Journal of International Financial Markets Institutions & Money最新文献

英文中文

ESG incidents and corporate green bond market reaction ESG事件与企业绿色债券市场反应

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-07-01 Epub Date: 2025-05-29 DOI: 10.1016/j.intfin.2025.102178

Matteo Cotugno , Paolo Fiorillo , Stefano Monferrà , Sabrina Severini

This paper examines how the secondary market for corporate green bonds reacts to the announcement of Environmental, Social and Governance (ESG) incidents. We compare the cumulative abnormal returns (CARs) of green bonds with those of similar conventional bonds issued by the same firm, using a large international sample covering the period 2013–2022. Our results indicate that the performance of both green and conventional bonds declines after an ESG incident, but the decline is more pronounced for conventional bonds. We attribute this finding to the cost-effectiveness motive driving investors’ response to the ESG incident, as we find that a) there is no green premium (at issuance) in our sample, and b) green bonds are, on average, less liquid than conventional bonds, making the latter easier to sell due to lower transaction costs. Consistent with this argument, we observe opposite findings − namely, no significant performance differences and conventional bonds outperforming green bonds after the ESG incident − only in cases where green bonds exhibit higher liquidity, such as those issued by European firms or those compliant with the Climate Bond Initiative (CBI) standards.

本文探讨企业绿色债券二级市场对环境、社会和治理（ESG）事件公告的反应。我们使用涵盖2013-2022年期间的大型国际样本，比较了绿色债券与同一公司发行的类似传统债券的累积异常回报（CARs）。我们的研究结果表明，在ESG事件发生后，绿色债券和传统债券的表现都有所下降，但传统债券的下降更为明显。我们将这一发现归因于驱动投资者对ESG事件反应的成本效益动机，因为我们发现a)在我们的样本中没有绿色溢价（在发行时），b)平均而言，绿色债券的流动性低于传统债券，由于交易成本较低，后者更容易出售。与这一论点相一致，我们观察到相反的结果——即，在ESG事件后，只有在绿色债券表现出更高流动性的情况下，如欧洲公司发行的债券或符合气候债券倡议（CBI）标准的债券，传统债券的表现才优于绿色债券，没有显著的绩效差异。

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引用次数: 0

Financial sector development and intra-African trade 金融部门发展和非洲内部贸易

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-07-01 Epub Date: 2025-05-13 DOI: 10.1016/j.intfin.2025.102176

Lewis L. Gakpa , Issouf Soumaré , Hugues K. Kouadio , Charles K.D. Adjasi

This paper examines the nature of the relationship between Financial Sector Development (FSD) and intra-African trade. Using a sample of African countries with available data from 1998 to 2021, and robust estimation techniques that address endogeneity and omitted variables biases, we find a positive significant impact of the composite financial development indicator and cross-border banking flows on intra-African trade. Further analysis reveals that the effects of the financial institution sub-indicators are more pronounced than those of the financial market sub-indicators. The effects are also heterogeneous across the different African Regional Economic Communities (RECs). Finally, our results show that financial sector development affects intra-African trade indirectly through its impact on the services and industrial sectors.

本文探讨了金融部门发展（FSD）与非洲内部贸易之间关系的本质。利用1998年至2021年非洲国家的现有数据样本，以及解决内生性和遗漏变量偏差的稳健估计技术，我们发现综合金融发展指标和跨境银行流动对非洲内部贸易产生了显著的积极影响。进一步分析发现，金融机构分项指标的影响比金融市场分项指标的影响更为明显。不同非洲区域经济共同体（RECs）的影响也不尽相同。最后，我们的研究结果表明，金融部门的发展通过其对服务业和工业部门的影响间接影响非洲内部贸易。

引用次数: 0

Tax avoidance opportunity for multinational enterprises: effects of digitalized tax administration in China 跨国企业的避税机会：数字化税务管理在中国的影响

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-07-01 Epub Date: 2025-05-19 DOI: 10.1016/j.intfin.2025.102177

