This paper documents firm‐level evidence on the asymmetric effects of monetary policy in the United States. Focusing on the 1980q3–2019q4 period, I find that monetary tightenings show larger effects on firms' employment and sales than monetary easings. In comparison, investment rate does not generate significant asymmetry in response to sign‐dependent monetary policy shocks. I interpret these findings in the context of downward nominal wage rigidity and investment irreversibility channels. Furthermore, I exploit cross‐sectional variation and show that employment of small, nondividend payer, low credit rating, and young firms displays larger contractions in response to a monetary tightening.
{"title":"Asymmetric Effects of Monetary Policy on Firms","authors":"EZGI KURT","doi":"10.1111/jmcb.13196","DOIUrl":"https://doi.org/10.1111/jmcb.13196","url":null,"abstract":"This paper documents firm‐level evidence on the asymmetric effects of monetary policy in the United States. Focusing on the 1980q3–2019q4 period, I find that monetary tightenings show larger effects on firms' employment and sales than monetary easings. In comparison, investment rate does not generate significant asymmetry in response to sign‐dependent monetary policy shocks. I interpret these findings in the context of downward nominal wage rigidity and investment irreversibility channels. Furthermore, I exploit cross‐sectional variation and show that employment of small, nondividend payer, low credit rating, and young firms displays larger contractions in response to a monetary tightening.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"18 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2024-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141738227","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
I explore how investor emotions on StockTwits and Twitter affect initial public offering (IPO) returns. High pre‐IPO enthusiasm is linked to greater initial returns but eventual long‐term underperformance. IPOs with strong early excitement average a 29.73% initial return, but suffer a −8.22% long‐term industry‐adjusted return, showing a gap between early optimism and later results. Analysis of investor communication reveals that financial language and existing information influence these outcomes. There is a growing caution among frequent IPO investors, likely due to past experiences. Despite this, firms with initial high optimism continue to attract postlaunch interest, contradicting their long‐term underperformance.
{"title":"Social Media Emotions and IPO Returns","authors":"DOMONKOS F. VAMOSSY","doi":"10.1111/jmcb.13152","DOIUrl":"https://doi.org/10.1111/jmcb.13152","url":null,"abstract":"I explore how investor emotions on StockTwits and Twitter affect initial public offering (IPO) returns. High pre‐IPO enthusiasm is linked to greater initial returns but eventual long‐term underperformance. IPOs with strong early excitement average a 29.73% initial return, but suffer a −8.22% long‐term industry‐adjusted return, showing a gap between early optimism and later results. Analysis of investor communication reveals that financial language and existing information influence these outcomes. There is a growing caution among frequent IPO investors, likely due to past experiences. Despite this, firms with initial high optimism continue to attract postlaunch interest, contradicting their long‐term underperformance.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"44 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2024-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141194510","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
ANUAR BECHARA, ALEJANDRO BERNALES, CARLOS CAÑÓN, NICOLÁS GARRIDO
We introduce a novel measure of the market‐wide rik of the interbank market: the total (across all banks) uncollateralized/collateralized lending volume ratio: . This measure is based on the intuition that lender banks should use less (more) uncollateralized (collateralized) lending when aggregate risk increases, after controlling for banks’ features and market conditions that might affect (e.g., banks’ credit risk, cross‐border inflows, supply–demand heterogeneity, and funding costs, among others). This is because collateralized loans are safer than uncollateralized ones after an interbank market‐wide collapse. Actually, we show that modifies the future lending decisions and net lending holdings of individual banks.
