Journal of Money Credit and Banking最新文献

The degree of earnings manipulation has been shown to be positively associated with stock returns at the aggregate level but negatively so in the cross- section. We examine, both theoretically and empirically, the role of investor sentiment in accounting for such relations. We find that these patterns are primarily driven by high-sentiment periods. Embedding investor sentiment into a game-theoretic model of earnings manipulation with a continuum of firms delivers consistent predictions. Our analysis highlights the importance of increased scrutiny of corporate reporting during market booms, when manipulation is widespread and adds fuel to price exuberance.

What shapes banks' response to capital requirement reforms? While prereform capitalization is important in the short term, we posit that profitability is key in the medium term, as it underpins banks' capacity to build capital. We examine the impact of capital surcharges on systemically important banks. Through a novel application of textual analysis to identify when banks react, we show that less profitable banks contract when faced with higher requirements, especially if they are closer to the thresholds that determine their surcharges. Conversely, more profitable banks continue to expand, improving banking efficiency but raising concerns about concentration and exposure to tail risks.

Using an intertemporal consumption model with nondurable and durable goods, we identify a break in the long-run equilibrium relationship between their relative expenditure and relative prices. From 1959 to 1981, these goods were gross substitutes with an elasticity greater than one. Post-1981, the estimated elasticity is below one, indicating complementarity. This shift altered short-run dynamics with durable goods still driving error correction but the magnitude of adjustment is smaller. The cyclical component of durable goods consumption has become more persistent, suggesting that shocks, such as the COVID-19 pandemic, now result in more prolonged deviations from the long-run equilibrium.

We study the link between central bank independence and inflation by providing narrative and empirical evidence based on Latin America's historical experience. Using a novel historical data set of central bank independence for 17 Latin American countries, we recount the rocky journey traveled by central banks to achieve independence and price stability. Our empirical analysis finds a strong negative association between central bank independence and inflation over the last 80 years, with improvements in independence resulting in a steady decline in inflation. Results are robust to endogeneity concerns and to using alternative central bank independence indices.

I study the effect of forward guidance in a flexible-price economy in which both the private sector and the central bank are subject to imperfect information about the aggregate state of the economy. When forward guidance is provided, the central bank reveals its current imperfect information and commits to a policy rule that makes future policy conditional on perfect information that is only available in the future. The information provided by forward guidance makes individual prices more responsive to firm-specific technology shocks, which increases production efficiency at the cost of higher cross-sectional price variation. The net effect improves social welfare.

If productivity stems from the accumulation of ideas, then the ideas' production function can cause productivity and macro-economic aggregates to be persistent. We use this insight to estimate the parameters of the ideas' production function in a general equilibrium model. We find that ideas become harder to produce as they accumulate. We quantitatively explore the propagation of different kinds of shocks through the ideas' production function, finding that nonpersistent shocks that affect R&D decisions may lead to persistent productivity changes as a result. The use of capital in R&D is important for propagation.

We investigate the effects of financial liberalization on the dynamism of the credit market. We measure interfirm credit reallocation in the U.S. states following a methodology akin to Davis and Haltiwanger (1992). We then exploit the staggered liberalization of the credit markets of the U.S. states to identify an exogenous shock to the credit reallocation process. The liberalization intensified credit reallocation in the states, even within narrowly defined groups of continuing firms, while leaving credit growth essentially unaltered. The results suggest that the increased credit market dynamism enhanced the allocation of funds to productive firms and total factor productivity growth.