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Journal of Money Credit and Banking最新文献

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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":"2015 1","pages":""},"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":"17 1","pages":""},"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
Foreign Exchange Intervention: A Data Set of Official Data and Estimates 外汇干预：官方数据和估算数据集
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2024-03-01 DOI: 10.1111/jmcb.13137
GUSTAVO ADLER, KYUN SUK CHANG, RUI C. MANO, YUTING SHAO
{"title":"Foreign Exchange Intervention: A Data Set of Official Data and Estimates","authors":"GUSTAVO ADLER, KYUN SUK CHANG, RUI C. MANO, YUTING SHAO","doi":"10.1111/jmcb.13137","DOIUrl":"https://doi.org/10.1111/jmcb.13137","url":null,"abstract":"A better understanding of foreign exchange intervention (FXI) is often hindered by the lack of data. This paper provides a new data set of FXI covering a large number of countries since 2000 at monthly and quarterly frequencies. It includes published official data for about 40 countries as well as carefully constructed estimates for 122 countries. Estimates account for a wide range of central bank operations, including both spot and derivative transactions. These estimates improve upon traditional proxies based on changes in reserves, by adjusting for valuation changes, income flows, and changes in other foreign‐currency balance sheet positions (both vis‐à‐vis residents and nonresidents)—the first estimates to do the latter to our knowledge—thus providing a more accurate measure of operations that change the central bank's foreign currency position. The data set also provides a classification of FXI operations into sterilized or not sterilized, a key dimension for economic analysis. Finally, the paper discusses the merits of the new estimates relative to traditional proxies, and presents stylized facts.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"83 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140025317","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 Role of Macro-Economic Policy in Explaining China's Current Account Surplus
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2024-02-29 DOI: 10.1111/jmcb.13139
NALINI PRASAD
{"title":"The Role of Macro-Economic Policy in Explaining China's Current Account Surplus","authors":"NALINI PRASAD","doi":"10.1111/jmcb.13139","DOIUrl":"https://doi.org/10.1111/jmcb.13139","url":null,"abstract":"<p>I assess how much of China's current account surplus can be explained by government policy of capital controls and foreign reserve accumulation during a period of rapid productivity growth. My model can generate an increase in China's current account surplus and foreign reserve holdings. I find that half of the peak in China's current account surplus can be explained by its capital control policies and half by its foreign reserve accumulation policies. Under an open capital account and floating exchange rate, China would have run a current account deficit of 6.5% of GDP.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"57 2-3","pages":"377-406"},"PeriodicalIF":1.2,"publicationDate":"2024-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13139","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143690262","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
The Deflationary Bias of the ZLB and the FED's Strategic Response ZLB 的通货紧缩倾向和美国联邦储备委员会的战略对策
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2024-02-29 DOI: 10.1111/jmcb.13140
ADRIAN PENALVER, DANIELE SIENA
{"title":"The Deflationary Bias of the ZLB and the FED's Strategic Response","authors":"ADRIAN PENALVER, DANIELE SIENA","doi":"10.1111/jmcb.13140","DOIUrl":"https://doi.org/10.1111/jmcb.13140","url":null,"abstract":"The paper shows, in a simple analytical framework, the existence of a deflationary bias in an economy with a low natural rate of interest, a zero lower bound (ZLB) constraint on nominal interest rates and a discretionary Central Bank (CB) with an inflation mandate. The presence of the ZLB prevents the CB from offsetting negative shocks to inflation whereas it can offset positive shocks. This asymmetry pushes average inflation below the target which in turn drags down inflation expectations and reinforces the likelihood of hitting the ZLB. We show that this deflationary bias is particularly relevant for a CB with a symmetric dual mandate (i.e., minimizing deviations from inflation and employment), especially when facing demand shocks. But a strict inflation targeter cannot escape the suboptimal deflationary equilibrium either. The deflationary bias can be mitigated by targeting “shortfalls” instead of “deviations” from maximum employment and/or using flexible average inflation targeting. However, changing monetary policy strategy risks inflation expectations becoming entrenched above the target if the natural interest rate increases.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"3 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2024-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140025302","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 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2024-02-29 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,&nbsp;ALEX GRIMAUD,&nbsp;ISABELLE SALLE,&nbsp;GAUTHIER VERMANDEL","doi":"10.1111/jmcb.13133","DOIUrl":"10.1111/jmcb.13133","url":null,"abstract":"<p>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.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"57 2-3","pages":"439-475"},"PeriodicalIF":1.2,"publicationDate":"2024-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13133","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":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Caution: Do Not Cross! Distance to Regulatory Capital Buffers and Corporate Lending in a Downturn 注意：请勿穿越！不要越过！经济衰退时监管资本缓冲与企业贷款的距离
