Journal of Macroeconomics最新文献

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The multifaceted effect of monetary policy on U.S. credit aggregates 货币政策对美国信贷总量的多方面影响

IF 1.3 3区经济学 Q3 ECONOMICS

Journal of Macroeconomics

Pub Date : 2025-03-06 DOI: 10.1016/j.jmacro.2025.103674

Maximilien Coussin

Using a Factor-Augmented Vector Autoregressive (FAVAR) model and extensions, this paper investigates the impact of monetary policy on various credit aggregates in the United States over sixty years. The analysis reveals that monetary policy impacts different types of credit heterogeneously, with credit to the financial sector reacting particularly strongly. Bank-held credit exhibits notable sensitivity to monetary policy shocks. The effects of monetary policy are also conditional on the phases of the economic and financial cycles, showing a much stronger impact during periods of expansion. Additionally, a long-term strengthening of the transmission mechanisms suggests that substantial structural changes have occurred over the past six decades.

本文利用因子增强向量自回归（FAVAR）模型和扩展模型，研究了六十年来货币政策对美国各种信贷总量的影响。分析表明，货币政策对不同类型的信贷产生了不同的影响，其中金融部门的信贷反应尤为强烈。银行持有的信贷对货币政策冲击表现出明显的敏感性。货币政策的影响也取决于经济和金融周期的阶段，在经济扩张时期，货币政策的影响要大得多。此外，传导机制的长期加强表明，在过去六十年中发生了重大的结构性变化。

引用次数: 0

External shocks and FX intervention policy in financially dollarized economies 金融美元化经济体的外部冲击与外汇干预政策

IF 1.3 3区经济学 Q3 ECONOMICS

Journal of Macroeconomics

Pub Date : 2025-03-05 DOI: 10.1016/j.jmacro.2025.103672

Alex Carrasco , David Florián Hoyle

We examine the role of sterilized FX interventions as a monetary policy tool in response to external shocks for dollarized emerging market economies. Our model highlights an agency problem that limits banks’ ability to secure funds in both domestic and foreign currencies, with its intensity linked to currency mismatches in the banking sector. This leads to endogenous deviations from the standard UIP condition, resulting in a non-neutral FX intervention policy. Sterilized FX interventions stabilize financial conditions not only by stabilizing real exchange rates but also by acting as a balance sheet policy that directly influences credit supply. Our quantitative analysis shows that FX policy rules that counteract exchange rate deviations reduce volatility in interest rate spreads including UIP deviations, credit, investment, and output, leading to significant welfare improvements compared to a flexible exchange rate regime.

我们研究了冲销外汇干预作为应对美元化新兴市场经济体外部冲击的货币政策工具的作用。我们的模型突出了一个代理问题，该问题限制了银行获得本币和外币资金的能力，其强度与银行业的货币错配有关。这导致了对标准UIP条件的内生偏差，导致了非中性的外汇干预政策。冲销外汇干预不仅通过稳定实际汇率，而且通过作为直接影响信贷供应的资产负债表政策来稳定金融状况。我们的定量分析表明，与灵活的汇率制度相比，抵消汇率偏差的外汇政策规则减少了包括UIP偏差、信贷、投资和产出在内的利差波动，从而显著改善了福利。

引用次数: 0

Automation and job polarization 自动化与工作极化

IF 1.3 3区经济学 Q3 ECONOMICS

Journal of Macroeconomics

Pub Date : 2025-03-01 DOI: 10.1016/j.jmacro.2025.103673

Chia-Hui Lu

By introducing the development of automation into a labor search model with differently skilled workers, this paper finds that increased automation of production processes leads to job polarization. When there is an increase in the degree to which automation and middle-skilled labor can replace each other, firms producing final goods will use automation in place of human labor rather than the other way around. In economies where people can acquire skills and make endogenous occupational choices, government subsidies to cover the learning costs of high-skilled labor enhance output production and household welfare, but increase the degree of job polarization. Furthermore, we find that reducing job polarization is not necessarily beneficial for macroeconomic performance when the government subsidizes the cost of learning for household members to become middle-skilled workers.

