Journal of International Financial Markets Institutions & Money最新文献

英文中文

Bank lending and interest-on-excess-reserves: Effects of Central Banks on the global credit supply 银行贷款和超额准备金利息：中央银行对全球信贷供给的影响

IF 6.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-09-01 Epub Date: 2025-07-28 DOI: 10.1016/j.intfin.2025.102185

Irem Erten

How do banks behave when the opportunity cost of keeping overnight liquidity is less? In this paper, I study the adoption of unconventional monetary policy with interest-on-excess-reserves (IOER) in the pre-2008-crisis period in Australia, Canada, Europe, Japan, and the United Kingdom. Exploiting this cross-border shock to the monetary design, I show that global banks move liquidity to their home countries and reduce their cross-border credit supply when their home Central Bank introduces a deposit facility that remunerates overnight excess reserves. The credit supply reduction is focused on the smaller, less profitable, and more illiquid branches of the affected banks. Thus, a reduction in the opportunity cost of overnight liquidity has a contractionary impact on the credit supply and results in global macroeconomic spillovers. The results suggest that banks cut lending when the Central Bank is a risk-free borrower and have broad implications for the design of monetary policy, payment systems, and liquidity regulations.

当保持隔夜流动性的机会成本降低时，银行会如何表现？在本文中，我研究了澳大利亚、加拿大、欧洲、日本和英国在2008年危机前采用超额准备金利率（IOER）非常规货币政策的情况。利用这种对货币设计的跨境冲击，我表明，当母国央行引入一种存款机制，为隔夜超额准备金提供报酬时，跨国银行将流动性转移到母国，并减少其跨境信贷供应。信贷供应减少的重点是受影响银行中规模较小、利润较低、流动性较差的分支机构。因此，隔夜流动性机会成本的降低会对信贷供应产生收缩影响，并导致全球宏观经济溢出效应。研究结果表明，当央行是无风险借款人时，银行会削减贷款，这对货币政策、支付系统和流动性监管的设计具有广泛的影响。

引用次数: 0

Societal secrecy and corporate debt financing choice 社会保密与企业债务融资选择

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-09-01 Epub Date: 2025-06-09 DOI: 10.1016/j.intfin.2025.102179

Cephas Simon Peter Dak-Adzaklo , Solomon Wise Dodzidenu Adza , Joseph Maxwell Asamoah , Pascar Tagwan Tah

We investigate the impact of societal secrecy on corporate debt financing decisions. Based a sample of 30,680 firms across 34 countries, we find robust evidence that societal secrecy is positively associated with bank debt financing and negatively associated with public debt financing. This finding is robust to a wide variety of sensitivity tests and to addressing endogeneity concerns. Cross-sectional analyses show that strong shareholder rights protection and the degree of internationalization moderate the relation between societal secrecy and debt choice. Additional analyses reveal that societal secrecy influences the choice of debt financing through three channels: information asymmetry, proprietary cost information, and information production cost. Our study sheds light on societal secrecy as a potential explanation for the variations in public debt market development across countries.

我们研究了社会保密对公司债务融资决策的影响。基于34个国家30,680家公司的样本，我们发现强有力的证据表明，社会保密与银行债务融资呈正相关，与公共债务融资负相关。这一发现是稳健的各种敏感性测试和解决内生性问题。横断面分析表明，强大的股东权利保护和国际化程度调节了社会保密与债务选择之间的关系。进一步的分析表明，社会保密性通过三个渠道影响债务融资选择：信息不对称、专有成本信息和信息生产成本。我们的研究揭示了社会保密作为各国公共债务市场发展差异的潜在解释。

引用次数: 0

Functional distance and US global banks’ foreign branch lending 功能距离与美国全球银行海外分行贷款

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-09-01 Epub Date: 2025-07-03 DOI: 10.1016/j.intfin.2025.102180

Dieter Vanwalleghem , Carmela D’Avino

This paper examines the significance of functional distance in explaining the lending behavior of foreign branches of global banks. We operationalize functional distance, or the distance between the global bank’s headquarters and the host country of the foreign branch, along a geographic, linguistic, and cultural dimension. Analyzing the lending activities of US global banks’ foreign branches in 38 countries from 2001 to 2020, we find that geographic and linguistic functional distance has an adverse effect on local lending. We further find that a host country’s institutional quality can moderate the effect of functional distance on local lending.

