Journal of International Money and Finance最新文献

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Can fiscal consolidations announcements help anchor inflation expectations? 财政整顿公告能帮助稳定通胀预期吗？

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2024-11-28 DOI: 10.1016/j.jimonfin.2024.103247

Antonio C. David, Samuel Pienknagura, Juan F. Yépez

Using quarterly economic data and a comprehensive database on fiscal policy consolidation announcements for a sample of advanced economies and emerging markets, we quantify the effects of fiscal tightening on inflation expectations. We find that fiscal consolidation announcements reduce inflation expectations over the medium-term (three and five-years ahead), but not in the short-term (one-year ahead). There is also some evidence that consolidation announcements reduce “disagreement” about expected future inflation at longer horizons. The inflation anchoring role of consolidation announcements is enhanced by the strength of a country's fiscal and monetary frameworks, and when fiscal and monetary policy work in tandem. In addition, we find that initial conditions matter—inflation expectation's response to consolidation announcements is larger in periods of high contemporaneous inflation. With these results in hand, we show that the effectiveness of fiscal consolidation in limiting realized inflation depends greatly on the response of inflation expectations to consolidation announcements. These results show that fiscal policy is crucial to anchor inflation expectations and a key element of a credible disinflationary process.

我们利用季度经济数据和以发达经济体和新兴市场为样本的财政政策巩固公告综合数据库，量化了财政紧缩对通胀预期的影响。我们发现，财政整顿公告降低了中期（未来3年和5年）的通胀预期，但短期（未来1年）不会降低通胀预期。还有一些证据表明，财政整顿公告减少了人们对未来长期通胀预期的“分歧”。一国财政和货币框架的实力，以及财政和货币政策的协同工作，会增强财政整顿公告锚定通胀的作用。此外，我们发现初始条件很重要——通胀预期对合并公告的反应在同期高通胀时期更大。有了这些结果，我们表明财政整顿在限制已实现通胀方面的有效性在很大程度上取决于通胀预期对财政整顿公告的反应。这些结果表明，财政政策对于稳定通胀预期至关重要，也是可信的反通胀过程的关键因素。

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引用次数: 0

Influence of ESG on corporate debt default risk: An analysis of the dual risk scenarios ESG对企业债务违约风险的影响：双重风险情景分析

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2024-11-26 DOI: 10.1016/j.jimonfin.2024.103248

Yuping Shang , Zisheng Xiao , Asma Nasim , Xin Zhao

In the context of sustainable development and high-quality corporate growth, this study examines the impact of Environmental, Social, and Governance (ESG) performance on corporate debt default risk among Chinese A-share listed corporates. It explores the mechanisms by which ESG performance influences debt risk, including diversification of funding sources, optimized capital utilization, and improved market supply–demand dynamics. The mitigating effect of ESG on debt risk is more pronounced in state-owned enterprises, large corporations, and corporations with robust internal controls, especially under conditions of low marketization and adverse macroeconomic circumstances. Moreover, in light of the global emphasis on climate risks, this study assesses their significant influence on debt default risk, particularly through the environmental aspect of ESG. Innovatively, this study incorporates dual climate risk scenarios to comprehensively analyze the interaction between ESG performance and debt default risk. Findings indicate that ESG performance significantly lowers debt risk in corporates facing higher internal climate challenges, while the effects on external supply chain climate risks are less evident. These insights contribute to the theoretical understanding of ESG and financial risk management and provide practical strategies for corporates pursuing sustainability in an unstable climatic environment.