通过将自动化的发展引入具有不同技能工人的劳动力搜索模型，本文发现生产过程自动化程度的提高导致了工作两极分化。当自动化和中等技能劳动力相互替代的程度提高时，生产最终产品的公司将使用自动化来代替人力劳动，而不是相反。在人们能够获得技能并做出内生职业选择的经济体中，政府补贴支付高技能劳动力的学习成本提高了产出和家庭福利，但增加了就业两极分化的程度。此外，我们发现，当政府补贴家庭成员成为中等技能工人的学习成本时，减少工作两极分化并不一定有利于宏观经济绩效。

引用次数: 0

Bilateral output synchronization in a globalized world: A macroeconomic evaluation of the third-country effect 全球化世界中的双边产出同步：第三国效应的宏观经济评价

IF 1.3 3区经济学 Q3 ECONOMICS

Journal of Macroeconomics

Pub Date : 2025-02-22 DOI: 10.1016/j.jmacro.2025.103665

Jean-Sébastien Pentecôte , Jean-Christophe Poutineau , Tovonony Razafindrabe , Fabien Rondeau

This paper examines the influence of third countries on the output synchronization between two trading partners. We first address this issue in a three-country Dynamic Stochastic General Equilibrium model, where trade in intermediate goods operates at the intensive and extensive margins. We find that adding a third trading partner strengthens the output co-movement between two countries through two channels: a trade channel, driven by a higher total number of varieties traded that makes production processes more homogeneous across countries, and a macroeconomic channel where the third country exerts a stabilizing effect on the intensive and extensive margins of production in the other two countries. Applying Jordà’s local projections to 34 countries from 1979Q2 to 2019Q4, we find that the inclusion of a third partner raises the output co-movement in 75% of cases on average, with a median rise of 54% on average compared to the two-country case. Our results are robust to (i) an alternative identification of productivity shocks and (ii) the inclusion of extensive trade margins as control variables. Those stylized facts of upward output synchronization resulting from the explicit inclusion of a third trading partner are consistent with our theoretical predictions.

本文考察了第三国对贸易伙伴间产出同步的影响。我们首先在一个三国动态随机一般均衡模型中解决了这个问题，其中中间产品的贸易在集约化和外延化的边际上运行。我们发现，增加第三个贸易伙伴通过两个渠道加强了两国之间的产出协同运动：一个是贸易渠道，由更高的交易品种总数驱动，使各国的生产过程更加同质化；另一个是宏观经济渠道，其中第三国对其他两国的集约和粗放生产边际发挥稳定作用。将jord的本地预测应用于1979年第二季度至2019年第四季度的34个国家，我们发现，在平均75%的情况下，第三个合作伙伴的加入提高了产出共同运动，与两个国家的情况相比，中位数平均增加了54%。我们的结果对于(i)生产率冲击的替代识别和（ii）广泛的贸易利润率作为控制变量的包含是稳健的。由于明确包含第三个贸易伙伴而导致的产出向上同步的程式化事实与我们的理论预测一致。

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引用次数: 0

Do commitment and enforcement of fiscal rules enhance fiscal stability? Evidence from European Union countries 财政规则的承诺和执行是否能增强财政稳定？来自欧盟国家的证据

IF 1.3 3区经济学 Q3 ECONOMICS

Journal of Macroeconomics

Pub Date : 2025-02-10 DOI: 10.1016/j.jmacro.2025.103664

Antonia López-Villavicencio, Jocelyne Zoumenou

We study the impact of fiscal rules on EU countries’ fiscal stability, particularly within the Stability and Growth Pact (SGP) framework. By rigorously addressing endogeneity concerns, we show that, among all the rules imposed by the SGP, compliance with budget balance rules (BBR) and to a lesser extent, deficit rules, are the only ones that contribute to fiscal stability. However, countries that comply with other targets – either individually, simultaneously, or by adopting a constitutional BBR – do not perform better than those that comply exclusively with the budget balance rule. Finally, our results suggest that strong fiscal rules are not necessary to achieve better fiscal discipline.

我们研究了财政规则对欧盟国家财政稳定的影响，特别是在《稳定与增长公约》（SGP）框架下。通过严格解决内生性问题，我们表明，在SGP强加的所有规则中，遵守预算平衡规则（BBR）以及较小程度上的赤字规则是唯一有助于财政稳定的规则。然而，遵守其他目标的国家——无论是单独遵守、同时遵守，还是采用宪法规定的BBR——并不比那些只遵守预算平衡规则的国家表现得更好。最后，我们的研究结果表明，要实现更好的财政纪律，并不需要强有力的财政规则。

引用次数: 0

Borrowing constraints, financial frictions, misallocation and GDP per worker 借贷限制、金融摩擦、分配不当和人均GDP