本文考察了功能距离在解释跨国银行海外分行贷款行为中的意义。我们根据地理、语言和文化维度，将功能距离或全球银行总部与外国分行所在国之间的距离进行操作。分析2001 - 2020年美国全球银行在38个国家的海外分行的贷款活动，我们发现地理和语言功能距离对当地贷款有不利影响。我们进一步发现，东道国的制度质量可以调节功能距离对地方贷款的影响。

引用次数: 0

Relative finance wages and inequality: A role for intangibles? 相对金融工资和不平等：无形资产的作用？

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-09-01 Epub Date: 2025-06-24 DOI: 10.1016/j.intfin.2025.102192

Adnan Velic

We investigate the role of intangible capital in the growth of relative finance wages using (i) a production framework entailing multi-level nesting and (ii) reduced-form analysis. We find that the degree and effects of complementarity between skilled labor and intangible capital are much more pronounced in finance than in the rest of the market economy. The stronger positive effects of such complementarity on finance skill premia are reinforced by relatively stronger unskilled labor substitution possibilities and technical change in the sector. Despite accounting for under a tenth of overall economic activity, finance offsets up to almost a third of declines in skilled–unskilled wage disparities nationally. We thereby find that finance contributes inordinately to income inequality. Intensified intangible capital growth in the industry stands to exacerbate this trend. Finally, our study suggests that financial deregulation, globalization, banking competition, and domestic credit expansion positively affect relative finance wages. Stricter labor market protection meanwhile dampens the impact of banking competition.

我们使用(i)涉及多层次嵌套的生产框架和（ii）简化形式分析来研究无形资本在相对金融工资增长中的作用。我们发现，在金融领域，技术劳动力和无形资本之间的互补性的程度和效果比在市场经济的其他领域更为明显。相对较强的非熟练劳动力替代可能性和行业技术变革强化了这种互补性对金融技能溢价的正向效应。尽管金融业在整体经济活动中所占的比重不到十分之一，但却抵消了全国熟练工人与非熟练工人工资差距下降的近三分之一。因此，我们发现金融对收入不平等的贡献过大。该行业无形资本的增长加剧了这一趋势。最后，我们的研究表明，金融放松管制、全球化、银行业竞争和国内信贷扩张对相对金融工资有正向影响。同时，更严格的劳动力市场保护抑制了银行业竞争的影响。

引用次数: 0

Speculative-Grade sovereign rating Cycles: Sovereign debt Defaults, restructurings and resolution 投机级主权评级周期：主权债务违约、重组和解决

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-09-01 Epub Date: 2025-07-09 DOI: 10.1016/j.intfin.2025.102197

Luca Agnello , Vítor Castro , Ricardo M. Sousa

We analyse how defaults, debt restructurings and resolution affect the duration of low sovereign rating cycles in a change-point Weibull duration model setup. Using a large panel of sovereign ratings data issued by the three largest credit rating agencies, we show that sovereigns implementing nominal debt relief during defaults or with an history of debt restructurings (including those supported by multilateral institutions) or (long) exits from international capital markets hardly escape the ’curse’ of protracted speculative-grade spells. Governments also tend to discriminate between domestic and foreign agents, ’prioritising’ foreign currency defaults.

我们分析了违约、债务重组和解决如何影响低主权评级周期的持续时间，在一个变点威布尔持续时间模型设置。利用三大信用评级机构发布的大量主权评级数据，我们表明，在违约期间或有债务重组历史（包括多边机构支持的债务重组）或（长期）退出国际资本市场的主权国家几乎无法逃脱长期投机级咒语的“诅咒”。政府还倾向于区别对待国内和外国代理人，“优先考虑”外币违约。

引用次数: 0

Do ESG investments improve portfolio diversification and risk management during times of uncertainty 在不确定时期，ESG投资是否能改善投资组合的多元化和风险管理

IF 6.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-09-01 Epub Date: 2025-08-05 DOI: 10.1016/j.intfin.2025.102199

