Pub Date : 2026-01-10DOI: 10.1016/j.jimonfin.2026.103529
Haoyuan Ding , Daming Huang , Zida Li , Xingyu Lu
This study explores whether China Cross-Border E-Commerce (CBEC) Comprehensive Pilot Zone served as a cushion for global supply chains against the shock of the China-U.S. trade war. Leveraging micro-level supply chain data and a difference-in-differences design, we find participation in CBEC Comprehensive Pilot Zone reduces supply chain disruptions by 4.1 percentage points – equivalent to a 53 % decline relative to the mean, and the mitigating effect is particularly pronounced for non-U.S. trade partners and industries not directly targeted by tariffs. Further analysis identifies four underlying mechanisms: (1) easing financial constraints, (2) reducing information costs and negotiation costs, (3) leveraging trade infrastructure, and (4) synergies with customers’ institutional quality. Moreover, firms in CBEC comprehensive pilot zones also establish more U.S. relationships in non-targeted industries, exhibiting lower costs and higher operational efficiency.
{"title":"Digital safeguards in trade wars: assessing the impact of China’s CBEC pilot zone on global supply chain resilience","authors":"Haoyuan Ding , Daming Huang , Zida Li , Xingyu Lu","doi":"10.1016/j.jimonfin.2026.103529","DOIUrl":"10.1016/j.jimonfin.2026.103529","url":null,"abstract":"<div><div>This study explores whether China Cross-Border E-Commerce (CBEC) Comprehensive Pilot Zone served as a cushion for global supply chains against the shock of the China-U.S. trade war. Leveraging micro-level supply chain data and a difference-in-differences design, we find participation in CBEC Comprehensive Pilot Zone reduces supply chain disruptions by 4.1 percentage points – equivalent to a 53 % decline relative to the mean, and the mitigating effect is particularly pronounced for non-U.S. trade partners and industries not directly targeted by tariffs. Further analysis identifies four underlying mechanisms: (1) easing financial constraints, (2) reducing information costs and negotiation costs, (3) leveraging trade infrastructure, and (4) synergies with customers’ institutional quality. Moreover, firms in CBEC comprehensive pilot zones also establish more U.S. relationships in non-targeted industries, exhibiting lower costs and higher operational efficiency.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"162 ","pages":"Article 103529"},"PeriodicalIF":3.3,"publicationDate":"2026-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145980413","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 : 2026-01-07DOI: 10.1016/j.jimonfin.2026.103525
Laura Felber
This paper examines the effects of exchange rate fluctuations on cross-border consumer spending in small open economies. Exploiting an unexpected and persistent central bank-induced exchange rate appreciation of more than 20% and drawing on a unique dataset of over 500 million anonymized debit and credit card transactions, I document a substantial and immediate impact on consumer spending. While cross-border shopping by domestic consumers is estimated to have increased by 4% in the quarter of the shock, tourism spending by foreign consumers declined by up to 9%. The strongest spending adjustments are observed among domestic consumers living near the border and foreign consumers from neighboring countries. The latter exhibit high exchange rate sensitivity on both the extensive and intensive margins, with an overall elasticity of 0.66, and shift their consumption from higher- to lower-value goods and services. These findings suggest significant substitution effects in consumption on impact and emphasize the important role of cross-border shopping in small open economies. The paper provides insights for policymakers, especially in small open economies where exchange rates, via the trade channel, are a key determinant of economic activity.
{"title":"Exchange rates and cross-border consumer spending: Evidence from retail payments data","authors":"Laura Felber","doi":"10.1016/j.jimonfin.2026.103525","DOIUrl":"10.1016/j.jimonfin.2026.103525","url":null,"abstract":"<div><div>This paper examines the effects of exchange rate fluctuations on cross-border consumer spending in small open economies. Exploiting an unexpected and persistent central bank-induced exchange rate appreciation of more than 20% and drawing on a unique dataset of over 500 million anonymized debit and credit card transactions, I document a substantial and immediate impact on consumer spending. While cross-border shopping by domestic consumers is estimated to have increased by 4% in the quarter of the shock, tourism spending by foreign consumers declined by up to 9%. The strongest spending adjustments are observed among domestic consumers living near the border and foreign consumers from neighboring countries. The latter exhibit high exchange rate sensitivity on both the extensive and intensive margins, with an overall elasticity of 0.66, and shift their consumption from higher- to lower-value goods and services. These findings suggest significant substitution effects in consumption on impact and emphasize the important role of cross-border shopping in small open economies. The paper provides insights for policymakers, especially in small open economies where exchange rates, via the trade channel, are a key determinant of economic activity.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"162 ","pages":"Article 103525"},"PeriodicalIF":3.3,"publicationDate":"2026-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145980412","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 : 2026-01-02DOI: 10.1016/j.jimonfin.2025.103515
Yeil Lee , Joonyoung Hur
This paper examines how the macroeconomic effects of government spending shocks vary with different levels of household indebtedness, using a state-dependent panel local projection method for 26 OECD economies. Our findings indicate that the stimulative effects of government spending are more pronounced when household debt levels are low. We further classify the countries into two groups—those with international currencies and those without—and analyze how the state-dependent effects of government spending vary between these groups. The empirical results show that the impact of government spending shocks is significantly influenced by household indebtedness levels in countries with non-international currencies, whereas this dependency is much weaker in countries with international currencies. This disparity can be attributed to the interplay between consumption patterns and debt deleveraging pressures, with long-term interest rates also playing a partial role. These results also underscore a potential policy paradox, wherein the effectiveness of fiscal interventions in stimulating aggregate demand may diminish at times when elevated household indebtedness renders stimulus most necessary.
