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Decomposing the monetary policy multiplier 分解货币政策乘数
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2025-04-30 DOI: 10.1016/j.jmoneco.2025.103783
Piergiorgio Alessandri , Òscar Jordà , Fabrizio Venditti
{"title":"Decomposing the monetary policy multiplier","authors":"Piergiorgio Alessandri ,&nbsp;Òscar Jordà ,&nbsp;Fabrizio Venditti","doi":"10.1016/j.jmoneco.2025.103783","DOIUrl":"10.1016/j.jmoneco.2025.103783","url":null,"abstract":"<div><div>Financial markets play an important role in generating monetary policy transmission asymmetries in the U.S. Credit spreads only adjust to unexpected increases in interest rates, causing output and prices to respond more to a monetary contraction than to a monetary loosening. At a one year horizon, the ‘financial multiplier’ of monetary policy — defined as the ratio between the cumulative responses of employment and credit spreads — is zero for a monetary loosening, -2 for a monetary contraction, and -4 for a monetary contraction that takes place under strained credit market conditions. These results have important policy implications: monetary policy may become inadvertently tight in times of financial distress.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"152 ","pages":"Article 103783"},"PeriodicalIF":4.3,"publicationDate":"2025-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144070594","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Elasticity of substitution between robots and workers: Theory and evidence from Japanese robot price data 机器人与工人之间的替代弹性：来自日本机器人价格数据的理论与证据
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2025-04-29 DOI: 10.1016/j.jmoneco.2025.103782
Daisuke Adachi
{"title":"Elasticity of substitution between robots and workers: Theory and evidence from Japanese robot price data","authors":"Daisuke Adachi","doi":"10.1016/j.jmoneco.2025.103782","DOIUrl":"10.1016/j.jmoneco.2025.103782","url":null,"abstract":"<div><div>This paper examines the wage effects of the increased use of industrial robots, focusing on their role in specific tasks and international trade. I construct a novel dataset by tracking shocks to the cost of acquiring robots from Japan, termed the Japan Robot Shock (JRS), and analyze these shocks across different occupations that have adopted robots. A general equilibrium model incorporating robot automation in a large open economy is developed, and a model-implied optimal instrumental variable of the JRS is constructed to address the identification challenges posed by the correlation between automation shocks and the JRS. The study finds that the elasticity of substitution (EoS) between robots and labor is heterogeneous across occupations, reaching up to 3 in production and material moving occupations, which is significantly higher than the EoS between other capital goods and labor. These findings underscore the importance of targeted policy to help workers adapt and mitigate potential wage pressures.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"152 ","pages":"Article 103782"},"PeriodicalIF":4.3,"publicationDate":"2025-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144070592","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Wealth taxation and life expectancy 财富税和预期寿命
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2025-04-24 DOI: 10.1016/j.jmoneco.2025.103781
Antonio Andrés Bellofatto
{"title":"Wealth taxation and life expectancy","authors":"Antonio Andrés Bellofatto","doi":"10.1016/j.jmoneco.2025.103781","DOIUrl":"10.1016/j.jmoneco.2025.103781","url":null,"abstract":"<div><div>This paper studies the role of wealth taxes in providing insurance against lifespan risk through the lens of a dynamic Mirrlees model with altruism. I derive novel formulas linking optimal taxes on savings and bequests to the degree of annuity market imperfections at the optimum. In the presence of positive correlation between productivity and life expectancy, optimal annuity markups are positive in expectation. This creates a motive not only for taxing savings but also for subsidizing bequests. When calibrating the model, I find that the forces of differential longevity lead to optimal wealth taxes commensurate with prevailing wealth tax rates in developed countries. Relative to the US status quo, optimal policies provide work incentives by increasing welfare of the short-lived at the bottom of the skill distribution. This channel generates significant welfare gains. Replacing the optimal annuity markup by a nonlinear history-independent approximation generates small efficiency losses.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"152 ","pages":"Article 103781"},"PeriodicalIF":4.3,"publicationDate":"2025-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144070591","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Policy transition risk, carbon premiums, and asset prices 政策转型风险、碳溢价和资产价格
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2025-04-15 DOI: 10.1016/j.jmoneco.2025.103780
Christoph Hambel , Frederick van der Ploeg