Hachmi Ben Ameur , Zied Ftiti , Wael Louhichi

This study aims to assess whether the statistical properties of ESG assets contribute to portfolio resilience, mitigate market volatility, and enhance diversification. Specifically, we focus on variations in the tails of the return distribution, highlighting potential asymmetries in risk exposure. We use weekly ESG and conventional indices across various regions from January 2017 to May 2023. Empirically, we augment the mean-conditional value at risk (CVaR) optimisation technique, by introducing geopolitical risk as an exogenous factor. First, ESG indices enhance portfolio diversification while reducing exposure to extreme market movements and geopolitical uncertainty. Second, incorporating ESG assets is advantageous for both sustainable investment and effective financial risk management, presenting a viable option for investors pursuing both financial and sustainability objectives. Moreover, our results remain robust under incremental CVaR approach and align with the time-varying sensitivity of ESG and conventional indices to geopolitical risk, as shown by beta dynamics analysis. Our findings offer several insights for investors diversifying their portfolio.

本研究旨在评估ESG资产的统计属性是否有助于投资组合弹性、缓解市场波动和增强多元化。具体来说，我们关注回报分布尾部的变化，强调风险暴露的潜在不对称性。我们在2017年1月至2023年5月期间使用不同地区的每周ESG和传统指数。在经验上，我们通过引入地缘政治风险作为外生因素，增加了平均条件风险值（CVaR）优化技术。首先，ESG指数增强了投资组合的多元化，同时减少了对极端市场波动和地缘政治不确定性的敞口。其次，纳入ESG资产有利于可持续投资和有效的财务风险管理，为追求财务和可持续性目标的投资者提供了一个可行的选择。此外，我们的结果在增量CVaR方法下仍然稳健，并与ESG和传统指数对地缘政治风险的时变敏感性相一致，如beta动力学分析所示。我们的研究结果为投资者多样化投资组合提供了一些见解。

{"title":"Do ESG investments improve portfolio diversification and risk management during times of uncertainty","authors":"Hachmi Ben Ameur , Zied Ftiti , Wael Louhichi","doi":"10.1016/j.intfin.2025.102199","DOIUrl":"10.1016/j.intfin.2025.102199","url":null,"abstract":"<div><div>This study aims to assess whether the statistical properties of ESG assets contribute to portfolio resilience, mitigate market volatility, and enhance diversification. Specifically, we focus on variations in the tails of the return distribution, highlighting potential asymmetries in risk exposure. We use weekly ESG and conventional indicesacross various regions from January 2017 to May 2023. Empirically, we augment themean-conditional value at risk (CVaR) optimisation technique, by introducing geopolitical risk as an exogenous factor. First,ESG indices enhance portfolio diversification while reducing exposure to extreme market movements and geopolitical uncertainty.Second, incorporating ESG assets is advantageous for both sustainable investment and effective financial risk management, presenting a viable option for investors pursuing both financial and sustainability objectives. Moreover, our results remainrobust under incremental CVaR approachand align with thetime-varying sensitivity of ESG and conventional indices to geopolitical risk, as shown bybeta dynamics analysis. Our findings offer several insights for investors diversifying their portfolio.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"103 ","pages":"Article 102199"},"PeriodicalIF":6.1,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144772570","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

Do companies’ green credentials enhance trade credit provisions? Global evidence 企业的绿色证书是否能提高贸易信贷条款？全球的证据

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-09-01 Epub Date: 2025-07-28 DOI: 10.1016/j.intfin.2025.102204

Rashid Zaman , Nader Atawnah , Deepa Banigidadmath , Muhammad Nadeem , Jia Liu

We investigate the impact of corporate renewable energy (RE) adoption on suppliers’ trade credit provisions. Using a global sample of 30 countries, we establish that firms engaging in higher RE consumption secure increased trade credit. Our results remain robust to a variety of sensitivity tests and after accounting for potential endogeneity concerns using the Paris Agreement and companies switching to green energy as exogenous shocks. Our channel analysis reveals that RE take-up mitigates companies’ environmental risk (proxied by environmental violation fines, media coverage of environmental controversies, GHG emissions, and environmental policy stringency). Additional tests reveal that the relationship between RE and trade credit is stronger for adopters with lower bargaining power and those in environmentally sensitive industries. Cross-sectional analysis reveals that the documented positive impact is stronger in developed economies and during periods of high policy uncertainty. Finally, we discover that RE adoption enhances firm value and promotes a supply-chain spillover, since adopters are also more likely to extend trade credit to their own customers. Our paper provides original evidence that RE adapting improves companies’ access to informal financing in the form of higher trade credit.

