KATHARINA BERGANT, FRANCESCO GRIGOLI, NIELS-JAKOB HANSEN, DAMIANO SANDRI
{"title":"Dampening Global Financial Shocks: Can Macroprudential Regulation Help (More than Capital Controls)?","authors":"KATHARINA BERGANT, FRANCESCO GRIGOLI, NIELS-JAKOB HANSEN, DAMIANO SANDRI","doi":"10.1111/jmcb.13089","DOIUrl":"10.1111/jmcb.13089","url":null,"abstract":"<p>We show that macroprudential regulation significantly dampens the impact of global financial shocks on emerging markets. Specifically, a tighter level of regulation reduces the sensitivity of GDP growth to capital flow shocks and movements in the Chicago Board Options Exchange's VIX. A broad set of macroprudential tools contributes to this result, including measures targeting bank capital and liquidity, foreign currency mismatches, and risky credit. We also find that tighter macroprudential regulation allows monetary policy to respond more countercyclically to global financial shocks. This could be an important channel through which macroprudential regulation enhances macro-economic stability. We do not find evidence that capital controls provide similar benefits.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 6","pages":"1405-1438"},"PeriodicalIF":1.2,"publicationDate":"2023-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136228968","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}
{"title":"Does the Government Spending Multiplier Depend on the Business Cycle?","authors":"SEBASTIAN LAUMER, COLLIN PHILIPPS","doi":"10.1111/jmcb.13086","DOIUrl":"10.1111/jmcb.13086","url":null,"abstract":"<p>We investigate the state dependency of the government spending multiplier across the business cycle using a nonlinear two-regime VAR model. We find little evidence that multipliers vary between expansionary and recessionary periods. This is because the state of the business cycle itself changes after government spending shocks and converges toward a similar state. This result holds true regardless of how we model the business cycle. Our analysis shows that assumptions about the economic state built into linear impulse response functions are the key driver of the state dependency reported elsewhere in the literature.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 8","pages":"2001-2022"},"PeriodicalIF":1.2,"publicationDate":"2023-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135155480","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}
WILLIAM A. BARNETT, MARCELLE CHAUVET, DANILO LEIVA-LEON, LITING SU
{"title":"The Credit-Card-Services Augmented Divisia Monetary Aggregates*","authors":"WILLIAM A. BARNETT, MARCELLE CHAUVET, DANILO LEIVA-LEON, LITING SU","doi":"10.1111/jmcb.13088","DOIUrl":"10.1111/jmcb.13088","url":null,"abstract":"<p>While credit cards provide transaction services, they have never been included in measures of money supply. We derive the theory to measure the joint services of credit cards and money and propose two measures of their joint services: one based on microeconomic structural aggregation theory, providing an aggregated variable within the macroeconomy; the other a credit-card-extended aggregate, optimized as an indicator to capture the contributions of monetary and credit card as nowcasting indicator of nominal GDP. The inclusion of the new aggregates yields substantially more accurate nowcasts of nominal GDP, illustrating the usefulness of the information contained in credit cards.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 5","pages":"1163-1202"},"PeriodicalIF":1.2,"publicationDate":"2023-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13088","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"63788922","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}
ELIZABETH BERSSON, PATRICK HÜRTGEN, MATTHIAS PAUSTIAN
{"title":"Expectations Formation, Sticky Prices, and the ZLB","authors":"ELIZABETH BERSSON, PATRICK HÜRTGEN, MATTHIAS PAUSTIAN","doi":"10.1111/jmcb.13065","DOIUrl":"10.1111/jmcb.13065","url":null,"abstract":"<p>At the zero lower bound (ZLB), expectations about the future path of monetary or fiscal policy are crucial. We model expectations formation under level-<math>\u0000 <semantics>\u0000 <mi>k</mi>\u0000 <annotation>$k$</annotation>\u0000 </semantics></math> thinking, a form of bounded rationality formalized by García-Schmidt and Woodford (2019) and Farhi and Werning (2019), consistent with experimental evidence. This process does not lead to a number of puzzling features from rational expectations models, such as the reversal puzzle, or implausible large fiscal multipliers. Optimal monetary policy at the ZLB under level-<math>\u0000 <semantics>\u0000 <mi>k</mi>\u0000 <annotation>$k$</annotation>\u0000 </semantics></math> thinking prescribes keeping the nominal rate lower for longer, but short-run macro-economic stabilization is less powerful compared to rational expectations.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 2-3","pages":"365-393"},"PeriodicalIF":1.5,"publicationDate":"2023-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138517141","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}
Christoffer Koch, Gary Richardson, Patrick Van Horn
{"title":"Countercyclical Capital Buffers: A Cautionary Tale","authors":"Christoffer Koch, Gary Richardson, Patrick Van Horn","doi":"10.1111/jmcb.13087","DOIUrl":"https://doi.org/10.1111/jmcb.13087","url":null,"abstract":"Abstract Countercyclical capital buffers (CCyBs) are an old idea recently resurrected. They compel systemically important banks to accumulate capital during expansions to sustain operations during downturns. We compare banks before the Great Depression, when CCyBs existed, and Great Recession, when they did not. Pre‐Depression systemically important banks built capital buffers between 3% and 5% of total assets during booms, nearly twice the maximum modern CCyB, while also reducing risky lending and building cash reserves. These buffers enabled banks at the core of the financial system to continue operations during severe crises while the rest of the financial system collapsed. This analogy indicates that modern countercyclical buffers may achieve their goals of protecting core banks during crises but raises questions about whether they will contribute to overall financial stability.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"120 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135751965","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}
