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Trust in the central bank, financial literacy, and personal beliefs Journal of International Money and Finance (IF 2.762) Pub Date : 2024-03-19 Mihai Niţoi, Maria-Miruna Pochea
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A short term credibility index for central banks under inflation targeting: An application to Brazil Journal of International Money and Finance (IF 2.762) Pub Date : 2024-03-15 Alain Hecq, João Victor Issler, Elisa Voisin
Our goal is to provide econometric tools that could act as an almost real-time -system for central banks working under an . In any given month, it computes the probability that inflation will remain within the tolerance bounds set in advance by the . So, our short-term index gives a proper response time for Central Banks, something long-term indices prevalent in the literature do not provide. Although
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Spillovers from US Monetary Policy: Role of Policy Drivers and Cyclical Conditions Journal of International Money and Finance (IF 2.762) Pub Date : 2024-03-13 Elif C. Arbatli-Saxegaard, Davide Furceri, Pablo Gonzalez Dominguez, Jonathan D. Ostry, Shanaka Jayanath Peiris
We provide new evidence on the spillover effects from US monetary policy for a large group of emerging market and advanced economies, focusing on the nature of the shocks driving movements in US interest rates. With an SVAR-IV model used to identify monetary policy, demand, and supply shocks, we find that an increase in US interest rates driven by demand shocks engenders a positive spillover to economic
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Borrower-based measures, house prices and household debt Journal of International Money and Finance (IF 2.762) Pub Date : 2024-03-12 Francesco G. Caloia
This paper quantifies the credit-driven housing demand and the role of macro-prudential Loan-to-Income (LTI) and Loan-to-Value (LTV) limits. Using granular and time-varying changes in borrowing capacity, I estimate how shocks in credit availability feed into credit demand and affect household debt. The findings indicate a robust relationship between debt and borrowing capacity that amplifies throughout
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2023 Asia economic policy Conference: Global Linkages in a Post-Pandemic World conference summary Journal of International Money and Finance (IF 2.762) Pub Date : 2024-03-11 Zheng Liu, Thuy Lan Nguyen
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Commodity returns co-movement, uncertainty shocks, and the US dollar exchange rate Journal of International Money and Finance (IF 2.762) Pub Date : 2024-03-09 Wenting Liao, Jun Ma, Chengsi Zhang
This study examines the time-varying effects of uncertainty shocks identified using the external instrument method on the broad-based movement of commodity returns since the early 1990s. We employ a vector autoregression augmented dynamic factor model with time-varying parameters and stochastic volatility to extract a common factor from 43 commodity returns. We find that uncertainty shocks reduce commodity
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How to conduct monetary policies. The ECB in the past, present and future Journal of International Money and Finance (IF 2.762) Pub Date : 2024-03-08 Paul De Grauwe, Yuemei Ji
We study the evolving operating procedures used by the ECB since its creation. During the period up to 2015, bank reserves were scarce and the ECB, like other central banks, used a corridor system in which the money market rate could fluctuate within the bounds set by the lending and the deposit rates. With the start of Quantitative Easing (QE) the operating procedure evolved into a regime of reserve
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Analyst distance and credit rating consistency Journal of International Money and Finance (IF 2.762) Pub Date : 2024-03-07 Marc Altdörfer, Andre Guettler, Gunter Löffler
In this paper, we investigate the effect of analyst distance on the assignment of credit ratings and show that issuers with analysts located in more distant offices obtain more conservative ratings than issuers with analysts located closer. Our results are robust to an analyst home bias and suggest that more distant analysts are subject to an informational disadvantage when conducting their rating
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Domestic lending and the pandemic: How does banks’ exposure to COVID-19 abroad affect their lending in the United States? Journal of International Money and Finance (IF 2.762) Pub Date : 2024-03-07 Judit Temesvary, Andrew Wei
Shortly after the pandemic began, globally active U.S. banks cut their term lending to U.S. businesses. Combining three granular bank regulatory datasets, we examine how U.S. banks’ exposure to COVID-related restrictions abroad contributed to these lending cuts. Even after controlling for changes in firms’ credit demand through extensive industry*state*quarter fixed effects, we find strong evidence
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The out-of-sample performance of carry trades Journal of International Money and Finance (IF 2.762) Pub Date : 2024-03-07 Po-Hsuan Hsu, Mark P. Taylor, Zigan Wang, Yan Li
