Journal of International Money and Finance最新文献

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Public spending and inclusive growth: A cross-country empirical analysis 公共支出与包容性增长：一项跨国实证分析

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2026-02-01 Epub Date: 2026-01-08 DOI: 10.1016/j.jimonfin.2026.103528

Gazi Salah Uddin , Anh H. Le , Md. Bokhtiar Hasan , John Beirne , Donghyun Park

We investigate the effects of different components of government spending on inclusive growth. More specifically, we consider the inclusive impact of public spending on environmental protection, health, education, housing, and social protection, all of which can conceivably promote inclusive growth. For our empirical analysis, we apply panel regressions and local projections to a comprehensive database of 191 countries between 1980 and 2023. Our evidence indicates that equity-promoting government spending reduces income inequality, as measured by the Gini index, and improves human development indicators. Moreover, our analysis reveals that poorer households benefit disproportionately, suggesting that targeted fiscal expenditures can promote equity. Notably, the inclusive effects are most pronounced in advanced economies, where robust fiscal frameworks support and amplify such effects. In contrast, emerging and developing economies experience more modest gains. Overall, the findings highlight the importance of well-designed public spending programs for equitable growth. Finally, we conduct state-dependent local projections and a regional sub-sample analysis.

我们研究了政府支出的不同组成部分对包容性增长的影响。更具体地说，我们考虑了公共支出在环境保护、卫生、教育、住房和社会保护方面的包容性影响，所有这些都可以令人信服地促进包容性增长。为了进行实证分析，我们对1980年至2023年间191个国家的综合数据库进行了面板回归和地方预测。我们的证据表明，以基尼指数衡量，促进公平的政府支出减少了收入不平等，并改善了人类发展指标。此外，我们的分析表明，较贫困的家庭受益不成比例，这表明有针对性的财政支出可以促进公平。值得注意的是，包容性效应在发达经济体最为明显，发达经济体健全的财政框架支持并放大了这种效应。相比之下，新兴和发展中经济体的收益则较为温和。总的来说，研究结果强调了设计良好的公共支出计划对公平增长的重要性。最后，我们进行了依赖于状态的局部预测和区域子样本分析。

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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 : 2026-02-01 Epub 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

Government spending dynamics in small open economies 小型开放经济体的政府支出动态

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2026-02-01 Epub Date: 2025-11-27 DOI: 10.1016/j.jimonfin.2025.103483

Raphaelle G. Coulombe , Jaroslav Horvath

Compared to small open advanced economies (AEs), emerging market economies (EMEs) exhibit simultaneously higher volatility and procyclicality of government spending, two features likely to amplify business cycle fluctuations. To rationalize these stylized facts, we augment the canonical small open economy model with heterogeneous parties and repeated elections with endogenous voting. We relate the distinct dynamics of government spending in EMEs to a combination of larger interest rate fluctuations and a higher degree of political polarization. While, on their own, interest rate shocks and political polarization account, respectively, for about a quarter and a half of government spending variance in EMEs, we show that higher political polarization amplifies the macroeconomic effects of interest rate shocks by increasing political turnover. We provide corroborating evidence for this mechanism by documenting that EMEs exhibit, on average, larger political turnover than AEs.

与小型开放的发达经济体（ae）相比，新兴市场经济体（eme）同时表现出更高的波动性和政府支出的顺周期性，这两个特征可能会放大商业周期波动。为了使这些风格化的事实合理化，我们用异质政党和内生投票的重复选举来增强规范的小型开放经济模型。我们将eme中政府支出的独特动态与较大的利率波动和较高程度的政治两极分化联系起来。虽然利率冲击和政治极化本身分别占到eme政府支出差异的四分之一和一半左右，但我们表明，更高的政治极化通过增加政治更替放大了利率冲击的宏观经济效应。我们通过记录EMEs表现出平均比ae更大的政治流动率，为这一机制提供了确凿的证据。

