Journal of International Money and Finance最新文献

英文中文

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 : 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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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 : 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

Exchange rate contagion and international trade: Insights from the TENET method 汇率传染与国际贸易：来自TENET方法的启示

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-11-10 DOI: 10.1016/j.jimonfin.2025.103471

Kefei Han , Manyu Kong , Qiuhua Xu , Jiayi Zhou

This study employs the Tail-Event driven NETwork (TENET) method to construct contagion networks of exchange rate tail risks among 40 major global currencies over the period 2010–2023. Based on these networks, we develop indicators to measure systemic risk and analyze their dynamic evolution. The results reveal that, during periods of extreme events, the contagion level among major currencies escalates markedly, demonstrating cyclic patterns. Moreover, compared with emerging economies, developed economies tend to exhibit a higher level of exchange rate tail-risk emission but a lower level of risk reception, with a discernible synchronization between risk reception and emission. This study further investigates how exchange rate tail-risk contagion influences international trade. The analysis shows that such contagion adversely affects both imports and exports, with a more pronounced impact on imports. The reduction in trade volume due to exchange rate tail risk is mainly observed between developed and emerging economies, as well as between member and non-member countries of specific economic cooperation organizations. These results provide empirical evidence of the trade-related consequences of exchange rate tail-risk contagion and highlight the importance of mitigating such contagion and enhancing financial resilience in international trade.

本研究采用尾事件驱动网络（TENET）方法构建了2010-2023年期间全球40种主要货币汇率尾部风险的传染网络。基于这些网络，我们建立了衡量系统性风险的指标，并分析了它们的动态演变。结果表明，在极端事件期间，主要货币之间的传染水平显着上升，表现出周期性模式。此外，与新兴经济体相比，发达经济体往往表现出较高的汇率尾部风险排放水平，而较低的风险接受水平，风险接受与风险排放之间存在明显的同步性。本研究进一步探讨汇率尾部风险传染如何影响国际贸易。分析表明，这种传染对进口和出口都有不利影响，对进口的影响更为明显。汇率尾部风险导致的贸易量减少主要表现在发达经济体与新兴经济体之间，以及特定经济合作组织成员国与非成员国之间。这些结果为汇率尾部风险传染的贸易相关后果提供了经验证据，并强调了减轻这种传染和增强国际贸易金融弹性的重要性。

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引用次数: 0

Taming the global factor zoo 驯服全球因素动物园

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-11-08 DOI: 10.1016/j.jimonfin.2025.103466

Jian Chen , Yufeng Han , Guohao Tang , Yifeng Zhu

This paper examines monthly returns from over 48,120 stocks across 36 countries/regions, employing an iterative two-step LASSO methodology to identify key factors in global markets. The result is a novel global factor model that incorporates factors such as market dynamics, profit growth, quality, momentum, investment, size, and debt issuance. This model outperforms existing approaches by providing a superior explanation of global asset pricing anomalies and achieving lower average pricing errors. A distinguishing feature of our model is its efficacy in explicating anomalies in local markets, diverging from traditional models that typically confine their scope to local market dynamics. Overall, this research highlights the potential of machine learning-based frameworks in developing a more comprehensive and robust global factor model for international asset pricing.

本文研究了36个国家/地区超过48120只股票的月回报，采用迭代的两步LASSO方法来确定全球市场的关键因素。其结果是一个新的全球因素模型，该模型结合了市场动态、利润增长、质量、势头、投资、规模和债务发行等因素。该模型优于现有的方法，提供了对全球资产定价异常的更好解释，并实现了更低的平均定价误差。我们的模型的一个显著特征是它在解释当地市场异常方面的有效性，与传统模型不同，传统模型通常将其范围局限于当地市场动态。总的来说，这项研究强调了基于机器学习的框架在为国际资产定价开发更全面、更稳健的全球因素模型方面的潜力。

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 : 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

Stablecoins and short-term funding markets 稳定币和短期融资市场

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-11-07 DOI: 10.1016/j.jimonfin.2025.103469

Jean Barthélemy , Paul Gardin , Benoit Nguyen

The rapid growth of stablecoins–crypto-assets aimed at maintaining a stable value–has generated a sizable demand for short-term dollar-denominated assets. Stablecoin issuers hold these assets to back their tokens and manage their peg. This paper shows that an increase in the demand for stablecoin tokens caused additional commercial paper (CP) issuance, when tokens were backed by CP. This suggests CP issuers catered to the demand emanating from stablecoins’ backing. Our results highlight a new and more general link between crypto-assets, conventional financial markets, and short-term debt issuers.

