetary policy spillovers to China. Mechanistically, we show that bilateral swaps promote Chinese exports to trading partner countries, thereby mitigating the negative consequences of US monetary policy. Notably, agreements with emerging economies exhibit a stronger mitigating effect than those with advanced economies. These results offer policymakers valuable insights for managing international monetary policy spillovers.

引用次数: 0

Predicting the conditional distribution of US stock market systemic Stress: The role of climate risks

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-03-21 DOI: 10.1016/j.intfin.2025.102156

Massimiliano Caporin , Petre Caraiani , Oguzhan Cepni , Rangan Gupta

This paper explores how climate risks impact the overall systemic stress levels in the United States (US). We initially apply the TrAffic Light System for Systemic Stress (TALIS³) approach that classifies the stock markets across all 50 states based on their stress levels, to create an aggregate stress measure called ATALIS³. Then, we utilize a nonparametric causality-in-quantiles approach to thoroughly assess the predictive power of climate risks across the entire conditional distribution of ATALIS³, accounting for any data nonlinearity and structural changes. Our analysis covers daily data from July 1996 to March 2023, reveals that various climate risk indicators can predict the entire conditional distribution of ATALIS³, particularly around its median. The full-sample result also carries over time, when the nonparametric causality-in-quantiles test is conducted based on a rolling-window. Our findings showing that climate risks are positively associated with ATALIS³ over its entire conditional distribution, provide crucial insights for investors and policymakers regarding the economic impact of environmental changes, especially since we confirm that the results continue to be robust in an international-setting involving 11 important stock markets of the European Union.

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引用次数: 0

Securing passive liquidity: The impact of Europe’s first asymmetric speed bump on market liquidity

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-03-19 DOI: 10.1016/j.intfin.2025.102145

Caroline Le Moign

This study evaluates the impact of Europe’s first asymmetric speed bump, an order delay introduced by Eurex in 2019 for French equity options, as an innovative response to high-frequency trading externalities. Using a matched transaction-level database and a difference-in-difference strategy, we analyze liquidity changes on Eurex and its competitor Euronext. Results show significant improvements in Eurex liquidity, with decreased spreads and increased market depth. Notably, positive spillover effects were observed on Euronext for cross-listed options, with decreased spreads and an increase in aggressive HFT presence. These findings support the effectiveness of asymmetric speed bumps in mitigating latency arbitrage and enhancing market liquidity across competing platforms.

引用次数: 0

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