{"title":"Aggregate Risk and Lending Decisions in the Interbank Market","authors":"ANUAR BECHARA, ALEJANDRO BERNALES, CARLOS CAÑÓN, NICOLÁS GARRIDO","doi":"10.1111/jmcb.13153","DOIUrl":"https://doi.org/10.1111/jmcb.13153","url":null,"abstract":"We introduce a novel measure of the market‐wide rik of the interbank market: the total (across all banks) uncollateralized/collateralized lending volume ratio: . This measure is based on the intuition that lender banks should use less (more) uncollateralized (collateralized) lending when aggregate risk increases, after controlling for banks’ features and market conditions that might affect (e.g., banks’ credit risk, cross‐border inflows, supply–demand heterogeneity, and funding costs, among others). This is because collateralized loans are safer than uncollateralized ones after an interbank market‐wide collapse. Actually, we show that modifies the <jats:italic>future</jats:italic> lending decisions and net lending holdings of <jats:italic>individual</jats:italic> banks.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"1 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2024-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141153892","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
ANTONIA GROHMANN, LUKAS MENKHOFF, CHRISTOPH MERKLE, RENKE SCHMACKER
This paper examines whether biased income expectations due to overconfidence lead to higher levels of debt taking. We show suggestive evidence for a link between overconfidence and borrowing behavior in a representative survey of German households (German Socio‐Economic Panel–Innovation Sample [GSOEP‐IS]). This motivates a laboratory experiment to study causality behind these effects. In two experiments, participants can purchase goods by borrowing against their future income. We exogenously manipulate overconfidence about income expectations by letting income depend on relative performance in hard and easy quiz tasks. In the main experiment, we successfully generate biased income expectations and show that participants with higher income expectations initially borrow more. Overconfident participants scale back their consumption after income feedback. However, they remain in higher debt at the end of the experiment, which has real financial consequences. In a robustness experiment, we rule out that overborrowing is driven by low prices of goods. Even though the expected income manipulation works less well in this experiment, debt‐taking behavior is very similar and correlates with income expectations and overconfidence.
{"title":"Earn More Tomorrow: Overconfidence, Income Expectations, and Consumer Indebtedness","authors":"ANTONIA GROHMANN, LUKAS MENKHOFF, CHRISTOPH MERKLE, RENKE SCHMACKER","doi":"10.1111/jmcb.13157","DOIUrl":"https://doi.org/10.1111/jmcb.13157","url":null,"abstract":"This paper examines whether biased income expectations due to overconfidence lead to higher levels of debt taking. We show suggestive evidence for a link between overconfidence and borrowing behavior in a representative survey of German households (German Socio‐Economic Panel–Innovation Sample [GSOEP‐IS]). This motivates a laboratory experiment to study causality behind these effects. In two experiments, participants can purchase goods by borrowing against their future income. We exogenously manipulate overconfidence about income expectations by letting income depend on relative performance in hard and easy quiz tasks. In the main experiment, we successfully generate biased income expectations and show that participants with higher income expectations initially borrow more. Overconfident participants scale back their consumption after income feedback. However, they remain in higher debt at the end of the experiment, which has real financial consequences. In a robustness experiment, we rule out that overborrowing is driven by low prices of goods. Even though the expected income manipulation works less well in this experiment, debt‐taking behavior is very similar and correlates with income expectations and overconfidence.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"39 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2024-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141149101","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
GERALDO CERQUEIRO, ANA MÃO‐DE‐FERRO, MARÍA FABIANA PENAS
We investigate how banks change the geographic distribution of their small business loan portfolio when they face political uncertainty in some of the states where they operate. Using exogenous variation in gubernatorial elections with binding term limits, we show that political uncertainty causes local banks to increase out‐of‐state lending to small firms, particularly those located in higher‐income areas. This effect follows a decrease in local lending and is stronger for banks that are more capital‐constrained. The increase in out‐of‐state credit leads to an increase in employment growth and net firm creation in sectors with larger capital needs.
{"title":"Political Uncertainty and the Geographic Allocation of Credit: Evidence from Small Businesses","authors":"GERALDO CERQUEIRO, ANA MÃO‐DE‐FERRO, MARÍA FABIANA PENAS","doi":"10.1111/jmcb.13159","DOIUrl":"https://doi.org/10.1111/jmcb.13159","url":null,"abstract":"We investigate how banks change the geographic distribution of their small business loan portfolio when they face political uncertainty in some of the states where they operate. Using exogenous variation in gubernatorial elections with binding term limits, we show that political uncertainty causes local banks to increase out‐of‐state lending to small firms, particularly those located in higher‐income areas. This effect follows a decrease in local lending and is stronger for banks that are more capital‐constrained. The increase in out‐of‐state credit leads to an increase in employment growth and net firm creation in sectors with larger capital needs.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"24 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2024-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141153969","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Using a sample of 39 countries representing 88% of global GDP, we find that real economic uncertainty (REU) has negative long‐lasting domestic economic effects and transmits across countries. The international spillover effects of REU are both statistically significant and economically meaningful, and trade ties play a key role in explaining its transmission across countries. Innovations to the foreign component of global REU can contribute up to 16% of the future variation in domestic industrial production. This effect is disproportionately larger on its manufacturing component, which contributes the most to the tradable goods sector, than on its retail sales component.
