Journal of Money Credit and Banking最新文献

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Does Dividend Policy Lead the Economy? 股利政策能否引领经济？

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-07-17 DOI: 10.1111/jmcb.13195

PAULO MAIO

I investigate the predictive role of the aggregate dividend–payout ratio () for future economic activity. A vector‐autoregression‐based variance decomposition shows that the main driving force of is long‐run predictability of earnings growth, with dividend growth predictability assuming a secondary role. Consistent with this result, long‐horizon regressions indicate that is a significant predictor, especially at intermediate and long forecasting horizons, of future aggregate business conditions. Critically, outperforms several popular equity and bond predictors from the literature. The predictive ability of remains robust in an out‐of‐sample forecasting analysis. Overall, conveys important information about the economy.

我研究了总股息支付率（）对未来经济活动的预测作用。基于向量自回归的方差分解显示，股利增长的长期可预测性是其主要驱动力，而股息增长的可预测性则是次要驱动力。与这一结果相一致的是，长期回归结果表明，股息增长是未来总体商业条件的重要预测因素，尤其是在中长期预测范围内。重要的是，它优于文献中几种常用的股票和债券预测指标。在样本外预测分析中，其预测能力保持稳健。总体而言，它传递了有关经济的重要信息。

引用次数: 0

Asymmetric Effects of Monetary Policy on Firms 货币政策对企业的不对称影响

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-07-17 DOI: 10.1111/jmcb.13196

EZGI KURT

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.

本文记录了美国货币政策非对称效应的企业层面证据。以 1980q3-2019q4 年为研究对象，我发现货币紧缩政策对企业就业和销售的影响大于货币宽松政策。相比之下，投资率对依赖于符号的货币政策冲击的反应不具有显著的不对称性。我从名义工资刚性下降和投资不可逆渠道的角度来解释这些发现。此外，我还利用横截面的差异表明，小型企业、非派息企业、低信用等级企业和年轻企业的就业在货币紧缩政策下会出现更大的收缩。

引用次数: 0

Social Media Emotions and IPO Returns 社交媒体情绪与 IPO 回报率

IF 1.2 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-05-28 DOI: 10.1111/jmcb.13152

DOMONKOS F. VAMOSSY

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.

我探讨了投资者在 StockTwits 和 Twitter 上的情绪如何影响首次公开募股（IPO）的回报。上市前的高热情与更高的初始回报率有关，但最终会导致长期表现不佳。早期热情高涨的 IPO 平均初始回报率为 29.73%，但经行业调整后的长期回报率为-8.22%，显示出早期乐观情绪与后期结果之间的差距。对投资者沟通的分析表明，财务语言和现有信息会影响这些结果。频繁的 IPO 投资者越来越谨慎，这可能是由于过去的经验所致。尽管如此，最初高度乐观的公司在上市后仍然吸引了投资者的兴趣，这与它们长期表现不佳的情况相矛盾。

引用次数: 0

Aggregate Risk and Lending Decisions in the Interbank Market 银行间市场的总体风险和借贷决策

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-05-25 DOI: 10.1111/jmcb.13153

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.

我们引入了一个衡量银行间市场全市场风险的新指标：（所有银行的）无抵押/有抵押贷款总量比率：。这一指标基于这样一种直觉，即在控制了可能产生影响的银行特征和市场条件（如银行信用风险、跨境资金流入、供需异质性和融资成本等）之后，当总体风险增加时，贷款银行应减少（增加）使用无抵押（有抵押）贷款。这是因为在整个银行间市场崩溃后，有抵押贷款比无抵押贷款更安全。实际上，我们的研究表明，个别银行的未来贷款决策和净贷款持有量会发生变化。

引用次数: 0

Reconsidering the Fed's Inflation Forecasting Advantage 重新审视美联储的通胀预测优势

IF 1.2 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-05-24 DOI: 10.1111/jmcb.13155

AMY Y. GUISINGER, MICHAEL W. MCCRACKEN, MICHAEL T. OWYANG

Previous studies show the Fed has a forecast advantage over the private sector for inflation. We evaluate this advantage to determine how much of it results from the Fed's knowledge of future monetary policy. To do so, we develop two methods of equalizing the Fed's and private sector's information sets. We find that Fed forecasts do not encompass those of the private sector when the latter has knowledge of future monetary policy. Furthermore, we find that roughly 25% of the difference between the Fed's and the private sector's mean squared forecast error can be explained by monetary policy.

