Journal of International Money and Finance最新文献

We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic risk. In this framework, banking sector distress in the form of the joint probability of default of financial intermediaries (reflecting contagion from both direct and indirect interconnectedness) is conditioned on the financial cycle (reflecting the buildup and unwinding of system-wide balance-sheet leverage). An empirical application to large systemic banks in the euro area, US and UK illustrates how the unraveling of excess leverage can magnify banking sector distress, including during the 2023 US banking sector turmoil. Capturing this dependence of banking sector distress on prevailing financial imbalances can enhance risk surveillance and stress testing alike. An empirical signaling exercise confirms that the CoJPoD outperforms the individual capacity of either its unconditional counterpart or the financial cycle in signaling financial crises – particularly at their onset – suggesting scope to increase the precision with which macroprudential policies are calibrated.

Small open economies are known to be impacted by shocks to larger economies. This phenomenon is known as macroeconomic vulnerability. We propose and implement a novel index of macroeconomic vulnerability to foreign shocks for a given pair of a large economy and a small open economy. It uses a structural time-varying Bayesian VAR with a block-exogeneity hypothesis. The index is based on the sum of the responses of the small open economy to shocks in the large economy over time, thus allowing us to disentangle and measure the source of the shock, the impact variables, and the duration of impact. We highlight two results out of the many that our index unveils. First, we do not find a difference between the international impact of U.S. shocks during periods of crises versus stability. Second, we find that there is a growing decouple between emerging markets (EM) and developed markets (DM) on how their domestic inflation is affected by U.S. output shocks. Our approach can also be used to elucidate previously unknown transmission channels or unmeasured theoretical mechanisms. Finally, using a sample of developed and developing countries, we find that global banks do not increase the macroeconomic vulnerability of a country.

This study proposes a co-bubble network to capture the transmission of co-bubbles across the prices of 37 cryptocurrencies from both static and dynamic perspectives. It considers the periods of the COVID-19 pandemic and the Russo-Ukrainian conflict, and distinguishes clean from dirty cryptocurrencies. The main findings are summarized as follows: Firstly, larger cryptocurrencies, such as Bitcoin, Ethereum, and BNB, have a higher probability of generating co-bubbles in other cryptocurrencies, indicating a strong interdependence among them. Secondly, the co-bubble network experiences notable changes around crisis events, with distinct characteristics observed during the COVID-19 pandemic compared to the Russo-Ukrainian conflict. Thirdly, the transmission of co-bubble influence exhibits time-varying characteristics, and centrality rankings of influential cryptocurrencies vary around the crises. Particularly, after the COVID-19 pandemic, Bitcoin and BNB experience a decline in centrality ranking, while smaller-cap cryptocurrencies show higher centrality rankings, suggesting the transmission of co-bubble effects from large to smaller cryptocurrencies. The centrality rankings of Bitcoin, Ethereum, and BNB show a contrasting pattern, maintaining higher levels in the ongoing post Russo-Ukrainian conflict period. Fourthly, different patterns of co-bubble transmission exist for dirty and clean groups, with dirty cryptocurrencies showing a much higher intensity of co-bubbles during the Russo-Ukrainian conflict. Finally, the portfolio analysis shows that co-bubble network centrality-driven portfolios outperform the baseline portfolio strategy, dirty group portfolio strategy, and clean group portfolio strategy, during the entire sample period and particularly the COVID-19 pandemic. The findings are useful for the decision making of cryptocurrency portfolio managers and policymakers concerned with the behaviour of influential cryptocurrencies and potential risks inferences.

This paper analyzes the causal impact of macroprudential policies on growth, using industry-level data for 89 countries for the period 1990 to 2021. The small industry size creates exogenous identification, avoiding reverse-causality. I find macroprudential tightening measures impact manufacturing growth negatively, but only for industries with high external finance dependence. This effect is stronger during banking crises, higher growth periods and for advanced economies. The effect is weaker during periods of high private credit growth. Prudential policies implemented before the pandemic mitigated the fall in growth. Growth effects on externally dependent industries are economically sizeable and can persist over three years.

