Journal of Money Credit and Banking最新文献

In this paper, I argue that occasionally binding borrowing constraints are a source of nonlinearity that warrant an appropriate nonlinear macroprudential policy response. Nonlinear policy responses likely better capture the spirit of macroprudential policy. I show that an asymmetric macroprudential policy rule, which lowers the borrowing limit more aggressively during credit booms, obtains better economic outcomes compared to an optimized symmetric rule that is typically studied in the literature. An asymmetric policy response reduces output and inflation tail risks, generating not only better economic stabilization but also positive externalities to monetary policy.

This paper provides a first look into the joint effects of research and development (R&D) and market power on the cyclicality of employment. It presents a theoretical model with R&D and monopolistically competitive firms which shows that firms smooth their R&D activities when they face large R&D adjustment costs. This smoothing behavior comes at the expense of higher labor volatility, and it is stronger for firms with high R&D intensity and low market power. Firm-level data support these predictions. Dynamic panel estimations reveal that employment at competitive firms engaging in a high level of R&D is more procyclical.

We show that macroprudential regulation significantly dampens the impact of global financial shocks on emerging markets. Specifically, a tighter level of regulation reduces the sensitivity of GDP growth to capital flow shocks and movements in the Chicago Board Options Exchange's VIX. A broad set of macroprudential tools contributes to this result, including measures targeting bank capital and liquidity, foreign currency mismatches, and risky credit. We also find that tighter macroprudential regulation allows monetary policy to respond more countercyclically to global financial shocks. This could be an important channel through which macroprudential regulation enhances macro-economic stability. We do not find evidence that capital controls provide similar benefits.

We investigate the state dependency of the government spending multiplier across the business cycle using a nonlinear two-regime VAR model. We find little evidence that multipliers vary between expansionary and recessionary periods. This is because the state of the business cycle itself changes after government spending shocks and converges toward a similar state. This result holds true regardless of how we model the business cycle. Our analysis shows that assumptions about the economic state built into linear impulse response functions are the key driver of the state dependency reported elsewhere in the literature.

While credit cards provide transaction services, they have never been included in measures of money supply. We derive the theory to measure the joint services of credit cards and money and propose two measures of their joint services: one based on microeconomic structural aggregation theory, providing an aggregated variable within the macroeconomy; the other a credit-card-extended aggregate, optimized as an indicator to capture the contributions of monetary and credit card as nowcasting indicator of nominal GDP. The inclusion of the new aggregates yields substantially more accurate nowcasts of nominal GDP, illustrating the usefulness of the information contained in credit cards.

At the zero lower bound (ZLB), expectations about the future path of monetary or fiscal policy are crucial. We model expectations formation under level-$�k$ thinking, a form of bounded rationality formalized by García-Schmidt and Woodford (2019) and Farhi and Werning (2019), consistent with experimental evidence. This process does not lead to a number of puzzling features from rational expectations models, such as the reversal puzzle, or implausible large fiscal multipliers. Optimal monetary policy at the ZLB under level-$�k$ thinking prescribes keeping the nominal rate lower for longer, but short-run macro-economic stabilization is less powerful compared to rational expectations.

Countercyclical capital buffers (CCyBs) are an old idea recently resurrected. They compel systemically important banks to accumulate capital during expansions to sustain operations during downturns. We compare banks before the Great Depression, when CCyBs existed, and Great Recession, when they did not. Pre-Depression systemically important banks built capital buffers between 3% and 5% of total assets during booms, nearly twice the maximum modern CCyB, while also reducing risky lending and building cash reserves. These buffers enabled banks at the core of the financial system to continue operations during severe crises while the rest of the financial system collapsed. This analogy indicates that modern countercyclical buffers may achieve their goals of protecting core banks during crises but raises questions about whether they will contribute to overall financial stability.

We study the role of the size distribution of the banking sector for bailout policy and financial fragility in a model of financial intermediation with limited commitment and noisy sunspots. In particular, due to the different costs of mitigating depositors' losses, differences in financial fragility arise endogenously in the sense that the large banking market admits a higher degree of instability. Moreover, the desire to reduce differences in the amount of bailout funding across segments of the banking system leads the fiscal authority to collect less taxes ex-ante but ends up rendering the scope for run equilibria larger.

We evaluate the quantity–quality trade-off on the labor market by estimating an augmented matching function weighting the matches by quality measures. We use the approach to evaluate the German labor market reforms conducted between 2003 and 2005. Indeed, we find a significant quantity–quality trade-off. However, even after controlling for job quality, a good half of the positive effect of the reforms on matching efficiency remains.