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Journal of Money Credit and Banking最新文献

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Collateral Framework: Liquidity Premia and Multiple Equilibria 抵押框架：流动性溢价和多重均衡
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-05-12 DOI: 10.1111/jmcb.13048
YVAN LENGWILER, ATHANASIOS ORPHANIDES
{"title":"Collateral Framework: Liquidity Premia and Multiple Equilibria","authors":"YVAN LENGWILER,&nbsp;ATHANASIOS ORPHANIDES","doi":"10.1111/jmcb.13048","DOIUrl":"10.1111/jmcb.13048","url":null,"abstract":"<p>Central banks normally accept debt of their own governments as collateral in liquidity operations without reservations. This gives rise to a valuable liquidity premium that reduces the cost of government finance. The ECB is an interesting exception in this respect. It relies on external assessments of the creditworthiness of its member states, such as credit ratings, to determine eligibility and the haircut it imposes on such debt. We show how such features in a central bank's collateral framework can give rise to cliff effects and multiple equilibria in bond yields and increase the vulnerability of governments to external shocks. This policy can potentially induce sovereign debt crises and defaults that would not otherwise occur. The success of the ECB's temporary suspension of these features of its collateral framework during the pandemic illustrates the practical relevance of this mechanism.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 2-3","pages":"489-516"},"PeriodicalIF":1.5,"publicationDate":"2023-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13048","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135288151","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Government Spending, Debt Management, and Wealth and Income Inequality in a Growing Monetary Economy* 货币经济增长中的政府支出、债务管理与财富和收入不平等*
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-05-03 DOI: 10.1111/jmcb.13049
YOICHI GOKAN, STEPHEN J. TURNOVSKY
{"title":"Government Spending, Debt Management, and Wealth and Income Inequality in a Growing Monetary Economy*","authors":"YOICHI GOKAN,&nbsp;STEPHEN J. TURNOVSKY","doi":"10.1111/jmcb.13049","DOIUrl":"10.1111/jmcb.13049","url":null,"abstract":"<p>This paper compares the impact of government investment and government consumption on macroeconomic aggregates and inequality when the government deficit is money-financed while maintaining a fixed debt-money ratio. Real aggregate quantities are independent of the debt-money ratio, as is wealth inequality, but income inequality is impacted. We also investigate the impact of these two forms of government expenditure on the macroeconomic aggregates and distributions, illustrating their sharply contrasting effects on the tradeoffs they entail. While government investment is more effective in increasing the growth rate and moderating inflation, it has a more adverse effect on long-run income inequality.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"57 1","pages":"185-221"},"PeriodicalIF":1.2,"publicationDate":"2023-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47912381","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A Kinked-Demand Theory of Price Rigidity 价格刚性的扭结需求理论
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-05-03 DOI: 10.1111/jmcb.13067
STÉPHANE DUPRAZ
{"title":"A Kinked-Demand Theory of Price Rigidity","authors":"STÉPHANE DUPRAZ","doi":"10.1111/jmcb.13067","DOIUrl":"10.1111/jmcb.13067","url":null,"abstract":"<p>I provide a microfounded theory for one of the oldest, but so far informal, explanations of price rigidity: the kinked-demand curve theory. Kinked-demand curves arise when some customers observe at no cost only the price at the store they are at. At the microlevel, the kinked-demand theory predicts that prices should be more likely to change if they have recently changed, and more flexible in markets where customers can more easily compare prices. At the macrolevel, it captures a part of the inflation/output trade-off that is not shifted by inflation expectations and therefore persists in the long run.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 2-3","pages":"325-363"},"PeriodicalIF":1.5,"publicationDate":"2023-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134922452","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The (Ir)Relevance of Rule-of-Thumb Consumers for U.S. Business Cycle Fluctuations 拇指规则消费者与美国商业周期波动的（非）相关性
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-05-03 DOI: 10.1111/jmcb.13057
ALICE ALBONICO, GUIDO ASCARI, QAZI HAQUE
