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Countercyclical Capital Buffers: A Cautionary Tale 反周期资本缓冲:一个警世故事
3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-06-25 DOI: 10.1111/jmcb.13087
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}
引用次数: 0
The Size Distribution of the Banking Sector and Financial Fragility 银行业规模分布与金融脆弱性
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-05-15 DOI: 10.1111/jmcb.13060
JIAHONG GAO, ROBERT R. REED
{"title":"The Size Distribution of the Banking Sector and Financial Fragility","authors":"JIAHONG GAO,&nbsp;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}
引用次数: 0
The Quality-Weighted Matching Function: Did the German Labor Market Reforms Trade-Off Efficiency against Job Quality? 质量加权匹配函数：德国劳动力市场是否对工作质量进行了权衡效率改革？
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-05-14 DOI: 10.1111/jmcb.13064
HERMANN GARTNER, THOMAS ROTHE, ENZO WEBER
{"title":"The Quality-Weighted Matching Function: Did the German Labor Market Reforms Trade-Off Efficiency against Job Quality?","authors":"HERMANN GARTNER,&nbsp;THOMAS ROTHE,&nbsp;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}
引用次数: 0
Financial Expectations and Household Consumption: Does Middle-Inflation Matter? 金融预期与家庭消费：中等通胀重要吗？
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-05-12 DOI: 10.1111/jmcb.13063
SARAH BROWN, MARK N. HARRIS, CHRISTOPHER SPENCER, KARL TAYLOR
{"title":"Financial Expectations and Household Consumption: Does Middle-Inflation Matter?","authors":"SARAH BROWN,&nbsp;MARK N. HARRIS,&nbsp;CHRISTOPHER SPENCER,&nbsp;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}
引用次数: 0
A Theory of Intrinsic Inflation Persistence 内在通货膨胀持续理论
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-05-12 DOI: 10.1111/jmcb.13066
TAKUSHI KUROZUMI, WILLEM VAN ZANDWEGHE
{"title":"A Theory of Intrinsic Inflation Persistence","authors":"TAKUSHI KUROZUMI,&nbsp;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}
引用次数: 0
Collateral Framework: Liquidity Premia and Multiple Equilibria 抵押框架：流动性溢价和多重均衡
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-05-12 DOI: 10.1111/jmcb.13048
YVAN LENGWILER, ATHANASIOS ORPHANIDES
{"title":"Collateral Framework: Liquidity Premia and Multiple Equilibria","authors":"YVAN LENGWILER,&nbsp;ATHANASIOS ORPHANIDES","doi":"10.1111/jmcb.13048","DOIUrl":"10.1111/jmcb.13048","url":null,"abstract":"<p>Central banks normally accept debt of their own governments as collateral in liquidity operations without reservations. This gives rise to a valuable liquidity premium that reduces the cost of government finance. The ECB is an interesting exception in this respect. It relies on external assessments of the creditworthiness of its member states, such as credit ratings, to determine eligibility and the haircut it imposes on such debt. We show how such features in a central bank's collateral framework can give rise to cliff effects and multiple equilibria in bond yields and increase the vulnerability of governments to external shocks. This policy can potentially induce sovereign debt crises and defaults that would not otherwise occur. The success of the ECB's temporary suspension of these features of its collateral framework during the pandemic illustrates the practical relevance of this mechanism.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 2-3","pages":"489-516"},"PeriodicalIF":1.5,"publicationDate":"2023-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13048","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135288151","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
Government Spending, Debt Management, and Wealth and Income Inequality in a Growing Monetary Economy * 货币经济增长中的政府支出、债务管理与财富和收入不平等*
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-05-03 DOI: 10.1111/jmcb.13049
Yoichi Gokan, S. Turnovsky
{"title":"Government Spending, Debt Management, and Wealth and Income Inequality in a Growing Monetary Economy\u0000 *","authors":"Yoichi Gokan, S. Turnovsky","doi":"10.1111/jmcb.13049","DOIUrl":"https://doi.org/10.1111/jmcb.13049","url":null,"abstract":"This paper compares the impact of government investment and government consumption on macroeconomic aggregates and inequality when the government deficit is money-financed while maintaining a fixed debt-money ratio. Real aggregate quantities are independent of the debt-money ratio, as is wealth inequality, but income inequality is impacted. We also investigate the impact of these two forms of government expenditure on the macroeconomic aggregates and distributions, illustrating their sharply contrasting effectson the tradeoffstheyentail. While governmentinvestment is more effective in increasing the growth rate and moderating inflation, it has a more adverse effect on long-run income inequality.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":" ","pages":""},"PeriodicalIF":1.5,"publicationDate":"2023-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47912381","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: 2