在可持续发展和高质量企业成长的背景下，本研究考察了中国a股上市公司环境、社会和治理绩效对公司债务违约风险的影响。探讨了ESG绩效影响债务风险的机制，包括资金来源的多样化、资本利用的优化和市场供需动态的改善。ESG对债务风险的缓解作用在国有企业、大型企业和内部控制健全的企业中更为明显，尤其是在市场化程度较低和宏观经济环境不利的情况下。此外，鉴于全球对气候风险的重视，本研究评估了气候风险对债务违约风险的重大影响，特别是通过ESG的环境方面。创新之处是，本研究引入了双重气候风险情景，全面分析了ESG绩效与债务违约风险之间的相互作用。研究结果表明，在面临较高内部气候挑战的企业中，ESG绩效显著降低了债务风险，而对外部供应链气候风险的影响不太明显。这些见解有助于从理论上理解ESG和财务风险管理，并为在不稳定的气候环境中追求可持续发展的企业提供实用策略。

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引用次数: 0

The effects of inflation uncertainty on firms and the macroeconomy 通胀不确定性对企业和宏观经济的影响

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2024-11-22 DOI: 10.1016/j.jimonfin.2024.103239

Carola Binder , Ezgi Ozturk , Xuguang Simon Sheng

We construct measures of inflation uncertainty for 33 countries using data from professional forecasters. Inflation uncertainty, as proxied by inflation forecast disagreement, rose substantially in most, but not all, countries following the pandemic. Using panel local projections, we show that inflation uncertainty reduces real economic activity. This holds true at the country level, where higher inflation uncertainty leads to lower industrial production, and at the firm level, where it results in lower real sales and employment. Global openness amplifies this negative impact, with the amplification effect being more pronounced for financial openness than for trade openness. Higher inflation uncertainty also leads to higher inflation.

我们利用专业预测人员提供的数据，构建了 33 个国家的通货膨胀不确定性衡量指标。大流行病发生后，大多数国家（并非所有国家）的通胀不确定性（用通胀预测分歧来表示）大幅上升。我们利用当地的面板预测结果表明，通货膨胀的不确定性会减少实际经济活动。这在国家层面和企业层面都是如此，在国家层面，通胀不确定性增加导致工业生产下降，在企业层面，通胀不确定性导致实际销售和就业下降。全球开放扩大了这种负面影响，金融开放的放大效应比贸易开放更为明显。通胀不确定性越高，通胀率也越高。

引用次数: 0

Reconciling contrasting views on the growth effect of currency misalignments 调和关于货币失调对增长影响的不同观点

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2024-11-22 DOI: 10.1016/j.jimonfin.2024.103237

Cécile Couharde , Carl Grekou , Valérie Mignon , Florian Morvillier

This paper provides an in-depth analysis of the link between exchange rate misalignments and economic growth for a large sample of 170 countries over the 1973-2019 period. Although any significant departures from the equilibrium exchange rate levels are found undesirable, we show that undervaluations are more likely to stimulate economic growth in developing countries. However, this positive impact is observed only up to certain thresholds of development level and currency undervaluation. Consequently, strategies in developing countries that systematically undervalue currencies in real terms to foster growth should be carefully tailored, as they raise the risk for these economies of switching from a positive to a less favorable growth regime, depending on both their specific wealth level and the extent of their currency undervaluation.

本文深入分析了1973-2019年间170个国家的汇率失调与经济增长之间的联系。尽管任何明显偏离均衡汇率水平的情况都是不可取的，但我们发现，在发展中国家，低估更有可能刺激经济增长。然而，只有在发展水平和货币低估达到一定临界值时，才能观察到这种积极影响。因此，发展中国家为促进经济增长而系统地低估货币实际价值的战略应谨慎制定，因为这些战略会增加这些经济体从积极增长机制转向不利增长机制的风险，这取决于其具体的财富水平和货币低估程度。

引用次数: 0

Non-standard monetary policy and ECB communication: Confusion or predictability? 非标准货币政策与欧洲央行的沟通：混乱还是可预测性？

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2024-11-20 DOI: 10.1016/j.jimonfin.2024.103236

Quentin Bro de Comères, Cornel Oros, Marc Pourroy, Léonore Raguideau-Hannotin, Anne-Gaël Vaubourg

