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Forbearance versus Foreclosure in a General Equilibrium Model 一般均衡模型中的忍耐与止赎
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-12-06 DOI: 10.1111/jmcb.13120
BIANCA BARBARO, PATRIZIO TIRELLI
{"title":"Forbearance versus Foreclosure in a General Equilibrium Model","authors":"BIANCA BARBARO, PATRIZIO TIRELLI","doi":"10.1111/jmcb.13120","DOIUrl":"https://doi.org/10.1111/jmcb.13120","url":null,"abstract":"In a business cycle model with endogenous firms' dynamics and debt renegotiation, we show that during financial crises loan forbearance does not harm the economy unless banks imperfectly monitor loans, and loan opacity worsens banks' moral hazard problem. Aggressive interest rate reductions and quantitative easing limit defaults and financial crisis-induced output contractions without hampering the entry of new firm entries. The decline in the natural interest rate, due to slower productivity growth and persistent liquidity shocks, potentially explains the observed long-term trend in nonperforming loan shares.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":" 6","pages":""},"PeriodicalIF":1.5,"publicationDate":"2023-12-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138492974","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
Estimating a Behavioral New Keynesian Model with the Zero Lower Bound 估计一个具有零下界的行为新凯恩斯主义模型
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-12-06 DOI: 10.1111/jmcb.13117
YASUO HIROSE, HIROKUNI IIBOSHI, MOTOTSUGU SHINTANI, KOZO UEDA
{"title":"Estimating a Behavioral New Keynesian Model with the Zero Lower Bound","authors":"YASUO HIROSE,&nbsp;HIROKUNI IIBOSHI,&nbsp;MOTOTSUGU SHINTANI,&nbsp;KOZO UEDA","doi":"10.1111/jmcb.13117","DOIUrl":"10.1111/jmcb.13117","url":null,"abstract":"<p>We estimate a New Keynesian model incorporating two notable features: bounded rationality and the zero lower bound on the nominal interest rate. Our Bayesian estimation of a nonlinear model shows that the model with bounded rationality better fits the U.S. data than its rational expectations counterpart, and that both households and firms exhibit a substantial degree of bounded rationality. Moreover, we demonstrate that bounded rationality expands a parameter region in which the model can be estimated and weakens the power of forward guidance.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 8","pages":"2185-2197"},"PeriodicalIF":1.2,"publicationDate":"2023-12-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138492973","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
Gross Worker Flows over the Life Cycle 整个生命周期的总工人流量
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-12-06 DOI: 10.1111/jmcb.13114
TOMAZ CAJNER, İLHAN GÜNER, TOSHIHIKO MUKOYAMA
{"title":"Gross Worker Flows over the Life Cycle","authors":"TOMAZ CAJNER, İLHAN GÜNER, TOSHIHIKO MUKOYAMA","doi":"10.1111/jmcb.13114","DOIUrl":"https://doi.org/10.1111/jmcb.13114","url":null,"abstract":"We analyze the gross worker flows over the life cycle by constructing a quantitative general equilibrium model. Using U.S. data, we first document the life-cycle patterns of flows across different labor market states (employment, unemployment, and not in the labor force), as well as job-to-job transitions. We then build a model of the aggregate labor market that incorporates the life cycle of workers, consumption-saving decisions, and labor market frictions. We estimate the model and use it to examine the effects of policies on aggregate labor market outcomes. In particular, we analyze a taxes-and-transfers policy and an unemployment insurance policy.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":" 5","pages":""},"PeriodicalIF":1.5,"publicationDate":"2023-12-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138492975","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 Matching Function and Nonlinear Business Cycles 匹配函数与非线性经济周期
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-12-05 DOI: 10.1111/jmcb.13115
JOSHUA BERNSTEIN, ALEXANDER W. RICHTER, NATHANIEL A. THROCKMORTON