A Kinked-Demand Theory of Price Rigidity 价格刚性的扭结需求理论
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-05-03 DOI: 10.1111/jmcb.13067
STÉPHANE DUPRAZ
{"title":"A Kinked-Demand Theory of Price Rigidity","authors":"STÉPHANE DUPRAZ","doi":"10.1111/jmcb.13067","DOIUrl":"10.1111/jmcb.13067","url":null,"abstract":"<p>I provide a microfounded theory for one of the oldest, but so far informal, explanations of price rigidity: the kinked-demand curve theory. Kinked-demand curves arise when some customers observe at no cost only the price at the store they are at. At the microlevel, the kinked-demand theory predicts that prices should be more likely to change if they have recently changed, and more flexible in markets where customers can more easily compare prices. At the macrolevel, it captures a part of the inflation/output trade-off that is not shifted by inflation expectations and therefore persists in the long run.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 2-3","pages":"325-363"},"PeriodicalIF":1.5,"publicationDate":"2023-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134922452","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 (Ir)Relevance of Rule-of-Thumb Consumers for U.S. Business Cycle Fluctuations 拇指规则消费者与美国商业周期波动的（非）相关性
IF 1.5 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-05-03 DOI: 10.1111/jmcb.13057
ALICE ALBONICO, GUIDO ASCARI, QAZI HAQUE
{"title":"The (Ir)Relevance of Rule-of-Thumb Consumers for U.S. Business Cycle Fluctuations","authors":"ALICE ALBONICO,&nbsp;GUIDO ASCARI,&nbsp;QAZI HAQUE","doi":"10.1111/jmcb.13057","DOIUrl":"10.1111/jmcb.13057","url":null,"abstract":"<p>We estimate a medium-scale model with and without rule-of-thumb consumers over the pre-Volcker and the Great Moderation periods, allowing for indeterminacy. Passive monetary policy and sunspot fluctuations characterize the pre-Volcker period for both models. In both subsamples, the estimated fraction of rule-of-thumb consumers is low, such that the two models are empirically almost equivalent; they yield very similar impulse response functions, variance, and historical decompositions. We conclude that rule-of-thumb consumers are irrelevant to explain aggregate U.S. business cycle fluctuations.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 4","pages":"769-804"},"PeriodicalIF":1.5,"publicationDate":"2023-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13057","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134922893","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
Wealth, Portfolios, and Nonemployment Duration 财富、投资组合和非就业持续时间
IF 1.2 3区 经济学
Journal of Money Credit and Banking Pub Date : 2023-05-03 DOI: 10.1111/jmcb.13058
FRANÇOIS FONTAINE, JANNE NYBORG JENSEN, RUNE VEJLIN
{"title":"Wealth, Portfolios, and Nonemployment Duration","authors":"FRANÇOIS FONTAINE,&nbsp;JANNE NYBORG JENSEN,&nbsp;RUNE VEJLIN","doi":"10.1111/jmcb.13058","DOIUrl":"10.1111/jmcb.13058","url":null,"abstract":"<p>We use administrative data on individual balance sheets in Denmark to document how an individual's financial position affects job search behavior. We look at the effect of wealth at the entry into unemployment on the exit rate from unemployment as well as the effect on the subsequent match quality. The detailed data allow us not only to distinguish between liquid and illiquid parts, but also to decompose each of them into assets and liabilities. The decomposition of wealth into these four components is key to understanding how wealth affects job finding rates. In particular, we show that liquid assets reduce the probability of becoming reemployed, but we do not see an effect of liquid liabilities or the illiquid wealth components, while interest payments speed up reemployment. The results on subsequent match quality in form of job duration and wages are mixed.</p>","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"56 7","pages":"1861-1886"},"PeriodicalIF":1.2,"publicationDate":"2023-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jmcb.13058","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134922605","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
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