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2024-02-17 DOI: 10.1111/jmcb.13135
CYRIL COUAILLIER, MARCO LO DUCA, ALESSIO REGHEZZA, COSTANZA RODRIGUEZ D'ACRI
{"title":"Caution: Do Not Cross! Distance to Regulatory Capital Buffers and Corporate Lending in a Downturn","authors":"CYRIL COUAILLIER, MARCO LO DUCA, ALESSIO REGHEZZA, COSTANZA RODRIGUEZ D'ACRI","doi":"10.1111/jmcb.13135","DOIUrl":"https://doi.org/10.1111/jmcb.13135","url":null,"abstract":"While banks are expected to draw down regulatory capital buffers in case of need during a crisis, we find that banks kept at a safe distance from regulatory buffers during the pandemic by procyclically reducing corporate lending. By exploiting granular credit register data, we show that banks with little capital headroom above their buffers reduced credit supply and that this behavior was amplified for banks that entered the crisis with larger undrawn credit lines. Affected firms were unable to fully rebalance their borrowing needs with other banks, although public guarantees mitigated banks' procyclical behavior and its real effect at the firm level. These findings raise concerns that the capital buffers introduced by Basel III may not be as countercyclical as intended.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"19 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2024-02-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139945640","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 Rationality Bias 理性偏见
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2024-02-15 DOI: 10.1111/jmcb.13122
TIM HAGENHOFF, JOEP LUSTENHOUWER, MIKE TSIONAS
{"title":"The Rationality Bias","authors":"TIM HAGENHOFF,&nbsp;JOEP LUSTENHOUWER,&nbsp;MIKE TSIONAS","doi":"10.1111/jmcb.13122","DOIUrl":"10.1111/jmcb.13122","url":null,"abstract":"<p>We analyze differences in consumption and wealth in an estimated New Keynesian model with rational and boundedly rational households. Shocks are shown to cause consumption and wealth heterogeneity due to the “rationality bias” of boundedly rational households. This bias can be decomposed into three components, which, for certain specifications of monetary policy, can exactly offset each other. Moreover, a more hawkish response to inflation leads to more volatility in consumption and wealth heterogeneity, which makes it optimal for the central bank to set lower coefficients in the Taylor rule than would have been the case under homogeneous rational expectations.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"57 2-3","pages":"515-547"},"PeriodicalIF":1.2,"publicationDate":"2024-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13122","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139945637","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
Housing, Distribution, and Welfare 住房、分配和福利
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2024-02-14 DOI: 10.1111/jmcb.13136
NOBUHIRO KIYOTAKI, ALEXANDER MICHAELIDES, KALIN NIKOLOV
{"title":"Housing, Distribution, and Welfare","authors":"NOBUHIRO KIYOTAKI,&nbsp;ALEXANDER MICHAELIDES,&nbsp;KALIN NIKOLOV","doi":"10.1111/jmcb.13136","DOIUrl":"10.1111/jmcb.13136","url":null,"abstract":"<p>Housing is a long-lived asset whose value is sensitive to variations in expectations of long-run growth rates and interest rates. When a large fraction of households has leverage, housing price fluctuations cause large-scale redistribution and consumption volatility. We find that a practical way to insure the young and the poor from the housing market fluctuations is through a well-functioning rental market. In practice, homeownership subsidies keep the rental market small and the housing cycle affects aggregate consumption. Removing homeownership subsidies hurts old homeowners, while leverage limits hurt young homeowners.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 5","pages":"981-1020"},"PeriodicalIF":1.2,"publicationDate":"2024-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139945807","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
Identifying the Depreciation Rate of Durables from Marginal Spending Responses 从边际支出反应确定耐用消费品的折旧率
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2024-02-14 DOI: 10.1111/jmcb.13134
JIN CAO, CHAO CUI, VALERIYA DINGER, MARTIN B. HOLM, SHULONG KANG
{"title":"Identifying the Depreciation Rate of Durables from Marginal Spending Responses","authors":"JIN CAO,&nbsp;CHAO CUI,&nbsp;VALERIYA DINGER,&nbsp;MARTIN B. HOLM,&nbsp;SHULONG KANG","doi":"10.1111/jmcb.13134","DOIUrl":"10.1111/jmcb.13134","url":null,"abstract":"<p>This paper presents a new method to estimate the depreciation rate of durable goods using a combination of identified marginal and average spending shares. We apply our method to Chinese spending responses to disposable income changes induced by monetary policy in 2008–09. The marginal total spending response is 0.40. About 46% of this marginal spending response is due to durable goods. By combining this marginal spending share on durables with an average spending share of 14%, we estimate the annual depreciation rate of durables in China to be 0.17.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"57 1","pages":"223-241"},"PeriodicalIF":1.2,"publicationDate":"2024-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13134","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140527717","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
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