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Journal of Money Credit and Banking最新文献

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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
IF 1.2 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":"10.1111/jmcb.13106","url":null,"abstract":"<p>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.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"57 2-3","pages":"477-513"},"PeriodicalIF":1.2,"publicationDate":"2023-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13106","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":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Reservation Rates in Interbank Money Markets 银行间货币市场的准备金率
3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-11-02 DOI: 10.1111/jmcb.13104
EDOARDO RAINONE
{"title":"Reservation Rates in Interbank Money Markets","authors":"EDOARDO RAINONE","doi":"10.1111/jmcb.13104","DOIUrl":"https://doi.org/10.1111/jmcb.13104","url":null,"abstract":"Abstract This paper proposes a dyadic econometric model with reservation rates to control for endogenous matching in interbank money markets. We apply our method to a unique data set and study the interbank market during the European sovereign debt crisis. The estimates uncover the existence of reservation rates, their omission can bias important quantities like the discount enjoyed by big banks, a potential measure of the “too‐big‐to‐fail” subsidy. We test predictions of various theories on the interbank market. The market did not freeze completely during the crisis and active peer monitoring was still in place under limited information asymmetry. Dispersion in rates and liquidity hoarding was driven by banks' nationality, regardless of the borrower quality.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"219 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135974719","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 Impact of Credit Market Sentiment Shocks 信贷市场情绪冲击的影响
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-11-02 DOI: 10.1111/jmcb.13109
MAXIMILIAN BOECK, THOMAS O. ZÖRNER
{"title":"The Impact of Credit Market Sentiment Shocks","authors":"MAXIMILIAN BOECK,&nbsp;THOMAS O. ZÖRNER","doi":"10.1111/jmcb.13109","DOIUrl":"10.1111/jmcb.13109","url":null,"abstract":"<p>This paper investigates the role of credit market sentiment and investor beliefs in credit cycle dynamics and their transmission to businesscycle fluctuations. Using U.S. data from 1968 to 2014, we find that credit market sentiment is indeed able to detect asymmetries in a small-scale macroeconomic model. An unexpected credit market sentiment shock has different impacts in an optimistic and pessimistic credit market environment. While an unexpected movement in the optimistic regime leads to a rather muted impact on output and credit, we find a significant negative impact on these variables in the pessimistic regime. The findings highlight the relevance of expectation formation mechanisms as a source of macroeconomic instability.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 7","pages":"1645-1673"},"PeriodicalIF":1.2,"publicationDate":"2023-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13109","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135974561","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
Hello from the Other Side: Both Government Liabilities and Assets Matter for Sovereign Risk 你好，来自另一方：政府负债和资产对主权风险都很重要
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-10-25 DOI: 10.1111/jmcb.13102
JEMIMA PEPPEL-SREBRNY
{"title":"Hello from the Other Side: Both Government Liabilities and Assets Matter for Sovereign Risk","authors":"JEMIMA PEPPEL-SREBRNY","doi":"10.1111/jmcb.13102","DOIUrl":"10.1111/jmcb.13102","url":null,"abstract":"<p>We provide evidence that for advanced economies' sovereign bond markets in recent decades, both sides of the government balance sheet matter: for explaining government borrowing cost empirically, (i) government assets are significant in addition to government liabilities, and (ii) it is government net worth (total financial and non-financial assets less liabilities) rather than government liabilities that matters when both are included. The central country-specific fiscal factor driving sovereign bond yields thus appears to be government net worth. The focus of policy and academic debates though has tended to be narrowly on government debt, even as government net worth has declined substantially in many OECD countries in recent decades.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 6","pages":"1595-1604"},"PeriodicalIF":1.2,"publicationDate":"2023-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13102","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135218564","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 Effects of Fiscal Policy When Planning Horizons are Finite 计划期限有限时财政政策的影响
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-10-24 DOI: 10.1111/jmcb.13100
JOEP LUSTENHOUWER, KOSTAS MAVROMATIS
{"title":"The Effects of Fiscal Policy When Planning Horizons are Finite","authors":"JOEP LUSTENHOUWER,&nbsp;KOSTAS MAVROMATIS","doi":"10.1111/jmcb.13100","DOIUrl":"10.1111/jmcb.13100","url":null,"abstract":"<p>We study the importance of planning horizons for fiscal multipliers in a New-Keynesian model with bounded rationality. We show that, when agents have shorter planning horizons, government spending multipliers are smaller, whereas labor tax cut multipliers are larger. Furthermore, Ricardian equivalence breaks down, and transfer shocks feature a negative multiplier. Results are driven by the cognitive limitations of finite planning horizons that lead agent's expectations to deviate from the fully rational benchmark. We find larger investment responses, which are more in line with empirical findings than those of models with longer planning horizons, rule-of-thumb households, or a Blanchard–Yaari structure.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"57 2-3","pages":"549-582"},"PeriodicalIF":1.2,"publicationDate":"2023-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13100","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135266585","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 Impact of Credit Risk Mispricing on Mortgage Lending during the Subprime Boom 次贷繁荣时期信用风险定价不当对抵押贷款的影响
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-10-22 DOI: 10.1111/jmcb.13103
JAMES A. KAHN, BENJAMIN S. KAY
{"title":"The Impact of Credit Risk Mispricing on Mortgage Lending during the Subprime Boom","authors":"JAMES A. KAHN,&nbsp;BENJAMIN S. KAY","doi":"10.1111/jmcb.13103","DOIUrl":"10.1111/jmcb.13103","url":null,"abstract":"<p>We provide new evidence that mispriced mortgage insurance shifted credit supply and contributed to the mortgage boom and bust of the early 2000s. Original data on private mortgage insurance premiums from 1999 to 2016 reveal that before 2008, premiums did not vary across loans with widely different indicators of default risk. We quantify the mispricing of premiums before 2008 and show that even allowing for more optimistic beliefs, the flat premium structure resulted in cross-subsidies and substantial adverse selection.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 5","pages":"1021-1052"},"PeriodicalIF":1.2,"publicationDate":"2023-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135462079","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
Spatial Dependence via the Internal Capital Markets of U.S. Global Banks 基于美国全球银行内部资本市场的空间依赖
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-10-18 DOI: 10.1111/jmcb.13101
CARMELA D'AVINO, MIMOZA SHABANI
{"title":"Spatial Dependence via the Internal Capital Markets of U.S. Global Banks","authors":"CARMELA D'AVINO,&nbsp;MIMOZA SHABANI","doi":"10.1111/jmcb.13101","DOIUrl":"10.1111/jmcb.13101","url":null,"abstract":"<p>In this paper, we estimate the cross-border liquidity network created by U.S. global banks via their internal capital markets to capture the spatial dependence or bilateral <i>proximity</i> between branches located in different countries. Results from dynamic spatial panel regressions indicate that the foreign branches in <i>nearby</i> countries show common lending patterns. A 1% increase in lending in branches in proximate locations is associated with an estimated increase of 0.25% in local lending. Further interdependencies are evidenced by the positive liquidity and monetary policy spillovers on local lending, with marginal spatial effects estimated to be around 1.11% and 0.14%, respectively.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"57 1","pages":"69-105"},"PeriodicalIF":1.2,"publicationDate":"2023-10-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135889769","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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