{"title":"Policy transition risk, carbon premiums, and asset prices","authors":"Christoph Hambel ,&nbsp;Frederick van der Ploeg","doi":"10.1016/j.jmoneco.2025.103780","DOIUrl":"10.1016/j.jmoneco.2025.103780","url":null,"abstract":"<div><div>We analyze the effects of policy transition risk on asset pricing and the green transition using a global two-sector, macro-finance model of climate and the economy. Policy transition risk results from probabilistic changes between three policy states: no, modest, and ambitious carbon pricing. We show that policy transition risk leads to carbon premiums (i.e. higher expected returns on brown than on green assets), especially if the economy is still quite carbon-intensive and close to the temperature cap, and thus accelerate the green transition. Increased transition risk leads to more precautionary saving and falls in the risk-free rate. We offer extensions to deal with physical risks (temperature-related risk of climate disasters and climate tipping), technology transition risk, and more realistic policy tipping with endogenous transition probabilities.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"152 ","pages":"Article 103780"},"PeriodicalIF":4.3,"publicationDate":"2025-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144070590","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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 long-term effects of industrial policy 产业政策的长期影响
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2025-04-11 DOI: 10.1016/j.jmoneco.2025.103779
Jaedo Choi , Andrei A. Levchenko
{"title":"The long-term effects of industrial policy","authors":"Jaedo Choi ,&nbsp;Andrei A. Levchenko","doi":"10.1016/j.jmoneco.2025.103779","DOIUrl":"10.1016/j.jmoneco.2025.103779","url":null,"abstract":"<div><div>This paper provides causal evidence on the impact of a large-scale industrial policy – South Korea’s Heavy and Chemical Industry (HCI) Drive – on firms’ long-term performance and quantifies its long-term welfare effects. Using unique historical data on the universe of firm-level subsidies and a natural experiment, we find large and persistent effects of this industrial policy. Subsidized firms grew faster than those never subsidized for 30 years after subsidies ended. We build a quantitative heterogeneous firm model that rationalizes these effects through a combination of learning-by-doing and financial frictions. The model is calibrated to firm-level data, and its key parameters are disciplined with the econometric estimates. The HCI Drive generated larger benefits than costs. If it had not been implemented, South Korea’s welfare would have been 3%–4% lower. The majority of the total welfare impact comes from the long-term productivity benefits of learning-by-doing.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"152 ","pages":"Article 103779"},"PeriodicalIF":4.3,"publicationDate":"2025-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144070669","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
An options-based impact study of the negative interest rate policy and forward guidance 基于期权的负利率政策影响与前瞻指引研究
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2025-04-04 DOI: 10.1016/j.jmoneco.2025.103776
Massimo Rostagno , Carlo Altavilla , Giacomo Carboni , Wolfgang Lemke , Roberto Motto , Arthur Saint-Guilhem
{"title":"An options-based impact study of the negative interest rate policy and forward guidance","authors":"Massimo Rostagno ,&nbsp;Carlo Altavilla ,&nbsp;Giacomo Carboni ,&nbsp;Wolfgang Lemke ,&nbsp;Roberto Motto ,&nbsp;Arthur Saint-Guilhem","doi":"10.1016/j.jmoneco.2025.103776","DOIUrl":"10.1016/j.jmoneco.2025.103776","url":null,"abstract":"<div><div>The effect of Negative Interest Rate Policy (NIRP) and rate Forward Guidance (FG) on the yield curve is very similar with both policies exerting their maximal impact on a same spectrum of short-to-medium term maturities. Yet, we find that their impact on the predictive interest rate distribution differs. Accommodative FG prices out high interest rate trajectories, thus affecting upper percentiles; NIRP changes the market pricing of the effective lower bound on the policy rate, thus affecting lower percentiles. Building on this evidence, we combine option-implied rate densities with event-study analysis to separate the effects of NIRP and FG. We find that the impact of the ECB's NIRP on forward rates was stronger than that of FG.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"152 ","pages":"Article 103776"},"PeriodicalIF":4.3,"publicationDate":"2025-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144070663","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Production and inventory dynamics under ambiguity aversion 歧义规避下的生产与库存动态
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2025-04-04 DOI: 10.1016/j.jmoneco.2025.103767
Yulei Luo , Jun Nie , Xiaowen Wang , Eric R. Young
