Journal of International Money and Finance最新文献

This paper examines net redemptions from bond funds domiciled in Ireland at the onset of the COVID-19 pandemic. We analyse various empirical specifications to determine whether factors such as fund leverage, measures of liquidity, portfolio risk and portfolio concentration, among others, explain outflows from Irish-domiciled bond funds in March 2020. The findings indicate that funds with a larger share of short-term securities and riskier bond portfolios experienced higher redemptions. Our analysis also suggests that fund size and age are significant factors affecting outflows. When examining various sub-samples, we find evidence of more reactive behaviour among investors in actively managed funds compared to passively managed funds. We also find that retail bond funds demonstrate greater sensitivity to risk and leverage, while professional funds show evidence of lower risk aversion. These results provide insights that can help inform policymakers’ view of regulatory tools for market-based finance, a key priority internationally.

This paper develops a Bayesian VAR model to identify three structural shocks driving the European gas market: demand, supply, and inventory shocks. We document how gas price fluctuations have a heterogeneous pass-through to euro area prices depending on the underlying shock driving them. The pass-through is stronger and more persistent when gas prices are driven by aggregate demand or supply pressures, while inventory shocks have a weaker impact. Supply shocks, moreover, are found to pass through to all components of euro area inflation—producer prices, wages, and core inflation—which has implications for monetary policy. Finally, we document how the response of gas prices to shocks is non-linear and is significantly magnified in periods when the economy operates at capacity and, therefore, unemployment is low.

Using Chinese A-share market data, we empirically examine the impact of exchange-traded funds (ETFs) on tail dependence of the underlying securities. Our results show that ETFs can increase the tail dependence of stocks in their basket, showing that the average tail dependence of a stock is higher when it has stronger ETF holding similarity with other stocks. We investigate the role of arbitrage activity and find that ETF holding similarity increases stocks’ ETF arbitrage activity. This effect is primarily on discount arbitrage rather than premium arbitrage, which leads to higher tail dependence among stocks. Alongside propagating demand shocks from the ETF market to underlying securities, ETFs also propagate tail event shock from one stock to other stocks in their baskets. Additionally, arbitrage activities through ETFs add a new layer of non-fundamental tail dependence to the underlying securities. Unlike mutual funds, ETFs lead to more frequent and idiosyncratic tail risk contagion among underlying securities. Our study sheds light on how ETFs provide new channels for risk contagion among underlying securities in emerging markets.

Using retail scanner data from Kazakhstan, an emerging economy with significant and unexpected exchange rate fluctuations, we observe an incomplete yet substantial exchange rate pass-through (ERPT) into prices. Specifically, we note a 50% change occurring a year after the initial shock. The ERPT demonstrates asymmetry in response to exchange rate movements. Notably, the direction of this asymmetry is opposite for imported versus domestic products. Furthermore, our findings indicate that ERPT is non-linear; the price response is more pronounced when the exchange shock is small, aligning with the existence of menu costs. Understanding these asymmetric and non-linear price responses to exchange rate shocks may be crucial for formulating effective inflation targeting policies, especially in emerging economies prone to high inflation.