{"title":"Effects of government spending shocks by household indebtedness: An OECD panel analysis","authors":"Yeil Lee , Joonyoung Hur","doi":"10.1016/j.jimonfin.2025.103515","DOIUrl":"10.1016/j.jimonfin.2025.103515","url":null,"abstract":"<div><div>This paper examines how the macroeconomic effects of government spending shocks vary with different levels of household indebtedness, using a state-dependent panel local projection method for 26 OECD economies. Our findings indicate that the stimulative effects of government spending are more pronounced when household debt levels are low. We further classify the countries into two groups—those with international currencies and those without—and analyze how the state-dependent effects of government spending vary between these groups. The empirical results show that the impact of government spending shocks is significantly influenced by household indebtedness levels in countries with non-international currencies, whereas this dependency is much weaker in countries with international currencies. This disparity can be attributed to the interplay between consumption patterns and debt deleveraging pressures, with long-term interest rates also playing a partial role. These results also underscore a potential policy paradox, wherein the effectiveness of fiscal interventions in stimulating aggregate demand may diminish at times when elevated household indebtedness renders stimulus most necessary.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"162 ","pages":"Article 103515"},"PeriodicalIF":3.3,"publicationDate":"2026-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145915381","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 : 2025-12-29DOI: 10.1016/j.jimonfin.2025.103511
Markus Heckel , Tomoo Inoue , Kiyohiko G. Nishimura , Tatsuyoshi Okimoto
Open market operations (MOs) became an integral part of the unconventional monetary policy (UMP) when the policy rates hit the effective lower bound in major advanced countries since the 2008 global financial crisis. This study quantifies the impact of UMP carried out by MOs on the macroeconomy in Japan from 2003 to 2019, based on four MO-based monetary policy indices (MO-MPIs). One index is characterized by a broadly defined quantitative easing index while the other three are liquidity supply indices targeting different financial market segments. Using Markov-switching vector autoregressions, we identify three distinctive regimes with different policy impacts: (1) before mid-2008, (2) from mid-2008 to mid-2016, and (3) after mid-2016. Contrary to conventional wisdom, the drastic policy change of April, 2013 (introduction of quantitative and qualitative easing) was not a regime changer. We find that UMP carried out by MOs was the most effective in the second regime, with very strong impacts of all MO-MPIs on macroeconomic variables such as GDP, CPI, government bond prices, and stock prices. Furthermore, MO-MPIs became substantially less effective in the third regime, after the Bank of Japan introduced yield-curve control.