Yilan Chen , Shaohai Lei

This study investigates the impact of digitalized tax administration (DTA) on multinational enterprises’ (MNEs’) tax avoidance, with a specific focus on outward foreign direct investment (OFDI) in tax havens. Using a quasi-natural experiment based on the implementation of Golden Tax Project III (GTP III) in China, we find that home country DTA significantly reduces the difference between nominal and effective tax rates for MNEs by 1.2%. This reduction is primarily driven by a contraction in OFDI breadth in tax havens, which restrains MNEs’ tax avoidance. We demonstrate an asymmetric effect wherein DTA does not significantly influence domestic firms’ tax avoidance, which is attributed to their ability to facilitate cross-regional investment. We also explore the various responses to cross-border tax avoidance approaches employed by MNEs to mitigate the adverse effects of DTA on corporate tax avoidance. Overall, our findings highlight the critical role of home country DTA in managing MNEs’ tax avoidance, particularly in the context of developing countries.

本研究探讨了数字化税务管理（DTA）对跨国企业（MNEs）避税的影响，特别关注避税天堂的对外直接投资（OFDI）。利用基于中国实施黄金税收项目III （GTP III）的准自然实验，我们发现母国DTA显著减少了跨国公司名义和有效税率之间的差异1.2%。这种减少主要是由于避税天堂的对外直接投资广度收缩，这抑制了跨国公司的避税行为。我们证明了一种不对称效应，其中DTA对国内企业的避税没有显著影响，这归因于它们促进跨区域投资的能力。我们还探讨了跨国公司为减轻DTA对公司避税的不利影响而采用的各种跨境避税方法。总体而言，我们的研究结果强调了母国DTA在管理跨国公司避税方面的关键作用，特别是在发展中国家。

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引用次数: 0

Climate risk and predictability of global stock market volatility 气候风险与全球股市波动的可预测性

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-06-01 Epub Date: 2025-03-06 DOI: 10.1016/j.intfin.2025.102135

Mingtao Zhou, Yong Ma

This study examines the informative role of climate risk in improving the predictability of global stock market volatility. By aggregating four climate risk proxies of Faccini et al. (2023), relating to physical climate impacts and climate mitigation actions, we reveal that aggregate climate risk is a significantly positive predictor of stock volatility across 32 international markets. This predictability persists in out-of-sample tests and cannot be subsumed by relevant economic and financial uncertainty measures. However, the predictive power of aggregate climate risk exhibits noteworthy variations over time and across regions; it weakens when economic conditions deteriorate, whereas it strengthens following the Paris Agreement and in regions with advanced financial development, high energy intensity, and strong climate change readiness. Moreover, by dissecting the multiple facets of climate risk, we show that physical risks, especially natural disasters, have much stronger predictability than transition risks. These predictive insights offer valuable guidance for risk management, policy planning, and the adjustment of asset pricing models in response to the evolving global climate risk landscape.

本研究考察了气候风险在提高全球股票市场波动的可预测性方面的信息作用。通过汇总Faccini等人（2023）关于物理气候影响和气候减缓行动的四个气候风险指标，我们发现总体气候风险是32个国际市场股票波动的显著正向预测因子。这种可预测性在样本外测试中持续存在，不能纳入相关的经济和金融不确定性措施。然而，总气候风险的预测能力在不同时间和区域间表现出显著的变化；当经济状况恶化时，它会减弱，而在《巴黎协定》之后，在金融发达、能源强度高、气候变化准备能力强的地区，它会增强。此外，通过剖析气候风险的多个方面，我们发现物理风险，特别是自然灾害，比转型风险具有更强的可预测性。这些预测见解为风险管理、政策规划和资产定价模型调整提供了有价值的指导，以应对不断变化的全球气候风险格局。

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引用次数: 0

Does inflation targeting track record matter for asset prices? Evidence from stock, bond, and foreign exchange markets 通胀目标制对资产价格有影响吗？证据来自股票、债券和外汇市场

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-06-01 Epub Date: 2025-03-11 DOI: 10.1016/j.intfin.2025.102141