{"title":"The (Ir)Relevance of Rule-of-Thumb Consumers for U.S. Business Cycle Fluctuations","authors":"ALICE ALBONICO,&nbsp;GUIDO ASCARI,&nbsp;QAZI HAQUE","doi":"10.1111/jmcb.13057","DOIUrl":"10.1111/jmcb.13057","url":null,"abstract":"<p>We estimate a medium-scale model with and without rule-of-thumb consumers over the pre-Volcker and the Great Moderation periods, allowing for indeterminacy. Passive monetary policy and sunspot fluctuations characterize the pre-Volcker period for both models. In both subsamples, the estimated fraction of rule-of-thumb consumers is low, such that the two models are empirically almost equivalent; they yield very similar impulse response functions, variance, and historical decompositions. We conclude that rule-of-thumb consumers are irrelevant to explain aggregate U.S. business cycle fluctuations.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 4","pages":"769-804"},"PeriodicalIF":1.5,"publicationDate":"2023-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13057","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134922893","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Wealth, Portfolios, and Nonemployment Duration 财富、投资组合和非就业持续时间
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-05-03 DOI: 10.1111/jmcb.13058
FRANÇOIS FONTAINE, JANNE NYBORG JENSEN, RUNE VEJLIN
{"title":"Wealth, Portfolios, and Nonemployment Duration","authors":"FRANÇOIS FONTAINE,&nbsp;JANNE NYBORG JENSEN,&nbsp;RUNE VEJLIN","doi":"10.1111/jmcb.13058","DOIUrl":"10.1111/jmcb.13058","url":null,"abstract":"<p>We use administrative data on individual balance sheets in Denmark to document how an individual's financial position affects job search behavior. We look at the effect of wealth at the entry into unemployment on the exit rate from unemployment as well as the effect on the subsequent match quality. The detailed data allow us not only to distinguish between liquid and illiquid parts, but also to decompose each of them into assets and liabilities. The decomposition of wealth into these four components is key to understanding how wealth affects job finding rates. In particular, we show that liquid assets reduce the probability of becoming reemployed, but we do not see an effect of liquid liabilities or the illiquid wealth components, while interest payments speed up reemployment. The results on subsequent match quality in form of job duration and wages are mixed.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 7","pages":"1861-1886"},"PeriodicalIF":1.2,"publicationDate":"2023-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13058","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134922605","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
How Do Mortgage Rate Resets Affect Consumer Spending and Debt Repayment? Evidence from Canadian Consumers 抵押贷款利率重置如何影响消费者支出和债务偿还?来自加拿大消费者的证据
3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-05-02 DOI: 10.1111/jmcb.13055
KATYA KARTASHOVA, XIAOQING ZHOU
{"title":"How Do Mortgage Rate Resets Affect Consumer Spending and Debt Repayment? Evidence from Canadian Consumers","authors":"KATYA KARTASHOVA, XIAOQING ZHOU","doi":"10.1111/jmcb.13055","DOIUrl":"https://doi.org/10.1111/jmcb.13055","url":null,"abstract":"Abstract One of the most important channels through which monetary policy affects the real economy is changes in mortgage rates. This paper studies the effects of mortgage rate changes resulting from monetary policy shifts on homeowners' spending, debt repayment, and defaults. The Canadian institutional setting facilitates the design of identification strategies for causal inference, since the vast majority of mortgages in the country experience predetermined, periodic, and automatic contract renewals with the mortgage rate reset based on the prevailing market rate. This allows us to exploit quasi‐random variation in the timing of the rate reset and to present causal evidence for both rate declines and increases using detailed, representative consumer credit panel data. We find asymmetric effects of rate changes on spending, debt repayment, and defaults. Our results can be rationalized by the conventional cash‐flow effect in conjunction with changes in consumer expectations about future interest rates upon the reset. Given the pervasiveness of Canadian‐type mortgages in many other OECD countries, our findings have broader implications for the transmission of monetary policy to the household sector.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135220041","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Revisiting Real Wage Rigidity 重新审视实际工资刚性
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-04-29 DOI: 10.1111/jmcb.13056
MICHAEL ELLINGTON, CHRIS MARTIN, BINGSONG WANG
