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Journal of Money Credit and Banking最新文献

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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
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, KOSTAS MAVROMATIS","doi":"10.1111/jmcb.13100","DOIUrl":"https://doi.org/10.1111/jmcb.13100","url":null,"abstract":"Abstract 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.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"79 5","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","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":"","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
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, MIMOZA SHABANI","doi":"10.1111/jmcb.13101","DOIUrl":"https://doi.org/10.1111/jmcb.13101","url":null,"abstract":"Abstract 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 proximity between branches located in different countries. Results from dynamic spatial panel regressions indicate that the foreign branches in nearby 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.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"83 1","pages":"0"},"PeriodicalIF":0.0,"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
Nonlinear Transmission of Financial Shocks: Some New Evidence 金融冲击的非线性传播：一些新证据
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-10-17 DOI: 10.1111/jmcb.13099
MARIO FORNI, LUCA GAMBETTI, NICOLÒ MAFFEI-FACCIOLI, LUCA SALA
{"title":"Nonlinear Transmission of Financial Shocks: Some New Evidence","authors":"MARIO FORNI,&nbsp;LUCA GAMBETTI,&nbsp;NICOLÒ MAFFEI-FACCIOLI,&nbsp;LUCA SALA","doi":"10.1111/jmcb.13099","DOIUrl":"10.1111/jmcb.13099","url":null,"abstract":"<p>Financial shocks generate a protracted and quantitatively important effect on real economic activity and financial markets only if the shocks are both negative and large. Otherwise, their role is quite modest. Financial shocks have become more important for economic fluctuations after 2000 and have contributed substantially to deepening the recessions of 2001 and 2008. The evidence is obtained using a new econometric procedure based on a Vector Moving Average representation that includes a nonlinear function of the financial shock. This method is a contribution of the present work.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 1","pages":"5-33"},"PeriodicalIF":1.5,"publicationDate":"2023-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13099","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136034529","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
Monetary Policy and Mispricing in Stock Markets 货币政策与股票市场的错误定价
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-09-25 DOI: 10.1111/jmcb.13090
BENJAMIN BECKERS, KERSTIN BERNOTH
{"title":"Monetary Policy and Mispricing in Stock Markets","authors":"BENJAMIN BECKERS,&nbsp;KERSTIN BERNOTH","doi":"10.1111/jmcb.13090","DOIUrl":"10.1111/jmcb.13090","url":null,"abstract":"<p>We investigate the role of monetary policy in stock price misalignments and explore whether central banks can attenuate excessive mispricing as suggested by the proponents of a “leaning against the wind” monetary policy. Decomposing stock prices into expected excess dividends, an equity risk premium, and a mispricing component, we find that prices fall more strongly in response to an increase in the policy rate than what is implied by their underlying fundamentals. This systematic overreaction suggests that tighter monetary policy may contain emerging asset price misalignments. Our findings are at odds with the predictions of a rational bubble framework, but can be explained by mispricing arising from false subjective expectations of irrational investors.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 7","pages":"1887-1904"},"PeriodicalIF":1.2,"publicationDate":"2023-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13090","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135768740","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
Real Interest Rates and Population Growth across Generations* 实际利率与代际人口增长*
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-09-19 DOI: 10.1111/jmcb.13094
LUCAS FUHRER, NILS HERGER
{"title":"Real Interest Rates and Population Growth across Generations*","authors":"LUCAS FUHRER,&nbsp;NILS HERGER","doi":"10.1111/jmcb.13094","DOIUrl":"10.1111/jmcb.13094","url":null,"abstract":"<p>This paper empirically examines the correlation between population growth and real interest rates. Although this correlation is well founded in macroeconomic theory, the corresponding empirical results have been rather tenuous. Demographic interest rate theories are typically based on long-term relationships across generations. Accordingly, key population trends appear often only across decades, if not centuries, worth of data. To capture these trends, we distinguish between population growth resulting from a birth surplus and net migration. Within a panel covering 12 countries and the years since 1820, we find robust evidence that the birth surplus is significantly correlated with the real interest rate.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 8","pages":"2171-2184"},"PeriodicalIF":1.2,"publicationDate":"2023-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135063661","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
Media Treatment of Monetary Policy Surprises and Their Impact on Firms' and Consumers' Expectations 媒体对货币政策意外的处理及其对企业和消费者预期的影响
3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-09-19 DOI: 10.1111/jmcb.13096
Julien Pinter, Evzen Kocenda
{"title":"Media Treatment of Monetary Policy Surprises and Their Impact on Firms' and Consumers' Expectations","authors":"Julien Pinter, Evzen Kocenda","doi":"10.1111/jmcb.13096","DOIUrl":"https://doi.org/10.1111/jmcb.13096","url":null,"abstract":"Abstract We investigate whether monetary policy announcements affect firms' and consumers' expectations by considering their media treatment. We initially use standard monetary policy surprise measures and analyze how the main general newspapers in France report on the announcements. Eighty‐five percent of the monetary policy surprises are either not associated with the newspapers reporting a change in the monetary policy stance or have a sign inconsistent with the media report. Only when we consider media‐consistent monetary policy surprises do we find that consumers and firms respond to monetary policy announcements. The economic tonality of the media reports drives the sign of consumers' response.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135011353","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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