Jochen M. Schmittmann's Books

Labor Market Issues in the Caribbean

Scope to Mobilize Employment Growth

By: Ms.Magda E. Kandil,Mrs.Genevieve Lindow,Mr.Mario Mansilla,Mr.Joel Chiedu Okwuokei,Jochen M. Schmittmann,Qiaoe Chen,Xin Li,Marika Santoro,Solomon Stavis

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Labor Market Issues in the Caribbean

Scope to Mobilize Employment Growth

By: Ms.Magda E. Kandil,Mrs.Genevieve Lindow,Mr.Mario Mansilla,Mr.Joel Chiedu Okwuokei,Jochen M. Schmittmann,Qiaoe Chen,Xin Li,Marika Santoro,Solomon Stavis

The paper examines the determinants of employment growth, drawing on data available across a sample of Caribbean countries. To that end, the paper analyzes estimates of the employment-output elasticity and the response of employment growth to major sources of labor market determinants, in the long and short run. The main determinants of employment include government investment and private sector credit, while the major determinants of external performance are real effective exchange rate, the price of major exporting commodities, the number of tourists, and growth in major trading partners. The paper concludes with a menu of policy recommendations and structural reforms towards sustaining high employment growth and higher living standards in the Caribbean.

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International Monetary Fund

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ISBN 10

1498347738

ISBN 13

9781498347730

China's Changing Trade and the Implications for the CLMV

By: Mr.Koshy Mathai,Mr.Geoff Gottlieb,Mr.Gee Hee Hong,Sung Eun Jung,Jochen M. Schmittmann,Jiangyan Yu

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China's Changing Trade and the Implications for the CLMV

By: Mr.Koshy Mathai,Mr.Geoff Gottlieb,Mr.Gee Hee Hong,Sung Eun Jung,Jochen M. Schmittmann,Jiangyan Yu

China’s trade patterns are evolving. While it started in light manufacturing and the assembly of more sophisticated products as part of global supply chains, China is now moving up the value chain, “onshoring” the production of higher-value-added upstream products and moving into more sophisticated downstream products as well. At the same time, with its wages rising, it has started to exit some lower-end, more labor-intensive sectors. These changes are taking place in the broader context of China’s rebalancing—away from exports and toward domestic demand, and within the latter, away from investment and toward consumption—and as a consequence, demand for some commodity imports is slowing, while consumption imports are slowly rising. The evolution of Chinese trade, investment, and consumption patterns offers opportunities and challenges to low-wage, low-income countries, including China’s neighbors in the Mekong region. Cambodia, Lao P.D.R., Myanmar, and Vietnam (the CLMV) are all open economies that are highly integrated with China. Rebalancing in China may mean less of a role for commodity exports from the region, but at the same time, the CLMV’s low labor costs suggest that manufacturing assembly for export could take off as China becomes less competitive, and as China itself demands more consumption items. Labor costs, however, are only part of the story. The CLMV will need to strengthen their infrastructure, education, governance, and trade regimes, and also run sound macro policies in order to capitalize fully on the opportunities presented by China’s transformation. With such policy efforts, the CLMV could see their trade and integration with global supply chains grow dramatically in the coming years.

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International Monetary Fund

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ISBN 10

1513544993

ISBN 13

9781513544991

Risk Exposures and Financial Spillovers in Tranquil and Crisis Times

Bank-Level Evidence

By: Ms.Helene Poirson Ward,Jochen M. Schmittmann

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Risk Exposures and Financial Spillovers in Tranquil and Crisis Times

Bank-Level Evidence

By: Ms.Helene Poirson Ward,Jochen M. Schmittmann

For a sample of 83 financial institutions during 2003–2011, this paper attempts to answer three questions: first, what is the evolution of banks’ stock price exposure to country-level and global risk factors as approximated by equity indices; second, which bank-specific characteristics explain these risk exposures; third, are there clusters of banks with equity price linkages beyond market risk factors. The paper finds a rise in sensitivities to both country and global risk factors in 2011, although on average to levels still below those of the subprime crisis. The average sensitivity to European risk, specifically, has been steadily rising since 2008. Banks that are reliant on wholesale funding, have weaker capital levels and low valuations, and higher exposures to crisis countries are found to be the most vulnerable to shocks. The analysis of bank-to-bank linkages suggests that any “globalization” of the euro area crisis is likely to be channelled through U.K. and U.S. banks, with little evidence of direct spillover effects to other regions.

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International Monetary Fund

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ISBN 10

1484311248

ISBN 13

9781484311240

A Macro-Model Approach to Monetary Policy Analysis and Forecasting for Vietnam

By: Allan Dizioli,Jochen M. Schmittmann

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A Macro-Model Approach to Monetary Policy Analysis and Forecasting for Vietnam

By: Allan Dizioli,Jochen M. Schmittmann

The paper develops a small New-Keynesian FPAS model for Vietnam. The model closely matches actual data from 2000-2014. We derive an optimal monetary policy rule that minimizes variability of output, inflation, and the exchange rate. Compared to the baseline model, the optimal rule places a larger weight on output stabilization as the intermediate target to achieve inflation stability, while allowing greater exchange rate flexibility. We analyze the dynamics of key macro variables under various shocks including external and domestic demand shocks and a lift-off of U.S. interest rates. We find that the optimal monetary policy rule delivers greater macroeconomic stability for Vietnam under the shock scenarios.

