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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":"1 1","pages":""},"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
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 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
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 1.5 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, JOEP LUSTENHOUWER, MIKE TSIONAS","doi":"10.1111/jmcb.13122","DOIUrl":"https://doi.org/10.1111/jmcb.13122","url":null,"abstract":"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.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"2014 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2024-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","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":"","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
The Effects of Regulatory Office Closures on Bank Behavior 关闭监管办公室对银行行为的影响
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2024-02-11 DOI: 10.1111/jmcb.13126
IVAN LIM, JENS HAGENDORFF, SETH ARMITAGE
{"title":"The Effects of Regulatory Office Closures on Bank Behavior","authors":"IVAN LIM, JENS HAGENDORFF, SETH ARMITAGE","doi":"10.1111/jmcb.13126","DOIUrl":"https://doi.org/10.1111/jmcb.13126","url":null,"abstract":"We investigate if the decentralized structure of regulatory office networks influences supervisory outcomes and bank behavior. Following the closure of an office, banks previously supervised by that office increase their lending and risk-taking. As a result, affected banks have larger loan losses and higher failure rates during the 2008–09 financial crisis. Analysis of the channels suggests that proximate supervisors enforce timelier provisioning practices, restrict large cash payouts, and provide advice that increases a bank's risk-adjusted returns. Overall, our findings imply that geographical proximity reduces informational frictions in supervisory monitoring and leads to more stable banks.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"77 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2024-02-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139764215","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 Effect of Job Loss on Bank Account Ownership 失业对银行账户所有权的影响
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2024-02-03 DOI: 10.1111/jmcb.13127
RYAN M. GOODSTEIN, MARK J. KUTZBACH
{"title":"The Effect of Job Loss on Bank Account Ownership","authors":"RYAN M. GOODSTEIN,&nbsp;MARK J. KUTZBACH","doi":"10.1111/jmcb.13127","DOIUrl":"https://doi.org/10.1111/jmcb.13127","url":null,"abstract":"<p>We estimate the effect of job loss on households’ bank account ownership using novel data: Federal Deposit Insurance Corporation (FDIC)-sponsored biennial supplements to the Current Population Survey (CPS), linked to respondents’ work history in surrounding months constructed from the Basic Monthly CPS. Leveraging differences in the timing of unemployment spells across households, we show that job loss leads to a large decrease in the likelihood of having an account among the lower-income, renter households we study. Job loss also leads to increased use of other products and services that might substitute for a bank account, including prepaid cards, check cashing, and money orders.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 8","pages":"1963-2000"},"PeriodicalIF":1.2,"publicationDate":"2024-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142860028","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
Digging Deeper—Evidence on the Effects of Macroprudential Policies from a New Database 深入挖掘--来自新数据库的宏观审慎政策效果证据
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2024-01-22 DOI: 10.1111/jmcb.13130
ZOHAIR ALAM, ADRIAN ALTER, JESSE EISEMAN, GASTON GELOS, HEEDON KANG, MACHIKO NARITA, ERLEND NIER, NAIXI WANG
{"title":"Digging Deeper—Evidence on the Effects of Macroprudential Policies from a New Database","authors":"ZOHAIR ALAM, ADRIAN ALTER, JESSE EISEMAN, GASTON GELOS, HEEDON KANG, MACHIKO NARITA, ERLEND NIER, NAIXI WANG","doi":"10.1111/jmcb.13130","DOIUrl":"https://doi.org/10.1111/jmcb.13130","url":null,"abstract":"This paper introduces a comprehensive database of macroprudential policies, which covers 134 countries from January 1990. Using a novel numerical indicator of the tightness of loan-to-value (LTV) regulations, we estimate the policy effects of incremental tightening in LTV limits, employing a propensity score–based method to address endogeneity concerns. The results point to economically significant and nonlinear effects on household credit, with a declining per-unit impact for larger tightening measures. The analysis indicates that policy leakage effects could be a factor behind the nonlinear effects. We finally find that the side effects of macroprudential policies on consumption and output are relatively small.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"213 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2024-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139518706","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
Trade-Off Theory for Dual Holders 双重持有者的权衡理论
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2024-01-22 DOI: 10.1111/jmcb.13128
SNORRE LINDSET, GUTTORM NYGÅRD, SVEIN-ARNE PERSSON
{"title":"Trade-Off Theory for Dual Holders","authors":"SNORRE LINDSET,&nbsp;GUTTORM NYGÅRD,&nbsp;SVEIN-ARNE PERSSON","doi":"10.1111/jmcb.13128","DOIUrl":"10.1111/jmcb.13128","url":null,"abstract":"<p>A dual holder simultaneously owns (private) debt and equity in the same firm. Private debt has a tax advantage, a positive cashflow, which incentivizes its use. This cashflow leads to a lower net cost of debt, which again reduces default risk as well as the cost of external debt. The usual trade-off between tax benefits and bankruptcy costs is altered. Debt priority affects both financing and default decisions. We find that an enterprise-value maximizing firm should issue senior, external debt and junior, private debt, rather than debt with <i>pari-passu</i> priority. Our analysis further highlights that tax authorities can effectively curtail the tax-motivated use of private debt through straightforward measures.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 7","pages":"1611-1643"},"PeriodicalIF":1.2,"publicationDate":"2024-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13128","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139518454","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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