IF 1.3 3区经济学 Q3 ECONOMICS

Journal of Macroeconomics

Pub Date : 2025-01-18 DOI: 10.1016/j.jmacro.2024.103660

Amaia Iza, Ibai Ostolozaga

The aim of this paper is to analyze the effect of relaxing borrowing constraints taking into account that firms may be facing either earnings-based or asset-based borrowing constraints on some aggregates such GDP per worker or TFP. We also analyze the impact on those aggregates of increasing the proportion of firms with earnings-based borrowing constraints. Using the World Bank Enterprise Survey, we show that the proportion of firms whose loans require collateral is lower in those countries whose bankruptcy laws facilitate reorganization. In addition, we show that there are no significant differences in the median/average contract-enforcement scores between countries where bankruptcy laws facilitate reorganization and countries where they do not, and that there is a significant negative link between the contract-enforcement score and the collateral-to-loan ratio. Furthermore, we also show that there is a significant positive correlation between the average proportion of firms in a country whose credit does not require collateral (with cash flow-based debt) with GDP per worker and TFP, but not with the debt-to-GDP ratio. We build a model that takes into account country characteristics in the proportion of firms whose loans require collateral and also in the average collateral-to-loan ratio. We find that policies aimed at increasing the proportion of firms that face borrowing constraints based on earnings rather than on assets, so as to reduce the misallocation of debt, may be as important as those aimed at reducing the collateral-to-loan ratio.

本文的目的是分析放松借贷限制的影响，同时考虑到企业可能面临基于收入或基于资产的某些总量（如人均GDP或TFP）的借贷限制。我们还分析了增加以盈利为基础的借款限制的企业比例对这些总量的影响。利用世界银行企业调查，我们发现在那些破产法有利于重组的国家，贷款需要抵押品的企业比例较低。此外，我们表明，在破产法有利于重组的国家和破产法不利于重组的国家之间，合同执行得分的中位数/平均值没有显著差异，合同执行得分与抵押贷款比之间存在显著的负相关。此外，我们还表明，在一个国家，信贷不需要抵押品（以现金流为基础的债务）的企业的平均比例与人均GDP和TFP之间存在显著的正相关关系，但与债务与GDP之比无关。我们建立了一个模型，该模型考虑了各国在贷款需要抵押品的企业比例和平均抵押贷款比率方面的特点。我们发现，旨在增加基于收益而非资产而面临借款限制的企业比例的政策，以减少债务的错配，可能与旨在降低抵押贷款比的政策同样重要。

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引用次数: 0

The impact of the Public Sector Purchase Programme on lending to SMEs 公营机构采购计划对中小企业贷款的影响

IF 1.3 3区经济学 Q3 ECONOMICS

Journal of Macroeconomics

Pub Date : 2025-01-07 DOI: 10.1016/j.jmacro.2024.103659

Vlad Skovorodov , Rui Silva

We study the impact of the Public Sector Purchase Programme (PSPP) between 2015 and 2018 on lending volumes in the Eurozone. We find a connection between purchases under the PSPP and: (i) lending volumes on types of loans mainly obtained by SMEs; (ii) loans below 1 million euros during the expansion phase of the program until the end of 2016, and loans above 1 million euros in its contraction phase; (iii) substantial changes in lending volumes in economies with high levels of public debt and distressed financial systems, and; (iv) types of loans mainly obtained by SMEs in more resilient economies. These findings point to the effectiveness of the credit channel as a transmission mechanism of unconventional monetary policy and support the decision of the ECB to reactivate the program at the end of 2019.

我们研究了2015年至2018年公共部门采购计划（PSPP）对欧元区贷款量的影响。我们发现PSPP下的购买与：(i)主要由中小企业获得的贷款类型的贷款额之间存在联系；（ii）项目扩张期至2016年底期间贷款低于100万欧元，收缩期贷款超过100万欧元；（iii）公共债务水平高、金融体系陷入困境的经济体的贷款额发生重大变化；（iv）弹性较强经济体中主要由中小企业获得的贷款类型。这些发现表明了信贷渠道作为非常规货币政策传导机制的有效性，并支持了欧洲央行在2019年底重新启动该计划的决定。

引用次数: 0

Inflation and entry costs in a monetary search model 货币搜索模型中的通货膨胀和进入成本

IF 1.3 3区经济学 Q3 ECONOMICS

Journal of Macroeconomics

Pub Date : 2025-01-06 DOI: 10.1016/j.jmacro.2024.103663

Ryoji Hiraguchi , Keiichiro Kobayashi

In this study, we construct a variant of the Lagos–Wright monetary model in which both buyers and sellers optimally decide whether to enter decentralized market by paying fixed entry costs. In the decentralized market, the sellers produce the intermediate inputs which are necessary to produce the general good traded in the centralized market. We show that the Friedman rule of setting nominal interest rate to zero may not be optimal. The optimal inflation rate is derived explicitly for specific functional forms. It is shown that the optimal inflation rate is lower for lower buyer entry costs, because the lower entry costs generate the buyer’s congestion leading to lower benefit from holding money, which must be balanced by lower cost of money holdings. It is also shown that the optimal inflation is lower for higher seller entry costs.

