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Sinking ships: Liquidity constraints and return predictability in recessions 沉船：衰退中的流动性约束和回报可预测性
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2025-04-01 DOI: 10.1016/j.jmoneco.2025.103746
Artur Doshchyn
{"title":"Sinking ships: Liquidity constraints and return predictability in recessions","authors":"Artur Doshchyn","doi":"10.1016/j.jmoneco.2025.103746","DOIUrl":"10.1016/j.jmoneco.2025.103746","url":null,"abstract":"<div><div>Using the context of the dry-bulk shipping industry, I document that future returns on real assets are strongly predictable and negatively related to current asset prices, earnings, and investment during recessions. However, there is no such relationship outside recessions. This evidence points to significant liquidity constraints faced by firms during downturns, resulting in cash-in-the-market pricing of capital and rising expected returns for buyers. It is puzzling, however, why firms would not exploit opportunities to buy assets cheaply in recessions, e.g. by pre-arranging credit lines. I build and estimate a model of a competitive industry with credit frictions that can quantitatively account for return predictability during downturns, even though firms can use state-contingent contracts to preserve liquidity for when they need it most. Firms’ relative impatience limits their risk management, meaning that even well-capitalized firms can become constrained following adverse shocks. This results in significant asymmetric amplification of shocks in equilibrium.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"151 ","pages":"Article 103746"},"PeriodicalIF":4.3,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143783474","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
Announcements, expectations, and stock returns with asymmetric information 信息不对称情况下的公告、预期和股票收益
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2025-04-01 DOI: 10.1016/j.jmoneco.2025.103751
Leyla Jianyu Han
{"title":"Announcements, expectations, and stock returns with asymmetric information","authors":"Leyla Jianyu Han","doi":"10.1016/j.jmoneco.2025.103751","DOIUrl":"10.1016/j.jmoneco.2025.103751","url":null,"abstract":"<div><div>Revisions of consensus macroeconomic and earnings forecasts positively predict announcement-day forecast errors, whereas stock market returns during forecast revision periods negatively predict announcement-day returns. A dynamic noisy rational expectations model with periodic announcements quantitatively accounts for these findings. Under asymmetric information, informed investors’ forecast revisions positively predict forecast errors of the uninformed, causing average beliefs to underreact to new information and positively predict belief errors. Additionally, stock prices are partially driven by noise. Noise impact accumulates into stock prices during revision periods but gets corrected upon announcements. Therefore, revision period price changes negatively predict announcement-day returns.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"151 ","pages":"Article 103751"},"PeriodicalIF":4.3,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143783478","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
Foreign exchange interventions in the New-Keynesian model: Policy, transmission, and welfare 新凯恩斯主义模型中的外汇干预：政策、传导和福利
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2025-04-01 DOI: 10.1016/j.jmoneco.2025.103763
Yossi Yakhin
{"title":"Foreign exchange interventions in the New-Keynesian model: Policy, transmission, and welfare","authors":"Yossi Yakhin","doi":"10.1016/j.jmoneco.2025.103763","DOIUrl":"10.1016/j.jmoneco.2025.103763","url":null,"abstract":"<div><div>The paper introduces foreign exchange interventions (FXIs) into an otherwise standard New-Keynesian small open economy model. It solves for the optimal FXI policy, suggests an implementable policy rule, and studies the transmission mechanism of FXIs. Relying on the portfolio balance channel, deviations from the uncovered interest rate parity (UIP) reflect financial inefficiencies. A policy rule that seeks to stabilize the UIP premium moves the economy toward its optimal allocation, regardless of the type of shocks it faces. Augmenting the rule with foreign reserves smoothing further improves welfare. The paper discusses the conditions under which strict targeting of the UIP premium is optimal. FXIs are transmitted by affecting the UIP premium. Purchasing foreign reserves increases the premium, thereby raising the effective return home agents face and depreciating the domestic currency. Consequently, domestic demand contracts and export expands. The results are robust to a variety of modeling alternatives for the financial sector.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"151 ","pages":"Article 103763"},"PeriodicalIF":4.3,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143783480","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
CBDC and the operational framework of monetary policy 中央银行与货币政策的运作框架
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2025-04-01 DOI: 10.1016/j.jmoneco.2025.103762
Jorge Abad , Galo Nuño , Carlos Thomas