Using a dataset of 273 press releases and introductory statements over the period 1999-2020, we investigate how the communication of the European Central Bank (ECB) influences the ability of market participants to predict its monetary decisions. We build four new indicators of communication intensity and frequency and measure predictability by decomposing the surprises on the variation of asset prices around monetary announcements into a “target” – which captures the standard dimension of monetary policy surprises – a “path” factor – which corresponds to the forward guidance dimension of monetary surprises – and a QE factor – which accounts for their quantitative easing dimension. Our findings reveal that the intensity and frequency of ECB communication reduce the surprise of market participants regarding non-standard dimensions of monetary policy. Moreover, the improvement of the predictability of monetary decisions is not achieved at the expense of greater confusion over standard monetary decisions. Additionally, the reduction in surprises operates through the information channel, by which monetary policy announcements transfer information about economic fundamentals from the central bank to market participants.

利用 1999-2020 年间 273 份新闻稿和介绍性声明的数据集，我们研究了欧洲中央银行（ECB）的沟通如何影响市场参与者预测其货币决策的能力。我们建立了四个新的沟通强度和频率指标，并通过将货币公告前后资产价格变化的意外因素分解为 "目标 "因素（捕捉货币政策意外因素的标准维度）、"路径 "因素（对应货币政策意外因素的前瞻性指导维度）和 QE 因素（解释其量化宽松维度）来衡量可预测性。我们的研究结果表明，欧洲央行沟通的强度和频率降低了市场参与者对货币政策非标准维度的惊讶程度。此外，货币决策可预测性的提高并不是以标准货币决策更加混乱为代价的。此外，意外的减少是通过信息渠道实现的，即货币政策公告将有关经济基本面的信息从中央银行传递给市场参与者。

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引用次数: 0

Understanding the use of unconventional monetary policy for portfolio decarbonisation in Europe 了解非常规货币政策在欧洲组合脱碳中的应用

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2024-11-16 DOI: 10.1016/j.jimonfin.2024.103231

José Antonio Muñiz , Charles Larkin , Shaen Corbet

This study examines the European Central Bank's (ECB) use of unconventional monetary policy to decarbonise its balance sheet, focusing specifically on the inherent trade-offs between monetary stability and environmental sustainability. We investigate how the ECB's green asset purchases, as part of its Corporate Sector Purchase Programme (CSPP), affect the liquidity of its portfolio compared to similar assets not held by the ECB. While these assets align with green objectives, they exhibit significantly lower liquidity than their non-green counterparts. This discrepancy highlights a fundamental tension within the ECB's policy framework: the commitment to environmental sustainability may undermine liquidity and, by extension, the overall effectiveness of monetary policy. Our findings suggest that the ECB's strategy to integrate environmental considerations into its operations, though successful in supporting greener initiatives, poses challenges for maintaining strong liquidity levels. The study underscores the need for innovative financial instruments and strategies to reconcile the dual objectives of promoting environmental sustainability and ensuring monetary stability.

本研究探讨了欧洲中央银行（ECB）利用非常规货币政策实现资产负债表去碳化的问题，特别关注货币稳定性与环境可持续性之间的内在权衡。我们研究了欧洲央行作为其企业部门购买计划（CSPP）的一部分而购买的绿色资产，与欧洲央行未持有的类似资产相比，如何影响其投资组合的流动性。虽然这些资产符合绿色目标，但其流动性却大大低于非绿色资产。这种差异凸显了欧洲央行政策框架中的一个基本矛盾：对环境可持续性的承诺可能会削弱流动性，进而影响货币政策的整体有效性。我们的研究结果表明，欧洲央行将环境因素纳入其运作的战略虽然成功地支持了更环保的举措，但对维持强劲的流动性水平构成了挑战。这项研究强调，需要创新的金融工具和战略来协调促进环境可持续性和确保货币稳定的双重目标。

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引用次数: 0

Spillovers between cryptocurrencies and financial markets in a global framework 全球框架下加密货币与金融市场之间的溢出效应