2008年全球金融危机以来，主要发达国家的政策利率触及有效下限，公开市场操作成为非常规货币政策不可或缺的组成部分。本研究基于四个基于mo的货币政策指数（MO-MPIs），量化了2003 - 2019年mo实施的非常规货币政策对日本宏观经济的影响。其中一个指数的特征是广义的量化宽松指数，而另外三个是针对不同金融细分市场的流动性供应指数。利用马尔可夫切换向量自回归，我们确定了三种具有不同政策影响的不同制度：(1)2008年年中之前，(2)2008年年中至2016年年中，(3)2016年年中之后。与传统观点相反，2013年4月的剧烈政策变化（引入定量和定性宽松）并没有改变政策。我们发现，在第二种制度下，国有企业实施的非常规货币政策最为有效，所有国有企业-国有企业对GDP、CPI、政府债券价格和股票价格等宏观经济变量的影响都非常强。此外，在日本央行（Bank of Japan）引入收益率曲线控制后，mo - mpi在第三种制度下的有效性大大降低。
{"title":"The effectiveness of monetary policy: Evidence from market operation-based monetary policy indices","authors":"Markus Heckel , Tomoo Inoue , Kiyohiko G. Nishimura , Tatsuyoshi Okimoto","doi":"10.1016/j.jimonfin.2025.103511","DOIUrl":"10.1016/j.jimonfin.2025.103511","url":null,"abstract":"<div><div>Open market operations (MOs) became an integral part of the unconventional monetary policy (UMP) when the policy rates hit the effective lower bound in major advanced countries since the 2008 global financial crisis. This study quantifies the impact of UMP carried out by MOs on the macroeconomy in Japan from 2003 to 2019, based on four MO-based monetary policy indices (MO-MPIs). One index is characterized by a broadly defined quantitative easing index while the other three are liquidity supply indices targeting different financial market segments. Using Markov-switching vector autoregressions, we identify three distinctive regimes with different policy impacts: (1) before mid-2008, (2) from mid-2008 to mid-2016, and (3) after mid-2016. Contrary to conventional wisdom, the drastic policy change of April, 2013 (introduction of quantitative and qualitative easing) was not a regime changer. We find that UMP carried out by MOs was the most effective in the second regime, with very strong impacts of all MO-MPIs on macroeconomic variables such as GDP, CPI, government bond prices, and stock prices. Furthermore, MO-MPIs became substantially less effective in the third regime, after the Bank of Japan introduced yield-curve control.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"162 ","pages":"Article 103511"},"PeriodicalIF":3.3,"publicationDate":"2025-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145980414","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 : 2025-12-26DOI: 10.1016/j.jimonfin.2025.103513
Paul Marmora
Utilizing an event-study design across 41 countries, I find that countries with restrictive gambling laws and large shadow economies experience an abnormal spike in local Bitcoin activity immediately following their national team’s World Cup matches. This pattern is observed in measures of both local Bitcoin attention and local Bitcoin trade volume, is primarily concentrated in countries where gambling is expressly prohibited, and is independent of the game’s outcome or tournament round. Taken together, the results strongly suggest that local residents use Bitcoin to maintain anonymity when settling wagers placed with underground sportsbooks. In further support of this conclusion, I find a similar post-match pattern in local attention to other cryptocurrencies popular among criminals and a similar Bitcoin trade volume pattern following local interest in betting odds for other sporting events.
{"title":"Hiding in plain sight: Detecting underground sportsbooks through local Bitcoin demand","authors":"Paul Marmora","doi":"10.1016/j.jimonfin.2025.103513","DOIUrl":"10.1016/j.jimonfin.2025.103513","url":null,"abstract":"<div><div>Utilizing an event-study design across 41 countries, I find that countries with restrictive gambling laws and large shadow economies experience an abnormal spike in local Bitcoin activity immediately following their national team’s World Cup matches. This pattern is observed in measures of both local Bitcoin attention and local Bitcoin trade volume, is primarily concentrated in countries where gambling is expressly prohibited, and is independent of the game’s outcome or tournament round. Taken together, the results strongly suggest that local residents use Bitcoin to maintain anonymity when settling wagers placed with underground sportsbooks. In further support of this conclusion, I find a similar post-match pattern in local attention to other cryptocurrencies popular among criminals and a similar Bitcoin trade volume pattern following local interest in betting odds for other sporting events.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"161 ","pages":"Article 103513"},"PeriodicalIF":3.3,"publicationDate":"2025-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145883581","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 : 2025-12-26DOI: 10.1016/j.jimonfin.2025.103510
Yunhan Zhang , Zhixin Liu , Hao Jin
This paper examines how the interactions of monetary and fiscal policy affect the consolidation of public debt. Using data across 86 countries from 1982 to 2021 and a debt decomposition framework, we find that the adoption of inflation targeting significantly strengthens the role of primary surplus on debt consolidation, whereas the joint implementation of fiscal rules and inflation targeting further increases the relative contribution of primary surplus in debt consolidation while weakening the relative contribution of inflation. We employ a New Keynesian model with monetary and fiscal policy interactions to reconcile the empirical findings. In addition, counterfactual analyses show that the U.S. debt consolidation from 1994 to 2001 would rely more on inflation and result in worse welfare outcomes if fiscal policy dominates or if policies lack coordination.
