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How Well Does Uncertainty Forecast Economic Activity? 不确定性对经济活动的预测效果如何？
IF 1.2 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,&nbsp;JOHN ROGERS","doi":"10.1111/jmcb.13123","DOIUrl":"10.1111/jmcb.13123","url":null,"abstract":"<p>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.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"57 2-3","pages":"645-662"},"PeriodicalIF":1.2,"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 1.2 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":"10.1111/jmcb.13113","url":null,"abstract":"<p>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.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"57 1","pages":"267-303"},"PeriodicalIF":1.2,"publicationDate":"2023-12-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13113","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":"OA","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
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 1.2 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,&nbsp;ALEXANDER W. RICHTER,&nbsp;NATHANIEL A. THROCKMORTON","doi":"10.1111/jmcb.13115","DOIUrl":"10.1111/jmcb.13115","url":null,"abstract":"<p>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.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"57 2-3","pages":"349-376"},"PeriodicalIF":1.2,"publicationDate":"2023-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13115","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":"OA","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 1.2 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":"10.1111/jmcb.13112","url":null,"abstract":"<p>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.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"57 1","pages":"243-265"},"PeriodicalIF":1.2,"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
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