我们研究了企业采用可再生能源对供应商贸易信贷规定的影响。使用全球30个国家的样本，我们确定从事更高可再生能源消费的公司获得了更多的贸易信贷。在考虑了《巴黎协定》和企业转向绿色能源作为外生冲击的潜在内生性问题后，我们的结果在各种敏感性测试中仍然稳健。我们的渠道分析表明，可再生能源的使用减轻了公司的环境风险（以环境违规罚款、媒体对环境争议的报道、温室气体排放和环境政策严格程度为代表）。额外的测试表明，可再生能源与贸易信贷之间的关系对于议价能力较低的采用者和环境敏感行业的采用者更强。横断面分析显示，记录在案的积极影响在发达经济体和政策高度不确定性时期更为强烈。最后，我们发现可再生能源的采用提高了企业价值并促进了供应链溢出，因为采用者也更有可能将贸易信贷扩展到他们自己的客户。本文提供的原始证据表明，可再生能源适应改善了企业获得更高贸易信贷形式的非正式融资的途径。

{"title":"Do companies’ green credentials enhance trade credit provisions? Global evidence","authors":"Rashid Zaman , Nader Atawnah , Deepa Banigidadmath , Muhammad Nadeem , Jia Liu","doi":"10.1016/j.intfin.2025.102204","DOIUrl":"10.1016/j.intfin.2025.102204","url":null,"abstract":"<div><div>We investigate the impact of corporate renewable energy (RE) adoption on suppliers’ trade credit provisions. Using a global sample of 30 countries, we establish that firms engaging in higher RE consumption secure increased trade credit. Our results remain robust to a variety of sensitivity tests and after accounting for potential endogeneity concerns using the Paris Agreement and companies switching to green energy as exogenous shocks. Our channel analysis reveals that RE take-up mitigates companies’ environmental risk (proxied by environmental violation fines, media coverage of environmental controversies, GHG emissions, and environmental policy stringency). Additional tests reveal that the relationship between RE and trade credit is stronger for adopters with lower bargaining power and those in environmentally sensitive industries. Cross-sectional analysis reveals that the documented positive impact is stronger in developed economies and during periods of high policy uncertainty. Finally, we discover that RE adoption enhances firm value and promotes a supply-chain spillover, since adopters are also more likely to extend trade credit to their own customers. Our paper provides original evidence that RE adapting improves companies’ access to informal financing in the form of higher trade credit.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"103 ","pages":"Article 102204"},"PeriodicalIF":5.4,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144714304","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

Digital disruption in financing: Are fintech and bigtech credit reshaping corporate access to capital? 金融领域的数字化颠覆：金融科技和大型科技信贷正在重塑企业的融资渠道吗？

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-09-01 Epub Date: 2025-07-03 DOI: 10.1016/j.intfin.2025.102198

Habib Hussain Khan , Fiza Qureshi , Dima Jamali

This study examines the role of fintech and bigtech credit, collectively referred to as alternative digital credit, in alleviating corporate financing constraints across 70 countries from 2013 to 2019. The findings indicate that alternative digital credit alleviates financing constraints by reducing investment-to-cash flow sensitivity, particularly in developing countries. This effect is more pronounced in financially developed markets with strong institutional frameworks but less competitive banking sectors. The advantages of alternative digital credit are particularly notable for small, young, and manufacturing firms. Firms engaged in international trade and those owned by foreign investors face fewer constraints due to their inherent advantages. Consistency checks using alternative measures of financing constraints reaffirm these findings. The analysis of transmission channels further highlights that the entry of fintech and bigtech firms weakens banks’ market power, encouraging greater competition in the banking sector and ultimately lowering firms’ financing constraints. These insights highlight the transformative potential of alternative digital credit in promoting financial inclusion and propose targeted policies to enhance its adoption globally.

