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Journal of Money Credit and Banking最新文献

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Precautionary Money Demand in a Cash-in-Advance Model 预付现金模式中的预防性货币需求
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2024-01-21 DOI: 10.1111/jmcb.13131
SERGIO SALAS
{"title":"Precautionary Money Demand in a Cash-in-Advance Model","authors":"SERGIO SALAS","doi":"10.1111/jmcb.13131","DOIUrl":"https://doi.org/10.1111/jmcb.13131","url":null,"abstract":"While numerous studies in monetary economics explore inflation, interest rates, stock returns, and money velocity, a model seamlessly linking these interactions remains elusive. One crucial omission in this literature is idiosyncratic precautionary money demand, a prominent feature in the data. This paper addresses this gap by presenting a simple model where precautionary money demand arises from heterogeneous household liquidity needs. Despite its intricate heterogeneity, the model allows straightforward aggregation, enabling analysis of its implications for household portfolios composed of cash, government bonds, and equities. The empirical analysis spans the period 1959.I–2022.I. Notably, the model captures crucial time-series properties that models without the idiosyncratic element fail to achieve.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"16 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2024-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139518548","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
Determinacy and E-Stability with Interest Rate Rules at the Zero Lower Bound 零下限利率规则的确定性和电子稳定性
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2024-01-21 DOI: 10.1111/jmcb.13129
YUNJONG EO, NIGEL MCCLUNG
{"title":"Determinacy and E-Stability with Interest Rate Rules at the Zero Lower Bound","authors":"YUNJONG EO, NIGEL MCCLUNG","doi":"10.1111/jmcb.13129","DOIUrl":"https://doi.org/10.1111/jmcb.13129","url":null,"abstract":"We evaluate and compare alternative interest rate rules, namely, average inflation targeting (AIT), price-level targeting (PLT), and traditional inflation targeting rules, in a standard New Keynesian model that features recurring, transient zero lower bound regimes. We use determinacy and expectational stability (E-stability) of equilibrium as the criteria for stabilization policy. We find that PLT policy, including nominal GDP targeting as a special case, most effectively promotes determinacy and E-stability among the policy frameworks, whereas standard inflation targeting rules are prone to indeterminacy. AIT can induce determinacy and E-stability effectively, provided the averaging window is sufficiently long.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"83 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2024-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139518457","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 Test of the Permanent Income Hypothesis When Households are Less Constrained 家庭受限程度较低时的永久收入假说检验
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2024-01-07 DOI: 10.1111/jmcb.13124
EMMA AISBETT, MARKUS BRUECKNER, RALF STEINHAUSER, RHETT WILCOX
{"title":"A Test of the Permanent Income Hypothesis When Households are Less Constrained","authors":"EMMA AISBETT, MARKUS BRUECKNER, RALF STEINHAUSER, RHETT WILCOX","doi":"10.1111/jmcb.13124","DOIUrl":"https://doi.org/10.1111/jmcb.13124","url":null,"abstract":"In 2009, the Australian Government delivered approximately $8 billion in direct payments to households. These payments were randomly allocated over a 5-week period. Panel model estimates show that for the average household, there was no significant disbursement effect on nondurable consumption. Only for relatively young and low-income households, for example, at the bottom 10th percentile of each, was there a significant positive effect of the tax bonus payment on nondurable consumption. We argue the null findings on average could be due to macroeconomic and institutional differences leaving Australian households less constrained than their U.S. counterparts.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"12 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2024-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139411099","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
Capturing Macro-Economic Tail Risks with Bayesian Vector Autoregressions 用贝叶斯向量自回归捕捉宏观经济尾部风险
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-12-27 DOI: 10.1111/jmcb.13121
ANDREA CARRIERO, TODD E. CLARK, MASSIMILIANO MARCELLINO