{"title":"Production and inventory dynamics under ambiguity aversion","authors":"Yulei Luo ,&nbsp;Jun Nie ,&nbsp;Xiaowen Wang ,&nbsp;Eric R. Young","doi":"10.1016/j.jmoneco.2025.103767","DOIUrl":"10.1016/j.jmoneco.2025.103767","url":null,"abstract":"<div><div>In this paper we propose a production-cost smoothing model with Knightian uncertainty and ambiguity aversion to study the joint behavior of production, inventories, and sales. Our model can explain ten facts that previous studies find difficult to account for simultaneously including the high volatility of production relative to sales, the low ratio of inventory-investment volatility to sales volatility, the positive correlation between sales and inventory investment, and the negative correlation between the inventory-to-sales ratio and sales. Our main results extend to a model of endogenous sales. Finally, we find that the stock-out avoidance motive emerges endogenously in our model, reconciling the long debate in the inventory literature over the production-cost smoothing and stock-out avoidance models.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"152 ","pages":"Article 103767"},"PeriodicalIF":4.3,"publicationDate":"2025-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144070668","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Automation and the rise of superstar firms 自动化与超级明星企业的崛起
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2025-04-01 DOI: 10.1016/j.jmoneco.2025.103733
Hamid Firooz , Zheng Liu , Yajie Wang
{"title":"Automation and the rise of superstar firms","authors":"Hamid Firooz ,&nbsp;Zheng Liu ,&nbsp;Yajie Wang","doi":"10.1016/j.jmoneco.2025.103733","DOIUrl":"10.1016/j.jmoneco.2025.103733","url":null,"abstract":"<div><div>We provide empirical evidence suggesting that the rise of superstar firms is linked to automation. We explain this empirical link in a general equilibrium framework with heterogeneous firms and variable markups. Firms can operate a labor-only technology or, by paying a per-period fixed cost, an automation technology that uses both workers and robots. The fixed costs lead to an economy-of-scale effect of automation, such that larger and more productive firms are more likely to automate. Automation boosts labor productivity, allowing those large firms to expand further, raising industry concentration. Since robots substitute for workers, increased automation raises sales concentration more than employment concentration, consistent with empirical evidence. Under our calibration, a modest robot subsidy mitigates markup distortions and improves welfare by stimulating automation investment, bringing aggregate output closer to the efficient level.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"151 ","pages":"Article 103733"},"PeriodicalIF":4.3,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143783470","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Advance information and consumption insurance: Evidence and structural estimation 事前信息与消费保险：证据与结构估计
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2025-04-01 DOI: 10.1016/j.jmoneco.2025.103748
Marcelo Pedroni , Swapnil Singh , Christian A. Stoltenberg
{"title":"Advance information and consumption insurance: Evidence and structural estimation","authors":"Marcelo Pedroni ,&nbsp;Swapnil Singh ,&nbsp;Christian A. Stoltenberg","doi":"10.1016/j.jmoneco.2025.103748","DOIUrl":"10.1016/j.jmoneco.2025.103748","url":null,"abstract":"<div><div>We show that households’ private information on future income can be identified from the correlation between consumption growth and future income growth <em>conditional</em> on current income growth. Employing PSID data, we find that this conditional correlation is positive and significant. We use this evidence to structurally estimate a standard incomplete markets model and discover that US households possess enough advance information to reduce their income forecast errors by 15%. This significantly affects the measurement of consumption insurance. With advance information, 25% more income shocks pass through to consumption on average, and more than twice as much for the 5% asset poorest. Without advance information, the marginal benefits of public insurance are underestimated by an order of magnitude for some of the poorest wealth quantiles.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"151 ","pages":"Article 103748"},"PeriodicalIF":4.3,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143783571","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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
Natural gas and the macroeconomy: Not all energy shocks are alike 天然气和宏观经济：并非所有的能源冲击都是一样的
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2025-04-01 DOI: 10.1016/j.jmoneco.2025.103749
Piergiorgio Alessandri, Andrea Gazzani
{"title":"Natural gas and the macroeconomy: Not all energy shocks are alike","authors":"Piergiorgio Alessandri,&nbsp;Andrea Gazzani","doi":"10.1016/j.jmoneco.2025.103749","DOIUrl":"10.1016/j.jmoneco.2025.103749","url":null,"abstract":"<div><div>How do shocks to the supply of natural gas affect output and inflation? To answer this question, we construct an instrument using daily news on the European gas market and employ it within a VAR model of the euro area. We find that negative supply shocks have sizable stagflationary effects and accounted for nearly 50 percent of the increase in core prices observed between 2021 and 2023. The propagation to core prices appears to be larger compared to oil shocks, suggesting that the structural differences between the two markets matter from an aggregate perspective.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"151 ","pages":"Article 103749"},"PeriodicalIF":4.3,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143783476","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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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