发布求助
文献互助 智能选刊 最新文献

Journal of Monetary Economics最新文献

筛选
英文 中文
Equilibrium yield curves with imperfect information 不完全信息下的均衡收益率曲线
IF 4.1 2区 经济学
Journal of Monetary Economics Pub Date : 2024-06-29 DOI: 10.1016/j.jmoneco.2024.103621
Hiroatsu Tanaka
{"title":"Equilibrium yield curves with imperfect information","authors":"Hiroatsu Tanaka","doi":"10.1016/j.jmoneco.2024.103621","DOIUrl":"https://doi.org/10.1016/j.jmoneco.2024.103621","url":null,"abstract":"","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"73 1","pages":""},"PeriodicalIF":4.1,"publicationDate":"2024-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141720315","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
Euro area monetary policy effects. Does the shape of the yield curve matter? 欧元区货币政策效应。收益率曲线的形状重要吗？
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2024-06-13 DOI: 10.1016/j.jmoneco.2024.103617
{"title":"Euro area monetary policy effects. Does the shape of the yield curve matter?","authors":"","doi":"10.1016/j.jmoneco.2024.103617","DOIUrl":"10.1016/j.jmoneco.2024.103617","url":null,"abstract":"<div><p>This paper investigates the effects of monetary policy<span><span> in the euro area. We make three contributions to the literature. The first is to use the information from movements in the entire yield curve around monetary policy<span> events to shed light on the efficacy of monetary policy<span>. The second contribution is to provide a novel and easy-to-update database of surprises based on intra-day quotes of Euro Area OIS forward rates and sovereign yields of France, Germany, Italy and Spain. Our third contribution is to show that how the term structure of interest rates<span> changes in response to conventional and unconventional monetary policy announcements matters in shaping the response of key </span></span></span></span>macroeconomic variables.</span></p></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"147 ","pages":"Article 103617"},"PeriodicalIF":4.3,"publicationDate":"2024-06-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141401814","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
Mortgage choice and inflation experiences in the Eurozone 欧元区的抵押贷款选择和通胀经验
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2024-05-20 DOI: 10.1016/j.jmoneco.2024.103611
{"title":"Mortgage choice and inflation experiences in the Eurozone","authors":"","doi":"10.1016/j.jmoneco.2024.103611","DOIUrl":"10.1016/j.jmoneco.2024.103611","url":null,"abstract":"<div><p>In the Eurozone, households’ mortgage preferences vary widely, both within and across countries. This persistent heterogeneity in the choice between an adjustable rate mortgage (ARM) and a fixed rate mortgage (FRM) two decades after introducing a common currency is a puzzle. We argue that these patterns relate to the long-lasting effect of personal experiences of high-inflation periods. Analysing rich household data across 9 countries, we show that higher lifetime experienced inflation predicts significantly lower probability of holding an FRM: a 1 log-point increase in experienced inflation predicts a 71% decrease in the odds of holding an FRM. We relate our findings to existing theories on household mortgage risk management and argue that Eurozone prepayment penalties heighten the ‘inflation risk’ associated with FRMs. We also find that past personal inflation experiences are associated to risk aversion: households with histories of high and volatile inflation report lower willingness to take financial risk.</p></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"147 ","pages":"Article 103611"},"PeriodicalIF":4.3,"publicationDate":"2024-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304393224000643/pdfft?md5=1a7d220c9f713420cf79dcb7e7a9b86f&pid=1-s2.0-S0304393224000643-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141131303","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 Credit Channel of Public Procurement 政府采购的信贷渠道
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2024-05-13 DOI: 10.1016/j.jmoneco.2024.103601
{"title":"The Credit Channel of Public Procurement","authors":"","doi":"10.1016/j.jmoneco.2024.103601","DOIUrl":"10.1016/j.jmoneco.2024.103601","url":null,"abstract":"<div><p>Public procurement accounts for one-third of government spending. In this paper, I document a new mechanism through which government procurement promotes firm growth: firms use procurement contracts<span> to increase cash flow based lending. I use Portuguese administrative data from 2009 to 2019 and exploit public contests as a source of quasi-exogenous variation in the award of procurement contracts. Winning one additional euro from a procurement contract increases firm credit by 7 cents at lower interest rates. This finding highlights a mechanism through which future fiscal stimulus<span> can impact the real economy today: procurement contracts increase firms’ net worth by increasing future cash flows that can be used as collateral to ease borrowing constraints and boost corporate liquidity. Consequently, this enhanced access to credit promotes higher investment and employment, with these effects being more pronounced and persistent in smaller and financially constrained firms. At the aggregate level, I empirically estimate that spending one additional euro in public procurement increases regional output by 1.3 euros with the credit channel accounting for 5% of it.</span></span></p></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"147 ","pages":"Article 103601"},"PeriodicalIF":4.3,"publicationDate":"2024-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141046157","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