以往的研究表明，与私营部门相比，美联储在预测通货膨胀方面具有优势。我们对这一优势进行评估，以确定美联储对未来货币政策的了解程度。为此，我们开发了两种方法来均衡美联储和私营部门的信息集。我们发现，当私营部门了解未来货币政策时，美联储的预测并不包括私营部门的预测。此外，我们还发现，美联储和私营部门预测误差均方差的大约 25% 可以用货币政策来解释。

引用次数: 0

Earn More Tomorrow: Overconfidence, Income Expectations, and Consumer Indebtedness 明天赚得更多过度自信、收入预期和消费者负债

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-05-24 DOI: 10.1111/jmcb.13157

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.

本文探讨了过度自信造成的收入预期偏差是否会导致更高的举债水平。我们在一项具有代表性的德国家庭调查（德国社会经济小组-创新抽样调查 [GSOEP-IS]）中显示了过度自信与借贷行为之间存在联系的提示性证据。这促使我们通过实验室实验来研究这些影响背后的因果关系。在两个实验中，参与者可以用未来收入借款购买商品。我们通过让收入取决于难易问答任务中的相对表现，外生地操纵了对收入预期的过度自信。在主要实验中，我们成功地产生了有偏差的收入预期，并表明收入预期较高的参与者最初借款较多。过度自信的参与者会在收入反馈后缩减消费。然而，在实验结束时，他们的债务仍然较高，这就造成了实际的财务后果。在稳健性实验中，我们排除了过度借贷是由低价商品驱动的可能性。尽管预期收入操纵在该实验中效果较差，但举债行为非常相似，并且与收入预期和过度自信相关。

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引用次数: 0

Political Uncertainty and the Geographic Allocation of Credit: Evidence from Small Businesses 政治不确定性与信贷的地域分配：来自小型企业的证据

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-05-23 DOI: 10.1111/jmcb.13159

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.

我们研究了当银行在其经营所在的一些州面临政治不确定性时，如何改变其小企业贷款组合的地理分布。利用有任期限制的州长选举的外生变化，我们发现政治不确定性会导致本地银行增加对州外小企业的贷款，尤其是那些位于高收入地区的小企业。这种影响是在本地贷款减少之后出现的，对资本约束较强的银行而言更为明显。州外信贷的增加导致就业增长和资本需求较大行业的净企业创建增加。

引用次数: 0

The Global Transmission of Real Economic Uncertainty 实际经济不确定性的全球传播

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-05-22 DOI: 10.1111/jmcb.13161

JUAN M. LONDONO, SAI MA, BETH ANNE WILSON

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。

引用次数: 0

The Macroeconomic Expectations of U.S. Managers 美国经理人的宏观经济预期

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-05-22 DOI: 10.1111/jmcb.13163

ETHAN M.L. McCLURE, VITALIIA YAREMKO, OLIVIER COIBION, YURIY GORODNICHENKO

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.

通过尼尔森家庭扫描面板调查获得的数据，我们探讨了经理人和非经理人对通货膨胀和失业率的预期和看法之间的差异。总体而言，管理人员和非管理人员表现出相似的平均通胀和失业预期，以及相似的分歧程度和对随机对照试验中提供的信息的敏感度。对假设性问题的回答表明，管理者的通胀预期经常会影响他们的经济决策。最后，管理者的通胀预期系统性地偏离了 "锚定 "预期的预测。

引用次数: 0

The Case for Flexible Exchange Rates in 1953 and 1969: Friedman versus Johnson 1953 年和 1969 年灵活汇率的案例：弗里德曼与约翰逊

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-04-15 DOI: 10.1111/jmcb.13151

George S. Tavlas

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。

引用次数: 0

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