引用次数: 0

Foreign exchange intervention and financial stability 外汇干预与金融稳定

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2026-01-01 Epub Date: 2025-10-25 DOI: 10.1016/j.jimonfin.2025.103439

Pierre-Richard Agénor , Timothy P. Jackson , Luiz A. Pereira da Silva

The effects of sterilized intervention are studied in a model with financial frictions. The central bank operates a managed float and issues sterilization bonds. In contrast with most of the existing literature, these bonds are held only by banks, and are imperfect substitutes for loans. The model is parameterized and used to study optimal policy responses to capital inflows associated with a transitory shock to world interest rates. The results show that sterilized intervention can be expansionary due to a bank portfolio channel and may exacerbate risks to financial stability. Full sterilization is optimal only when that channel is absent. The optimal degree of intervention is more aggressive when the central bank can choose simultaneously the degree of sterilization; in that sense, and conditional on intervention taking place, the instruments are complements. When the central bank’s objective function also accounts for the implicit cost of sterilization, and concerns with that cost are sufficiently high, intervention and sterilization can be substitutes—independently of whether exchange rate and financial stability considerations also matter for policymakers.

在一个有金融摩擦的模型中研究了消毒干预的效果。央行实行有管理的浮动汇率制度，并发行冲销债券。与大多数现有文献不同的是，这些债券仅由银行持有，是贷款的不完美替代品。该模型被参数化，并用于研究与全球利率暂时冲击相关的资本流入的最佳政策反应。结果表明，由于银行投资组合渠道的存在，冲销干预可能具有扩张性，并可能加剧金融稳定风险。只有当该通道不存在时，完全灭菌才是最佳的。当央行可以同时选择冲销程度时，最优干预程度更为激进；从这个意义上说，并以进行干预为条件，这些工具是互补的。当央行的目标函数也考虑了冲销的隐性成本，并且对该成本的担忧足够高时，干预和冲销就可以成为替代品——独立于汇率和金融稳定考虑是否对政策制定者也很重要。

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引用次数: 0

Uncertainty shocks and inflation: The role of credibility and expectation anchoring 不确定性冲击与通货膨胀：信用和预期锚定的作用

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2026-01-01 Epub Date: 2025-11-10 DOI: 10.1016/j.jimonfin.2025.103472

Joscha Beckmann , Robert L. Czudaj

This paper focuses on the uncertainty effect on consumer price inflation based on a panel of 82 advanced, emerging, and developing economies studied over a sample period running from 1995 to 2022. In contrast to the previous literature, we particularly control for the role of monetary policy credibility by considering the monetary control classification of Cobham (2021) and by measuring the degree of anchoring of survey inflation expectations. We argue that the interpretation of uncertainty as a negative demand shock is appealing from a theoretical perspective but is unlikely to reflect uncertainty dynamics for countries with high inflation and/or low monetary policy credibility. We find that higher uncertainty boosts inflation. However, this effect is significantly reduced (or even eliminated) by both a strong degree of monetary control and a strong anchoring of inflation expectations, illustrating that both factors are of key importance for the propagation of uncertainty shocks.

本文以1995年至2022年82个发达、新兴和发展中经济体为样本，重点研究了不确定性对消费者价格通胀的影响。与之前的文献相比，我们通过考虑Cobham（2021）的货币控制分类和测量调查通胀预期的锚定程度来特别控制货币政策可信度的作用。我们认为，从理论角度来看，将不确定性解释为负面需求冲击是有吸引力的，但不太可能反映高通胀和/或货币政策可信度低的国家的不确定性动态。我们发现，更高的不确定性会推动通胀。然而，强有力的货币控制和强有力的通胀预期锚定会显著降低（甚至消除）这种影响，这表明这两个因素对不确定性冲击的传播都至关重要。

引用次数: 0

What happens to emerging market economies when US yields go up? 当美国国债收益率上升时，新兴市场经济体会发生什么？

