Journal of International Money and Finance最新文献

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Can exchange rate pass-throughs be perverse? A robust multiple-prior Bayesian SVAR approach*

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-02-24 DOI: 10.1016/j.jimonfin.2025.103312

Yushi Yoshida , Weiyang Zhai

We apply a robust multiple-prior structural VAR model to estimate the exchange rate pass-through of Japan between January 1995 and July 2023, covering the unconventional monetary policy regime. In addition to traditional sign restrictions, we impose narrative sign restrictions on the basis of two economic episodes. According to conventional confidence intervals, the estimated exchange rate pass-through induced by exogenous exchange rate shocks or persistent global shocks is consistent with the conventional view; i.e., the depreciation of the Japanese yen induces inflation at the consumer level. On the other hand, we find evidence of a perverse exchange rate pass-through induced by demand shock. However, according to robust credible intervals, only the exchange rate pass-through induced by demand shock remains statistically significant. Thus, the demand-shock-induced exchange rate pass-through effect may be undermining the continuous efforts of the Bank of Japan to achieve the target of a two-percent inflation rate.

引用次数: 0

Compass guided: Northbound capital flow and investment clustering in China

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-02-17 DOI: 10.1016/j.jimonfin.2025.103305

Yunbi An , Zhao Chen , Clement Man Yiu Liu , Qingfu Liu , Chuanjie Wang

We study the trading behavior of boundedly rational investors chasing cross-border capital flow in the context of the Shanghai-/Shenzhen-Hong Kong Stock Connect program. The capital flow from Hong Kong to mainland China via this channel, referred to as northbound capital flow (NCF), is widely recognized as smart money in China. We find that mainland Chinese investors exhibit a strong tendency to herd toward stocks with substantial net NCF flows, and investors are especially prone to herd around trade-oriented NCF that pursues short-term gains. We show that the herd behavior is due to enhanced investor sentiment induced by substantial NCF flows. In addition, NCF outflows lead to a more pronounced herding effect, and investment clustering in small-cap stocks is more prominent. Moreover, market panic and the dispersion of stock information mitigate investor herd behavior. Our research provides new insight into the economic consequences of cross-border capital flows in emerging market countries.

引用次数: 0

The economic consequences of fiscal rules

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-02-14 DOI: 10.1016/j.jimonfin.2025.103286

Niklas Potrafke

Fiscal rules are controversial. They mitigate politicians' flexibility in responding to shocks and pursuing expansionary fiscal policy. They help, however, to handle politicians' commitment problem in fiscal policies. I portray the new and fast growing empirical literature in public economics that examines the economic consequences of fiscal rules. The survey encompasses the literature on fiscal rules at the national, sub-national and local level. The results show that fiscal rules reduce budget deficits, public spending and borrowing costs and increase GDP growth. The results do not suggest that fiscal rules decrease public investment. Future research should examine in more detail the unintended effects of fiscal rules such as how they relate to creative accounting.

引用次数: 0

Firm’s aging perception and debt leverage: A textual analysis

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-02-13 DOI: 10.1016/j.jimonfin.2025.103295

Qin Wang , Tong Liu , Dongmin Kong , Wenzhe Zhang

This paper examines the effect of firms’ perceptions of population aging on corporate capital structure at the firm level. We construct a novel aging indicator for firms using textual analysis of the annual reports of China’s A-share listed firms. We find that firms perceiving greater aging tend to have lower leverage. This negative impact exhibits heterogeneity, with a more pronounced effect observed among non-state-owned enterprises, those located in areas with advanced economic development, as well as among labor-intensive and non-high-tech firms. The plausible mechanisms involve operating risks and financing constraints. Additionally, automation, as a way of factor substitution to address demographic changes, may alleviate the resulting negative impact on leverage. By revealing the significant effect of aging on corporate financing decisions, our study has clear implications for firms and regulators concerned with this demographic transition and improves the understanding of the sociodemographic influence on corporate activities.

引用次数: 0

How did Chinese exporters manage the trade war?

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-02-13 DOI: 10.1016/j.jimonfin.2025.103300

Liugang Sheng , Huasheng Song , Xueqian Zheng

This paper studies how Chinese exporters managed the recent US tariff hikes. Contrary to the conventional wisdom of horizontal trade diversion, China did not divert more of its products to other Northern countries but more to the South. Moving down the quality ladder of destinations helps Chinese exporters escape competition for high-quality products in the North and lowers penetration costs in the South. This vertical trade diversion reduces quality-adjusted export prices but raises qualities and gross prices of Chinese diverted exports, particularly in poor countries and for products with high quality scopes, implying that it may benefit the South more.