{"title":"Monetary-fiscal policy interactions in public debt consolidation: the role of fiscal rules and inflation targeting","authors":"Yunhan Zhang , Zhixin Liu , Hao Jin","doi":"10.1016/j.jimonfin.2025.103510","DOIUrl":"10.1016/j.jimonfin.2025.103510","url":null,"abstract":"<div><div>This paper examines how the interactions of monetary and fiscal policy affect the consolidation of public debt. Using data across 86 countries from 1982 to 2021 and a debt decomposition framework, we find that the adoption of inflation targeting significantly strengthens the role of primary surplus on debt consolidation, whereas the joint implementation of fiscal rules and inflation targeting further increases the relative contribution of primary surplus in debt consolidation while weakening the relative contribution of inflation. We employ a New Keynesian model with monetary and fiscal policy interactions to reconcile the empirical findings. In addition, counterfactual analyses show that the U.S. debt consolidation from 1994 to 2001 would rely more on inflation and result in worse welfare outcomes if fiscal policy dominates or if policies lack coordination.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"161 ","pages":"Article 103510"},"PeriodicalIF":3.3,"publicationDate":"2025-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145883503","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 : 2025-12-25DOI: 10.1016/j.jimonfin.2025.103512
Vivian M. van Breemen , Claudia Schwarz , Dennis Vink , Frank J. Fabozzi
We empirically investigated the impact of regulatory risk retention methods on credit ratings and pricing at issuance using a sample of European securitization tranches issued from 2011 to 2021. European regulation assumes that all risk retention methods homogenously align incentives and interests between originators and investors. We investigated the impact of these methods on the pricing of securitization tranches. We found that investors adjust the risk premium at issuance for tranches based on different risk retention methods. We also found that credit ratings (discrepancy) differed depending on the risk retention method. Finally, we gained a deeper insight into the risk retention methods chosen over time. We concluded that originators consider deal complexity and capital relief characteristics when selecting a specific method.
{"title":"Risk retention in the European securitization market: Skimmed by the skin-in-the-game methods?","authors":"Vivian M. van Breemen , Claudia Schwarz , Dennis Vink , Frank J. Fabozzi","doi":"10.1016/j.jimonfin.2025.103512","DOIUrl":"10.1016/j.jimonfin.2025.103512","url":null,"abstract":"<div><div>We empirically investigated the impact of regulatory risk retention methods on credit ratings and pricing at issuance using a sample of European securitization tranches issued from 2011 to 2021. European regulation assumes that all risk retention methods homogenously align incentives and interests between originators and investors. We investigated the impact of these methods on the pricing of securitization tranches. We found that investors adjust the risk premium at issuance for tranches based on different risk retention methods. We also found that credit ratings (discrepancy) differed depending on the risk retention method. Finally, we gained a deeper insight into the risk retention methods chosen over time. We concluded that originators consider deal complexity and capital relief characteristics when selecting a specific method.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"162 ","pages":"Article 103512"},"PeriodicalIF":3.3,"publicationDate":"2025-12-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145929117","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 : 2025-12-24DOI: 10.1016/j.jimonfin.2025.103509
Renzo Alvarez , Hakan Yilmazkuday
Using a dynamic general equilibrium model, this paper investigates the effects of tariffs on the United States inflation and other macroeconomic variables, where alternative monetary policies are considered to mitigate the welfare costs of tariffs. The main innovation of the model is achieved by considering the effects of home versus foreign tariffs in an otherwise standard two-country open economy model with non-zero trend inflation that is estimated using Bayesian techniques with the United States quarterly data, including those on tariffs, inflation, policy rates, output, consumption and exchange rates covering the period between 1990 and 2024. Simulations based on the estimated parameters suggest that tariff pass-through into inflation is about when only the home country imposes tariffs and about when the foreign country retaliates against home tariffs. The counterfactual analyses further suggest that reducing the policy weight on inflation, increasing the policy weight on employment, or having an expansionary monetary policy shock could be used to mitigate the welfare costs of tariff increases.