Unusual shocks in our usual models 我们常用模型中的异常冲击
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2024-05-09 DOI: 10.1016/j.jmoneco.2024.103598
{"title":"Unusual shocks in our usual models","authors":"","doi":"10.1016/j.jmoneco.2024.103598","DOIUrl":"10.1016/j.jmoneco.2024.103598","url":null,"abstract":"<div><p>We propose a method to allow usual business cycle models to account for the unusual COVID episode. The pandemic and the public and private responses to it are represented by a new shock called the <em>Covid shock</em>, which loads onto wedges that underlie the usual shocks and comes with news about its evolution. We apply our method to a standard medium-scale model, estimating the loadings with 2020q2 data and the evolving news using professional forecasts. The Covid shock accounts for most of the early macroeconomic dynamics, was inflationary and a persistent drag on activity, and the majority of its effects were unanticipated. We also show how the Covid shock can be used to estimate DSGE models with data before, during, and after the pandemic.</p></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"147 ","pages":"Article 103598"},"PeriodicalIF":4.3,"publicationDate":"2024-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304393224000515/pdfft?md5=63e859ba3995fec8c0424d9d56efb894&pid=1-s2.0-S0304393224000515-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141152226","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
Effects of monetary policy on household expectations: The role of homeownership 货币政策对家庭预期的影响：房屋所有权的作用
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2024-05-08 DOI: 10.1016/j.jmoneco.2024.103599
{"title":"Effects of monetary policy on household expectations: The role of homeownership","authors":"","doi":"10.1016/j.jmoneco.2024.103599","DOIUrl":"10.1016/j.jmoneco.2024.103599","url":null,"abstract":"<div><p><span>We study the role of homeownership in the effectiveness of monetary policy<span><span> on households’ expectations based on individual-level microdata in the U.S. We find that homeowners lower their near-term </span>inflation expectations and optimism about the </span></span>labor market<span><span> outlook in response to a rise in mortgage rates, while renters are less likely to do so. We further show that forward guidance shocks lead to similar differences between homeowners and renters. Our results suggest that homeowners pay attention to news on interest rates and adjust their expectations accordingly in a manner consistent with the intended effect of </span>monetary policy<span>. We characterize this empirical finding with a rational inattention model where mortgage payments create an incentive for homeowners to acquire information on monetary policy, unlike renters. This housing-driven endogenous attentiveness is the key mechanism behind the compelling empirical link among homeownership, attention, and the transmission of monetary policy.</span></span></p></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"147 ","pages":"Article 103599"},"PeriodicalIF":4.3,"publicationDate":"2024-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141061757","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
Cross-sectional financial conditions, business cycles and the lending channel 横截面金融条件、商业周期和贷款渠道
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2024-05-06 DOI: 10.1016/j.jmoneco.2024.103597
{"title":"Cross-sectional financial conditions, business cycles and the lending channel","authors":"","doi":"10.1016/j.jmoneco.2024.103597","DOIUrl":"10.1016/j.jmoneco.2024.103597","url":null,"abstract":"<div><p>I document business cycle properties of the cross-sectional distributions of U.S.<span> stock returns and credit spreads. The skewness of returns of financial firms (SRF) best predicts economic activity, while being a barometer for the lending channel—credit supply shifts beyond what is explained by borrowers’ conditions. SRF also predict firm-level investment beyond firms’ balance sheets. Using a structural model, I estimate that while SRF is highly cyclical, shocks to the cross-sectional skewness of financial firms’ asset quality help explain GDP growth in historical episodes. These results point to the cross-section of financial firms playing a prominent role in business cycles.</span></p></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"147 ","pages":"Article 103597"},"PeriodicalIF":4.3,"publicationDate":"2024-05-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140941046","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