稳定币（旨在保持稳定价值的加密资产）的快速增长，对短期美元计价资产产生了相当大的需求。稳定币发行者持有这些资产来支持他们的代币并管理他们的挂钩。本文表明，当代币由CP支持时，对稳定币代币需求的增加导致了额外的商业票据（CP）发行。这表明CP发行人迎合了稳定币支持所产生的需求。我们的研究结果突出了加密资产、传统金融市场和短期债务发行人之间新的、更普遍的联系。

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 : 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

Does the uncovered interest parity hold better in korea? 未公开的利率平价在韩国是否更适用？

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-11-06 DOI: 10.1016/j.jimonfin.2025.103470

Joonyoung Hur , Kwanho Shin

In this paper, we observe that while the Uncovered Interest Parity (UIP) condition in Korea was frequently violated until the end of the Global Financial Crisis (GFC), it has increasingly been upheld in more recent years. Using a time-varying coefficient vector autoregressive (TVC-VAR) model, we provide explanations for this finding. First, the impact of global risk shocks, proxied by exogenous increases in the VIX index, on the UIP premium has decreased since the Global Financial Crisis, contributing to the resurgence of the UIP condition. Second, while the exchange rate becomes less responsive to global risk shocks over time, it shows increased sensitivity to shocks in the interest rate differential. This heightened responsiveness has more immediately narrowed the deviations from the UIP condition. In addition, our findings highlight that high global risk around the GFC led to significant short-run capital outflows. Conversely, in the period following the mid-2010s, such capital outflows have not been significant in response to rises in the VIX. This reversal indicates a notable change in the dynamics of global risk impacts on Korea’s financial flows.

在本文中，我们观察到，尽管在全球金融危机（GFC）结束之前，韩国的未披露利率平价（UIP）条件经常被违反，但近年来它越来越多地得到维护。使用时变系数向量自回归（TVC-VAR）模型，我们为这一发现提供了解释。首先，自全球金融危机以来，以波动率指数外源性上升为代表的全球风险冲击对UIP溢价的影响有所下降，这有助于UIP状况的复苏。其次，随着时间的推移，汇率对全球风险冲击的反应越来越弱，但它对利差冲击的敏感度却越来越高。这种提高的响应能力更迅速地缩小了与UIP条件的偏差。此外，我们的研究结果强调，全球金融危机的高风险导致了大量的短期资本外流。相反，在2010年代中期之后的一段时间里，这种资本外流对波动率指数上升的反应并不明显。这种逆转表明，全球风险对韩国资金流动的影响发生了显著变化。

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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 : 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

Forecasting stock return: The role of idiosyncratic asymmetry risk 股票收益预测：特质不对称风险的作用

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance

Pub Date : 2025-10-30 DOI: 10.1016/j.jimonfin.2025.103464

Yakun Liu , Yan Chen , Lei Zhang , Xi Deng

This paper introduces a novel methodology for quantifying return asymmetry. Our investigation yields two principal findings. First, through nonparametric testing, we establish that our proposed measure demonstrates enhanced testing efficiency relative to conventional third-order skewness. Second, our analysis reveals that the proposed asymmetry metric serves as a robust predictor of cross-sectional equity returns. Consistent with theoretical predictions in the extant literature, we document a negative relationship between return asymmetry and subsequent stock performance. Our empirical evidence suggests that the cross-sectional pricing power of the asymmetric measure can be partially attributed to mispricing and arbitrage constraints. Moreover, we find that the asymmetric risk premium in the Chinese stock market is approximately twice the magnitude observed in the U.S. market.

本文介绍了一种量化收益不对称的新方法。我们的调查有两个主要发现。首先，通过非参数检验，我们确定了我们提出的测量相对于传统的三阶偏度具有更高的测试效率。其次，我们的分析表明，所提出的不对称指标是横截面股权回报的稳健预测指标。与现有文献的理论预测一致，我们记录了回报不对称与随后的股票表现之间的负相关关系。我们的经验证据表明，不对称措施的横截面定价权可以部分归因于错误定价和套利约束。此外，我们发现中国股市的不对称风险溢价大约是美国市场的两倍。

引用次数: 0

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