{"title":"Tariffs, inflation and monetary policy: Implications for welfare","authors":"Renzo Alvarez , Hakan Yilmazkuday","doi":"10.1016/j.jimonfin.2025.103509","DOIUrl":"10.1016/j.jimonfin.2025.103509","url":null,"abstract":"<div><div>Using a dynamic general equilibrium model, this paper investigates the effects of tariffs on the United States inflation and other macroeconomic variables, where alternative monetary policies are considered to mitigate the welfare costs of tariffs. The main innovation of the model is achieved by considering the effects of home versus foreign tariffs in an otherwise standard two-country open economy model with non-zero trend inflation that is estimated using Bayesian techniques with the United States quarterly data, including those on tariffs, inflation, policy rates, output, consumption and exchange rates covering the period between 1990 and 2024. Simulations based on the estimated parameters suggest that tariff pass-through into inflation is about <span><math><mn>9</mn><mspace></mspace><mi>%</mi></math></span> when only the home country imposes tariffs and about <span><math><mn>10</mn><mspace></mspace><mi>%</mi></math></span> when the foreign country retaliates against home tariffs. The counterfactual analyses further suggest that reducing the policy weight on inflation, increasing the policy weight on employment, or having an expansionary monetary policy shock could be used to mitigate the welfare costs of tariff increases.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"161 ","pages":"Article 103509"},"PeriodicalIF":3.3,"publicationDate":"2025-12-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145883504","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 : 2025-12-22DOI: 10.1016/j.jimonfin.2025.103508
Michail Litainas , Peter McAdam , Alberto Montagnoli , Konstantinos Mouratidis
Despite extensive research on fiscal policy, evidence on the international transmission of structural fiscal shocks remains limited and inconclusive. We address three gaps. First, we confront the perfect-foresight problem by incorporating a proxy for fiscal policy news into a multi-country VAR model—to our knowledge, the first such study to use this proxy to measure cross-border transmission of US fiscal shocks in a detailed setting. Second, we estimate a Bayesian multi-country VAR that, unlike two-country approaches, fully captures higher-order spillovers. Third, we revisit the interpretation of fiscal multipliers from New Keynesian closed-economy models. We find: (i) international spillovers operate mainly through trade (expenditure switching and boosting); (ii) transmission hinges on each recipient’s growth model; (iii) higher-order spillovers substantially amplify direct spillovers; and (iv) the exchange rate puzzle reflects omitted variables and policy regime effects.
{"title":"News and surprises: Revisiting fiscal shocks in the open economy","authors":"Michail Litainas , Peter McAdam , Alberto Montagnoli , Konstantinos Mouratidis","doi":"10.1016/j.jimonfin.2025.103508","DOIUrl":"10.1016/j.jimonfin.2025.103508","url":null,"abstract":"<div><div>Despite extensive research on fiscal policy, evidence on the international transmission of structural fiscal shocks remains limited and inconclusive. We address three gaps. First, we confront the perfect-foresight problem by incorporating a proxy for fiscal policy news into a multi-country VAR model—to our knowledge, the first such study to use this proxy to measure cross-border transmission of US fiscal shocks in a detailed setting. Second, we estimate a Bayesian multi-country VAR that, unlike two-country approaches, fully captures higher-order spillovers. Third, we revisit the interpretation of fiscal multipliers from New Keynesian closed-economy models. We find: (i) international spillovers operate mainly through trade (expenditure switching and boosting); (ii) transmission hinges on each recipient’s growth model; (iii) higher-order spillovers substantially amplify direct spillovers; and (iv) the exchange rate puzzle reflects omitted variables and policy regime effects.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"161 ","pages":"Article 103508"},"PeriodicalIF":3.3,"publicationDate":"2025-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145839843","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 : 2025-12-16DOI: 10.1016/j.jimonfin.2025.103507
Tong Fang , Peng Liu , Zhi Su
We investigate the relationship between global trade network centrality and international stock market returns. We find that trade network centrality negatively and significantly predicts future international stock market returns. The Fama-MacBeth regression results also indicate that trade network centrality is priced in international stock market returns, and central (peripheral) economies have lower (higher) stock market returns. A centrality-based long-short trading strategy generates a significant centrality premium, and the risk-adjusted portfolio returns estimated by Fama-French factor models are also significant. We provide several potential explanations and empirically suggest that domestic consumption volatility, international consumption risk-sharing, conflict risk and information asymmetry shed light on the relationship between global trade network centrality and the cross-section of international stock market returns.
{"title":"Global trade network and the cross-section of international stock market returns","authors":"Tong Fang , Peng Liu , Zhi Su","doi":"10.1016/j.jimonfin.2025.103507","DOIUrl":"10.1016/j.jimonfin.2025.103507","url":null,"abstract":"<div><div>We investigate the relationship between global trade network centrality and international stock market returns. We find that trade network centrality negatively and significantly predicts future international stock market returns. The Fama-MacBeth regression results also indicate that trade network centrality is priced in international stock market returns, and central (peripheral) economies have lower (higher) stock market returns. A centrality-based long-short trading strategy generates a significant centrality premium, and the risk-adjusted portfolio returns estimated by Fama-French factor models are also significant. We provide several potential explanations and empirically suggest that domestic consumption volatility, international consumption risk-sharing, conflict risk and information asymmetry shed light on the relationship between global trade network centrality and the cross-section of international stock market returns.</div></div>","PeriodicalId":48331,"journal":{"name":"Journal of International Money and Finance","volume":"161 ","pages":"Article 103507"},"PeriodicalIF":3.3,"publicationDate":"2025-12-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145797133","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}
扫码关注我们
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号