Journal of International Money and Finance最新文献

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In the same boat: Climate risk and hidden debt in the supply chain

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.2025.103299

Yishuang Liu , Hanmin Dong , Yueyang Wang

This study explores how companies adjust trade credit in response to climate change risks within supply chains. Covering 20,946 company-supplier-year pair observations from 2003 to 2022 in China, we find that: (1) As climate-related physical risks from suppliers increase, customer companies reduce accounts payable to mitigate financial vulnerabilities and enhance supply chain resilience. A one-unit increase in climate risk can cause a 0.01% decline in the short-term accounts payable and a 0.03% decrease in the long-term. (2) Companies tend to terminate supplier-customer relationships if these climate uncertainties persist beyond two years. While companies invest in innovation and reallocate resources for climate adaptation, unexpected shocks continue to affect their financial decisions, particularly when risk exposure exceeds experience-based expectations. (3) Proximity in geography, administration, and economy improves supply chain collaboration, leading to earlier supplier payments. In contrast, customer companies increase accounts payable if suppliers are located in regions with less adaptation ability.

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引用次数: 0

Carbon risk and debt financing: An international perspective

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.2025.103294

Xiaohang Ren , Wenqi Li , Kun Duan , Andrew Urquhart

Threatening escalation of carbon emissions has elicited increasing attention to the significance of carbon risk in shaping a firm’s debt financing decision. Despite the policy significance, the relationship between carbon risk and debt financing remains to be resolved. This paper provides a firm-level investigation to seek insights into the impact of carbon risk on debt financing. Employing an international dataset covering 24 economies, our results suggest that rising carbon risk leads to debt expansion, validating the liquidity shortage view that carbon risk enlarges firm’s liquidity concerns to resort to debt financing. The debt expansion effect of carbon risk is found to be more pronounced in countries with high uncertainty and low socio-economic development, industries with high competition, firms with non-high-tech attributes, low financial constraints, limited growth opportunities, and leverage ratios below the optimal level. Further analysis supports the Porter hypothesis by showing that carbon risk and its resultant debt expansion can enhance corporate performance in a time-lagged pattern.

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引用次数: 0

Measuring transitory inflation: Implications for monetary policy and stock market volatility

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-02-04 DOI: 10.1016/j.jimonfin.2025.103284

Yosef Bonaparte , Frank J. Fabozzi , Matt Peron

We present a methodology for developing a transitory inflation (TI) measure that captures persistent deviations from mean inflation, distinguishing it from underlying inflation. First, we analyze the decay rate of TI as it reverts to stationary inflation, finding that convergence typically ranges between two to four years. We then examine the impact of TI on monetary policy, demonstrating that a surge in TI increases monetary policy uncertainty and is followed by interest rate hikes by the Federal Reserve. Furthermore, we investigate how TI influences key stock market outcomes and find its impact varies across sectors and by market capitalization; overall, higher TI is associated with lower asset prices, especially for small-cap stocks, and higher stock market volatility. We also identify rising oil prices as a significant driver of TI.

我们提出了一种制定过渡性通胀（TI）指标的方法，该指标可捕捉与平均通胀的持续偏差，并将其与基本通胀区分开来。首先，我们分析了过渡性通胀回归静态通胀时的衰减率，发现其收敛时间通常在 2 到 4 年之间。然后，我们研究了 TI 对货币政策的影响，证明 TI 的激增增加了货币政策的不确定性，美联储随之加息。此外，我们还研究了 TI 如何影响股市的主要结果，发现其影响因行业和市值而异；总体而言，TI 越高，资产价格越低，尤其是小盘股，股市波动性越大。我们还发现油价上涨是 TI 的一个重要驱动因素。

引用次数: 0

Market mechanisms for energy transition: Fossil energy price shocks and irrational renewable energy financing

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-02-01 DOI: 10.1016/j.jimonfin.2024.103251

Siquan Wang , Anna Min Du , Boqiang Lin

China is taking a leading role in the renewable energy industry and is dedicated to promoting the market-based operation mechanism of the energy transition. Nearly all media attribute it to industrial policies; however, this is insufficient to explain the periodic overcapacity risk behind the rapid development − neglecting the market irrationality behind the prosperity and failing to provide further guidance for the proactive government. Based on the micro-level evidence of enterprise business data, this study explores the market feedback mechanism between renewable energy business expansion and financing under the fossil energy price shocks to disclose the market irrationality mechanism triggered by coal, a key inducement. We first establish an empirical framework to explore the relationship, which remains stable under instrumental variable regression and dual-factor moderating effect with extreme weather damage. Furthermore, we compare the mechanisms of China and the United States to furnish more empirical evidence. The results demonstrate that China’s renewable energy financing displays irrationality in signal transmission and market financing feedback, as well as the possible presence of market overreaction by analyzing the financing feedback during the occurrence and disappearance of fossil energy price shocks. The findings offer further policy operability for the theory of active government.

