Pub Date : 2024-04-20DOI: 10.1016/j.intfin.2024.101997
Wei Tian
This paper examines the impact of exchange rate movements on firm outward direct investment (ODI), by taking into account the heterogeneous effects between distribution and production ODI. Overall, homecurrency depreciation tends to increase ODI due, in large part, to the growing emergence of distribution ODI as predicted by a theoretical model. Using rich Chinese firm-level ODI decision data over the period between 2000 and 2008, the intensive empirical search shows strong supports to the model prediction on the complementary relationship between distribution ODI and export. In response to home depreciation, Chinese firms set up more distribution trade affiliates to promote exports. Such results are robust to different econometric methodologies, empirical specifications, and time spans.
本文研究了汇率变动对企业对外直接投资(ODI)的影响,并考虑了分销型和生产型 ODI 之间的异质性影响。总体而言,本币贬值倾向于增加对外直接投资,这在很大程度上是由于理论模型所预测的分销型对外直接投资的日益兴起。利用 2000 年至 2008 年期间丰富的中国企业层面的 ODI 决策数据,深入的实证研究表明,模型预测的分销 ODI 与出口之间的互补关系得到了有力支持。为应对国内贬值,中国企业设立了更多分销贸易子公司以促进出口。这些结果在不同的计量经济学方法、经验规格和时间跨度下都是稳健的。
{"title":"Exchange rate, distribution, and outward direct investment","authors":"Wei Tian","doi":"10.1016/j.intfin.2024.101997","DOIUrl":"10.1016/j.intfin.2024.101997","url":null,"abstract":"<div><p>This paper examines the impact of exchange rate movements on firm outward direct investment (ODI), by taking into account the heterogeneous effects between distribution and production ODI. Overall, homecurrency depreciation tends to increase ODI due, in large part, to the growing emergence of distribution ODI as predicted by a theoretical model. Using rich Chinese firm-level ODI decision data over the period between 2000 and 2008, the intensive empirical search shows strong supports to the model prediction on the complementary relationship between distribution ODI and export. In response to home depreciation, Chinese firms set up more distribution trade affiliates to promote exports. Such results are robust to different econometric methodologies, empirical specifications, and time spans.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140758864","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}
Using data from forty-six developed and emerging markets, we show that a world-based environmental, social, and governance index (ESGI) provides useful information about future economic activity in- and out-of-sample. A relatively high increase in ESGI predicts a decrease (increase) in future economic activity in the short (long) term. We document that the environmental, social, and governance components of ESGI contribute to the predictability of economic activity. Our results have significant implications for policymakers to advise firms to adopt better ESG practices.
{"title":"World ESG performance and economic activity","authors":"Timotheos Angelidis , Athanasios Michairinas , Athanasios Sakkas","doi":"10.1016/j.intfin.2024.101996","DOIUrl":"10.1016/j.intfin.2024.101996","url":null,"abstract":"<div><p>Using data from forty-six developed and emerging markets, we show that a world-based environmental, social, and governance index (<em>ESGI</em>) provides useful information about future economic activity in- and out-of-sample. A relatively high increase in <em>ESGI</em> predicts a decrease (increase) in future economic activity in the short (long) term. We document that the environmental, social, and governance components of ESGI contribute to the predictability of economic activity. Our results have significant implications for policymakers to advise firms to adopt better ESG practices.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140767593","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}
Pub Date : 2024-04-18DOI: 10.1016/j.intfin.2024.101986
Xiaoqi Chen , Weiping Li , Wouter Torsin , Albert Tsang
Governments and stock exchanges worldwide are increasingly mandating firms to disclose their environmental, social, and governance (ESG) performance. This study examines whether firms adjust their dividend policies following the implementation of mandated ESG reporting. Leveraging the staggered adoption of mandatory ESG reporting using a large international dataset spanning from 1996 to 2019, we find a substantial and negative impact on corporate dividends. Specifically, we observe that firms subject to mandatory ESG reporting, on average, reduce their dividend payout ratios by approximately 25% immediately after its implementation. Further analysis reveals that this response is more pronounced for firms facing higher agency conflicts and operating in environments with greater information asymmetry, as these firms are more difficult to monitor. Additionally, we find that the impact is stronger for firms located in countries with less developed stock markets and higher financial constraints. Exploiting cross-country variations in the regulatory framework of ESG reporting, we find a heightened response in jurisdictions with stricter disclosure requirements.