{"title":"The Size Distribution of the Banking Sector and Financial Fragility","authors":"JIAHONG GAO, ROBERT R. REED","doi":"10.1111/jmcb.13060","DOIUrl":"10.1111/jmcb.13060","url":null,"abstract":"<p>We study the role of the size distribution of the banking sector for bailout policy and financial fragility in a model of financial intermediation with limited commitment and noisy sunspots. In particular, due to the different costs of mitigating depositors' losses, differences in financial fragility arise endogenously in the sense that the large banking market admits a higher degree of instability. Moreover, the desire to reduce differences in the amount of bailout funding across segments of the banking system leads the fiscal authority to collect less taxes <i>ex-ante</i> but ends up rendering the scope for run equilibria larger.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 7","pages":"1779-1801"},"PeriodicalIF":1.2,"publicationDate":"2023-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47170111","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}
{"title":"The Quality-Weighted Matching Function: Did the German Labor Market Reforms Trade-Off Efficiency against Job Quality?","authors":"HERMANN GARTNER, THOMAS ROTHE, ENZO WEBER","doi":"10.1111/jmcb.13064","DOIUrl":"10.1111/jmcb.13064","url":null,"abstract":"<p>We evaluate the quantity–quality trade-off on the labor market by estimating an augmented matching function weighting the matches by quality measures. We use the approach to evaluate the German labor market reforms conducted between 2003 and 2005. Indeed, we find a significant quantity–quality trade-off. However, even after controlling for job quality, a good half of the positive effect of the reforms on matching efficiency remains.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 7","pages":"1905-1914"},"PeriodicalIF":1.2,"publicationDate":"2023-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13064","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44123889","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}
{"title":"Owner-Occupied Housing, Inflation, and Monetary Policy","authors":"ROBERT J. HILL, MIRIAM STEURER, SOFIE R. WALTL","doi":"10.1111/jmcb.13059","DOIUrl":"10.1111/jmcb.13059","url":null,"abstract":"<p>Owner-occupied housing (OOH) is currently excluded from the harmonized index of consumer prices (HICP) in Europe. Using microlevel data for Sydney and aggregated data for the United States, France, and Germany, we compare the impact of alternative treatments of OOH on measured inflation. We recommend including OOH in the HICP using a simplified version of the user-cost method. This would improve the harmonization of the HICP, help close the credibility gap between measured inflation and public perceptions of it, and allow the ECB to lean against a housing boom without departing from its inflation target.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"57 2-3","pages":"583-614"},"PeriodicalIF":1.2,"publicationDate":"2023-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13059","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48222142","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}
SARAH BROWN, MARK N. HARRIS, CHRISTOPHER SPENCER, KARL TAYLOR
{"title":"Financial Expectations and Household Consumption: Does Middle-Inflation Matter?","authors":"SARAH BROWN, MARK N. HARRIS, CHRISTOPHER SPENCER, KARL TAYLOR","doi":"10.1111/jmcb.13063","DOIUrl":"10.1111/jmcb.13063","url":null,"abstract":"<p>We explore the finding that households often expect their financial position to remain unchanged compared to other alternatives. A generalized middle inflated ordered probit (<i>GMIOP</i>) model is used to account for the tendency of individuals to choose “neutral” responses when faced with opinion-based questions. Our analysis supports the use of a <i>GMIOP</i> model to account for this response pattern. Expectation indices based on competing discrete choice models are also explored. While financial optimism is significantly associated with increased consumption at both the intensive and extensive margin, indices which fail to take into account middle-inflation overestimate the impact of financial expectations.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 4","pages":"741-768"},"PeriodicalIF":1.5,"publicationDate":"2023-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13063","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135288152","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}
{"title":"A Theory of Intrinsic Inflation Persistence","authors":"TAKUSHI KUROZUMI, WILLEM VAN ZANDWEGHE","doi":"10.1111/jmcb.13066","DOIUrl":"10.1111/jmcb.13066","url":null,"abstract":"<p>We propose a novel theory of intrinsic inflation persistence by introducing trend inflation and Kimball (1995)-type aggregators of individual differentiated goods and labor in a model with staggered price- and wage-setting. Under nonzero trend inflation, the non-CES (constant elasticity of substitution) aggregator of goods and staggered price-setting give rise to a variable real marginal cost of goods aggregation, which becomes a driver of inflation. This marginal cost consists of an aggregate of the goods' relative prices, which depends on past inflation, thereby generating intrinsic inertia in inflation. Likewise, the non-CES aggregator of labor and staggered wage-setting lead to intrinsic inertia in wage inflation, which enhances the persistence of price inflation. With the theory we show that inflation exhibits a persistent, hump-shaped response to monetary policy shocks. We also demonstrate that lower trend inflation reduces inflation persistence and that a credible disinflation leads to a gradual decline in inflation and a fall in output.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"55 8","pages":"1961-2000"},"PeriodicalIF":1.5,"publicationDate":"2023-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135288677","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}