We carry out a large-scale investigation of the reliability of the profitability of carry trade strategies, using foreign exchange data for 48 countries over 36 years, employing reality check, superior predictive ability test, and stepwise tests to correct for data-snooping bias (the factor of luck in model selection). Carry trade strategies chosen as profitable in one period are generally not profitable
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ECB communication policies: An overview and comparison with the Federal Reserve Journal of International Money and Finance (IF 2.762) Pub Date : 2024-03-05 Jakob de Haan, Lex Hoogduin
This paper provides an overview of (research on) the communication policies of the ECB. We first compare the communication policies of the ECB and the Fed. Despite many similarities, there are also some differences which in part reflect that both central banks have different objectives. This became more pronounced after both central banks had concluded their monetary policy strategy reviews. Thereafter
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Capital inflow liberalization and bank credit risk Journal of International Money and Finance (IF 2.762) Pub Date : 2024-03-05 Kexin Li, Zhongfei Chen, Athanasios Andrikopoulos
Using a panel of annual data, covering 2207 banks operating in 45 emerging, and developing economies, over the period of 2009–2020, we study the impact of liberalization on capital inflows. Our results indicate that capital inflow liberalization has a robust and positive impact on bank credit risk, as measured by non-performing loans. Upon further examination, we find that the positive effect is more
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Quantifying adaptation costs in sequential FDI location choices: Evidence from German firms Journal of International Money and Finance (IF 2.762) Pub Date : 2024-03-04 Dong Lu, Aiyong Zhu
Initiating foreign direct investment (FDI) is expensive for multinational firms due to the need to adapt to new business practices, ethical norms, and regulations in a foreign country. This paper examines how such adaptation costs affect firms' FDI decisions in current and subsequent periods. We develop a dynamic structural model of how firms make sequential decisions regarding where to invest. Using
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Metal and energy price uncertainties and the global economy Journal of International Money and Finance (IF 2.762) Pub Date : 2024-03-04 Natalia Ponomareva, Jeffrey Sheen, Ben Zhe Wang
We construct novel monthly measures of energy and metal price uncertainty based on the one-year-ahead price forecast dispersion for twenty commodities. Using a simple VAR model, we show both metal and energy price uncertainty shocks are contractionary for the world economy, and these results are largely robust to a battery of alternative specifications. However, our results highlight the differences
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Revisiting capital flow drivers: Regional dynamics, constraints, and geopolitical influences Journal of International Money and Finance (IF 2.762) Pub Date : 2024-03-03 Zied Ftiti, Hachmi Ben Ameur, Wael Louhichi, Dimitris Anastasiou, Haithem Awijen
Our study revisits the drivers of capital flow movement by considering push, pull, and contagion factors for two distinct economic areas: BRICS and a group of European countries. This research was prompted by intensified regional integration and geopolitical challenges, which led to a concentration of regional investments. Major geopolitical events, such as Russian sanctions and the US–China conflict
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Why don't we follow the rules? Drivers of compliance with fiscal policy rules in emerging markets Journal of International Money and Finance (IF 2.762) Pub Date : 2024-02-29 Martín Ardanaz, Carolina Ulloa-Suárez, Oscar Valencia
Under what conditions do countries comply with their fiscal policy rules? We tackle this question in the context of emerging countries, with a specific focus on Latin America and the Caribbean, a region where fiscal rules have become increasingly common in recent decades. Based on an original dataset of compliance behavior across 14 countries observed between 2000 and 2020, we first document that complying
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Debt choice in the regulated competition era Journal of International Money and Finance (IF 2.762) Pub Date : 2024-02-24 Raymond M.K. Wong, Cephas Simon Peter Dak-Adzaklo, Agnes W.Y. Lo
We examine the impact of intensifying competition laws on corporate debt financing choice. Analogous to the argument that intensifying competition spurs improvements in corporate governance, which decreases the demand for bank monitoring and hence bank debt, we find a negative association between stringent competition laws and bank debt reliance. This effect is amplified for firms with lower information
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The ESG washing in banks: Evidence from the syndicated loan market Journal of International Money and Finance (IF 2.762) Pub Date : 2024-02-23 Kuo-Jui Huang, Dien Giau Bui, Yuan-Teng Hsu, Chih-Yung Lin