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International Monetary Fund

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ISBN 10

1513595660

ISBN 13

9781513595665

Currency Hedging for International Portfolios

By: Jochen M. Schmittmann

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Currency Hedging for International Portfolios

By: Jochen M. Schmittmann

This paper examines the benefits from hedging the currency exposure of international investments in single- and multi-country equity and bond portfolios from the perspectives of German, Japanese, British and American investors. Over the period 1975 to 2009, hedging of currency risk substantially reduced the volatility of foreign investments at a quarterly investment horizon. Contrary to previous studies, the paper finds that at longer investment horizons of up to five years the case for hedging for risk reduction purposes remained strong.In addition to its impact on risk, hedging affected returns in economically meaningful magnitudes in some cases.

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International Monetary Fund

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ISBN 10

1455201340

ISBN 13

9781455201341

The Financial Impact of Carbon Taxation on Corporates

Japan

By: Jochen M. Schmittmann

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The Financial Impact of Carbon Taxation on Corporates

Japan

By: Jochen M. Schmittmann

Japan’s commitment to achieve net zero emissions by 2050 will likely require substantial carbon pricing. Corporates appear to be able to absorb a sharp increase in carbon taxes on average, but there is a substantial weak tail of firms that could face financial stress. The analysis underscores the need to align the private sector and public policies with Japan’s climate targets to ensure a smooth transition to net zero.

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International Monetary Fund

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ISBN 13

9798400244223

Green Bond Pricing and Greenwashing Under Asymmetric Information

By: Jochen M. Schmittmann,Yun Gao

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Green Bond Pricing and Greenwashing Under Asymmetric Information

By: Jochen M. Schmittmann,Yun Gao

We analyze the corporate green bond market under a rational framework without an innate green preference, using a simple adverse selection model. Firms can use green bonds to signal their green credentials to investors. Transition risk stems from uncertainty over the introduction of carbon pricing. We show that green bonds have a price premium over conventional bonds when there are information asymmetry, transition risk, and it is costly to engage in greenwashing, that is, false or exaggerated claims of being green. The extent of greenwashing in the market is a function of the green bond premium. A swift and gradual implementation of carbon pricing generates a small green bond premium and a low level of greenwashing, while delayed and large carbon pricing has an ambiguous effect on both. The model provides a rich set of policy implications, notably the need for swift action on carbon pricing and strong information disclosures and regulations to ensure the integrity of green bonds.

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ISBN 13

9798400227004

Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis

By: Mr.Jorge A. Chan-Lau,MissEstelle X. Liu,Jochen M. Schmittmann

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Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis

By: Mr.Jorge A. Chan-Lau,MissEstelle X. Liu,Jochen M. Schmittmann

This study finds that equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk and to a lesser extent, by deteriorating funding conditions and investor sentiment. While the equity return performance in the banking sector has been dismal in general, better capitalized and less leveraged banks have outperformed their peers, a finding that supports policymakers’ efforts to strengthen bank capitalization.

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International Monetary Fund

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ISBN 10

1475505221

ISBN 13

9781475505221

How Green are Green Debt Issuers?

By: Jochen Schmittmann,Han Teng Chua

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How Green are Green Debt Issuers?

By: Jochen Schmittmann,Han Teng Chua

Green debt markets are rapidly growing while product design and standards are evolving. Many policymakers and investors view green debt as an important component in the policy mix to achieve the transition to a low carbon economy and ensure the pricing of climate risks. Our analysis contributes to the nascent literature on the environmental impact of green debt by documenting the CO2 emission intensity of corporate green debt issuers. We find lower emission intensities for green bond issuers relative to other firms, but no difference for green loan and sustainability-linked loan borrowers. Green bond, green loan, and sustainability-linked loan borrowers lower their emission intensity over time at a faster rate than other firms.

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International Monetary Fund

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ISBN 10

1513592998

ISBN 13

9781513592992

The Japanese Labor Market During the COVID- 19 Pandemic

By: Shinya Kotera,Jochen Schmittmann

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The Japanese Labor Market During the COVID- 19 Pandemic

By: Shinya Kotera,Jochen Schmittmann

This paper investigates labor market dynamics in Japan during the COVID-19 pandemic drawing on macro and micro data. The pandemic and related containment measures had a large negative impact on employment, labor force participation, earnings, and labor market mobility, although policy support through furlough schemes partially mitigated the rise in unemployment. Our results indicate that industry effects were a crucial driver of labor market outcomes for different groups of employees — women, younger age groups, nonregular, self-employed, and low-income workers accounted for a disproportional share of employment in the hardest hit industries. We also find empirical evidence for the need to improve childcare and related support, training and upskilling offerings, and teleworking availability, and the role of skill mismatches in reducing labor market mobility and resource reallocation.

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ISBN 13

9798400210303

Book's by Jochen M. Schmittmann

Labor Market Issues in the Caribbean

Labor Market Issues in the Caribbean

China's Changing Trade and the Implications for the CLMV

China's Changing Trade and the Implications for the CLMV

Risk Exposures and Financial Spillovers in Tranquil and Crisis Times

Risk Exposures and Financial Spillovers in Tranquil and Crisis Times

A Macro-Model Approach to Monetary Policy Analysis and Forecasting for Vietnam

A Macro-Model Approach to Monetary Policy Analysis and Forecasting for Vietnam

Currency Hedging for International Portfolios

Currency Hedging for International Portfolios

The Financial Impact of Carbon Taxation on Corporates

The Financial Impact of Carbon Taxation on Corporates

Green Bond Pricing and Greenwashing Under Asymmetric Information

Green Bond Pricing and Greenwashing Under Asymmetric Information

Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis

Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis

How Green are Green Debt Issuers?

How Green are Green Debt Issuers?

The Japanese Labor Market During the COVID- 19 Pandemic

The Japanese Labor Market During the COVID- 19 Pandemic

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