{"title":"CBDC and the operational framework of monetary policy","authors":"Jorge Abad ,&nbsp;Galo Nuño ,&nbsp;Carlos Thomas","doi":"10.1016/j.jmoneco.2025.103762","DOIUrl":"10.1016/j.jmoneco.2025.103762","url":null,"abstract":"<div><div>We analyze the impact of central bank digital currency (CBDC) on the operational framework of monetary policy and the macroeconomy. We develop a New-Keynesian model with a frictional interbank market, central bank deposit and lending facilities, and household preferences for different liquid assets, calibrated to the euro area. CBDC adoption implies a contraction in bank deposits, which is absorbed by a fall in reserves and, if large enough, increased recourse to central bank credit. The resulting changes in the operational framework (from ‘floor’ to ‘corridor’, and then to ‘ceiling’) thus shape the impact of CBDC on credit, investment and output.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"151 ","pages":"Article 103762"},"PeriodicalIF":4.3,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143783479","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
Bond market stimulus: Firm-level evidence 债券市场刺激：企业层面的证据
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2025-04-01 DOI: 10.1016/j.jmoneco.2024.103728
Olivier Darmouni , Kerry Y. Siani
{"title":"Bond market stimulus: Firm-level evidence","authors":"Olivier Darmouni ,&nbsp;Kerry Y. Siani","doi":"10.1016/j.jmoneco.2024.103728","DOIUrl":"10.1016/j.jmoneco.2024.103728","url":null,"abstract":"<div><div>How do asset purchases by central banks transmit to the real economy? Using micro-data on corporate balance sheets, we study firm behavior after the unprecedented policy support to corporate bond markets in 2020. As bond yields fell, firms issued bonds to accumulate large and persistent amounts of liquid assets. The effect on real investment was generally weak: many issuers already had access to bank liquidity and maintained equity payouts, while others used bond funds to pay back bank debt. This evidence sheds light on how corporate liquidity and financial heterogeneity matter for the macro-economy and the transmission of unconventional monetary policy.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"151 ","pages":"Article 103728"},"PeriodicalIF":4.3,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143783569","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 adoption and termination of suppliers over the business cycle 在商业周期中供应商的采用和终止
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2025-04-01 DOI: 10.1016/j.jmoneco.2025.103730
Le Xu , Yang Yu , Francesco Zanetti
{"title":"The adoption and termination of suppliers over the business cycle","authors":"Le Xu ,&nbsp;Yang Yu ,&nbsp;Francesco Zanetti","doi":"10.1016/j.jmoneco.2025.103730","DOIUrl":"10.1016/j.jmoneco.2025.103730","url":null,"abstract":"<div><div>We assemble a firm-level dataset to study the adoption and termination of suppliers over business cycles. We document that the aggregate number and rate of adoption of suppliers are procyclical. The rate of termination is acyclical at the aggregate level, and the cyclicality of termination encompasses large differences across producers. To account for these new facts, we develop a model with optimizing producers that incur separate costs for management, adoption, and termination of suppliers. These costs alter the incentives to scale up production and to replace existing with new suppliers. Sufficiently high convexity in management relative to adjustment costs is crucial to replicating the observed cyclicality in the adoption and termination rates at the producer and aggregate levels. We study the welfare implications of credit injections and subsidies on new inputs—the two main classes of supply-chain policies adopted in the U.S. since the COVID-19 pandemic. Credit injections generally outperform subsidies on new inputs, except when aggregate TFP is exceptionally high.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"151 ","pages":"Article 103730"},"PeriodicalIF":4.3,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143783573","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
The real effects of financial disruptions in a monetary economy 货币经济中金融混乱的实际影响
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2025-04-01 DOI: 10.1016/j.jmoneco.2025.103735
Miroslav Gabrovski , Athanasios Geromichalos , Lucas Herrenbrueck , Ioannis Kospentaris , Sukjoon Lee
{"title":"The real effects of financial disruptions in a monetary economy","authors":"Miroslav Gabrovski ,&nbsp;Athanasios Geromichalos ,&nbsp;Lucas Herrenbrueck ,&nbsp;Ioannis Kospentaris ,&nbsp;Sukjoon Lee","doi":"10.1016/j.jmoneco.2025.103735","DOIUrl":"10.1016/j.jmoneco.2025.103735","url":null,"abstract":"<div><div>A large literature in macroeconomics concludes that disruptions in financial markets have large negative effects on output and (un)employment. Though diverse, most papers in this literature share a common characteristic: they employ frameworks where money is not explicitly modeled. This paper argues that the omission of money may hinder a model’s ability to evaluate the real effects of financial shocks, since it deprives agents of a payment instrument that they <em>could</em> have used to cope with the resulting liquidity disruption. In a carefully calibrated New-Monetarist model with frictional labor, product, and financial markets, we show that the existence of money dampens or even nearly eliminates the real impact of financial shocks, depending on the nature of the shock. We also show that the propagation of financial shocks to the real economy depends on the inflation level: high inflation levels magnify the real effects of adverse financial shocks.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"151 ","pages":"Article 103735"},"PeriodicalIF":4.3,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143783472","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