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2024-11-12 DOI: 10.1016/j.jimonfin.2024.103235

Darko B. Vuković , Michael Frömmel , Samuel A. Vigne , Vyacheslav Zinovev

We employ the Bayesian Global Vector Autoregression (BGVAR) model to examine the transmission of adverse shocks originating in the cryptocurrency market to global financial markets. The analysis shows that these spillover effects are not limited to a specific group of countries but are instead global in nature. The results indicate that shocks originating in the cryptocurrency market adversely affect stock markets, bond indices, exchange rates, and volatility indices. These shocks, while typically moderate in magnitude and short in duration, suggest that cryptocurrencies act as mediators of short-term negative shocks. The study also underscores the heterogeneous nature of these impacts across different financial markets and countries, highlighting the varying sensitivities and responses to cryptocurrency market fluctuations. Importantly, this research represents the first application of the GVAR model in the context of the cryptocurrency market, to the best of our knowledge.

我们采用贝叶斯全球向量自回归（BGVAR）模型来研究源于加密货币市场的不利冲击向全球金融市场的传导。分析表明，这些溢出效应并不局限于特定的国家群体，而是具有全球性。结果表明，源自加密货币市场的冲击会对股票市场、债券指数、汇率和波动率指数产生不利影响。这些冲击通常幅度不大，持续时间较短，但表明加密货币是短期负面冲击的媒介。这项研究还强调了这些冲击在不同金融市场和国家的异质性，突出了对加密货币市场波动的不同敏感性和反应。重要的是，据我们所知，这项研究是 GVAR 模型在加密货币市场背景下的首次应用。

引用次数: 0

A post-pandemic new normal for interest rates in emerging bond markets? Evidence from Chile 大流行后新兴债券市场利率的新常态？智利的证据

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2024-11-12 DOI: 10.1016/j.jimonfin.2024.103234

Luis Ceballos, Jens H.E. Christensen, Damian Romero

Before the COVID-19 pandemic, researchers intensely debated the extent of the decline in the so-called equilibrium or natural rate of interest. Given the recent sharp increase in interest rates, we revisit this question in an emerging bond market context and offer a Chilean perspective using a dynamic term structure finance model estimated directly on the prices of individual Chilean inflation-indexed bonds with adjustments for bond-specific liquidity risk and real term premia. Beyond documenting the existence of large and time-varying liquidity risk premia in the bond prices, we estimate that the equilibrium real rate in Chile fell about 2 and a half percentage points in the 2003-2022 period and has remained low since then with model projections only suggesting a gradual reversal in coming years. Instead, recent increases in real interest rates in Chile are driven by spikes in the liquidity and term premia of inflation-indexed bond prices.

在 COVID-19 大流行之前，研究人员对所谓的均衡利率或自然利率的下降程度进行了激烈的辩论。鉴于近期利率急剧上升，我们在新兴债券市场的背景下重新审视了这一问题，并从智利的视角出发，使用动态期限结构融资模型直接估算了智利个别通胀指数债券的价格，并对债券特有的流动性风险和实际期限溢价进行了调整。除了记录债券价格中存在巨大且随时间变化的流动性风险溢价外，我们还估计智利的均衡实际利率在 2003-2022 年期间下降了约 2.5 个百分点，此后一直保持低位，模型预测仅表明未来几年会逐渐逆转。相反，近期智利实际利率的上升是由通胀指数债券价格的流动性和期限溢价的飙升推动的。

引用次数: 0

Asset bubbles and financial frictions in small open economies☆ 小型开放经济体中的资产泡沫与金融摩擦☆。

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2024-11-08 DOI: 10.1016/j.jimonfin.2024.103230