{"title":"Dividend policy under mandatory ESG reporting","authors":"Xiaoqi Chen , Weiping Li , Wouter Torsin , Albert Tsang","doi":"10.1016/j.intfin.2024.101986","DOIUrl":"https://doi.org/10.1016/j.intfin.2024.101986","url":null,"abstract":"<div><p>Governments and stock exchanges worldwide are increasingly mandating firms to disclose their environmental, social, and governance (ESG) performance. This study examines whether firms adjust their dividend policies following the implementation of mandated ESG reporting. Leveraging the staggered adoption of mandatory ESG reporting using a large international dataset spanning from 1996 to 2019, we find a substantial and negative impact on corporate dividends. Specifically, we observe that firms subject to mandatory ESG reporting, on average, reduce their dividend payout ratios by approximately 25% immediately after its implementation. Further analysis reveals that this response is more pronounced for firms facing higher agency conflicts and operating in environments with greater information asymmetry, as these firms are more difficult to monitor. Additionally, we find that the impact is stronger for firms located in countries with less developed stock markets and higher financial constraints. Exploiting cross-country variations in the regulatory framework of ESG reporting, we find a heightened response in jurisdictions with stricter disclosure requirements.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140618122","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}
Pub Date : 2024-04-16DOI: 10.1016/j.intfin.2024.101998
Bo Li , Qian Sun , Zhihua Wei
We examine the stock price reactions to the mass inclusion of China A-shares in the Morgan Stanley Capital International (MSCI) global indices and find that stocks that would be included in the MSCI global indices earned significantly positive abnormal returns when the inclusion plan was first announced. These unusual stock price changes are proportional to firm-specific conditional market risk, but not to firm-level changes in expected future cash flows or the domestic shareholder base. We also show that better firm transparency and stock liquidity strengthen the positive relationship between conditional market risk and stock price revaluation. Moreover, there is a positive externality effect on the stock prices and risk exposures of stocks that would not be included in the MSCI global indices. Our results demonstrate that MSCI inclusion not only directly integrates index-included stocks with the global market but also indirectly integrates non-index-included stocks with the global market. Since the successful inclusion of A-shares in MSCI global indices implies the reduction in implicit market barriers to international investors, our results provide empirical evidence for the proposition that the reduction in implicit market barriers contributes to market integration from the perspective of stock price revaluation.
我们研究了中国 A 股被大规模纳入摩根士丹利资本国际公司(MSCI)全球指数后的股价反应,发现将被纳入 MSCI 全球指数的股票在纳入计划首次公布时获得了显著的正异常回报。这些异常股价变化与公司特定的条件市场风险成正比,但与公司层面的预期未来现金流变化或国内股东基础无关。我们还发现,更好的公司透明度和股票流动性加强了条件市场风险与股价重估之间的正相关关系。此外,对于未被纳入 MSCI 全球指数的股票,其股价和风险敞口也会产生积极的外部效应。我们的研究结果表明,纳入 MSCI 指数不仅能直接将纳入指数的股票与全球市场结合起来,还能间接将未纳入指数的股票与全球市场结合起来。由于 A 股成功纳入 MSCI 全球指数意味着国际投资者面临的隐性市场壁垒减少,我们的结果为 "从股价重估的角度来看,隐性市场壁垒的减少有助于市场一体化 "这一命题提供了经验证据。
{"title":"Implicit barriers, market integration and asset prices: Evidence from the inclusion of China A-shares in MSCI global indices","authors":"Bo Li , Qian Sun , Zhihua Wei","doi":"10.1016/j.intfin.2024.101998","DOIUrl":"https://doi.org/10.1016/j.intfin.2024.101998","url":null,"abstract":"<div><p>We examine the stock price reactions to the mass inclusion of China A-shares in the Morgan Stanley Capital International (MSCI) global indices and find that stocks that would be included in the MSCI global indices earned significantly positive abnormal returns when the inclusion plan was first announced. These unusual stock price changes are proportional to firm-specific conditional market risk, but not to firm-level changes in expected future cash flows or the domestic shareholder base. We also show that better firm transparency and stock liquidity strengthen the positive relationship between conditional market risk and stock price revaluation. Moreover, there is a positive externality effect on the stock prices and risk exposures of stocks that would not be included in the MSCI global indices. Our results demonstrate that MSCI inclusion not only directly integrates index-included stocks with the global market but also indirectly integrates non-index-included stocks with the global market. Since the successful inclusion of A-shares in MSCI global indices implies the reduction in implicit market barriers to international investors, our results provide empirical evidence for the proposition that the reduction in implicit market barriers contributes to market integration from the perspective of stock price revaluation.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140604898","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}