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The transmission of U.S. monetary policy to small open economies Journal of International Money and Finance (IF 2.762) Pub Date : 2024-02-23 Francisco Nadal De Simone
This paper studies the transmission of a U.S. monetary policy tightening to a set of small open economies. It uses as policy instruments shadow rate, the Fed funds rate (conventional monetary policy, CMP) and changes in the Fed balance sheet (unconventional monetary policy, UMP). The main findings include: (1) the shock always reduces foreign economic activity and contributes to the emergence of a
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Inflation at risk in advanced and emerging market economies Journal of International Money and Finance (IF 2.762) Pub Date : 2024-02-22 Ryan Banerjee, Juan Contreras, Aaron Mehrotra, Fabrizio Zampolli
Using quantile regression techniques, we study the drivers of inflation risks in a large panel of advanced and emerging market economies (EMEs). We document several facts regarding the inflation forecast distribution and highlight some key differences between these two groups of countries. First, the exchange rate has a quantitatively important and non-linear impact on the inflation outlook in EMEs:
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Global supply chain pressures, inflation, and implications for monetary policy Journal of International Money and Finance (IF 2.762) Pub Date : 2024-02-21 Guido Ascari, Dennis Bonam, Andra Smadu
How should policymakers respond to the recent surge in inflation? This paper examines the impact of global supply chain pressures on euro area inflation and the implications for monetary policy. Results from a Bayesian structural vector autoregressive model show that shocks to global supply chain pressures were the dominant driver of euro area inflation in 2022, and that these shocks have a highly
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Effects of the ECB’s communication on government bond spreads Journal of International Money and Finance (IF 2.762) Pub Date : 2024-02-17 Frederik Neugebauer, Jan Russnak, Lilli Zimmermann, Sebastian Camarero Garcia
This paper investigates the financial market effects of the ECB’s communication on the Pandemic Emergency Purchase Programme (PEPP). Using data for 10 euro area countries, we first analyse the impact of different communication channels such as press releases, ECB blog contributions, speeches, and interviews on changes in government bond spreads. Second, we assess whether spreads react differently to
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Welfare gains from market insurance: The case of Mexican oil price risk Journal of International Money and Finance (IF 2.762) Pub Date : 2024-02-15 Chang Ma, Fabián Valencia
Mexico has a long-standing practice of hedging oil price risk through the purchase of put options. We examine the resulting welfare gains using a standard sovereign default model calibrated to Mexican data. We show that hedging increases welfare by reducing income volatility and reducing risk spreads on sovereign debt. We find welfare gains equivalent to a permanent increase in consumption of 0.44
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Assessing the effects of borrower-based macroprudential policy on credit in the EU using intensity-based indices Journal of International Money and Finance (IF 2.762) Pub Date : 2024-02-15 Lara Coulier, Selien De Schryder
We construct new intensity-adjusted indices of macroprudential policy announcements for 28 European Union (EU) economies. The indices are able to capture the restrictiveness and bindingness of the macroprudential policy actions and are used to assess the effectiveness of borrower-based macroprudential policy in reducing credit in the EU from 2003 to 2019. Our results indicate that these macroprudential
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Exchange rate predictability: Fact or fiction? Journal of International Money and Finance (IF 2.762) Pub Date : 2024-02-15 Karen Jackson, Georgios Magkonis
The present study investigates the factors that affect the forecasting performance of several models that have been used for exchange rate prediction. We provide a quantitative survey collecting 8,413 reported forecast errors and we investigate which forecasting characteristics tend to improve forecasting ability. According to our evidence, predictions can beat random walk when certain types of models
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Preaching to the agnostic: Inflation reporting can increase trust in the central bank but only among people with weak priors Journal of International Money and Finance (IF 2.762) Pub Date : 2024-02-13 Bernd Hayo, Pierre-Guillaume Méon
Using a survey experiment, we study whether showing German respondents a graph representing the European Central Bank’s inflation target alongside euro area inflation from 1999 to 2017 affects respondents’ trust in the ECB. On average, the treatment has no significant effect. However, it does increase trust in the ECB among respondents with no entrenched views, proxied by those who report no preference
