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“Information frictions in macroeconomics: The legacy of Robert E. Lucas, Jr.” 宏观经济学中的信息摩擦：小罗伯特·e·卢卡斯的遗产
IF 4.1 2区 经济学
Journal of Monetary Economics Pub Date : 2025-11-01 Epub Date: 2025-09-23 DOI: 10.1016/j.jmoneco.2025.103842
Robert M. Townsend
{"title":"“Information frictions in macroeconomics: The legacy of Robert E. Lucas, Jr.”","authors":"Robert M. Townsend","doi":"10.1016/j.jmoneco.2025.103842","DOIUrl":"10.1016/j.jmoneco.2025.103842","url":null,"abstract":"<div><div>This essay honors the contributions of Robert E. Lucas, Jr., to the most important macro problems where informational frictions are relevant today. The first step focuses on two of Lucas’ papers where information frictions play somewhat different roles, zeroing in on the key elements: money, islands, and imperfect information. Each paper is then linked to associated branches of the literature. The second step argues that new technologies have now emerged which make those key elements all the more crucial in the macroeconomics of today. Monetary policy considerations were forefront in Lucas’ mind, and so that is a recurrent theme throughout this essay.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"155 ","pages":"Article 103842"},"PeriodicalIF":4.1,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145333510","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
Quantifying the allocative efficiency of capital: The role of capital utilization 资本配置效率的量化：资本利用的作用
IF 4.1 2区 经济学
Journal of Monetary Economics Pub Date : 2025-10-01 Epub Date: 2025-08-16 DOI: 10.1016/j.jmoneco.2025.103822
Poorya Kabir , Eugene Tan , Ia Vardishvili
{"title":"Quantifying the allocative efficiency of capital: The role of capital utilization","authors":"Poorya Kabir ,&nbsp;Eugene Tan ,&nbsp;Ia Vardishvili","doi":"10.1016/j.jmoneco.2025.103822","DOIUrl":"10.1016/j.jmoneco.2025.103822","url":null,"abstract":"<div><div>Higher dispersion of log average revenue product of capital (ARPK) is commonly associated with lower capital allocative efficiency. We show this is a result of the assumption that capital utilization is fixed. However, when capital utilization is endogenous, higher capital allocative efficiency is associated with lower dispersion of log average revenue product of capital services (log difference between revenue and utilized capital), not ARPK. Furthermore, contrary to the standard relationship, increases to capital allocative efficiency is associated with higher ARPK dispersion when such improvements arise from greater utilization flexibility. We provide evidence supporting the mechanism and demonstrate counterfactuals where allocative efficiency gains are accompanied by higher ARPK dispersion. Lastly, we apply our framework to study the impact of a capital market liberalization reform in India. We estimate the reform improved allocative efficiency by 0.04%, but counterfactual analysis neglecting the response of utilization would have concluded efficiency gains of 5.25%.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"155 ","pages":"Article 103822"},"PeriodicalIF":4.1,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145098990","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
Hedge funds and the Treasury cash-futures basis trade 对冲基金与国债以现货期货为基础进行交易
IF 4.1 2区 经济学
Journal of Monetary Economics Pub Date : 2025-10-01 Epub Date: 2025-08-14 DOI: 10.1016/j.jmoneco.2025.103823
Daniel Barth, R. Jay Kahn
{"title":"Hedge funds and the Treasury cash-futures basis trade","authors":"Daniel Barth,&nbsp;R. Jay Kahn","doi":"10.1016/j.jmoneco.2025.103823","DOIUrl":"10.1016/j.jmoneco.2025.103823","url":null,"abstract":"<div><div>This paper studies hedge funds’ arbitrage positions in the Treasury cash-futures basis trade, which profits from the disconnect between cash and futures prices. At times, the trade has surpassed $1 trillion in gross exposures. Basis traders consistently account for more than 60% of all hedge fund Treasury positions and 70% of all hedge fund repo. We show how frictions can introduce a positive association between arbitrage quantities and spreads, and how these frictions may propagate stress in the Treasury market during periods of instability such as in March 2020.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"155 ","pages":"Article 103823"},"PeriodicalIF":4.1,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145098994","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
Turbulent business cycles 动荡的商业周期
IF 4.1 2区 经济学
Journal of Monetary Economics Pub Date : 2025-10-01 Epub Date: 2025-08-22 DOI: 10.1016/j.jmoneco.2025.103814
Ding Dong , Zheng Liu , Pengfei Wang