在本研究中，我们构建了拉各斯-赖特货币模型的一个变体，在该模型中，买卖双方都通过支付固定的进入成本来最优地决定是否进入分散市场。在去中心化市场中，卖方生产中间投入物，这些投入物是生产在中心化市场中交易的一般商品所必需的。我们证明了将名义利率设定为零的弗里德曼规则可能不是最优的。对于特定的函数形式，明确地导出了最优通货膨胀率。结果表明，当购买者进入成本较低时，最优通货膨胀率较低，因为较低的进入成本会导致购买者拥塞，从而导致持有货币的收益降低，而这必须通过较低的持有货币成本来平衡。研究还表明，卖方进入成本越高，最优通货膨胀率越低。

引用次数: 0

Computerizing households and the role of technology shocks in consumer durables 计算机化家庭和技术冲击在耐用消费品中的作用

IF 1.3 3区经济学 Q3 ECONOMICS

Journal of Macroeconomics

Pub Date : 2025-01-04 DOI: 10.1016/j.jmacro.2024.103662

Seunghoon Na , Hyunseung Oh

We quantitatively assess the cyclical importance of technology shocks to consumer durables in light of the widespread adoption of consumer electronics such as smartphones and tablets. By estimating a business-cycle model of consumer durables with IT-specific technology, we find that technology shocks accounted for more than half of the variation in consumer IT goods and were a key driver of the 2001–2007 boom in consumer durable expenditures. Our estimation results suggest a larger role for technology shocks in household expenditures on consumer durables than previously recognized. In standard models, however, these shocks have a more limited impact on GDP dynamics, as consumer durables do not contribute to productive capital.

鉴于智能手机和平板电脑等消费电子产品的广泛采用，我们定量评估了技术冲击对耐用消费品的周期性重要性。通过估计具有IT特定技术的耐用消费品的商业周期模型，我们发现技术冲击占了消费IT产品变化的一半以上，并且是2001-2007年耐用消费品支出繁荣的关键驱动因素。我们的估计结果表明，技术冲击在家庭耐用消费品支出中的作用比以前认识到的要大。然而，在标准模型中，这些冲击对GDP动态的影响更为有限，因为耐用消费品对生产资本没有贡献。

引用次数: 0

Consumption responses to inheritances: The role of durable goods 消费对继承的反应：耐用品的作用

IF 1.3 3区经济学 Q3 ECONOMICS

Journal of Macroeconomics

Pub Date : 2024-12-21 DOI: 10.1016/j.jmacro.2024.103661

Ignacio Belloc , José Alberto Molina , Jorge Velilla

This paper studies the impact of inheritances, a key component in household wealth accumulation, on consumption. Specifically, we investigate how inheritances influence household consumption growth, distinguishing durable and nondurable goods. In doing so, we use data from the Panel Study of Income Dynamics spanning 2005–2019. The results reveal a positive effect of inheritances on household consumption of durable goods. Such an effect occurs immediately after receiving the inheritance and its average magnitude is about 27 %. Estimates also reveal that large inheritances significantly impact the consumption growth of durables, but also of non-durables, while small inheritances show no effects. Consumption responses are stronger among liquidity and borrowing constrained households, aligning with life-cycle models of consumption behavior. Insights inform planners by highlighting varied effects of inheritances on household consumption, particularly emphasizing the nuanced impact of inheritance size.

本文研究了家庭财富积累的重要组成部分——继承对消费的影响。具体而言，我们研究了遗产如何影响家庭消费增长，区分耐用品和非耐用品。为此，我们使用了2005-2019年收入动态小组研究的数据。结果显示，继承对家庭耐用品消费有正向影响。这种效应在继承后立即发生，其平均幅度约为27%。估计还显示，大的继承显著影响耐用品的消费增长，但也影响非耐用品的消费增长，而小的继承则没有影响。在流动性和借贷受限的家庭中，消费反应更为强烈，这与消费行为的生命周期模型相一致。通过强调遗产对家庭消费的不同影响，特别是强调遗产规模的细微影响，insight为规划者提供了信息。

引用次数: 0

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