{"title":"Capturing Macro-Economic Tail Risks with Bayesian Vector Autoregressions","authors":"ANDREA CARRIERO,&nbsp;TODD E. CLARK,&nbsp;MASSIMILIANO MARCELLINO","doi":"10.1111/jmcb.13121","DOIUrl":"10.1111/jmcb.13121","url":null,"abstract":"<p>Many studies using quantile regressions (QRs) have found that downside risk to output growth varies more than upside risk. We show that Bayesian vector autoregressions (BVARs) with stochastic volatility are able to capture tail risks in forecast distributions. Even though the one-step-ahead conditional predictive distributions from the conventional stochastic volatility specification are symmetric, forecasts of downside risks to output growth are more variable than upside risks, and the reverse applies in the case of inflation and unemployment. Overall, BVAR models perform comparably to QR for estimating and forecasting tail risks, complementing BVARs' established performance for forecasting and structural analysis.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 5","pages":"1099-1127"},"PeriodicalIF":1.2,"publicationDate":"2023-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139064571","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
Unconventional Monetary Policy and Long-Term Interest Rates 非常规货币政策与长期利率
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-12-22 DOI: 10.1111/jmcb.13111
TAO WU
{"title":"Unconventional Monetary Policy and Long-Term Interest Rates","authors":"TAO WU","doi":"10.1111/jmcb.13111","DOIUrl":"10.1111/jmcb.13111","url":null,"abstract":"<p>This paper constructs a survey-based measure capturing the evolution of market's expectations of the Federal Reserve's Large-Scale Asset Purchases (LSAP) program during 2008–18, and examines the transmission mechanism of unconventional monetary policy. Estimation results suggest that both signaling and portfolio balance channels of the LSAP were important in lowering long-term interest rates; Moreover, the Federal Reserve's forward guidance policy had led to a gradual extension of market's projections of the duration of the LSAP, making its effects more persistent. Model estimation also explains the 2013 taper tantrum well, and suggests that the LSAP's effects might have declined during QE III.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 8","pages":"2061-2104"},"PeriodicalIF":1.2,"publicationDate":"2023-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139034998","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
Financial Development and Innovation: The Role of Market Structure* 金融发展与创新：市场结构的作用*
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-12-20 DOI: 10.1111/jmcb.13125
XIAOYANG ZHU, JAEBEOM KIM
{"title":"Financial Development and Innovation: The Role of Market Structure*","authors":"XIAOYANG ZHU, JAEBEOM KIM","doi":"10.1111/jmcb.13125","DOIUrl":"https://doi.org/10.1111/jmcb.13125","url":null,"abstract":"We assess how financial development affects innovation. For this purpose, we employ a unique Research Quotient data set from 1980 to 2018, and observe significant inverted-U effects of financial development on innovation for equity and credit markets. Specifically, the effects of the markets are sector-specific, implying that the inverted-U effect of the equity market on innovation is mainly driven by its diminishing effect on innovation in high-technology industries, while credit markets mostly affect innovation in non-high-technology industries. Regarding the mechanism, we posit that the inverted-U shape between finance and innovation may be explained by the disproportionate funds allocation-induced market concentration.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"486 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2023-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138823692","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
How Well Does Uncertainty Forecast Economic Activity? 不确定性对经济活动的预测效果如何？
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-12-20 DOI: 10.1111/jmcb.13123
JIAWEN XU, JOHN ROGERS
{"title":"How Well Does Uncertainty Forecast Economic Activity?","authors":"JIAWEN XU, JOHN ROGERS","doi":"10.1111/jmcb.13123","DOIUrl":"https://doi.org/10.1111/jmcb.13123","url":null,"abstract":"We evaluate the forecasting ability of several popular measures of uncertainty. We construct new real-time versions of both macro-economic and financial uncertainty, and analyze them together with their <i>ex post</i> counterparts. We find some explanatory power in all uncertainty measures, with relatively good performance by <i>ex post</i> macro-economic and financial uncertainty. However, real-time versions perform only about as well as other uncertainty measures such as economic policy uncertainty (EPU), a finding we relate to data revisions in the construction of <i>ex post</i> uncertainty. Real-time data and estimation considerations are highly consequential, owing to look-ahead bias. Real-time uncertainty forecasts real-time outcome variables better than it forecasts <i>ex post</i> revised outcome variables.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"19 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2023-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138823464","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