Globalization, structural change and international comovement 全球化、结构变化和国际运动
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2025-04-01 DOI: 10.1016/j.jmoneco.2025.103745
Barthélémy Bonadio , Zhen Huo , Andrei A. Levchenko , Nitya Pandalai-Nayar
{"title":"Globalization, structural change and international comovement","authors":"Barthélémy Bonadio ,&nbsp;Zhen Huo ,&nbsp;Andrei A. Levchenko ,&nbsp;Nitya Pandalai-Nayar","doi":"10.1016/j.jmoneco.2025.103745","DOIUrl":"10.1016/j.jmoneco.2025.103745","url":null,"abstract":"<div><div>We study the roles of globalization and structural change in the evolution of international GDP comovement over the period 1978–2007. In this period, trade integration between advanced economies increased rapidly while average GDP correlations remained stable. Structural change – reallocation of economic activity towards services – is important in resolving this apparent puzzle. Business cycle shocks in the service sector are less internationally correlated than in manufacturing, and thus structural change lowers GDP comovement by increasing the GDP share of less correlated sectors. Globalization – reductions in trade costs – exerts two opposing effects on international comovement. While greater trade linkages increase international transmission of shocks, globalization also induces structural change towards services. We quantify these effects in a multi-country, multi-sector model of international production and trade. The two opposing effects of globalization on comovement largely cancel each other out, limiting the net contribution of globalization to increasing international comovement.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"151 ","pages":"Article 103745"},"PeriodicalIF":4.3,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143783473","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
Energy price shocks, unemployment, and monetary policy 能源价格冲击、失业和货币政策
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2025-04-01 DOI: 10.1016/j.jmoneco.2025.103734
Nicolò Gnocato
{"title":"Energy price shocks, unemployment, and monetary policy","authors":"Nicolò Gnocato","doi":"10.1016/j.jmoneco.2025.103734","DOIUrl":"10.1016/j.jmoneco.2025.103734","url":null,"abstract":"<div><div>Does monetary policy face a trade-off between stabilizing inflation and unemployment as soaring energy prices hit the unemployed harder than the employed? Data from the euro-area Consumer Expectations Survey show that job losses not only force workers to lower their consumption but also to devote a higher proportion of it to energy. I incorporate this evidence into a tractable heterogeneous-agent New Keynesian model with labor market frictions, where energy acts as both a complementary input in production and a non-homothetic consumption good. Unemployment forces workers to consume less due to imperfect insurance and, since preferences are non-homothetic, to allocate a larger consumption share to energy. The heterogeneous exposure of the labor force to rising energy prices induces an endogenous trade-off for monetary policy: the optimal response involves partly accommodating inflation to limit the increase in unemployment and, hence, prevent workers from becoming more exposed to the shock.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"151 ","pages":"Article 103734"},"PeriodicalIF":4.3,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143783471","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
Dynamic macroeconomic implications of immigration 移民对动态宏观经济的影响
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2025-04-01 DOI: 10.1016/j.jmoneco.2025.103747
Conny Olovsson , Karl Walentin , Andreas Westermark
{"title":"Dynamic macroeconomic implications of immigration","authors":"Conny Olovsson ,&nbsp;Karl Walentin ,&nbsp;Andreas Westermark","doi":"10.1016/j.jmoneco.2025.103747","DOIUrl":"10.1016/j.jmoneco.2025.103747","url":null,"abstract":"<div><div>International immigration flows are large, volatile, and increasing. We document the dynamic implications of immigration, and account for the differential unemployment and labor force participation rates between immigrants and natives. To quantify the effects of immigration, we use Swedish population registry data and productivity estimates from a matched employer–employee dataset. A refugee (economic) immigration shock yields large initial negative (positive but delayed) effects on GDP per capita and employment rates, substantially larger than, but with the same sign as the corresponding steady state effects. This reflects the empirical fact that labor market integration is a gradual process over many years.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"151 ","pages":"Article 103747"},"PeriodicalIF":4.3,"publicationDate":"2025-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143783475","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
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