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2026-01-01 Epub Date: 2025-10-20 DOI: 10.1016/j.jimonfin.2025.103442

Julián Caballero, Christian Upper

This paper explores under what circumstances increases in US Treasury yields spill over into declines in emerging market economy (EME) asset prices. We identify episodes of sharp increases in US 10-year Treasury yields and explore under which conditions these are associated with reductions in EME local currency yields, exchange rates and equity prices. We find that rising US yields are more likely to be associated with adverse outcomes in emerging markets when they reflect (i) a rise in the US term premium and (ii) dollar appreciation. The effects of these variables are highly non-linear economically significant and robust to a variety of sensitivity checks. Of EME fundamentals, rising EME inflation expectations, a current account deficit and greater exchange rate flexibility seem to be associated with worse EME outcomes, although these results do not hold in all specifications.

本文探讨了在何种情况下，美国国债收益率的上升会导致新兴市场经济体（EME）资产价格的下跌。我们确定了美国10年期国债收益率大幅上升的时期，并探讨了在哪些条件下，这些时期与新兴市场本币收益率、汇率和股价的下降有关。我们发现，当美国国债收益率上升反映(1)美国期限溢价上升和(2)美元升值时，它更有可能与新兴市场的不利结果联系在一起。这些变量的影响在经济上是高度非线性的，并且对各种灵敏度检查具有鲁棒性。在EME基本面方面，不断上升的EME通胀预期、经常账户赤字和更大的汇率灵活性似乎与EME结果恶化有关，尽管这些结果并不适用于所有规范。

引用次数: 0

A global assessment of banks’ capacity to support the energy transition: Evidence from developed and emerging markets 银行支持能源转型能力的全球评估：来自发达市场和新兴市场的证据

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2026-01-01 Epub Date: 2025-11-07 DOI: 10.1016/j.jimonfin.2025.103468

Marcelo Martins Tachy , Gláucia Fernandes Vasconcelos , Layla dos Santos Mendes

The global shift toward renewable energy is accelerating, driven by climate policies, technological advances, and rising investor interest. However, concerns remain about banks’ ability to support this transition while managing risks and maintaining financial stability. This paper examines the relationship between renewable energy expansion and bank risk, considering cross-country differences in financial systems and regulations. Using data from 27 economies and a fixed effects model, we assess the impact of renewable energy growth on market-based risk indicators, specifically Distance to Default (DD) and Distance to Capital (DC). Our findings indicate that global expansion of renewable energy enhances banking stability. In developed economies, it boosts financial resilience, while in developing ones, it paradoxically raises banking risk, reducing DD and DC. A robustness check with public investment reveals that higher public spending decreases DD and DC in developed countries, signaling greater risk. In contrast, in developing economies, public investment helps stabilize banking risk. These results highlight the complex relationship between renewable energy policies and bank risk, shaped by differing economic and regulatory settings. Additional analysis supports our hypotheses, indicating that the energy transition has a significant impact on bank risk and underscores the need for tailored financial policies to support renewable energy financing while advancing carbon neutrality.

在气候政策、技术进步和投资者兴趣上升的推动下，全球向可再生能源的转变正在加速。然而，人们仍然担心银行是否有能力在管理风险和维持金融稳定的同时支持这种转型。本文考察了可再生能源扩张与银行风险之间的关系，并考虑了各国金融体系和监管的差异。利用来自27个经济体的数据和固定效应模型，我们评估了可再生能源增长对市场风险指标的影响，特别是与违约的距离（DD）和与资本的距离（DC）。我们的研究结果表明，可再生能源的全球扩张增强了银行业的稳定性。在发达经济体，它增强了金融弹性，而在发展中国家，它反而增加了银行风险，减少了DD和DC。对公共投资的稳健性检验表明，在发达国家，较高的公共支出减少了发展中国家的发展中国家和发展中国家，这表明风险更大。相比之下，在发展中经济体，公共投资有助于稳定银行业风险。这些结果凸显了可再生能源政策与银行风险之间的复杂关系，这种关系受到不同的经济和监管环境的影响。其他分析支持了我们的假设，表明能源转型对银行风险有重大影响，并强调需要制定有针对性的金融政策，在推进碳中和的同时支持可再生能源融资。