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引用次数: 0

Climate change and U.S. Corporate bond market activity: A machine learning approach

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-02-01 DOI: 10.1016/j.jimonfin.2024.103259

Charilaos Mertzanis , Ilias Kampouris , Aristeidis Samitas

We investigate the predictive relationship between climate change indexes and international corporate debt market volumes, focusing on forecasting domestic and foreign net purchases of U.S. corporate bonds, using thirty machine learning models across different families of algorithms. Among these, Gaussian Process Regression models demonstrated superior accuracy in capturing complex patterns, highlighting the significance of climate change indexes as predictors of corporate bond market behaviors. NARX models and decision trees also performed well. However, machine learning predictive accuracy broadly outperforms traditional estimation methods, but varies across different regional markets and investor types. The findings underscore the need for integrating climate risk into financial analysis, advocating for sophisticated predictive models to better manage climate-related financial risks. These insights have significant implications for asset managers, issuers, and regulators, promoting a more holistic approach to managing these risk.

引用次数: 0

Media-based climate risks and international corporate bond market

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-02-01 DOI: 10.1016/j.jimonfin.2024.103260

Ramzi Benkraiem , Nebojsa Dimic , Vanja Piljak , Laurens Swinkels , Milos Vulanovic

We examine the impact of the media-based climate risks, grouped into physical and transition risk categories, on the international corporate bond market in the period from 2012 to 2022. We analyze the following aspects: (i) market development (developed versus emerging markets); (ii) credit quality (investment grade versus high yield bonds), (iii) industry (climate-sensitive versus non-sensitive industries), and (iv) maturity (short versus long term bonds). We find that transition risk is reflected in the global corporate bond market, but not in the emerging corporate bond market segment. Furthermore, transition risk has a material impact only on the investment grade bonds in the global corporate bond market. The industry analysis reveals that there are no consistent significant differences between climate-sensitive and climate-insensitive industries. Maturity analysis indicates that transition risk is reflected in global corporate bond market returns for both short and long terms, but this effect is less pronounced in emerging markets. Physical risk is not systematically reflected in international corporate bond returns. The subsample analysis shows higher importance of transition climate risk following the Paris Agreement in December 2015.

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引用次数: 0

Financial crime and corporate social responsibility: Evidence from China

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-02-01 DOI: 10.1016/j.jimonfin.2024.103258

Caiquan Bai , Huimin Wang , Qihang Xue , Yaping Zhao

This study uses criminal first-instance judgments of financial crimes published by China Judgments Online to construct an index of a city’s financial crime rate, focusing on the impact of financial crimes on corporate social responsibility (CSR). The higher the financial crime rate in a city where the firm is located is, the worse the firm’s CSR performance. The main reason for this phenomenon is that a higher city financial crime rate increases information asymmetry, intensifies financing constraints, and depresses investor sentiment. In addition, crimes that disrupt the management order of financial bills, deposits, and loans, as well as moderately severe financial crimes, have the greatest economic effects on CSR; internal and external corporate pressures play an important moderating role, reinforcing the impact of financial crime; and financial crime can damage corporate reputation through its impact on CSR.

引用次数: 0

Geopolitical risk and U.S. foreign portfolio investment: A tale of advanced and emerging markets

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-02-01 DOI: 10.1016/j.jimonfin.2024.103253

Sangyup Choi , Jiri Havel

We study how U.S. portfolio investors react to the geopolitical risk in destination countries. First, we uncover significant heterogeneity between advanced and emerging market destinations: U.S. investment in foreign bonds and equities decreases only in response to heightened geopolitical risk in emerging markets, not in advanced markets. Second, we identify poor institutional quality and, to a lesser extent, closed capital markets in emerging market economies as the primary driver behind the larger sensitivity of portfolio investment to geopolitical risk. Third, we find a contagion effect that U.S. portfolio investment declines significantly in response to the heightened geopolitical risk in nearby countries even after controlling for the risk in the destination country. This contagion effect is confined to emerging markets, further highlighting the difference between advanced and emerging markets.

引用次数: 0

Corrigendum to “Measuring systemic risk in Asian foreign exchange markets” [J. Int. Money Financ. 146 (2024) 103135]

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-02-01 DOI: 10.1016/j.jimonfin.2024.103249

Yanghan Chen , Juan Lin

引用次数: 0

Misaligned currencies and economic growth: The role of global value chains

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-02-01 DOI: 10.1016/j.jimonfin.2024.103252

Shiu-Sheng Chen , Yao-Ting Huang , Tzu-Yu Lin

We investigate the impact of global value chain (GVC) participation on the relationship between real exchange rate misalignment and economic growth. Employing a panel framework encompassing 183 countries from 1990 to 2019, we find that an undervalued real exchange rate is associated with higher economic growth. However, our analysis also reveals that increased GVC participation diminishes the positive effect of undervaluation on economic growth with moderate statistical significance. Consequently, the potential competitiveness gains from an undervalued currency might be offset by deeper integration into global production networks. It is worth noting that the empirical findings are most prominent for advanced economies.

引用次数: 0

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