Macroprudential policy with earnings-based borrowing constraints 基于收益的借贷约束的宏观审慎政策
IF 4.3 2区 经济学
Journal of Monetary Economics Pub Date : 2024-05-06 DOI: 10.1016/j.jmoneco.2024.103595
{"title":"Macroprudential policy with earnings-based borrowing constraints","authors":"","doi":"10.1016/j.jmoneco.2024.103595","DOIUrl":"10.1016/j.jmoneco.2024.103595","url":null,"abstract":"<div><p><span><span>A large literature has studied optimal regulatory policy in macroeconomic<span> models with asset-based collateral constraints. A common conclusion is that agents ‘over-borrow’ and optimal policy reduces debt positions through </span></span>taxes. The reason is that agents do not internalize the effects of their choices on </span><em>asset prices</em><span>. However, recent empirical evidence shows that firms primarily borrow against their earnings rather than their assets. This paper studies optimal macroprudential policy with earnings-based borrowing constraints, both in closed and open economies. We reach the opposite conclusion to the previous literature. Agents ‘over-save’ (and ‘under-borrow’) relative to the social optimum, as they do not internalize changes in </span><em>wages</em>, which in turn affect firms’ earnings. A numerical model exercise demonstrates that incorrectly rolling out a tax policy derived under the assumption of asset-based constraints in an economy where firms actually borrow based on earnings leads to a consumption equivalent welfare loss of up to 2.55%. Optimal macroprudential policy thus critically depends on the specific form of financial constraints.</p></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"147 ","pages":"Article 103595"},"PeriodicalIF":4.3,"publicationDate":"2024-05-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140940990","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
Parameter learning in production economies 生产经济中的参数学习
IF 4.1 2区 经济学
Journal of Monetary Economics Pub Date : 2024-05-01 DOI: 10.1016/j.jmoneco.2024.103555
Mykola Babiak , Roman Kozhan
{"title":"Parameter learning in production economies","authors":"Mykola Babiak ,&nbsp;Roman Kozhan","doi":"10.1016/j.jmoneco.2024.103555","DOIUrl":"10.1016/j.jmoneco.2024.103555","url":null,"abstract":"<div><p>We examine how parameter learning amplifies the impact of macroeconomic shocks on equity prices and quantities in a standard production economy where a representative agent has Epstein-Zin preferences. An investor observes technology shocks that follow a regime-switching process but does not know the underlying model parameters governing the short-term and long-run perspectives of economic growth. We show that rational belief updating endogenously generates long-run risks that help explain various asset pricing facts, most prominently, dividend yield variance decomposition. The asset pricing implications of endogenous long-run risks depend crucially on the introduction of a procyclical dividend process.</p></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"144 ","pages":"Article 103555"},"PeriodicalIF":4.1,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0304393224000084/pdfft?md5=b0da64f2c8521919e68b1cec91bb3d6a&pid=1-s2.0-S0304393224000084-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139920606","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
Oil price shocks in real time 实时石油价格冲击
IF 4.1 2区 经济学
Journal of Monetary Economics Pub Date : 2024-05-01 DOI: 10.1016/j.jmoneco.2023.12.005
Andrea Gazzani, Fabrizio Venditti, Giovanni Veronese
{"title":"Oil price shocks in real time","authors":"Andrea Gazzani,&nbsp;Fabrizio Venditti,&nbsp;Giovanni Veronese","doi":"10.1016/j.jmoneco.2023.12.005","DOIUrl":"10.1016/j.jmoneco.2023.12.005","url":null,"abstract":"<div><p>Oil prices contain information on global shocks of key relevance for monetary policy<span> decisions. We propose a novel approach to identify these shocks at the daily frequency in a Structural Vector Autoregression (SVAR). Our method is devised to be used in real time to interpret the developments in the oil market and their implications for the macroeconomy, circumventing the problem of publication lags that plagues monthly data used in workhorse SVAR models. It proves particularly valuable for monetary policymakers at times when macroeconomic conditions evolve rapidly, like during the COVID-19 pandemic or the invasion of Ukraine by Russia.</span></p></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"144 ","pages":"Article 103547"},"PeriodicalIF":4.1,"publicationDate":"2024-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139412377","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
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信