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引用次数: 0

Mind the tone: Responses of inflation expectations to central bankers’ speeches 注意语气：通胀预期对央行官员讲话的回应

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2026-01-01 Epub Date: 2025-11-05 DOI: 10.1016/j.jimonfin.2025.103452

Dooyeon Cho , Jaehun Jung

This study investigates the effect of central bank communications, measured as the tone of U.S. central bankers’ speeches extracted with FinBERT, a domain-specific large language model, on inflation expectations among market participants across business cycle phases. Our analysis shows that communication tone has asymmetric effects depending on the state of the economy. During expansions, a positive tone raises inflation expectations, whereas during downturns its effects are muted, consistent with evidence that households respond primarily to Delphic signals, informational updates about future inflation, rather than to Odyssean signals that convey policy commitments. We also find that an asset purchase shock significantly influences inflation expectations, while other monetary policy measures do not. Overall, our results suggest that the tone of central bank communications, including speeches by central bank officials beyond those of the Federal Reserve Bank chair alone, can serve as a potent policy instrument, particularly in shaping expectations during expansions.

本研究调查了中央银行沟通的影响，以FinBERT（一个特定领域的大型语言模型）提取的美国中央银行行长讲话的语气来衡量，对市场参与者在商业周期阶段的通胀预期。我们的分析表明，沟通语气具有不对称的影响，这取决于经济状况。在经济扩张期间，积极的基调会提高通胀预期，而在经济低迷时期，其影响则会减弱，这与证据一致，即家庭主要对德尔菲信号（有关未来通胀的信息更新）做出反应，而不是对传达政策承诺的奥德赛信号做出反应。我们还发现，资产购买冲击会显著影响通胀预期，而其他货币政策措施则不会。总体而言，我们的研究结果表明，央行沟通的语气，包括央行官员在美联储主席讲话之外的讲话，可以作为一种强有力的政策工具，特别是在经济扩张期间塑造预期方面。

引用次数: 0

Your fear is (partly) mine: the role of non-VIX volatility in forecasting regional stock market volatility using interpretable machine learning 你的担忧（在一定程度上）也是我的担忧：利用可解释的机器学习，非vix波动率在预测地区股市波动中的作用

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2026-01-01 Epub Date: 2025-11-06 DOI: 10.1016/j.jimonfin.2025.103467

Lingbing Feng , Jingyi Shi , Ali M. Kutan

We extend earlier work on the information content of the US implied volatility index (VIX) in cross-market forecasting by providing evidence on the information content of several non-VIX market volatility indexes on local and regional stock market volatility. To do so, we employ dynamic automated machine learning models to examine their forecasting performance and spillover effects by considering four advanced markets (the US, Germany, Japan, and Hong Kong) and two emerging markets (China and India). The sample includes five-minute high-frequency data from March 2, 2015, to March 1, 2024. The results show that (1) the local volatility index has the most significant forecasting effect on the local stock market, particularly during periods of market stability; (2) the VIX has significant forecasting spillover effects, but its forecasting role is weaker in the two emerging markets than in the developed markets; (3) after the outbreak of the COVID-19 pandemic, the predictability of the US (Chinese) stock market declined (increased) and the information content of the reconstructed Chinese market implied volatility index (CVIX) rose significantly, surpassing the role of VIX; and (4) the spillover effect is asymmetric, and the intensity of cross-market contagion is greater during market turbulence, especially in developed markets with significant resonance effects. The findings are useful for investors and managers in managing portfolio risks and designing investment strategies across regions and markets and have significant implications for policy makers and central banks as they implement effective financial stability policies to deal with the transmission of non-VIX volatility spillovers to national stock markets.