Zhongxia Zhang

Many central banks have adopted inflation targeting as their monetary policy frameworks since 1990. Yet, monetary authorities’ track records of managing inflation with respect to the stated policy objectives have varied significantly. This paper examines how inflation targeting track records affect asset prices within three common asset classes: stocks, bonds, and exchange rates. The analysis reveals heterogeneous and enduring effects of track records on financial markets. A stronger track record in inflation targeting leads to a more negative reaction from stock markets to inflationary pressures, with effects persisting for about four quarters. Additionally, the sensitivity of rising long-term sovereign bond yields to inflation diminishes for about three quarters as the track record improves. Moreover, credible inflation targeters are more likely to allow greater flexibility in exchange rates to deal with inflationary shocks. Consequently, credible inflation targeting track records produce desirable policy outcomes by reinforcing monetary policy transmission and saving fiscal space.

自1990年以来，许多央行都将通胀目标制作为其货币政策框架。然而，各国货币当局按照既定政策目标管理通胀的过往记录各不相同。本文考察了通胀目标制的跟踪记录如何影响三种常见资产类别中的资产价格：股票、债券和汇率。分析显示，业绩记录对金融市场的影响具有异质性和持久性。更强有力的通胀目标将导致股市对通胀压力做出更消极的反应，其影响将持续约四个季度。此外，随着历史记录的改善，长期主权债券收益率上升对通胀的敏感性在大约三个季度内减弱。此外，可信的通胀目标更有可能允许汇率具有更大的灵活性，以应对通胀冲击。因此，可信的通胀目标制通过加强货币政策传导和节省财政空间，产生了令人满意的政策结果。

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引用次数: 0

The effects of the counter-cyclical factor on renminbi co-movements 逆周期因素对人民币联动的影响

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-06-01 Epub Date: 2025-03-11 DOI: 10.1016/j.intfin.2025.102144

Yike Sun

The counter-cyclical factor is a foreign exchange policy instrument employed by the Chinese monetary authority to adjust the central parity rate of the renminbi (RMB). This study examines how this policy tool influences the RMB’s co-movements with other currencies. A novel measure of the counter-cyclical factor’s intensity is derived from a rolling estimation of the RMB two-pillar model, enabling a more precise evaluation of the factor’s role. This measure is then incorporated into a modified Frankel–Wei model to assess the factor’s influence. Empirical results indicate that, although the counter-cyclical factor is applied more intensively during the second implementation phase, it reduces RMB co-movements more significantly during the first phase. Further analysis suggests that the initial implementation induces notable RMB appreciation, which in turn weakens the RMB’s correlations with other currencies.

逆周期因子是中国货币管理当局调节人民币汇率中间价的一种外汇政策工具。本研究考察了这一政策工具如何影响人民币与其他货币的联动。通过对人民币双支柱模型的滚动估计，得出了一种新的反周期因素强度测量方法，从而能够更精确地评估该因素的作用。然后将该测量纳入改进的Frankel-Wei模型以评估因素的影响。实证结果表明，虽然逆周期因素在第二阶段的应用更为密集，但在第一阶段，它更显著地减少了人民币的协同波动。进一步分析表明，最初的实施导致人民币显著升值，这反过来又削弱了人民币与其他货币的相关性。

引用次数: 0

Could an economy get stuck on a rational pessimism sunspot path? The case of Japan 经济会陷入理性悲观的太阳黑子路径吗？日本的例子

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-06-01 Epub Date: 2025-03-17 DOI: 10.1016/j.intfin.2025.102142

Vo Phuong Mai Le , David Meenagh , Patrick Minford

Developed economies have experienced slower growth since the 2008 financial crisis, creating fears of “secular stagnation.” Rational expectations models have forward-looking sunspot solutions, which could cause this; here we investigate the case of Japan. We show that a New Keynesian model with a weak equilibrium growth path driven by pessimism sunspot belief shocks matches Japanese economic behaviour. Another possibility is a conventional model where productivity growth has simply slowed down for unknown reasons. Nevertheless, a welfare-optimising approach implies fiscal policy should commit to eliminating the potential sunspot while being prepared to revert to normal policy if inflation rises.