{"title":"The Matching Function and Nonlinear Business Cycles","authors":"JOSHUA BERNSTEIN, ALEXANDER W. RICHTER, NATHANIEL A. THROCKMORTON","doi":"10.1111/jmcb.13115","DOIUrl":"https://doi.org/10.1111/jmcb.13115","url":null,"abstract":"The Cobb-Douglas matching function is ubiquitous in labor search and matching models, even though it imposes a constant matching elasticity that is unlikely to hold empirically. To examine the implications of this discrepancy, this paper uses a general constant returns to scale matching function to derive conditions that show how the cyclicality of the matching elasticity affects the shape of the job finding rate as a function of productivity and amplifies or dampens nonlinear labor market dynamics. It then shows that modest variation in the matching elasticity, consistent with recent estimates, significantly affects higher order moments and optimal policy. This motivates research that can provide greater clarity on the matching function specification.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":" 8","pages":""},"PeriodicalIF":1.5,"publicationDate":"2023-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138492972","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
Parameterizing Debt Maturity 参数化债务期限
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-12-04 DOI: 10.1111/jmcb.13116
PHILIP BARRETT, CHRISTOPHER JOHNS
{"title":"Parameterizing Debt Maturity","authors":"PHILIP BARRETT,&nbsp;CHRISTOPHER JOHNS","doi":"10.1111/jmcb.13116","DOIUrl":"10.1111/jmcb.13116","url":null,"abstract":"<p>We examine ways to describe the maturity structure of public debts using few parameters. We compile a novel data set of all promised future payments for U.S. and UK government debt from every month since 1869, and more recently for Peru, Poland, Egypt, and Nigeria. We show there is a unique parametric form which does not arbitrarily restrict debt issuance. We use this model to parsimoniously describe the evolution of public debt maturities and to characterize the relationship between maturity and the term structure of interest rates in the United States since 1940.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 6","pages":"1321-1365"},"PeriodicalIF":1.2,"publicationDate":"2023-12-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138492971","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
Can Repatriation Tax Holidays Teach Us Something About Monetary Policy Transmission? 汇回税期对货币政策传导有何启示?
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-11-29 DOI: 10.1111/jmcb.13112
ESTEBAN ARGUDO
{"title":"Can Repatriation Tax Holidays Teach Us Something About Monetary Policy Transmission?","authors":"ESTEBAN ARGUDO","doi":"10.1111/jmcb.13112","DOIUrl":"https://doi.org/10.1111/jmcb.13112","url":null,"abstract":"I study the “bank lending channel” using the 2004 repatriation tax holiday as a natural experiment. I isolate the effect of the repatriated funds on loan supply by (i) comparing the differences in lending between multinational and domestic banks pre- and postrepatriation and (ii) using the change in cash holdings abroad as an instrument for the repatriated funds. My results support the existence of the “bank lending channel.” I document that each additional repatriated dollar led to an increase of $0.04 in lending, which is driven entirely by commercial and industrial loans.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"13 6","pages":""},"PeriodicalIF":1.5,"publicationDate":"2023-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138496091","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
Flight to Safety or Liquidity? Dissecting Liquidity Shortages in the Financial Crisis 避险还是变现?剖析金融危机中的流动性短缺
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-11-23 DOI: 10.1111/jmcb.13107
FENG DONG, YI WEN
{"title":"Flight to Safety or Liquidity? Dissecting Liquidity Shortages in the Financial Crisis","authors":"FENG DONG, YI WEN","doi":"10.1111/jmcb.13107","DOIUrl":"https://doi.org/10.1111/jmcb.13107","url":null,"abstract":"We differentiate the liquidity and the quality of private assets in a tractable incomplete-market model with heterogeneous agents. The model decomposes the convenience yield of government bonds into a “liquidity premium” (flight to liquidity) and a “safety premium” (flight to quality) over the business cycle. When calibrated to match the U.S. aggregate output fluctuations and bond premiums, the model reveals that a sharp reduction in the quality, instead of the liquidity, of private assets was the culprit of the recent financial crisis, consistent with the perception that it was the subprime-mortgage problem that triggered the Great Recession. Since the provision of public liquidity endogenously affects the provision of private liquidity, our model indicates that excessive injection of public liquidity during a financial crisis can be welfare reducing under either conventional or unconventional policies. In particular, too much intervention for too long can depress capital investment.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"13 7","pages":""},"PeriodicalIF":1.5,"publicationDate":"2023-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138496090","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
