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Oil Strikes Back: Trend Factors and Exchange Rates 石油反击战：趋势因素与汇率
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2024-03-26 DOI: 10.1111/jmcb.13146
LIYAN HAN, YANG XU, QUNZI ZHANG, XIAONENG ZHU
{"title":"Oil Strikes Back: Trend Factors and Exchange Rates","authors":"LIYAN HAN, YANG XU, QUNZI ZHANG, XIAONENG ZHU","doi":"10.1111/jmcb.13146","DOIUrl":"https://doi.org/10.1111/jmcb.13146","url":null,"abstract":"A well‐known puzzle in international finance is that, to predict exchange rate returns, existing predictive models often perform worse than the naive random walk (RW) model. In this paper, we construct an oil trend factor which performs better than the RW model. More importantly, an oil‐trend‐based dynamic trading strategy can generate superior economic values. This result holds in both developed and emerging markets, with different forecasting horizons, with different specifications of trend factors, and across different currencies. Finally, we explore the economic link for the powerful predictability of the oil trend factor.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2024-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140598878","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
Inflation—Who Cares? Monetary Policy in Times of Low Attention 通货膨胀--谁在乎？低关注度时期的货币政策
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2024-03-25 DOI: 10.1111/jmcb.13145
OLIVER PFÄUTI
{"title":"Inflation—Who Cares? Monetary Policy in Times of Low Attention","authors":"OLIVER PFÄUTI","doi":"10.1111/jmcb.13145","DOIUrl":"https://doi.org/10.1111/jmcb.13145","url":null,"abstract":"I propose an approach to quantify attention to inflation and show that attention declined after the Great Inflation period. This decline in attention has important implications for monetary policy as it renders managing inflation expectations more difficult and can lead to inflation‐attention traps: prolonged periods of a binding lower bound and low inflation due to slowly adjusting inflation expectations. As attention declines, the optimal policy response is to increase the inflation target. The lower bound fundamentally changes the normative implications of declining attention: lower attention raises welfare absent the lower‐bound constraint, whereas it decreases welfare when accounting for the lower bound.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2024-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140598877","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 Interaction between Credit Constraints and Uncertainty Shocks 信贷约束与不确定性冲击之间的相互作用
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2024-03-25 DOI: 10.1111/jmcb.13143
PRATITI CHATTERJEE, DAVID GUNAWAN, ROBERT KOHN
{"title":"The Interaction between Credit Constraints and Uncertainty Shocks","authors":"PRATITI CHATTERJEE, DAVID GUNAWAN, ROBERT KOHN","doi":"10.1111/jmcb.13143","DOIUrl":"https://doi.org/10.1111/jmcb.13143","url":null,"abstract":"This paper proposes a novel link between credit markets and uncertainty shocks. We introduce a role for credit uncertainty via collateral constraints in an otherwise standard real business cycle (RBC) model and show that an increase in credit uncertainty triggers a precautionary response that interacts with the collateral constraint to generate a simultaneous decline in output, consumption, investment, real wages, and hours; a feature that previous work on uncertainty shocks without credit constraints is unable to produce in a flexible‐price environment. We also empirically test the theoretical predictions and show that an unforeseen increase in credit uncertainty generates a simultaneous decline in a broad measure of real activity in recessions.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2024-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140598845","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
Household Income, Portfolio Choice, and Heterogeneous Consumption Responses to Monetary Policy Shocks 家庭收入、投资组合选择和异质消费对货币政策冲击的反应
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2024-03-25 DOI: 10.1111/jmcb.13147
FUMITAKA NAKAMURA
{"title":"Household Income, Portfolio Choice, and Heterogeneous Consumption Responses to Monetary Policy Shocks","authors":"FUMITAKA NAKAMURA","doi":"10.1111/jmcb.13147","DOIUrl":"https://doi.org/10.1111/jmcb.13147","url":null,"abstract":"This paper quantifies the roles played by income‐level heterogeneity in the response of consumption to monetary policy shocks using U.S. household data. We show empirically that the response of consumption to expansionary monetary policy shocks is larger for high‐income households than for low‐income households. Empirical facts related to household characteristics suggest two channels: the presence of illiquid assets and heterogeneity in government transfers. Motivated by these empirical findings, we develop a model that incorporates illiquid assets and heterogeneity in government transfers to quantify the importance. Simulations based on the model indicate that the presence of illiquid assets, whose return increases in response to expansionary monetary shocks, is essential for explaining the heterogeneous consumption response.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2024-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140297503","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
Determinants of the Credit Cycle: A Flow Analysis of the Extensive Margin 信贷周期的决定因素：外延边际的流动分析
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2024-03-24 DOI: 10.1111/jmcb.13150
VINCENZO CUCINIELLO, NICOLA DI IASIO
{"title":"Determinants of the Credit Cycle: A Flow Analysis of the Extensive Margin","authors":"VINCENZO CUCINIELLO, NICOLA DI IASIO","doi":"10.1111/jmcb.13150","DOIUrl":"https://doi.org/10.1111/jmcb.13150","url":null,"abstract":"Examining two decades of loan‐level data on Italian bank loans to households and businesses, we find that credit fluctuations primarily result from changes in the number of borrowers (extensive margin). Employing a flow approach, we decompose the extensive margin into inflows and outflows, revealing that borrower inflows significantly contribute to total borrower volatility. Moreover, borrower inflows exhibit greater volatility than outflows, are procyclical, and lead the business cycle. Utilizing a shift‐and‐share instrument derived from sectoral borrower inflows, our findings reveal that local markets experiencing increased credit demand exhibit a loosening of lending standards and a rise in bad loans. This sheds light on the intricate relationship between credit demand and financial instability at the local level.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2024-03-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140599232","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