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Evolution of the exchange rate pass-through into prices in Peru: An empirical application using TVP-VAR-SV models Journal of International Money and Finance (IF 2.762) Pub Date : 2024-02-07 Gabriel Rodriguez, Paul Castillo B., Roberto Calero, Rodrigo Salcedo Cisneros, Miguel Ataurima Arellano
This study examines the evolution of exchange rate pass-through (ERPT) into import, producer, and consumer prices in Peru from 1995Q2 to 2022Q4 using time-varying parameter and stochastic volatility VAR models. Findings reveal a resurgence of ERPTs into import and producer prices since 2009, particularly during the period of a strong US dollar following the 2013 taper tantrum and from 2020 to 2022
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SMEs’ financing in the aftermath of the financial and sovereign debt crises: A comparison across euro area countries Journal of International Money and Finance (IF 2.762) Pub Date : 2024-02-06 Sébastien Roux, Frédérique Savignac
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To what extent are tariffs offset by exchange rates? Journal of International Money and Finance (IF 2.762) Pub Date : 2024-02-01 Olivier Jeanne, Jeongwon Son
In theory, tariffs should be partially offset by a currency appreciation in the tariff-imposing country or by a depreciation in the country on which the tariff is imposed. We find, based on a calibrated model, that the tariffs imposed in the 2018-19 US-China tariff war should not have had a large impact on the dollar but may have significantly depreciated the renminbi. This prediction is consistent
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The medium-term effects of fiscal policy rules Journal of International Money and Finance (IF 2.762) Pub Date : 2024-01-28 Christos Chrysanthakopoulos, Athanasios Tagkalakis
Using a panel of 86 advanced and emerging market economies over the period 1985–2020, we investigate the short-to-medium term effects of fiscal rules on primary balances. We examine various types of rules (expenditure, revenue, debt, and budget balance rules) and their strict and flexible characteristics. We find that the adoption of fiscal rules leads to a fiscal easing in the medium term, with the
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Weighted Median Inflation Around the World: A Measure of Core Inflation Journal of International Money and Finance (IF 2.762) Pub Date : 2024-01-24 Laurence Ball, Carlos Carvalho, Christopher Evans, Luca Antonio Ricci
The standard measure of core or underlying inflation is the inflation rate excluding food and energy prices. This paper constructs an alternative measure, the weighted median inflation rate, for 38 advanced and emerging economies using subclass level disaggregation of the CPI over 1990–2021, and compares the properties of this measure to those of standard core. For quarterly data, we find that the
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Nominal exchange rates and net foreign assets' dynamics: The stabilization role of valuation effects Journal of International Money and Finance (IF 2.762) Pub Date : 2024-01-24 Sara Eugeni
This paper proposes a parsimonious OLG model with output shocks to shed light on the impact of the nominal exchange rate on the dynamics of net foreign assets through valuation effects. We show that an increase in the share of world GDP leads to a trade surplus and negative valuation effects through an appreciation of the nominal exchange rate. The lack of perfect arbitrage in the model implies that
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Real exchange rate and international reserves in the era of financial integration Journal of International Money and Finance (IF 2.762) Pub Date : 2024-01-15 Joshua Aizenman, Sy-Hoa Ho, Luu Duc Toan Huynh, Jamel Saadaoui, Gazi Salah Uddin
The global financial crisis has brought increased attention to the consequences of international reserves holdings. In an era of high financial integration, we investigate the relationship between the real exchange rate and international reserves using nonlinear regressions and panel threshold regressions over 110 countries from 2001 to 2020. Our study shows the level of financial-institution development
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Exchange rates, invoicing currencies and the margins of exports Journal of International Money and Finance (IF 2.762) Pub Date : 2024-01-12 Kwan Yong Lee, Kanda Naknoi
We examine effects of currency depreciation on South Korean exporting firms, taking into account invoicing currencies in international trade. Such effects on real exports (intensive margin) and the probability of exporting (extensive margin) are decomposed into invoice-currency adjusted improved price competitiveness, increased costs of imported inputs, and increased burden of foreign-currency debts
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Does “Lean Against the Wind” monetary policy improve welfare in a commodity exporter? Journal of International Money and Finance (IF 2.762) Pub Date : 2024-01-03 M.U. Peiris, A. Shirobokov, D.P. Tsomocos
Emerging Market Economies struggle to balance monetary policy with capital flow management and commodity price volatility. Our study employs a New-Keynesian model, using Russian data from 2001 to 2019, to examine ‘Lean Against the Wind’ (LAW) monetary policies. We show that under Lean Against the Wind (LAW) policies, households with borrowed funds experience improved welfare, while households that