我们以占全球 GDP 88% 的 39 个国家为样本，发现实际经济不确定性（REU）会对国内经济产生长期的负面影响，并在各国间传播。实际经济不确定性的国际溢出效应在统计上是显著的，在经济上也是有意义的，而贸易联系在解释实际经济不确定性的跨国传播方面发挥了关键作用。全球 REU 国外部分的创新对国内工业生产未来变化的贡献可达 16%。与零售业相比，对贸易商品部门贡献最大的制造业部分的影响更大。
{"title":"The Global Transmission of Real Economic Uncertainty","authors":"JUAN M. LONDONO, SAI MA, BETH ANNE WILSON","doi":"10.1111/jmcb.13161","DOIUrl":"https://doi.org/10.1111/jmcb.13161","url":null,"abstract":"Using a sample of 39 countries representing 88% of global GDP, we find that real economic uncertainty (REU) has negative long‐lasting domestic economic effects and transmits across countries. The international spillover effects of REU are both statistically significant and economically meaningful, and trade ties play a key role in explaining its transmission across countries. Innovations to the foreign component of global REU can contribute up to 16% of the future variation in domestic industrial production. This effect is disproportionately larger on its manufacturing component, which contributes the most to the tradable goods sector, than on its retail sales component.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"58 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2024-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141149100","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Using responses obtained through the Nielsen Homescan panel survey, we explore the differences between managers’ and nonmanagers’ expectations and perceptions of inflation and unemployment. By and large, managers and nonmanagers exhibit similar average inflation and unemployment expectations as well as similar levels of disagreement and sensitivity to information provided in a randomized control trial. Responses to hypothetical questions suggest that inflation expectations of managers frequently affect their economic decisions. Finally, the inflation expectations of managers deviate systematically from the predictions of “anchored” expectations.
{"title":"The Macroeconomic Expectations of U.S. Managers","authors":"ETHAN M.L. McCLURE, VITALIIA YAREMKO, OLIVIER COIBION, YURIY GORODNICHENKO","doi":"10.1111/jmcb.13163","DOIUrl":"https://doi.org/10.1111/jmcb.13163","url":null,"abstract":"Using responses obtained through the Nielsen Homescan panel survey, we explore the differences between managers’ and nonmanagers’ expectations and perceptions of inflation and unemployment. By and large, managers and nonmanagers exhibit similar average inflation and unemployment expectations as well as similar levels of disagreement and sensitivity to information provided in a randomized control trial. Responses to hypothetical questions suggest that inflation expectations of managers frequently affect their economic decisions. Finally, the inflation expectations of managers deviate systematically from the predictions of “anchored” expectations.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"43 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2024-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141153920","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
During the years of the Bretton Woods system, Milton Friedman and Harry Johnson, respectively, authored two of the most influential articles on exchange-rate systems. Friedman's article, “The Case for Flexible Exchange Rates,” was published in 1953. Johnson's article, published 16 years later, carried the almost identical title—“The Case for Flexible Exchange Rates, 1969.” While both articles achieved classic status in the 1970s and the 1980s, Johnson's essay appears to have surpassed Friedman's essay in stature in the view of some economists. This paper provides a comparison of the arguments in favor of flexible rates and against fixed rates presented by Friedman and Johnson. I conclude that Friedman's essay presaged all of the major arguments made in Johnson's essay while excluding several major misses made by Johnson. Nevertheless, there were pragmatic reasons why Johnson's essay became more influential.