本研究考察了金融科技和大科技信贷（统称为替代数字信贷）在缓解2013年至2019年70个国家企业融资约束方面的作用。研究结果表明，替代数字信贷通过降低投资对现金流的敏感性来缓解融资约束，特别是在发展中国家。这种影响在金融发达的市场更为明显，这些市场拥有强大的制度框架，但银行业竞争力较弱。替代数字信贷的优势对于小型、年轻的制造企业尤其明显。从事国际贸易的公司和外国投资者拥有的公司由于其固有的优势而面临较少的限制。使用其他融资约束措施进行一致性检查重申了这些发现。传导渠道分析进一步强调，金融科技和大型科技公司的进入削弱了银行的市场支配力，鼓励了银行业的更大竞争，最终降低了企业的融资约束。这些见解强调了替代数字信贷在促进普惠金融方面的变革潜力，并提出了有针对性的政策，以促进其在全球的采用。

{"title":"Digital disruption in financing: Are fintech and bigtech credit reshaping corporate access to capital?","authors":"Habib Hussain Khan , Fiza Qureshi , Dima Jamali","doi":"10.1016/j.intfin.2025.102198","DOIUrl":"10.1016/j.intfin.2025.102198","url":null,"abstract":"<div><div>This study examines the role of fintech and bigtech credit, collectively referred to as alternative digital credit, in alleviating corporate financing constraints across 70 countries from 2013 to 2019. The findings indicate that alternative digital credit alleviates financing constraints by reducing investment-to-cash flow sensitivity, particularly in developing countries. This effect is more pronounced in financially developed markets with strong institutional frameworks but less competitive banking sectors. The advantages of alternative digital credit are particularly notable for small, young, and manufacturing firms. Firms engaged in international trade and those owned by foreign investors face fewer constraints due to their inherent advantages. Consistency checks using alternative measures of financing constraints reaffirm these findings. The analysis of transmission channels further highlights that the entry of fintech and bigtech firms weakens banks’ market power, encouraging greater competition in the banking sector and ultimately lowering firms’ financing constraints. These insights highlight the transformative potential of alternative digital credit in promoting financial inclusion and propose targeted policies to enhance its adoption globally.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"103 ","pages":"Article 102198"},"PeriodicalIF":5.4,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144535002","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

When fiscal discipline meets macroeconomic stability: The Euro-stability bond 财政纪律与宏观经济稳定：欧元稳定债券

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-09-01 Epub Date: 2025-07-01 DOI: 10.1016/j.intfin.2025.102196

Luciano Greco , Francesco Jacopo Pintus , Davide Raggi

We study the consequences of introducing an Euro-stability bond mechanism that implies sovereign debt mutualization in the Eurozone without any significant short-term redistribution across countries or perverse incentives to fiscal profligacy. In a simple structural model of the economy, we theoretically show that this mechanism is able to reproduce the market fiscal discipline while increasing the social welfare of all countries with respect to the real market discipline. Relying on a GVAR model including 10 Eurozone countries, U.S., Japan and China, we then analyse the future evolution of public debt (and other key macroeconomic variables) over time by comparing the predicted forecast in the baseline and in a counterfactual scenarios with the Euro-stability bond. We find no significant differences in the future path of public debt-to-GDP ratios in the two cases, but a consistent reduction in the forecast’s uncertainty in the counterfactual scenario. The reduced uncertainty of forecasts of public debt and other macroeconomic variables highlights the potential capacity of the Euro-stability bond to immunize the Eurozone from classical macroeconomic instability shocks that derive by the very existence of high sovereign debts and the related significant rollover and contagion risks in a framework of decentralized fiscal policies. To this extent, we finally exploit the results of the GVAR model to assess the capacity of the proposed scheme to reduce the probability of adverse macroeconomic events.

我们研究了引入欧元稳定债券机制的后果，该机制意味着欧元区的主权债务共同化，而不会在各国之间产生任何重大的短期再分配或对财政挥霍的不当激励。在一个简单的经济结构模型中，我们从理论上证明了这种机制能够再现市场财政纪律，同时相对于真正的市场纪律增加所有国家的社会福利。基于包括10个欧元区国家、美国、日本和中国在内的GVAR模型，我们通过比较基线和反事实情景下与欧元稳定债券的预测预测，分析了公共债务（以及其他关键宏观经济变量）的未来演变。我们发现，在这两种情况下，公共债务与gdp比率的未来路径没有显著差异，但在反事实情景中，预测的不确定性一致降低。公共债务和其他宏观经济变量预测的不确定性降低，突显了欧元稳定债券的潜在能力，使欧元区免受传统宏观经济不稳定冲击的影响，这种冲击是由高主权债务的存在以及在分散财政政策框架下相关的重大展期和传染风险造成的。在这种程度上，我们最终利用GVAR模型的结果来评估所提出的方案降低不利宏观经济事件概率的能力。