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Money never sleeps: Capital flows under global risk and uncertainty Journal of International Money and Finance (IF 2.762) Pub Date : 2023-12-28 Maria-Eleni K. Agoraki, Haoran Wu, Tongbin Xu, Min Yang
We employ various indexes, namely the geopolitical risk (GPR) index, economic policy uncertainty (EPU) index, and world uncertainty index (WUI), to comprehensively capture multiple dimensions of risk and uncertainty and investigate their influence on capital flows measured by different categories of mutual fund flows and IMF intercountry transaction flows. We find that GPR harms aggregate capital flows
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International evidence on extending sovereign debt maturities Journal of International Money and Finance (IF 2.762) Pub Date : 2023-12-18 Jens H.E. Christensen, Jose A. Lopez, Paul L. Mussche
Portfolio diversification is as important to debt management as it is to asset management. In this paper, we focus on diversification of sovereign debt issuance by examining the extension of the maximum maturity of issued debt. In particular, we are interested in the potential costs to the U.S. Treasury of introducing 50-year bonds as a financing option. Therefore, we first examine international evidence
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Diminishing gains from trade across countries: Interaction between trade elasticity and openness Journal of International Money and Finance (IF 2.762) Pub Date : 2023-12-15 Hakan Yilmazkuday
This paper theoretically shows that when the trade elasticity is allowed to be country specific and it increases with trade openness across countries, it is possible for the gains from trade to decrease with trade openness across countries under certain conditions, which we call as the diminishing gains from trade. In order to empirically test this possibility, country-specific trade elasticity measures
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Home country uncertainty and cash holdings: Evidence from multinational subsidiaries in South Korea Journal of International Money and Finance (IF 2.762) Pub Date : 2023-12-17 Youngho Kang, Ryoonhee Kim
Using data on South Korean subsidiaries with 18 different countries of origin and a newspaper-based economic policy uncertainty (EPU) index, we investigate the effect of uncertainty transmission on multinationals’ key decisions. Subsidiaries of multinational corporations face host and home country uncertainty. We document that Korean subsidiaries significantly increase their cash holdings when EPU
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Transmission of natural disasters to the banking sector: Evidence from thirty years of tropical storms in the Caribbean Journal of International Money and Finance (IF 2.762) Pub Date : 2023-12-14 Michael Brei, Preeya Mohan, Agustin Perez Barahona, Eric Strobl
Banks can play a vital role in helping affected communities to cope with natural disasters. Using data on 92 damaging tropical storms, this paper explores the channels through which 111 individual banks from 20 Caribbean and Central American jurisdictions have been affected. Our results suggest that damaging tropical storms are associated with immediate and long-lasting adverse funding shocks. Banks
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Euro area monetary policy and TARGET balances: A trilogy Journal of International Money and Finance (IF 2.762) Pub Date : 2023-11-29 Jens Eisenschmidt, Danielle Kedan, Martin Schmitz
The growth in TARGET balances after 2009 has given rise to intense academic and public debate. Our paper offers a systematic exposition of the necessary conditions for TARGET balances to emerge and provides a clear link to monetary policy. We show that large TARGET balances can only arise with excess liquidity. The interpretation of TARGET balances therefore depends on the monetary policy context in
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Monetary policy implementation: Which “new normal”? Journal of International Money and Finance (IF 2.762) Pub Date : 2023-11-29 Angelo Baglioni
This article provides a simple model of monetary policy implementation, analyzing both the interest rate steering (IRS) and the quantitative easing (QE) policies. The model shows that the “floor system”, introduced with QE policies, is preferable to the traditional “corridor system”, for two reasons. First, it endows central banks with one more degree of freedom, since the interest rate and the balance
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Losing traction? The real effects of monetary policy when interest rates are low Journal of International Money and Finance (IF 2.762) Pub Date : 2023-11-29 Rashad Ahmed, Claudio Borio, Piti Disyatat, Boris Hofmann
Based on a panel of 18 advanced countries starting in 1985, we find that monetary transmission to economic activity is substantially weaker when interest rates are low. The results hold when controlling for potential confounding non-linearities associated with debt levels and the business cycle as well as for the trend decline in equilibrium interest rates. These findings suggest that the observed