发达经济体自 2008 年金融危机以来增长放缓，引发了对 "长期停滞 "的担忧。理性预期模型具有前瞻性的太阳黑子解决方案，这可能是造成这种情况的原因；在此，我们对日本的情况进行了研究。我们的研究表明，新凯恩斯主义模型在悲观主义太阳黑子信念冲击的驱动下，其弱均衡增长路径与日本的经济行为相吻合。另一种可能是传统模型，即生产率增长因不明原因而放缓。然而，福利优化方法意味着财政政策应致力于消除潜在的太阳黑子，同时准备在通胀上升时恢复正常政策。

引用次数: 0

Can bilateral RMB swap reduce monetary policy spillovers from the United States to China? 双边人民币互换能否减少美国货币政策对中国的溢出效应？

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-06-01 Epub 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.

本研究分析了双边人民币互换协议对美国货币政策对华传导的影响，同时重点关注其潜在机制和潜在异质性效应。我们的研究结果表明，这些协议显著减弱了美国货币政策对中国的溢出效应。从机制上讲，我们表明双边互换促进了中国对贸易伙伴国的出口，从而减轻了美国货币政策的负面影响。值得注意的是，与新兴经济体达成的协议比与发达经济体达成的协议表现出更强的缓解效果。这些结果为政策制定者提供了管理国际货币政策溢出效应的宝贵见解。

引用次数: 0

Do U.S. Institutional investors react to international politics? 美国机构投资者对国际政治有何反应？

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-06-01 Epub 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.

本研究探讨与美国的外交政策分歧是否会影响美国机构投资者的海外证券投资决策。采用来自联合国大会上对比投票决定的双边分歧措施，我们发现强有力的经验证据肯定了这种联系。我们发现，美国机构在非美国机构中的持股比例有所下降。此外，我们的研究表明，这种减少的美国机构所有权主要源于投资者不愿将资本分配给在美国产生营业收入的公司。我们的结果通过以法国和德国反对美国发起的伊拉克入侵为中心的差异分析得到进一步证实。总部位于法国和德国的公司在美国的机构持股减少，同时分析师对每股收益（EPS）的预测也有所下降。最后，我们发现美国与外国之间的政治紧张关系对外国公司的估值产生了负面影响，这种影响主要是由美国机构投资者采取的撤资行动推动的。

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引用次数: 0

The impact of corporate diversification on liquidity management: Evidence from lines of credit 公司多元化对流动性管理的影响：来自信贷额度的证据

IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money

Pub Date : 2025-06-01 Epub Date: 2025-03-05 DOI: 10.1016/j.intfin.2025.102139

Christina Atanasova, Frederick H. Willeboordse

We examine the impact of organizational structure on corporate liquidity, specifically focusing on how business diversification influences firms’ choice between bank lines of credit and cash holdings. Using a large sample of publicly traded companies from both developed and emerging markets, we observe that diversified firms operating across multiple industries (segments) tend to rely more heavily on bank lines of credit than their more focused counterparts. We find that lower correlations in the investment opportunities across business segments and higher correlations between investment opportunities and cash flows are associated with a greater reliance on bank lines of credit as a source of corporate liquidity. Moreover, for Emerging Market firms that face binding financial constraints, the effect of diversification on liquidity management is stronger. Our findings do not support the notion that this behavior is driven by diversified firms with lower aggregate risk or better corporate governance. Instead, the results are consistent with the monitored insurance hypothesis, where diversified firms with lower liquidity risk and hedging requirements use bank lines of credit more extensively.

我们研究了组织结构对公司流动性的影响，特别关注业务多元化如何影响公司在银行信贷额度和现金持有之间的选择。通过对发达市场和新兴市场上市公司的大量样本分析，我们观察到，在多个行业（细分市场）运营的多元化公司往往比更专注的同行更依赖银行信贷额度。我们发现，跨业务部门投资机会的相关性较低，投资机会与现金流量之间的相关性较高，这与更多地依赖银行信贷额度作为企业流动性来源有关。此外，对于面临约束性财务约束的新兴市场公司，多元化对流动性管理的影响更强。我们的发现并不支持这样的观点，即这种行为是由总风险较低或公司治理较好的多元化公司驱动的。相反，结果与监测保险假设一致，即流动性风险和对冲要求较低的多元化公司更广泛地使用银行信贷额度。

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