Capital flow volatility is a concern for macroeconomic and financial stability. Nonetheless, literature is scarce in this topic. Our paper sheds light on this issue along two dimensions. First, using quarterly data for 33 emerging markets and developing economies, we introduce new estimates of volatility for total multilateral gross capital in- and outflows and key categories, based on the residuals of ARIMA models. We find that a combination of our proposed approach and the commonly used standard deviation best identifies sharp rises during episodes of heightened global risk aversion, thus underscoring the need for a multi-faceted approach to gauge capital flow volatility. Second, we perform panel regressions to understand the determinants of volatility using both ARIMA and standard deviation measures of volatility. While there are variations across different categories of capital flows, generally speaking we identify three main drivers: the US interest rates, global risk aversion, and domestic real GDP. Overall, our findings call for a richer set of volatility estimates, beyond standard deviation, and also show that the determinants of capital flow volatility could vary depending on the measurement approach and the category of flow under analysis.

This paper investigates the impact of Renminbi (RMB) internationalization on the foreign exchange rate risk exposure of Chinese listed firms. We find that RMB internationalization significantly reduces firms’ exposure to exchange rate fluctuations, particularly for non-US dollar currencies. However, it also increases exchange rate exposure to the US dollar. The findings remain robust even when controlling for other macroeconomic factors, utilizing an instrumental variable approach based on government reports and US dollar performance, and conducting multiple robustness tests. We also find that companies with heterogeneous products, low market power, and high levels of international competition benefit the most from RMB internationalization. Despite the US dollar’s continued centrality in the global monetary system, RMB internationalization offers a relief measure to Chinese firms in terms of exchange rate exposure.

This paper uses annual data to study the impact of commodity prices on consumer prices in 15 economies from 1851 to 1913. We calculate a simple measure of the common component of commodity prices which co-moves with the international business cycle and Granger causes consumer price inflation. Commodity prices are significant in standard inflation equations estimated by OLS in 14 of 15 economies. Estimating these equations using real shipping costs as an instrument suggests that commodity price movements associated with shifts in demand arising from international business cycles have a particularly large impact on inflation.

We model structural time-varying macro-financial linkages between the U.S. and euro area using a large dataset for each region. We extract both real and financial cycles and identify shocks, using a factor model with drifting parameters. To interpret the mechanisms that drive the empirical results, we contextualize our estimates using a two-country financial accelerator model. Our evidence speaks clearly of an asymmetric cross-border transmission between U.S. and euro area, especially in the financial domain. This is confirmed by our theoretical complement, which shows a strong transmission of U.S. TFP shocks. Moreover, the U.S. is a more leveraged economy, which accentuates the financial accelerator effect.

Exchange rates of commodity exporting countries, generally known as commodity currencies, are often considered to be driven by some specific commodity prices. In this paper, we show that the uncertainty common to a basket of commodity prices is also a significant driver of exchange rate dynamics for a panel of commodity exporting countries. In particular, an increase in global commodity price uncertainty leads to a short-run depreciation of the effective exchange rate in commodity currency countries, followed by a medium-term rebound. We document that this pattern is specific to commodity currencies and is not visible on benchmark currencies like the euro or the U.S. dollar, the latter acting as a typical safe haven currency. We refer to this pattern as the “commodity uncertainty currency” property.

The difference between the implicit nominal interest rate and the growth rate of nominal GDP is a key determinant of the dynamics and the sustainability of public debt. This paper studies the determinants of $r-g$ in a panel of 17 OECD countries since the early 1980s. Whereas the focus of existing empirical studies is mainly on fiscal, monetary and financial factors behind the interest–growth difference, our approach and contribution are to highlight in particular the role of real long-run determinants, such as technical progress, employment growth, demographic change, and income inequality. This allows us to derive empirically based projections for $r-g$ beyond the next five or ten years. Our baseline expectation is that $r-g$ will stay below zero for the next two decades in most European countries that we study. An important policy implication is that the debt-carrying capacity of governments is substantially higher now than in the 1980s or 1990s. For the United States, however, our baseline projection of $r-g$ is positive.