Journal of International Money and Finance最新文献

英文中文

Effects of government spending shocks by household indebtedness: An OECD panel analysis 家庭负债对政府支出冲击的影响：经合组织小组分析

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2026-01-02 DOI: 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.

本文对26个经合组织经济体使用依赖国家的面板地方预测方法，研究了政府支出冲击的宏观经济影响如何随家庭负债水平的不同而变化。我们的研究结果表明，当家庭债务水平较低时，政府支出的刺激效应更为明显。我们进一步将这些国家分为两组——使用国际货币的国家和不使用国际货币的国家——并分析政府支出对国家的依赖效应在这两组之间的差异。实证结果表明，在使用非国际货币的国家，政府支出冲击的影响受到家庭负债水平的显著影响，而在使用国际货币的国家，这种依赖关系要弱得多。这种差异可以归因于消费模式和债务去杠杆压力之间的相互作用，长期利率也发挥了部分作用。这些结果还强调了一个潜在的政策悖论，即当家庭负债增加使刺激措施变得最必要时，财政干预刺激总需求的有效性可能会降低。

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引用次数: 0

Just do IT? An assessment of inflation targeting in a global comparative case study 就这么做？在全球比较案例研究中对通胀目标制的评估

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-12-31 DOI: 10.1016/j.jimonfin.2025.103506

Roberto Duncan , Enrique Martínez García , Patricia Toledo

This paper introduces novel measures to assess the effectiveness of inflation targeting (IT) and examines its performance across a broad sample of advanced economies (AEs) and emerging market and developing economies (EMDEs). Utilizing synthetic control methods, the study reveals heterogeneous effects of IT on inflation. The results indicate modest reductions in inflation levels, with greater gains observed in EMDEs compared to AEs. Statistically significant reductions are found in approximately one-third of the countries. However, nearly half of the economies experienced substantial improvements in stabilizing inflation near target levels under IT, relative to estimated counterfactual scenarios. IT also enhances economic resilience cushioning inflation from large external shocks, particularly during the 2007–09 Global Financial Crisis, with statistically significant gains observed in two-thirds of EMDEs. Additionally, the effectiveness of IT—both in shifting inflation levels and maintaining stability around target—is significantly correlated with indices of exchange rate stability and monetary policy independence, especially in EMDEs. These findings suggest that the performance of IT regimes is subject to the constraints imposed by the impossibility trilemma of international finance.

本文介绍了评估通胀目标制（IT）有效性的新方法，并在发达经济体（ae）、新兴市场和发展中经济体（EMDEs）的广泛样本中检验了其绩效。利用综合控制方法，研究揭示了信息技术对通货膨胀的异质性影响。结果表明通货膨胀水平略有下降，与ae相比，emde的收益更大。大约三分之一的国家在统计上有显著的减少。然而，与估计的反事实情景相比，近一半的经济体在将通胀稳定在目标水平附近方面取得了实质性进展。信息技术还增强了经济韧性，缓冲了巨大外部冲击造成的通胀，特别是在2007-09年全球金融危机期间，三分之二的新兴市场国家在统计上取得了显著增长。此外，信息技术在改变通胀水平和保持目标稳定方面的有效性与汇率稳定性和货币政策独立性指数显著相关，尤其是在新兴市场国家。这些发现表明，信息技术制度的绩效受到国际金融不可能三难困境所施加的约束。

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引用次数: 0

The effectiveness of monetary policy: Evidence from market operation-based monetary policy indices 货币政策的有效性：来自基于市场操作的货币政策指标的证据

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-12-29 DOI: 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。

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引用次数: 0

Hiding in plain sight: Detecting underground sportsbooks through local Bitcoin demand 隐藏在众目睽睽之下：通过当地比特币需求发现地下体育博彩

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-12-26 DOI: 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.

利用41个国家的事件研究设计，我发现那些拥有限制性赌博法律和大型影子经济的国家，在其国家队的世界杯比赛结束后，当地比特币活动立即出现异常飙升。这种模式在当地比特币关注度和当地比特币交易量的测量中都可以观察到，主要集中在明确禁止赌博的国家，并且与游戏结果或锦标赛回合无关。综合来看，调查结果强烈表明，当地居民在地下体育博彩下注时使用比特币来保持匿名。为了进一步支持这一结论，我发现了类似的赛后模式，即当地对犯罪分子中流行的其他加密货币的关注，以及类似的比特币交易量模式，即当地对其他体育赛事的投注赔率感兴趣。

引用次数: 0

Monetary-fiscal policy interactions in public debt consolidation: the role of fiscal rules and inflation targeting 公共债务整合中的货币-财政政策互动：财政规则和通胀目标制的作用

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-12-26 DOI: 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.

本文考察了货币政策和财政政策的相互作用如何影响公共债务的巩固。利用1982年至2021年86个国家的数据和债务分解框架，我们发现通货膨胀目定制的采用显著增强了初级盈余对债务整合的作用，而财政规则和通货膨胀目定制的联合实施进一步增加了初级盈余对债务整合的相对贡献，同时削弱了通货膨胀的相对贡献。我们采用了货币和财政政策相互作用的新凯恩斯模型来调和实证结果。此外，反事实分析表明，如果财政政策占主导地位或政策缺乏协调，美国1994 - 2001年的债务整合将更多地依赖于通货膨胀，并导致更差的福利结果。

引用次数: 0

Risk retention in the European securitization market: Skimmed by the skin-in-the-game methods? 欧洲证券化市场的风险自留：被参与博弈的方法所忽略？

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-12-25 DOI: 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.