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What Difference Do New Factor Models Make in Portfolio Allocation? Journal of International Money and Finance (IF 2.762) Pub Date : 2023-11-23 Frank J. Fabozzi, Dashan Huang, Fuwei Jiang, Jiexun Wang
This paper compares the Hou-Xue-Zhang four-factor model with the Fama-French five-factor model from an investing perspective both in- and out-of-sample. Without margin requirements and model uncertainty, the Hou-Xue-Zhang model outperforms the Fama-French model. However, the outperformance could become negligible if an investor is subject to margin requirements and model uncertainty. The Hou-Xue-Zhang
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Data Transparency and GDP Growth Forecast Errors Journal of International Money and Finance (IF 2.762) Pub Date : 2023-11-18 Roberta Gatti, Daniel Lederman, Asif M. Islam, Ha Nguyen, Rana Lotfi, Mennatallah Emam Mousa
This paper examines the role of data transparency in explaining gross domestic product (GDP) growth forecast errors - the difference between forecasted and realized growth. On average, a one standard deviation increase in the log of a country’s Statistical Capacity Index, a measure of data capacity and transparency, is associated with a decline in absolute forecast errors by 0.44 and 0.49 percentage
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The relationship between firm-level climate change exposure, financial integration, cost of capital and investment efficiency Journal of International Money and Finance (IF 2.762) Pub Date : 2023-11-19 Konstantina K. Agoraki, Maria Giaka, Dimitrios Konstantios, Ioannis Negkakis
This paper investigates the impact of firm-level climate change exposure on corporate cost of capital, growth opportunities and new investment across 67 countries with varying degrees of financial integration from 2002 to 2021. The analysis documents that firms with high climate change exposure have a negative outlook, face increased cost of capital, and have reduced investment activity. Moreover,
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Regional fiscal spillovers: The role of trade linkages Journal of International Money and Finance (IF 2.762) Pub Date : 2023-11-11 Luca Bettarelli, Davide Furceri, Pietro Pizzuto, Khatereh Yarveisi
This paper examines how fiscal shocks in a given country affect foreign regions through regional trade linkages. Applying the local projection method to a panel of 222 NUTS-2 regions in 20 European countries during the period 1993–2020, we find that countries-to-regions fiscal spillovers are positive, statistically significant, persistent, and non-negligible in size. In addition, fiscal spillovers
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Quantifying spillovers among regions Journal of International Money and Finance (IF 2.762) Pub Date : 2023-11-11 Deborah Gefang, Stephen G. Hall, George S. Tavlas, Yongli Wang
The standard procedure for quantifying spillover effects of changes in economic fundamentals among separate regions (or countries) is to link the regions through predetermined weights – for example through fixed weighted trade indices or fixed spatial weights based on geographical distance. We provide a method for quantifying spillover effects among the U.S., the euro area, and the U.K. using spatial
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Private bank deposits and macro/fiscal risk in the euro-area Journal of International Money and Finance (IF 2.762) Pub Date : 2023-11-13 Michael G. Arghyrou, Maria-Dolores Gadea, Alexandros Kontonikas
We use a panel of ten euro area member states to examine the link between macro/fiscal risk and private bank deposits relative to Germany. Our main findings are summarised as follows: First, the relationship between relative deposits and macro/fiscal risk factors is not stable over time. Second, the significant time variation characterizing this relationship is driven by aggregate EMU-wide macro/fiscal
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Multinationals' profits in China: Impact of tax avoidance Journal of International Money and Finance (IF 2.762) Pub Date : 2023-11-08 Bing Lu, Yaqi Wang
Based on proprietary and hand-collected source country information on foreign-owned firms in China, this paper empirically explores the effect of the tax avoidance of multinational firms on the profit rate of foreign-owned firms. Foreign firms in China previously benefited from various preferential tax policies and had a lower effective tax rate compared to domestic firms. The results show that the
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Corporate acquisitions and firm-level uncertainty: Domestic versus cross-border deals Journal of International Money and Finance (IF 2.762) Pub Date : 2023-11-08 Ye Bai, Sourafel Girma, Alejandro Riaño
This paper investigates how the announcement of acquisitions affect the uncertainty that financial markets perceive about acquiring firms. We use data for publicly-listed firms in the UK between 2004 and 2017 and employ a matching estimator combined with difference-in-differences to address the endogenous selection of firms into acquisitions. While acquisition announcements do not result in a significant