{"title":"Turbulent business cycles","authors":"Ding Dong ,&nbsp;Zheng Liu ,&nbsp;Pengfei Wang","doi":"10.1016/j.jmoneco.2025.103814","DOIUrl":"10.1016/j.jmoneco.2025.103814","url":null,"abstract":"<div><div>Firm-level evidence suggests that turbulence that reshuffles firms’ productivity rankings rises sharply in recessions. An increase in turbulence reallocates labor and capital from high- to low-productivity firms, reducing aggregate TFP and the stock market value of firms. A real business cycle model with heterogeneous firms and financial frictions can generate the observed macroeconomic and reallocation effects of turbulence. In the model, increased turbulence makes high-productivity firms less likely to remain productive, reducing their expected equity values and tightening their borrowing constraints relative to low-productivity firms. This leads to a reallocation that reduces aggregate TFP. Unlike uncertainty, turbulence changes both the conditional mean and the conditional variance of the firm productivity distribution, enabling a turbulence shock to generate a recession with synchronized declines in aggregate activities.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"155 ","pages":"Article 103814"},"PeriodicalIF":4.1,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145098993","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 underemployment trap 就业不足陷阱
IF 4.1 2区 经济学
Journal of Monetary Economics Pub Date : 2025-10-01 Epub Date: 2024-07-23 DOI: 10.1016/j.jmoneco.2024.103633
Jie Duan , Paul Jackson
{"title":"The underemployment trap","authors":"Jie Duan ,&nbsp;Paul Jackson","doi":"10.1016/j.jmoneco.2024.103633","DOIUrl":"10.1016/j.jmoneco.2024.103633","url":null,"abstract":"<div><div><span>Many college graduates are underemployed, i.e., work in occupations that do not require a college degree. We document that underemployed workers are less likely to transition to a college occupation the longer they are underemployed and that longer underemployment histories are associated with lower wages in college occupations. To explain these findings, we develop a directed search model with unobserved heterogeneity, occupation-specific </span>human capital, and on the job search. Workers are uncertain about their suitability for college jobs and learn through search. Underemployment is generated by search and information frictions, as workers with a low expected job finding probability in college occupations self-select into underemployment. Once underemployed, workers’ college occupation-specific human capital decays. A quantitative decomposition shows that unobserved heterogeneity explains most of the duration dependence in underemployment.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"155 ","pages":"Article 103633"},"PeriodicalIF":4.1,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141781958","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
Tokenomics: Optimal monetary and fee policies 代币经济学：最优货币和收费政策
IF 4.1 2区 经济学
Journal of Monetary Economics Pub Date : 2025-10-01 Epub Date: 2025-07-31 DOI: 10.1016/j.jmoneco.2025.103808
Urban Jermann , Haotian Xiang
{"title":"Tokenomics: Optimal monetary and fee policies","authors":"Urban Jermann ,&nbsp;Haotian Xiang","doi":"10.1016/j.jmoneco.2025.103808","DOIUrl":"10.1016/j.jmoneco.2025.103808","url":null,"abstract":"<div><div>We document properties of crypto monetary policies based on a large sample of tokens. We present a dynamic model to determine the optimal issuance and fee policies for issuers. Committing to low future money growth and fees increases profits, and the degree of commitment matters for equilibrium existence. A Ramsey issuer who maximizes profits, after the initial period, makes choices that maximize the utility value of all tokens. We present a model with probabilistic commitment, solve for the steady state in closed form, and show that empirically relevant long-run money growth rates align with very high levels of commitment.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"155 ","pages":"Article 103808"},"PeriodicalIF":4.1,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145098992","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
Optimal monetary policy with uncertain private sector foresight 具有不确定私人部门远见的最优货币政策
IF 4.1 2区 经济学
Journal of Monetary Economics Pub Date : 2025-10-01 Epub Date: 2025-08-20 DOI: 10.1016/j.jmoneco.2025.103826
Christopher Gust, Edward Herbst, David López-Salido
{"title":"Optimal monetary policy with uncertain private sector foresight","authors":"Christopher Gust,&nbsp;Edward Herbst,&nbsp;David López-Salido","doi":"10.1016/j.jmoneco.2025.103826","DOIUrl":"10.1016/j.jmoneco.2025.103826","url":null,"abstract":"<div><div>We model private-sector expectations in a finite-horizon-planning framework: households and firms have limited foresight when making spending, saving, and pricing decisions. In this setting, contrary to standard New Keynesian (NK) models, we show that an “inflation scare” problem can arise in which agents’ longer-run inflation expectations deviate persistently from a central bank’s inflation target. We characterize optimal time-consistent monetary policy when there is uncertainty about the planning horizons of private sector agents and a risk of inflation scares. We show how risk-management considerations modify the optimal “leaning-against-the-wind” principle in the NK literature with a novel, additional preemptive motive to avert inflation scares.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"155 ","pages":"Article 103826"},"PeriodicalIF":4.1,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145098995","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
