Journal of Money Credit and Banking最新文献

Optimal monetary and fiscal policy are jointly analyzed in a heterogeneous two-agent New Keynesian environment, where fiscal policy is modeled as lump-sum transfers. Transfer policy does not substitute for forward guidance—as it entails consumption dispersion costs—nor affect its optimal duration. The stay at the zero lower bound is indeed influenced through two offsetting channels: a shortening channel works through an initial increase in transfers that mitigates the recession (reducing the need for forward guidance), while a lengthening channel works through a later transfer cut that curbs the expansion (making forward guidance desirable for a longer horizon).

Consider a bank which chooses an asset portfolio and then, upon the public disclosure of the results of a review of its quality, raises funds by offering a repayment promise. We show that increasing the precision of information about the quality of the bank's assets lowers the cost of funding of a sound bank and encourages it to take risk. Maximum stability is reached in an opaque environment. Maximum surplus is reached in an opaque (transparent) environment when the social costs of bank failure are large (small). We examine how these conclusions change under alternative information and contractual conditions.

We study the determinants of inventory accumulation in a structural vector autoregression (VAR) framework with news shocks. Specifically, we investigate how news shocks affect two key determinants of inventory movements, namely, rates of return and marginal costs. We establish that inventories react strongly and positively to news about future increases in total factor productivity. We provide evidence that changes in external and internal rates of return are central to the transmission for such news shocks. We do not find evidence for a dominant role of marginal costs.

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

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.

Foreign term spreads constructed from bond yields of non-U.S. G-7 constituents predict future U.S. recessions and foreign term spreads are stronger predictors of U.S. recessions occurring within the next year than U.S. term spreads. U.S. and foreign term spreads are both informative of the U.S. economy but over different horizons and for different components of economic activity. Smaller U.S. term spreads lead to smaller foreign term spreads and U.S. Dollar appreciation. Smaller foreign term spreads do not lead to significant U.S. Dollar depreciation but do lead to persistent declines in U.S. exports and foreign direct investment (FDI) flows into the United States. These findings are consistent with the proposition that foreign term spreads embed growth spillovers from the U.S. and the resulting Dollar strength and slowdown abroad spill back to the United States.

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.