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Quantitative easing and the spillover effects from the crude oil market to other financial markets: Evidence from QE1 to QE3 Journal of International Money and Finance (IF 2.762) Pub Date : 2023-11-04 Yongjian Lyu, Xinyu Zhang, Jin Cao, Jiatao Liu, Mo Yang
The relationships between the oil market and other financial markets remain poorly understood. In this paper, we first construct a set of spillover indices that measure the return spillovers from the oil market to other financial markets in the short, medium, and long terms, and then we examine the drivers of spillover intensity by focusing on the effect of quantitative easing in the U.S. The main
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The effect of trade credit on firm performance: Evidence from Korean firms during the Global Financial Crisis Journal of International Money and Finance (IF 2.762) Pub Date : 2023-10-29 Ye Jin Heo
This paper empirically investigates the effects of two primary types of debt financing − bank credit and trade credit − on firm sales performance during the Global Financial Crisis using Korean firm-level data. I find that firms who relied more on bank credit tended to have slower sales growth, whereas those relied more on trade credit performed better during the crisis and afterwards. However, the
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Dealer networks, client sophistication and pricing in OTC derivatives Journal of International Money and Finance (IF 2.762) Pub Date : 2023-10-26 Vidya Kamate, Abhishek Kumar
Using a novel regulatory transaction-level dataset, we analyze determinants of pricing in both dealer-to-dealer (D2D) and dealer-to-client (D2C) segments of over-the-counter (OTC) currency derivatives market enabling us to provide new empirical insights into frictions driving pricing in both segments separately and interplay of these frictions jointly. The interdealer network exhibits a core-periphery
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Estimating shadow policy rates in a small open economy and the role of foreign factors Journal of International Money and Finance (IF 2.762) Pub Date : 2023-10-20 Jorge Fornero, Markus Kirchner, Carlos Molina
Shadow monetary policy rates (SMPRs) are useful to evaluate the monetary stance when interest rates are at their lower bounds and unconventional policies are implemented. We present a methodology to estimate an SMPR for the case of a small open economy based on a structural dynamic factor model, which allows to consider the impact of foreign monetary conditions on domestic ones and identify their respective
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Technology diffusion and international business cycles Journal of International Money and Finance (IF 2.762) Pub Date : 2023-10-17 Uluc Aysun
This paper shows that the cross-country diffusion of innovations forms a critical channel through which macroeconomic shocks are transmitted across economies. This inference is obtained from a two country, medium scale DSGE model that includes an endogenous growth mechanism. R&D activity and innovation are the main components of this mechanism and they are introduced through a labor-augmenting technology
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Is the Bank of Canada concerned about inflation or the state of the economy? Journal of International Money and Finance (IF 2.762) Pub Date : 2023-10-20 Ke Pang, Christos Shiamptanis
This paper examines the behaviour of the Bank of Canada (BoC) since the adoption of the inflation-targeting framework. We use a newly released dataset that contains quarterly vintages of real-time historical data and BoC staff forecasts, and we present the following novel empirical findings. First, the BoC appears to have increased its focus towards the state of the economy. Over the sample period
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What is real and what is not in the global FDI network? Journal of International Money and Finance (IF 2.762) Pub Date : 2023-10-19 Jannick Damgaard, Thomas Elkjaer, Niels Johannesen
Macro statistics on foreign direct investment (FDI) are blurred by offshore financial centers with enormous inward and outward investment positions. This paper uses new data sources, both macro and micro, to estimate the global FDI network while disentangling real investment and phantom investment and allocating real investment to ultimate investor economies. We find that Phantom FDI into corporate
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Asset purchases and sovereign bond spreads in the euro area during the pandemic Journal of International Money and Finance (IF 2.762) Pub Date : 2023-10-18 Robert Blotevogel, Gergely Hudecz, Elisabetta Vangelista
We analyse the impact of ECB asset purchases on sovereign bond spreads during the Covid-19 pandemic. Using an enhanced event study design, we trace the impact of asset purchases over time, distinguishing between announcements, expectations, and implementation effects. The analysis draws on a new granular cross-country dataset of the ECB’s asset purchases and market expectations. We find large announcement