What Do (and Don't) Forecasters Know About U.S. Inflation? 预测者对美国通货膨胀了解多少？
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-12-18 DOI: 10.1111/jmcb.13108
JANE RYNGAERT
{"title":"What Do (and Don't) Forecasters Know About U.S. Inflation?","authors":"JANE RYNGAERT","doi":"10.1111/jmcb.13108","DOIUrl":"https://doi.org/10.1111/jmcb.13108","url":null,"abstract":"This paper contributes to and extends our current understanding of information frictions in expectations. I first propose a new framework for estimating noisy information using individual forecasts. I further extend this framework to incorporate misperceptions on the part of economic agents about the persistence of the underlying process being forecasted. Applying this framework to the U.S. inflation, forecasts of professional forecasters suggest a systematic overestimation on the part of forecasters of the persistence of inflation in addition to the presence of noisy signals. Using a structural model that incorporates both noisy signals and misperceptions of persistence, I quantify the relative importance of each channel in accounting for the expectations formation process of these agents. The results indicate that, even for professional forecasters, there are multiple forces that generate economically significant deviations from full information.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"19 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2023-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138823344","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
Contingent Contracts in Banking: Insurance or Risk Magnification? 银行业中的或有合同：保险还是风险放大？
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-12-17 DOI: 10.1111/jmcb.13113
HANS GERSBACH
{"title":"Contingent Contracts in Banking: Insurance or Risk Magnification?","authors":"HANS GERSBACH","doi":"10.1111/jmcb.13113","DOIUrl":"https://doi.org/10.1111/jmcb.13113","url":null,"abstract":"What happens when banks compete with deposit and loan contracts contingent on macro-economic shocks? The private sector insures the banking system efficiently against crises through such contracts when failing banks go bankrupt. When risks are large, banks may shift part of the risk to depositors who receive state-contingent contracts. In contrast, when failing banks are rescued, new phenomena such as risk magnification emerge. Depositors receive noncontingent contracts, while loan contracts demand high repayment in good times and low repayment in bad times. Banks overinvest and generate large macro-economic risks, even if the underlying productivity risk is small or zero.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"34 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2023-12-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138714429","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
Did High Leverage Render Small Businesses Vulnerable to the COVID-19 Shock? 高杠杆率是否使小企业容易受到 COVID-19 的冲击？
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-12-10 DOI: 10.1111/jmcb.13118
FALK BRÄUNING, JOSÉ L. FILLAT, J. CHRISTINA WANG
{"title":"Did High Leverage Render Small Businesses Vulnerable to the COVID-19 Shock?","authors":"FALK BRÄUNING,&nbsp;JOSÉ L. FILLAT,&nbsp;J. CHRISTINA WANG","doi":"10.1111/jmcb.13118","DOIUrl":"10.1111/jmcb.13118","url":null,"abstract":"<p>Using supervisory data on small and midsized nonfinancial enterprises (SMEs), we find that those SMEs with higher leverage faced tighter constraints in accessing bank credit after the COVID-19 outbreak in spring 2020. Specifically, SMEs with higher pre-COVID leverage obtained a smaller volume of new loans and had to pay a higher spread on them during the pandemic period. Consistent with an inward shift in loan supply, these effects were concentrated in loans originated by banks with below-median capital buffers. Highly levered SMEs that relied on low-capital large banks for funding before the pandemic were not able to substitute to other sources of debt financing and thus experienced more of a reduction in total debt as well as a decline in investment and employment. On the other hand, the unprecedented public support, especially the Paycheck Protection Program (PPP), mitigated the adverse real effect stemming from bank credit constraints.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 6","pages":"1367-1403"},"PeriodicalIF":1.2,"publicationDate":"2023-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138581439","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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