引用次数: 0

Rethinking the delayed overshooting puzzle: An examination through present value framework

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-02-13 DOI: 10.1016/j.jimonfin.2025.103301

Jaeho Yun

This paper examines the dynamic responses of real exchange rates in several developed economies to US monetary policy shocks, with a particular focus on the delayed overshooting puzzle. Using a present value model, I decompose the real exchange rate into cash flow and discount rate components and analyze their reactions to US monetary shocks identified through high-frequency identification. The empirical findings indicate that short-term real exchange rate movements are shaped by a combination of multiple exchange rate theories, calling into question the robustness of the delayed overshooting phenomenon. In contrast, long-term dynamics are primarily driven by the discount rate component. Among the three economic models considered—the Dornbusch overshooting model, the consumption-based model, and the global risk-taking channel—the behavior of real exchange rates aligns most closely with the global risk-taking channel.

引用次数: 0

Management climate risk concern and corporate bond credit spread

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-02-13 DOI: 10.1016/j.jimonfin.2025.103293

Xinjie Lu , Qing Zeng , Yisu Huang , Hanlin Wu

This study constructs management climate risk concern from the perspectives of physical and transitional risk, aiming to add novel proxies for measuring corporate climate risk. Investigating the impact of management climate risk concern on corporate bond credit spread, we find that both management physical and transitional climate risk concern has significantly negative effects the bond credit spread, meaning the stronger the management concern about climate risk, the lower the credit spread of the corporate bonds. In addition, further discussions show management climate risk concern have more negative effects on bond spread particularly for bonds with lower credit ratings, worse environment governance and more attention by analysts. This study provides a new insight to assess climate risk from the perspective of management and enriches the practice of climate risk on corporate bonds.

引用次数: 0

Corporate debt Regime under Political, Economic, and climate uncertainties

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-02-12 DOI: 10.1016/j.jimonfin.2025.103298

Sitara Karim , Constantin Gurdgiev

How do political, economic, and climate uncertainties influence corporate debt decisions across firms with different leverage exposures? This study explores the effects of these macro-level uncertainties on corporate debt strategies using a dataset of 11,305 firm-year observations based on a wide range of methodologies, including random effects GLS, differenced GMM, and system GMM. To explore informational complexity of the macro uncertainties-debt choices nexus, we examine the moderating roles of analyst coverage and market concentration on the given relationship. The findings reveal that political uncertainty significantly increases debt exposures in high-leverage firms, while climate uncertainty reduces leverage across all firms. Economic uncertainty, however, shows no significant effect on debt. The moderating effects of analyst coverage and market concentration are limited, with market concentration positively influencing debt holdings only in high-leverage firms. For policymakers and corporate managers, these insights emphasize the need to incorporate political and climate risks into financial decision-making, particularly for highly leveraged firms.

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引用次数: 0

Bonds for a Bluer Tomorrow: Corporate climate concern and its impact on corporate bond maturities

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-02-12 DOI: 10.1016/j.jimonfin.2025.103296

Chao Liang , Jinyu Yang , Lihua Shen , Luu Duc Toan Huynh

The study examines whether and how corporate climate concern (

CCC

) affects the maturity of corporate bonds. Based on the information in a company annual report’s management discussion and analysis (MD&A) section, we construct a corporate climate concern index using text analysis methods. The empirical findings indicate that

CCC

promotes the issuance of longer-term corporate bonds. The findings are robust to controlling for endogeneity issues, and using an alternative

CCC

measurement and alternative estimation models. A mechanism analysis explains the positive effect of

CCC

on corporate bond maturity as follows: companies with a high level of concern for climate issues are 1) more inclined to raise funds by issuing longer-term bonds to support their long-term climate management investment plans and 2) more likely to obtain approval for the issuance of longer-term bonds. In addition, we show that the positive effect of

CCC

on bond maturity is pronounced in firms in better financial conditions and with greater R&D investments.

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引用次数: 0

Central bank independence and inflation tail risks—Evidence from emerging markets

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-02-12 DOI: 10.1016/j.jimonfin.2025.103285

Luis I. Jácome , Samuel Pienknagura

We study the link between central bank independence and episodes of unusually high inflation—what we call inflation tail risks—and highlight the perils of weakening central bank independence. Using a novel historical dataset of central bank independence for 17 Latin American, our empirical analysis finds that, in addition to the well-established negative association between central bank independence and inflation, high central bank independence is associated with reductions in the likelihood of high inflation episodes, as shown by linear probability models and quantile regressions. Moreover, a dynamic quantile regression approach shows that the benefits of central bank independence in terms of reducing high inflation accumulate over time. Finally, using alternative measures of central bank independence, we find that the lessons stemming from Latin America's experience extend to emerging markets more broadly.

引用次数: 0

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