Feng Dong , Dongzhou Mei , Zehua Xiao

Financial cycles involving asset bubbles frequently coincide with the cyclical expansion and contraction of credit conditions. The collapse of asset and credit bubbles frequently precedes financial crises and economic recessions. We develop a small open economy DSGE model that incorporates asset bubbles and banking frictions. Credit-constrained firms trade in intrinsically useless bubble assets. Financial intermediaries, constrained by their balance sheets, introduce banking friction into financial markets. The static analysis suggests that increases in foreign interest rates unfavorably impact the formation of domestic bubbles. Dynamic analysis indicates that asset bubbles amplify macroeconomic fluctuations, with banking leverage constraints intensifying this effect. Therefore, asset bubbles amplify and propagate economic fluctuations. Unconventional monetary policy, macroprudential policy, and bubbly bailout policy could mitigate the amplification effects of banking leverage constraints and asset bubble bursts on macroeconomic fluctuations, which are mediated through reducing risk premiums, curbing capital outflows, and sustaining asset bubble channels, respectively. Finally, combining unconventional monetary policies with bubbly bailout policies and macroprudential policies yields superior outcomes.

涉及资产泡沫的金融周期经常与信贷条件的周期性扩张和收缩相吻合。资产和信贷泡沫的崩溃往往先于金融危机和经济衰退。我们建立了一个包含资产泡沫和银行业摩擦的小型开放经济 DSGE 模型。信贷受限的企业交易本质上无用的泡沫资产。受资产负债表限制的金融中介将银行摩擦引入金融市场。静态分析表明，国外利率的上升会对国内泡沫的形成产生不利影响。动态分析表明，资产泡沫会放大宏观经济波动，而银行杠杆约束会加剧这种影响。因此，资产泡沫会放大和传播经济波动。非常规货币政策、宏观审慎政策和泡沫救助政策可以缓解银行杠杆约束和资产泡沫破裂对宏观经济波动的放大效应，分别通过降低风险溢价、抑制资本外流和维持资产泡沫渠道来实现。最后，将非常规货币政策与泡沫救助政策和宏观审慎政策结合起来会产生更好的结果。

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引用次数: 0

How U.S. tariffs impact China’s domestic sourcing: Evidence from firm-to-firm transactions 美国关税如何影响中国的国内采购：来自企业间交易的证据

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2024-11-07 DOI: 10.1016/j.jimonfin.2024.103216

Binkai Chen , Dongmei Guo , Yuting Li , Junjie Xia , Mingzhi Xu

This paper investigates how tariff shocks influence the domestic performance of Chinese firms, leveraging quarterly data on both international and domestic transactions from 2017 to 2018. Our analysis uncovers several key findings: (i) a one percent increase in export tariffs leads to a 0.235 percent increase in sales to domestic buyers, suggesting that higher export costs drive suppliers to prioritize domestic markets, primarily affecting the extensive margin; (ii) a similar increase in countervailing import tariffs results in a 0.995 percent decrease in domestic purchases, underscoring a complementary relationship between China’s imported intermediates and domestic products; (iii) larger firms exhibit smaller magnitudes of domestic sales and are more likely to reduce their domestic intermediate inputs in response to a negative external risk. These findings highlight that understanding the complementary relationship between imports and domestic inputs is crucial for developing strategies to mitigate the adverse effects of tariff policies on domestic production.

本文利用 2017 年至 2018 年国际和国内交易的季度数据，研究关税冲击如何影响中国企业的国内业绩。我们的分析发现了几个关键结论：(i) 出口关税增加 1%，导致对国内买家的销售额增加 0.235%，这表明出口成本上升促使供应商优先考虑国内市场，主要影响广义边际；(ii) 反补贴进口关税的类似增加导致国内采购量减少 0.995% ，这凸显了中国进口中间产品与国内产品之间的互补关系；(iii) 大型企业的国内销售规模较小，更有可能减少国内中间投入以应对负面的外部风险。这些发现突出表明，了解进口与国内投入之间的互补关系对于制定战略以减轻关税政策对国内生产的不利影响至关重要。

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