{"title":"Revisiting Real Wage Rigidity","authors":"MICHAEL ELLINGTON,&nbsp;CHRIS MARTIN,&nbsp;BINGSONG WANG","doi":"10.1111/jmcb.13056","DOIUrl":"10.1111/jmcb.13056","url":null,"abstract":"<p>In this paper, we provide empirical evidence that real wage rigidity is not a major cause of unemployment volatility. We argue that there is a disconnect between the theoretical and empirical literatures on this topic. While theoretical studies define real wage rigidity as the response of wages to changes in unemployment following productivity shocks, the empirical literature measures real wage rigidity as the estimated semi-elasticity of wages with respect to unemployment, averaged over all shocks. We show that averaging over shocks gives a biased measure of real wage rigidity, as the impact of other shocks confounds the response to productivity shocks. Our results indicate that the estimated semi-elasticity with respect to productivity shocks is twice as large as the estimated semi-elasticity averaged over all shocks. This implies that one cannot attribute unemployment volatility to real wage rigidity.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 2-3","pages":"613-626"},"PeriodicalIF":1.5,"publicationDate":"2023-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13056","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41269013","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Argument by False Analogy: The Mistaken Classification of Bitcoin as Token Money 错误类比的论证：比特币作为代币的错误分类
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-04-29 DOI: 10.1111/jmcb.13061
ALISTAIR MILNE
{"title":"Argument by False Analogy: The Mistaken Classification of Bitcoin as Token Money","authors":"ALISTAIR MILNE","doi":"10.1111/jmcb.13061","DOIUrl":"10.1111/jmcb.13061","url":null,"abstract":"<p>This paper documents inconsistent terminologies and misleading analogies in current discussions of digital money and payments. It offers a more consistent framework for understanding the potential of technological innovation in providing the functions of money and payments: as media of exchange, stores of value, and units of account and the implications of cryptographic technologies underpinning cryptocurrencies for the future of money and payments. These could support efficiency gains in money and payments, but decentralization is not inherent to their application. Radical reform leading to improved economic outcomes is conceivable, but not through disruptive displacement of existing institutional arrangements.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 8","pages":"2199-2222"},"PeriodicalIF":1.2,"publicationDate":"2023-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13061","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135847379","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Managing Bubbles in Experimental Asset Markets with Monetary Policy 用货币政策管理实验性资产市场的泡沫
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-04-29 DOI: 10.1111/jmcb.13050
MYRNA HENNEQUIN, CARS HOMMES
{"title":"Managing Bubbles in Experimental Asset Markets with Monetary Policy","authors":"MYRNA HENNEQUIN,&nbsp;CARS HOMMES","doi":"10.1111/jmcb.13050","DOIUrl":"10.1111/jmcb.13050","url":null,"abstract":"<p>We study the effect of a “leaning against the wind” monetary policy on asset price bubbles in a learning-to-forecast experiment, where prices are driven by the expectations of market participants. We find that a strong interest rate response is successful in preventing or deflating large price bubbles, while a weak response is not. Giving information about the interest rate changes and communicating the goal of the policy increases coordination of expectations and has a stabilizing effect. When the steady-state fundamental price is unknown and the interest rate rule is based on a proxy instead, the policy is less effective.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 2-3","pages":"429-454"},"PeriodicalIF":1.5,"publicationDate":"2023-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13050","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45190150","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Unconventional Monetary Policy and the Behavior of Shorts 非常规货币政策与空头行为
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-04-14 DOI: 10.1111/jmcb.13045
THOMAS MCINISH, CHRISTOPHER J. NEELY, JADE PLANCHON
{"title":"Unconventional Monetary Policy and the Behavior of Shorts","authors":"THOMAS MCINISH,&nbsp;CHRISTOPHER J. NEELY,&nbsp;JADE PLANCHON","doi":"10.1111/jmcb.13045","DOIUrl":"10.1111/jmcb.13045","url":null,"abstract":"<p>We investigate the behavior of shorts, considered sophisticated investors, before and after a set of Federal Reserve unconventional monetary policy announcements that spot bond markets did not fully anticipate. Short interest in agency securities systematically predicts bond price changes and other asset returns on the days of monetary announcements, particularly when growth or monetary news is released, indicating shorts correctly anticipate these surprises. Shorts also systematically rebalance after announcements in the direction of the announcement surprise when the announcement releases monetary or growth news, suggesting that shorts interpret these announcements to imply further yield changes in the same direction.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 4","pages":"805-835"},"PeriodicalIF":1.5,"publicationDate":"2023-04-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134998384","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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