From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multihorizon Uncertainty from Survey Density Forecasts 从固定事件到固定视界密度预测:从调查密度预测中获得多视界不确定性的度量
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-11-23 DOI: 10.1111/jmcb.13105
GERGELY GANICS, BARBARA ROSSI, TATEVIK SEKHPOSYAN
{"title":"From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multihorizon Uncertainty from Survey Density Forecasts","authors":"GERGELY GANICS,&nbsp;BARBARA ROSSI,&nbsp;TATEVIK SEKHPOSYAN","doi":"10.1111/jmcb.13105","DOIUrl":"10.1111/jmcb.13105","url":null,"abstract":"<p>The U.S. Survey of Professional Forecasters produces precise and timely point forecasts for key macro-economic variables. However, the accompanying density forecasts are mostly conducted for “fixed events.” For example, in each quarter, panelists predict output growth and inflation for the current calendar year and the next, hence the forecast horizon changes with each survey round. This limits the forecasts' usefulness to policymakers, researchers, and market participants. We propose a density combination approach that weights fixed-event density forecasts, aiming at obtaining a correctly calibrated fixed-horizon density forecast. We show that our method produces competitive density forecasts relative to widely used alternatives.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 7","pages":"1675-1704"},"PeriodicalIF":1.2,"publicationDate":"2023-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138516897","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
Geopolitical Risk and Investment 地缘政治风险与投资
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-11-03 DOI: 10.1111/jmcb.13110
XINJIE WANG, YANGRU WU, WEIKE XU
{"title":"Geopolitical Risk and Investment","authors":"XINJIE WANG,&nbsp;YANGRU WU,&nbsp;WEIKE XU","doi":"10.1111/jmcb.13110","DOIUrl":"10.1111/jmcb.13110","url":null,"abstract":"<p>Using a news-based index of geopolitical risk (GPR), we document a strong negative relationship between firm-level corporate investment and GPR. When the GPR index doubles, next-quarter investment declines by 14% of its sample mean. The effect is more pronounced for firms with more irreversible investment or higher market power, confirming the real options theory. However, the effect is less significant for firms with a stronger ability to substitute labor for capital, a higher labor-to-capital ratio, or a higher labor share, supporting the convex return theory. Overall, our results suggest that the real options channel dominates the Oi–Hartman–Abel effect.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 8","pages":"2023-2059"},"PeriodicalIF":1.2,"publicationDate":"2023-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135869184","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
Money and Credit Coexistence, Excess Capacity, and the Size of Monetary Aggregates 货币与信贷共存、产能过剩与货币总量
3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-11-03 DOI: 10.1111/jmcb.13106
ALESSANDRO MENNUNI
{"title":"Money and Credit Coexistence, Excess Capacity, and the Size of Monetary Aggregates","authors":"ALESSANDRO MENNUNI","doi":"10.1111/jmcb.13106","DOIUrl":"https://doi.org/10.1111/jmcb.13106","url":null,"abstract":"Abstract This paper develops a model where money is demanded in excess of spending needs. As a result, money coexists with large availabilities of credit and the model explains the levels of monetary aggregates held in modern economies via the endogenous creation of inside money. At the heart of the model, there is a search friction in the goods market, which generates spare production and spending capacity. As a consequence, there is an endogenous productivity wedge, due to spare production capacity, and an endogenous money velocity, due to spare spending capacity.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"38 13","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135820195","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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