Pub Date : 2024-04-14DOI: 10.1016/j.intfin.2024.102000
Suman Neupane , Zhebin Fan , Daniel Yanes Sanchez , Biwesh Neupane
We examine the reaction of different investor categories to the COVID-19 pandemic in the Indian market throughout 2020. Using quarterly ownership data, we find significant differences across various investor categories during the crisis and post-crisis periods. We find that domestic institutional investors (DIIs) exhibit 'flight-to-quality' behavior, foreign institutional investors (FIIs) exhibit 'fire-sale' behavior, and retail investors (RIs) act as informed investors who provide liquidity during the crisis period. We observe conservative behavior from DIIs and FIIs throughout 2020, during which RIs initially increase their holdings in high-risk stocks but move to high-quality stocks in the final quarter of 2020. FIIs contribute the most to lower stock returns and higher volatility during the crisis period. Using daily FII trade-level data, we find that long-term FIIs start buying high-quality stocks before other categories in the post-crisis period, with short-term FIIs driving returns and volatility during the crisis period.
{"title":"Diverse investor reactions to the COVID-19 Pandemic: Insights from an emerging market","authors":"Suman Neupane , Zhebin Fan , Daniel Yanes Sanchez , Biwesh Neupane","doi":"10.1016/j.intfin.2024.102000","DOIUrl":"https://doi.org/10.1016/j.intfin.2024.102000","url":null,"abstract":"<div><p>We examine the reaction of different investor categories to the COVID-19 pandemic in the Indian market throughout 2020. Using quarterly ownership data, we find significant differences across various investor categories during the crisis and post-crisis periods. We find that domestic institutional investors (DIIs) exhibit 'flight-to-quality' behavior, foreign institutional investors (FIIs) exhibit 'fire-sale' behavior, and retail investors (RIs) act as informed investors who provide liquidity during the crisis period. We observe conservative behavior from DIIs and FIIs throughout 2020, during which RIs initially increase their holdings in high-risk stocks but move to high-quality stocks in the final quarter of 2020. FIIs contribute the most to lower stock returns and higher volatility during the crisis period. Using daily FII trade-level data, we find that long-term FIIs start buying high-quality stocks before other categories in the post-crisis period, with short-term FIIs driving returns and volatility during the crisis period.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-04-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1042443124000660/pdfft?md5=5184d81b3d1d6f8f0eea00b0524ecd6f&pid=1-s2.0-S1042443124000660-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140618121","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}
Pub Date : 2024-04-14DOI: 10.1016/j.intfin.2024.101999
Simeng Liu , Kun Tracy Wang , Sonali Walpola , Nathan Zhenghang Zhu
In this study, we examine whether and how the worldwide integration of corporate social responsibility (CSR) criteria into executive compensation contracts (hereafter, CSR contracting or CSR-based executive compensation) affects a firm’s stock price crash risk. Using a comprehensive sample of 42,049 firm-year observations from 53 countries from 2003 to 2019, we find that CSR contracting firms have greater stock price crash risk. This positive association can be attributed to exacerbated managerial bad news hoarding behavior and overinvestment. We further demonstrate that the positive relationship between CSR contracting and crash risk is more pronounced for firms with powerful CEOs, as well as in countries with inferior investor protection and disclosure transparency. Overall, our findings are consistent with the agency cost and managerial power perspective, suggesting that CSR contracting may be exploited by powerful and opportunistic managers as a means of diverting shareholders’ attention and concealing bad financial news. Our findings have implications for both researchers and business practitioners.