Measuring Monetary Policy Shocks in Emerging Economies: Evidence from India 衡量新兴经济体的货币政策冲击：印度的证据
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2024-03-22 DOI: 10.1111/jmcb.13144
AEIMIT LAKDAWALA, RAJESWARI SENGUPTA
{"title":"Measuring Monetary Policy Shocks in Emerging Economies: Evidence from India","authors":"AEIMIT LAKDAWALA, RAJESWARI SENGUPTA","doi":"10.1111/jmcb.13144","DOIUrl":"https://doi.org/10.1111/jmcb.13144","url":null,"abstract":"In this paper, we provide a template for constructing monetary policy shocks for emerging economies. Our approach synthesizes financial data with a narrative analysis of central bank communication and related media coverage. We create a publicly available time‐series database of policy dates and shocks for the Reserve Bank of India (RBI). Our shocks suggest that financial markets infer information about the future path of policy rate from RBI communication. Bond and stock markets react strongly to these monetary shocks but exhibit heterogeneity across governor regimes. Finally, we use the shocks as external instruments to identify the impact on macro‐economic variables.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2024-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140198742","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
Market Freezes 市场冻结
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2024-03-22 DOI: 10.1111/jmcb.13148
CHAO GU, GUIDO MENZIO, RANDALL WRIGHT, YU ZHU
{"title":"Market Freezes","authors":"CHAO GU,&nbsp;GUIDO MENZIO,&nbsp;RANDALL WRIGHT,&nbsp;YU ZHU","doi":"10.1111/jmcb.13148","DOIUrl":"10.1111/jmcb.13148","url":null,"abstract":"<p>Market freezes are an interesting and theoretically challenging phenomenon —they are observed empirically, but cannot occur in standard models. This paper develops a formal theory of recurrent freezes emphasizing liquidity and self-fulfilling prophecies. While it is well understood how to get hot and cold spells, where prices and quantities fluctuate, we get asset market freezes and thaws where trade completely stops and starts. The simplest specification gets this using negative asset returns. Other specifications use information frictions or fixed costs. We also consider credit freezes, analyze the extent to which the decentralized nature of trade matters, and discuss policy implications.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2024-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140198674","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
Intensive and Extensive Margins of Labor Supply in HANK: Aggregate and Disaggregate Implications 汉克劳动供给的密集边际和外延边际：总量和分类影响
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2024-03-08 DOI: 10.1111/jmcb.13141
EUNSEONG MA
{"title":"Intensive and Extensive Margins of Labor Supply in HANK: Aggregate and Disaggregate Implications","authors":"EUNSEONG MA","doi":"10.1111/jmcb.13141","DOIUrl":"https://doi.org/10.1111/jmcb.13141","url":null,"abstract":"This paper studies how adjustment along intensive and extensive margins of labor supply affects aggregate and disaggregate effects of monetary policy. To this end, I develop a heterogeneous-agent New Keynesian (HANK) economy where a nonlinear mapping from hours worked into labor services generates operative adjustment along intensive and extensive margins of labor supply. I find that monetary policy has significantly different effects on earnings inequality, depending on the extent to which margin is dominant, even if it generates similar aggregate responses.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2024-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140072068","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
Price Stickiness Heterogeneity and Equilibrium Determinacy 价格粘性异质性与均衡决定性
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2024-03-07 DOI: 10.1111/jmcb.13138
JAE WON LEE, WOONG YONG PARK
{"title":"Price Stickiness Heterogeneity and Equilibrium Determinacy","authors":"JAE WON LEE, WOONG YONG PARK","doi":"10.1111/jmcb.13138","DOIUrl":"https://doi.org/10.1111/jmcb.13138","url":null,"abstract":"Monetary policy can achieve equilibrium determinacy with considerably weak responses to inflation under price stickiness heterogeneity. The result holds in a sticky-price model with the constant elasticity-of-substitution aggregator and no trend inflation, and with a variable elasticity-of-substitution aggregator and historical trend inflation. The evidence in favor of the view that the U.S. economy was subject to self-fulfilling expectations-driven fluctuations in the pre-Volcker period and the systematic shift in monetary policy was crucial in subsequent stabilization of inflation appears much weaker through the lens of price stickiness heterogeneity than previously concluded in the literature under price stickiness homogeneity.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2024-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140071935","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
Social Learning and Monetary Policy at the Effective Lower Bound 有效下限的社会学习与货币政策
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2024-03-01 DOI: 10.1111/jmcb.13133
JASMINA ARIFOVIC, ALEX GRIMAUD, ISABELLE SALLE, GAUTHIER VERMANDEL
{"title":"Social Learning and Monetary Policy at the Effective Lower Bound","authors":"JASMINA ARIFOVIC, ALEX GRIMAUD, ISABELLE SALLE, GAUTHIER VERMANDEL","doi":"10.1111/jmcb.13133","DOIUrl":"https://doi.org/10.1111/jmcb.13133","url":null,"abstract":"This paper develops a model that jointly accounts for the missing disinflation in the wake of the Great Recession and the subsequently observed inflation‐less recovery. The key mechanism works through heterogeneous expectations that may durably lose their anchoring to the central bank (CB)'s target and coordinate on particularly persistent below‐target paths. The welfare cost associated with persistent low inflation may be reduced if the CB announces to the agents its target or its own inflation forecasts, as communication helps coordinate expectations. However, the CB may lose its credibility whenever its announcements become decoupled from actual inflation.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140025106","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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