Bayesian inference in proxy SVARs with incomplete identification: Re-evaluating the validity of monetary policy instruments 不完全识别的代理svar中的贝叶斯推理：货币政策工具有效性的再评估
IF 4.1 2区 经济学
Journal of Monetary Economics Pub Date : 2025-10-01 Epub Date: 2025-07-30 DOI: 10.1016/j.jmoneco.2025.103813
Lam Nguyen
{"title":"Bayesian inference in proxy SVARs with incomplete identification: Re-evaluating the validity of monetary policy instruments","authors":"Lam Nguyen","doi":"10.1016/j.jmoneco.2025.103813","DOIUrl":"10.1016/j.jmoneco.2025.103813","url":null,"abstract":"<div><div>Instrument validity cannot be tested in a just-identified model, and it is not clear what conclusion to draw when instrument validity is rejected in an over-identified model. In practice, researchers tend to regard instruments as valid when they lead to sensible inferences. This paper develops a proxy structural vector autoregression with imperfect confidence in instrument validity, enabling researchers to incorporate and investigate those prior beliefs alongside other identifying information such as sign restrictions. The empirical application offers a new explanation to the observation in Stock and Watson (2012) that shocks predicted by different monetary policy instruments are correlated with oil and fiscal policy shocks, but not with each other.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"155 ","pages":"Article 103813"},"PeriodicalIF":4.1,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145098989","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
Skilled immigration frictions as a barrier for young firms 技术移民摩擦成为年轻公司的障碍
IF 4.1 2区 经济学
Journal of Monetary Economics Pub Date : 2025-10-01 Epub Date: 2025-07-26 DOI: 10.1016/j.jmoneco.2025.103811
Federico Mandelman , Mishita Mehra , Hewei Shen
{"title":"Skilled immigration frictions as a barrier for young firms","authors":"Federico Mandelman ,&nbsp;Mishita Mehra ,&nbsp;Hewei Shen","doi":"10.1016/j.jmoneco.2025.103811","DOIUrl":"10.1016/j.jmoneco.2025.103811","url":null,"abstract":"<div><div>This paper examines the impact of immigration policy frictions on technology-intensive firms by age cohort. The firm-level empirical evidence shows that H-1B policy restrictions on skilled immigrants directly affect the survival of young firms in technology-intensive sectors. We develop a novel general equilibrium model with firm entry and exit that mimics the policy frictions in the H-1B program. The model matches the age distribution of firms in high-technology sectors and shows that immigration policy reforms that increase the entry of younger firms induce greater exit of older, less productive firms, thereby increasing efficiency.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"155 ","pages":"Article 103811"},"PeriodicalIF":4.1,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145098991","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
A model of expenditure shocks 支出冲击模型
IF 4.1 2区 经济学
Journal of Monetary Economics Pub Date : 2025-09-01 Epub Date: 2025-07-22 DOI: 10.1016/j.jmoneco.2025.103807
Jorge Miranda-Pinto , Daniel Murphy , Kieran James Walsh , Eric R. Young
{"title":"A model of expenditure shocks","authors":"Jorge Miranda-Pinto ,&nbsp;Daniel Murphy ,&nbsp;Kieran James Walsh ,&nbsp;Eric R. Young","doi":"10.1016/j.jmoneco.2025.103807","DOIUrl":"10.1016/j.jmoneco.2025.103807","url":null,"abstract":"<div><div>We introduce a new quantitative model of household expenditure shocks to rationalize the common anecdote of a low-income and low-liquidity household that uses additional income to save (repay debt) rather than consume. Our model also rationalizes key features of the joint dynamics of household-level consumption and income, including our finding that consumption is volatile yet disconnected from income, especially for households experiencing episodes of high consumption. The key feature of our model is stochastic consumption thresholds that yield large utility costs if violated. The stochastic thresholds increase the welfare cost of income fluctuations by an order of magnitude.</div></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"154 ","pages":"Article 103807"},"PeriodicalIF":4.1,"publicationDate":"2025-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144809737","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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