{"title":"CSR contracting and stock price crash risk: International evidence","authors":"Simeng Liu , Kun Tracy Wang , Sonali Walpola , Nathan Zhenghang Zhu","doi":"10.1016/j.intfin.2024.101999","DOIUrl":"10.1016/j.intfin.2024.101999","url":null,"abstract":"<div><p>In this study, we examine whether and how the worldwide integration of corporate social responsibility (CSR) criteria into executive compensation contracts (hereafter, CSR contracting or CSR-based executive compensation) affects a firm’s stock price crash risk. Using a comprehensive sample of 42,049 firm-year observations from 53 countries from 2003 to 2019, we find that CSR contracting firms have greater stock price crash risk. This positive association can be attributed to exacerbated managerial bad news hoarding behavior and overinvestment. We further demonstrate that the positive relationship between CSR contracting and crash risk is more pronounced for firms with powerful CEOs, as well as in countries with inferior investor protection and disclosure transparency. Overall, our findings are consistent with the agency cost and managerial power perspective, suggesting that CSR contracting may be exploited by powerful and opportunistic managers as a means of diverting shareholders’ attention and concealing bad financial news. Our findings have implications for both researchers and business practitioners.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-04-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1042443124000659/pdfft?md5=2c134fc94f1a3b10d85d5b188c15cf1e&pid=1-s2.0-S1042443124000659-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140795753","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}
Pub Date : 2024-04-12DOI: 10.1016/j.intfin.2024.101985
Hyun-Jung Nam , Doojin Ryu
This study examines the influence of trade openness on economic growth in the Association of Southeast Asian Nations. Trade openness is associated with low levels of trade barriers and high levels of trade volumes. Lower trade barriers may negatively affect GDP in developing economies, implying that excessive trade openness could impede economic growth. Conversely, increased trade volumes positively affect GDP, highlighting the potential advantages of trade openness for economic growth. We identify the moderating role of trade barriers, noting that in countries with high trade barriers, increased trade volumes are associated with stronger economic growth.
{"title":"Does trade openness promote economic growth in developing countries?","authors":"Hyun-Jung Nam , Doojin Ryu","doi":"10.1016/j.intfin.2024.101985","DOIUrl":"https://doi.org/10.1016/j.intfin.2024.101985","url":null,"abstract":"<div><p>This study examines the influence of trade openness on economic growth in the Association of Southeast Asian Nations. Trade openness is associated with low levels of trade barriers and high levels of trade volumes. Lower trade barriers may negatively affect GDP in developing economies, implying that excessive trade openness could impede economic growth. Conversely, increased trade volumes positively affect GDP, highlighting the potential advantages of trade openness for economic growth. We identify the moderating role of trade barriers, noting that in countries with high trade barriers, increased trade volumes are associated with stronger economic growth.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140546344","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}
Pub Date : 2024-04-08DOI: 10.1016/j.intfin.2024.101976
Yuying Sun, Zhenyu Wu
This paper explores the relationship between reputational risk and firm financial performance in both family and nonfamily businesses. Relying on an international sample of over 5,000 listed firms from 2007 to 2019, we find that family firms have significantly lower reputational risk, and the impact of reputational risk on financial performance is lower in family firms. However, these findings vary across different macro-regulatory environments. In countries with poor regulatory quality, the effect of reputational risk on performance becomes positive, and family firms strengthen this positive influence. We attribute the findings to socioemotional wealth (SEW) theory and rent-seeking theory.