我们以2011年至2021年发行的欧洲证券化为样本，实证研究了监管风险保留方法对发行时信用评级和定价的影响。欧洲的监管规定假定，所有风险保留方法都将发起人和投资者之间的激励和利益统一起来。我们研究了这些方法对证券化部分定价的影响。我们发现投资者在发行时根据不同的风险保留方法来调整风险溢价。我们还发现信用评级（差异）因风险保留方法的不同而不同。最后，我们对长期选择的风险保留方法有了更深入的了解。我们的结论是，发起人在选择特定方法时考虑交易复杂性和资本减免特征。

引用次数: 0

Tariffs, inflation and monetary policy: Implications for welfare 关税、通货膨胀和货币政策：对福利的影响

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-12-24 DOI: 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

9 %

when only the home country imposes tariffs and about

10 %

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.

本文采用动态一般均衡模型，研究了关税对美国通货膨胀和其他宏观经济变量的影响，其中考虑了替代货币政策来减轻关税的福利成本。该模型的主要创新是通过在一个标准的两国开放经济模型中考虑国内外关税的影响而实现的，该模型具有非零趋势通货膨胀，该模型使用贝叶斯技术对美国季度数据进行估计，包括1990年至2024年期间的关税、通货膨胀、政策利率、产出、消费和汇率。基于估计参数的模拟表明，当只有本国征收关税时，关税转化为通货膨胀的比例约为9%，而当外国对本国征收关税进行报复时，关税转化为通货膨胀的比例约为10%。反事实分析进一步表明，降低通胀政策权重、增加就业政策权重或实施扩张性货币政策冲击可用于减轻关税增加带来的福利成本。

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引用次数: 0

News and surprises: Revisiting fiscal shocks in the open economy 新闻与惊喜：重新审视开放经济中的财政冲击

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-12-22 DOI: 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.

尽管对财政政策进行了广泛的研究，但关于结构性财政冲击的国际传导的证据仍然有限且不确定。我们解决了三个缺口。首先，我们通过将财政政策新闻的代理纳入多国VAR模型来解决完美预见问题，据我们所知，这是第一次在详细设置中使用该代理来衡量美国财政冲击的跨境传播。其次，我们估计了贝叶斯多国VAR，与两国方法不同，它完全捕捉到了高阶溢出效应。第三，我们重新审视新凯恩斯主义封闭经济模型对财政乘数的解释。我们发现：(1)国际溢出效应主要通过贸易（支出转换和促进）起作用；（ii）传输取决于每个接受者的增长模式；(3)高阶溢出效应大大放大了直接溢出效应；（四）汇率之谜反映了被忽略的变量和政策机制效应。

引用次数: 0

Global trade network and the cross-section of international stock market returns 全球贸易网络与国际股票市场收益的横截面

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-12-16 DOI: 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.

我们研究了全球贸易网络中心性与国际股票市场收益之间的关系。我们发现贸易网络中心性负向且显著地预测未来国际股票市场的回报。Fama-MacBeth回归结果还表明，贸易网络中心性反映在国际股票市场收益中，中心（外围）经济体的股票市场收益较低（较高）。基于中心性的多空交易策略产生显著的中心性溢价，Fama-French因子模型估计的风险调整后的投资组合收益也显著。我们提供了几种可能的解释，并实证表明，国内消费波动、国际消费风险分担、冲突风险和信息不对称揭示了全球贸易网络中性与国际股票市场收益横截面之间的关系。

引用次数: 0

Time-varying effects of monetary policy shocks in five asian countries 亚洲五国货币政策冲击的时变效应

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-12-12 DOI: 10.1016/j.jimonfin.2025.103501

Joonyoung Hur , Soyoung Kim , Yeil Lee

This paper investigates the time-varying effects of monetary policy shocks in five Asian countries—Indonesia, South Korea, Malaysia, the Philippines, and Thailand—over the post-2000 period using a time-varying coefficient VAR (TVC-VAR) model. We find that the macroeconomic effects of monetary policy shocks on output and prices have generally intensified over time, whereas the responsiveness of the policy interest rate to macroeconomic conditions has become more limited. To further explore the sectoral transmission mechanisms relevant for inclusive growth, we decompose output into external (exports) and internal (domestic demand) components. The results show that while the responses of exports to monetary policy shocks remain limited, the effects on domestic demand have gradually strengthened over time. These findings underscore the growing importance of the domestic sector in the transmission of monetary policy and highlight the need to account for sectoral asymmetries when designing effective and equitable monetary policy frameworks.

本文采用时变系数VAR （TVC-VAR）模型研究了2000年后印尼、韩国、马来西亚、菲律宾和泰国这五个亚洲国家货币政策冲击的时变效应。我们发现，随着时间的推移，货币政策冲击对产出和价格的宏观经济影响普遍加剧，而政策利率对宏观经济状况的反应变得更加有限。为了进一步探索与包容性增长相关的部门传导机制，我们将产出分解为外部（出口）和内部（内需）两个部分。结果表明，虽然出口对货币政策冲击的反应仍然有限，但对国内需求的影响随着时间的推移逐渐增强。这些发现强调了国内部门在货币政策传导方面日益重要，并强调在设计有效和公平的货币政策框架时需要考虑部门不对称。

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