我们扩展了早期关于美国隐含波动率指数（VIX）在跨市场预测中的信息含量的工作，提供了几个非VIX市场波动率指数对本地和区域股市波动率的信息含量的证据。为此，我们采用动态自动机器学习模型，通过考虑四个发达市场（美国、德国、日本和香港）和两个新兴市场（中国和印度），来检验它们的预测性能和溢出效应。样本包括2015年3月2日至2024年3月1日的5分钟高频数据。结果表明：(1)地方波动率指数对地方股市的预测效果最为显著，特别是在市场稳定时期；(2) VIX具有显著的预测溢出效应，但其在两个新兴市场的预测作用弱于发达市场；(3)新冠肺炎疫情爆发后，美国（中国）股市的可预测性下降（上升），重构中国市场隐含波动率指数（CVIX）的信息含量显著上升，超越了VIX的作用；(4)溢出效应是不对称的，在市场动荡期间，跨市场传染的强度更大，特别是在共振效应显著的发达市场。研究结果对投资者和管理者在管理投资组合风险和设计跨地区和市场的投资策略方面很有帮助，对政策制定者和央行在实施有效的金融稳定政策以应对非vix波动溢出效应向国家股市的传导时具有重要意义。

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引用次数: 0

From independence to interdependence: The global connectedness of central banks’ balance sheet total assets 从独立到相互依赖：央行资产负债表总资产的全球关联性

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2026-01-01 Epub Date: 2025-11-11 DOI: 10.1016/j.jimonfin.2025.103473

Roman Matousek , Stephanos Τ. Papadamou , Panayiotis G. Tzeremes , Nickolaos G. Tzeremes

This study examines the global spillover effects of central banks’ balance sheet expansions on a weekly basis from 2006 to 2023, using a quantile VAR framework and dynamic connectedness analysis across five major central banks [Federal Reserve (Fed), European Central Bank (ECB), Bank of England (BoE), Bank of Canada (BoC), and Bank of Australia (RBA)], the relevant ten-year sovereign bonds, and the VIX index. The analysis reveals a pronounced U-shaped pattern in systemic connectedness, with highest spillovers during extreme market conditions (low and high quantiles) and lower connectedness in normal periods. Ten-year sovereign bonds emerge as the primary contributors of forecast error variance across all regimes, while central banks—particularly the Fed and BoE—act as net absorbers of spillovers especially during crisis periods. The tails show the most monetary policy synchrony, suggesting globally intertwined reactions under stress and idiosyncratic actions under calm. Structural break and heatmap analyses across the Global Financial Crisis (GFC), Eurozone crisis, and COVID-19 confirm the latter. These findings underscore the need for policymakers to consider cross-border transmission effects and rethink the presumed domestic containment of unconventional monetary policy tools.

本研究利用分位数VAR框架和五大央行（美联储、欧洲央行、英格兰银行、加拿大银行和澳大利亚银行）的动态连通性分析、相关的十年期主权债券和波动率指数，研究了2006年至2023年间央行每周资产负债表扩张的全球溢出效应。分析显示，系统连通性呈现明显的u型模式，在极端市场条件下（低和高分位数），溢出效应最大，而在正常时期，连通性较低。十年期主权债券是所有制度下预测误差差异的主要贡献者，而央行——尤其是美联储和英国央行——则是溢出效应的净吸收者，尤其是在危机时期。尾部显示出最具同步性的货币政策，表明全球在压力下的反应交织在一起，而在平静状态下则采取了不同的行动。对全球金融危机、欧元区危机和2019冠状病毒病的结构性断裂和热图分析证实了后者。这些发现强调了政策制定者需要考虑跨境传导效应，并重新考虑假定的国内遏制非常规货币政策工具的必要性。

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