{"title":"Reputational risk and firm performance: Family versus nonfamily firms in different regulatory environments","authors":"Yuying Sun, Zhenyu Wu","doi":"10.1016/j.intfin.2024.101976","DOIUrl":"https://doi.org/10.1016/j.intfin.2024.101976","url":null,"abstract":"<div><p>This paper explores the relationship between reputational risk and firm financial performance in both family and nonfamily businesses. Relying on an international sample of over 5,000 listed firms from 2007 to 2019, we find that family firms have significantly lower reputational risk, and the impact of reputational risk on financial performance is lower in family firms. However, these findings vary across different macro-regulatory environments. In countries with poor regulatory quality, the effect of reputational risk on performance becomes positive, and family firms strengthen this positive influence. We attribute the findings to socioemotional wealth (SEW) theory and rent-seeking theory.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140535702","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}
Pub Date : 2024-04-04DOI: 10.1016/j.intfin.2024.101983
Christoph Kaserer, Victoria Treßel
This study analyses the “regulatory overreach hypothesis”, which asserts regulatory complexity as the cause for the IPO decline in Western countries, by focusing on the novel EU growth prospectus for SMEs introduced by the Prospectus Regulation. Using a hand-collected database of initial offerings at EU exchanges (2016–2022), we find the EU growth prospectus successfully streamlined SME IPOs without jeopardising investor protection. Despite being less complex in terms of word counts, it remains informative. SMEs are more likely to use it unless the offering becomes relatively large. We do not substantiate that fixed listing costs were reduced. Using a triple difference analysis, we do not find robust evidence of an increase in IPO activity. While questioning the regulatory overreach hypothesis, our findings show that IPO regulation can be simplified and made less burdensome without curtailing investor protection.
{"title":"The EU prospectus regulation and its impact on SME listings","authors":"Christoph Kaserer, Victoria Treßel","doi":"10.1016/j.intfin.2024.101983","DOIUrl":"https://doi.org/10.1016/j.intfin.2024.101983","url":null,"abstract":"<div><p>This study analyses the “regulatory overreach hypothesis”, which asserts regulatory complexity as the cause for the IPO decline in Western countries, by focusing on the novel EU growth prospectus for SMEs introduced by the Prospectus Regulation. Using a hand-collected database of initial offerings at EU exchanges (2016–2022), we find the EU growth prospectus successfully streamlined SME IPOs without jeopardising investor protection. Despite being less complex in terms of word counts, it remains informative. SMEs are more likely to use it unless the offering becomes relatively large. We do not substantiate that fixed listing costs were reduced. Using a triple difference analysis, we do not find robust evidence of an increase in IPO activity. While questioning the regulatory overreach hypothesis, our findings show that IPO regulation can be simplified and made less burdensome without curtailing investor protection.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1042443124000490/pdfft?md5=2dafa036d9840fb64f44c5d533ab3345&pid=1-s2.0-S1042443124000490-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140344811","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}
Pub Date : 2024-04-01DOI: 10.1016/j.intfin.2024.101980
Solikin M. Juhro , Bernard Njindan Iyke , Paresh Kumar Narayan
This study assesses the dynamics of capital flow, financial cycles, and business cycles in Emerging Market Economies (EMEs). We show that: (a) capital flow cycles tend to be more volatile than financial and business cycles, (b) although significant heterogeneities exist in the dynamics of these cycles across EMEs, financial and business cycles tend to be similar in terms of amplitudes, (c) significant concordance exists between different cycles and between the same cycles across countries, and (d) capital flow cycles tend to lead financial and business cycles. These findings provide clear guidance on the use of central bank policy mix strategy in response to capital flows, financial, and business cycles. Our results also imply strong interconnection between EMEs, in the sense that they appear to simultaneously experience expansions and recessions.
{"title":"Capital flow dynamics and the synchronization of financial cycles and business cycles in emerging market economies","authors":"Solikin M. Juhro , Bernard Njindan Iyke , Paresh Kumar Narayan","doi":"10.1016/j.intfin.2024.101980","DOIUrl":"10.1016/j.intfin.2024.101980","url":null,"abstract":"<div><p>This study assesses the dynamics of capital flow, financial cycles, and business cycles in Emerging Market Economies (EMEs). We show that: (a) capital flow cycles tend to be more volatile than financial and business cycles, (b) although significant heterogeneities exist in the dynamics of these cycles across EMEs, financial and business cycles tend to be similar in terms of amplitudes, (c) significant concordance exists between different cycles and between the same cycles across countries, and (d) capital flow cycles tend to lead financial and business cycles. These findings provide clear guidance on the use of central bank policy mix strategy in response to capital flows, financial, and business cycles. Our results also imply strong interconnection between EMEs, in the sense that they appear to simultaneously experience expansions and recessions.</p></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":4.0,"publicationDate":"2024-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1042443124000465/pdfft?md5=2a8a4f4ed933d7350999d1bdf6b21c1a&pid=1-s2.0-S1042443124000465-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140277296","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}