在布雷顿森林体系时期，米尔顿-弗里德曼和哈里-约翰逊分别撰写了两篇关于汇率制度的最有影响力的文章。弗里德曼的文章《灵活汇率的案例》发表于 1953 年。约翰逊的文章在 16 年后发表，标题几乎相同--"The Case for Flexible Exchange Rates, 1969"。虽然两篇文章都在 20 世纪 70 年代和 80 年代获得了经典地位，但在一些经济学家看来，约翰逊的文章似乎在地位上超过了弗里德曼的文章。本文对弗里德曼和约翰逊提出的支持灵活利率和反对固定利率的论点进行了比较。我的结论是，弗里德曼的文章预示了约翰逊文章中提出的所有主要论点，同时也排除了约翰逊的几个主要失误。不过，约翰逊的文章之所以更具影响力，还是有其实际原因的。
{"title":"The Case for Flexible Exchange Rates in 1953 and 1969: Friedman versus Johnson","authors":"George S. Tavlas","doi":"10.1111/jmcb.13151","DOIUrl":"https://doi.org/10.1111/jmcb.13151","url":null,"abstract":"During the years of the Bretton Woods system, Milton Friedman and Harry Johnson, respectively, authored two of the most influential articles on exchange-rate systems. Friedman's article, “The Case for Flexible Exchange Rates,” was published in 1953. Johnson's article, published 16 years later, carried the almost identical title—“The Case for Flexible Exchange Rates, 1969.” While both articles achieved classic status in the 1970s and the 1980s, Johnson's essay appears to have surpassed Friedman's essay in stature in the view of some economists. This paper provides a comparison of the arguments in favor of flexible rates and against fixed rates presented by Friedman and Johnson. I conclude that Friedman's essay presaged all of the major arguments made in Johnson's essay while excluding several major misses made by Johnson. Nevertheless, there were pragmatic reasons why Johnson's essay became more influential.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"3 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2024-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140598850","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper investigates the relationship between heterogeneity in sectoral price stickiness and the response of the economy to aggregate real shocks. We show that sectoral heterogeneity reduces inflation persistence for a constant average duration of price spells, and that inflation persistence can fall despite duration increases associated with increases in heterogeneity. We also find that sectoral heterogeneity reduces the persistence and volatility of interest rate and output gap for a constant price spells duration, while the qualitative impact on inflation volatility tends to be positive. A relevant policy implication is that neglecting price stickiness heterogeneity can impair the economic dynamics assessment.
{"title":"Aggregate Dynamics with Sectoral Price Stickiness Heterogeneity and Aggregate Real Shocks","authors":"ALESSANDRO FLAMINI, IFTEKHAR HASAN","doi":"10.1111/jmcb.13149","DOIUrl":"https://doi.org/10.1111/jmcb.13149","url":null,"abstract":"This paper investigates the relationship between heterogeneity in sectoral price stickiness and the response of the economy to aggregate real shocks. We show that sectoral heterogeneity reduces inflation persistence for a constant average duration of price spells, and that inflation persistence can fall despite duration increases associated with increases in heterogeneity. We also find that sectoral heterogeneity reduces the persistence and volatility of interest rate and output gap for a constant price spells duration, while the qualitative impact on inflation volatility tends to be positive. A relevant policy implication is that neglecting price stickiness heterogeneity can impair the economic dynamics assessment.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"100 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2024-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140598879","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
IVAN LIM, DUC DUY NGUYEN, LINH NGUYEN, JOHN O.S. WILSON
We use the staggered introduction of new flight routes to identify reductions in travel time between banks’ headquarters and branches to examine their effects on branch outputs and efficiency. Reductions in headquarters–branch travel time increases branch‐level mortgage origination volume, and these loans exhibit higher ex post performance. Further analyses suggest these effects are due to branch employees working harder and more efficiently in seeking new customers and screening applications. Overall, our results imply that geographic proximity enables bank headquarters to monitor branches more effectively and mitigate distance‐related agency costs.
{"title":"Proximity to Bank Headquarters and Branch Efficiency: Evidence from Mortgage Lending","authors":"IVAN LIM, DUC DUY NGUYEN, LINH NGUYEN, JOHN O.S. WILSON","doi":"10.1111/jmcb.13142","DOIUrl":"https://doi.org/10.1111/jmcb.13142","url":null,"abstract":"We use the staggered introduction of new flight routes to identify reductions in travel time between banks’ headquarters and branches to examine their effects on branch outputs and efficiency. Reductions in headquarters–branch travel time increases branch‐level mortgage origination volume, and these loans exhibit higher <jats:italic>ex post</jats:italic> performance. Further analyses suggest these effects are due to branch employees working harder and more efficiently in seeking new customers and screening applications. Overall, our results imply that geographic proximity enables bank headquarters to monitor branches more effectively and mitigate distance‐related agency costs.","PeriodicalId":48328,"journal":{"name":"Journal of Money Credit and Banking","volume":"29 1","pages":""},"PeriodicalIF":1.5,"publicationDate":"2024-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140598883","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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