{"title":"When fiscal discipline meets macroeconomic stability: The Euro-stability bond","authors":"Luciano Greco , Francesco Jacopo Pintus , Davide Raggi","doi":"10.1016/j.intfin.2025.102196","DOIUrl":"10.1016/j.intfin.2025.102196","url":null,"abstract":"<div><div>We study the consequences of introducing an Euro-stability bond mechanism that implies sovereign debt mutualization in the Eurozone without any significant short-term redistribution across countries or perverse incentives to fiscal profligacy. In a simple structural model of the economy, we theoretically show that this mechanism is able to reproduce the market fiscal discipline while increasing the social welfare of all countries with respect to the real market discipline. Relying on a GVAR model including 10 Eurozone countries, U.S., Japan and China, we then analyse the future evolution of public debt (and other key macroeconomic variables) over time by comparing the predicted forecast in the baseline and in a counterfactual scenarios with the Euro-stability bond. We find no significant differences in the future path of public debt-to-GDP ratios in the two cases, but a consistent reduction in the forecast’s uncertainty in the counterfactual scenario. The reduced uncertainty of forecasts of public debt and other macroeconomic variables highlights the potential capacity of the Euro-stability bond to immunize the Eurozone from classical macroeconomic instability shocks that derive by the very existence of high sovereign debts and the related significant rollover and contagion risks in a framework of decentralized fiscal policies. To this extent, we finally exploit the results of the GVAR model to assess the capacity of the proposed scheme to reduce the probability of adverse macroeconomic events.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"103 ","pages":"Article 102196"},"PeriodicalIF":5.4,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144548413","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 do emotions drive market dynamics? A tale of spillovers in cryptocurrency markets 情绪是如何驱动市场动态的？加密货币市场溢出效应的故事

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-09-01 Epub Date: 2025-07-28 DOI: 10.1016/j.intfin.2025.102202

Yingying Huang , Weizhong Liang , Kun Duan , Andrew Urquhart , Qiang Ye

This paper studies emotional spillovers in cryptocurrency markets and the associated impacts on market performance. By constructing a dynamic connectedness network, we capture the emotional spillover effects among the major cryptocurrencies and their time-varying evolution. We then quantify how the emotional spillovers of cryptocurrencies drive their market performance within a joint distributional framework that gauges the heterogeneity of such a linkage under different conditions of emotions and market performance of cryptocurrencies. Our results indicate that within emotional spillovers, cryptocurrencies act as the net information receiver, while carbon-intensive (dirty) cryptocurrencies play a greater role in driving emotional spillovers than eco-friendly (clean) ones. The stock market, being controlled by the emotional system, is found to be the major net provider. From a dynamic perspective, clean cryptocurrencies are shown to have stronger emotional spillover effects than dirty cryptocurrencies prior to the COVID-19 pandemic, and the effects of both gradually weaken thereafter. The role of emotional spillovers in driving market performance is often more pronounced under extreme market conditions in cryptocurrency markets.

本文研究了加密货币市场的情绪溢出及其对市场表现的相关影响。通过构建动态连通性网络，我们捕捉了主要加密货币之间的情感溢出效应及其随时间变化的演变。然后，我们量化了加密货币的情绪溢出效应如何在一个联合分布框架内推动其市场表现，该框架衡量了在不同情绪和加密货币市场表现条件下这种联系的异质性。我们的研究结果表明，在情绪溢出中，加密货币充当净信息接收者，而碳密集型（肮脏）加密货币在推动情绪溢出方面发挥的作用大于生态友好型（清洁）加密货币。受情绪系统控制的股票市场是主要的网络提供者。从动态角度看，在新冠肺炎大流行之前，干净的加密货币比脏的加密货币具有更强的情绪溢出效应，之后两者的影响逐渐减弱。在加密货币市场的极端市场条件下，情绪溢出在推动市场表现方面的作用往往更为明显。

{"title":"How do emotions drive market dynamics? A tale of spillovers in cryptocurrency markets","authors":"Yingying Huang , Weizhong Liang , Kun Duan , Andrew Urquhart , Qiang Ye","doi":"10.1016/j.intfin.2025.102202","DOIUrl":"10.1016/j.intfin.2025.102202","url":null,"abstract":"<div><div>This paper studies emotional spillovers in cryptocurrency markets and the associated impacts on market performance. By constructing a dynamic connectedness network, we capture the emotional spillover effects among the major cryptocurrencies and their time-varying evolution. We then quantify how the emotional spillovers of cryptocurrencies drive their market performance within a joint distributional framework that gauges the heterogeneity of such a linkage under different conditions of emotions and market performance of cryptocurrencies. Our results indicate that within emotional spillovers, cryptocurrencies act as the net information receiver, while carbon-intensive (dirty) cryptocurrencies play a greater role in driving emotional spillovers than eco-friendly (clean) ones. The stock market, being controlled by the emotional system, is found to be the major net provider. From a dynamic perspective, clean cryptocurrencies are shown to have stronger emotional spillover effects than dirty cryptocurrencies prior to the COVID-19 pandemic, and the effects of both gradually weaken thereafter. The role of emotional spillovers in driving market performance is often more pronounced under extreme market conditions in cryptocurrency markets.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"103 ","pages":"Article 102202"},"PeriodicalIF":5.4,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144714303","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

首页上一页

下一页尾页

类型

全部化学•材料生命科学医学物理工程技术环境•农林材料科学地球科学法学管理学化学环境科学与生态学计算机科学教育学经济学农林科学人文科学生物学数学物理与天体物理心理学综合性期刊其他工业工程理学历史学农学文学信息工程

数据库

全部 ACS Publications Elsevier ieeexplore Springer The Royal Society of Chemistry Wiley

期刊

Journal of International Financial Markets Institutions & Money

全部 Acc. Chem. Res. ACS Applied Bio Materials ACS Appl. Electron. Mater. ACS Appl. Energy Mater. ACS Appl. Mater. Interfaces ACS Appl. Nano Mater. ACS Appl. Polym. Mater. ACS BIOMATER-SCI ENG ACS Catal. ACS Cent. Sci. ACS Chem. Biol. ACS Chemical Health & Safety ACS Chem. Neurosci. ACS Comb. Sci. ACS Earth Space Chem. ACS Energy Lett. ACS Infect. Dis. ACS Macro Lett. ACS Mater. Lett. ACS Med. Chem. Lett. ACS Nano ACS Omega ACS Photonics ACS Sens. ACS Sustainable Chem. Eng. ACS Synth. Biol. Anal. Chem. BIOCHEMISTRY-US Bioconjugate Chem. BIOMACROMOLECULES Chem. Res. Toxicol. Chem. Rev. Chem. Mater. CRYST GROWTH DES ENERG FUEL Environ. Sci. Technol. Environ. Sci. Technol. Lett. Eur. J. Inorg. Chem. IND ENG CHEM RES Inorg. Chem. J. Agric. Food. Chem. J. Chem. Eng. Data J. Chem. Educ. J. Chem. Inf. Model. J. Chem. Theory Comput. J. Med. Chem. J. Nat. Prod. J PROTEOME RES J. Am. Chem. Soc. LANGMUIR MACROMOLECULES Mol. Pharmaceutics Nano Lett. Org. Lett. ORG PROCESS RES DEV ORGANOMETALLICS J. Org. Chem. J. Phys. Chem. J. Phys. Chem. A J. Phys. Chem. B J. Phys. Chem. C J. Phys. Chem. Lett. Analyst Anal. Methods Biomater. Sci. Catal. Sci. Technol. Chem. Commun. Chem. Soc. Rev. CHEM EDUC RES PRACT CRYSTENGCOMM Dalton Trans. Energy Environ. Sci. ENVIRON SCI-NANO ENVIRON SCI-PROC IMP ENVIRON SCI-WAT RES Faraday Discuss. Food Funct. Green Chem. Inorg. Chem. Front. Integr. Biol. J. Anal. At. Spectrom. J. Mater. Chem. A J. Mater. Chem. B J. Mater. Chem. C Lab Chip Mater. Chem. Front. Mater. Horiz. MEDCHEMCOMM Metallomics Mol. Biosyst. Mol. Syst. Des. Eng. Nanoscale Nanoscale Horiz. Nat. Prod. Rep. New J. Chem. Org. Biomol. Chem. Org. Chem. Front. PHOTOCH PHOTOBIO SCI PCCP Polym. Chem.

﹀