Journal of Money Credit and Banking最新文献

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Oil Strikes Back: Trend Factors and Exchange Rates 石油反击战：趋势因素与汇率

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-03-26 DOI: 10.1111/jmcb.13146

LIYAN HAN, YANG XU, QUNZI ZHANG, XIAONENG ZHU

A well‐known puzzle in international finance is that, to predict exchange rate returns, existing predictive models often perform worse than the naive random walk (RW) model. In this paper, we construct an oil trend factor which performs better than the RW model. More importantly, an oil‐trend‐based dynamic trading strategy can generate superior economic values. This result holds in both developed and emerging markets, with different forecasting horizons, with different specifications of trend factors, and across different currencies. Finally, we explore the economic link for the powerful predictability of the oil trend factor.

国际金融领域一个众所周知的难题是，在预测汇率收益时，现有预测模型的表现往往不如天真的随机漫步（RW）模型。在本文中，我们构建了一个石油趋势因子，其表现优于随机漫步模型。更重要的是，基于石油趋势的动态交易策略可以产生更优越的经济价值。这一结果既适用于发达市场，也适用于新兴市场；既适用于不同的预测期限，也适用于不同的趋势因子规格，还适用于不同的货币。最后，我们探讨了石油趋势因子强大预测能力的经济联系。

引用次数: 0

Inflation—Who Cares? Monetary Policy in Times of Low Attention 通货膨胀--谁在乎？低关注度时期的货币政策

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-03-25 DOI: 10.1111/jmcb.13145

OLIVER PFÄUTI

I propose an approach to quantify attention to inflation and show that attention declined after the Great Inflation period. This decline in attention has important implications for monetary policy as it renders managing inflation expectations more difficult and can lead to inflation‐attention traps: prolonged periods of a binding lower bound and low inflation due to slowly adjusting inflation expectations. As attention declines, the optimal policy response is to increase the inflation target. The lower bound fundamentally changes the normative implications of declining attention: lower attention raises welfare absent the lower‐bound constraint, whereas it decreases welfare when accounting for the lower bound.

我提出了一种量化通胀关注度的方法，并表明关注度在大通胀时期之后有所下降。这种关注度的下降对货币政策具有重要影响，因为它使管理通胀预期变得更加困难，并可能导致通胀-关注度陷阱：由于通胀预期调整缓慢，导致约束性下限和低通胀的时间延长。随着关注度的下降，最佳对策是提高通胀目标。下限从根本上改变了注意力下降的规范意义：在没有下限约束的情况下，注意力下降会提高福利，而在考虑下限约束的情况下，注意力下降会降低福利。

引用次数: 0

The Interaction between Credit Constraints and Uncertainty Shocks 信贷约束与不确定性冲击之间的相互作用

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-03-25 DOI: 10.1111/jmcb.13143

PRATITI CHATTERJEE, DAVID GUNAWAN, ROBERT KOHN

This paper proposes a novel link between credit markets and uncertainty shocks. We introduce a role for credit uncertainty via collateral constraints in an otherwise standard real business cycle (RBC) model and show that an increase in credit uncertainty triggers a precautionary response that interacts with the collateral constraint to generate a simultaneous decline in output, consumption, investment, real wages, and hours; a feature that previous work on uncertainty shocks without credit constraints is unable to produce in a flexible‐price environment. We also empirically test the theoretical predictions and show that an unforeseen increase in credit uncertainty generates a simultaneous decline in a broad measure of real activity in recessions.

本文提出了信贷市场与不确定性冲击之间的新联系。我们在一个原本标准的实际商业周期（RBC）模型中通过抵押品约束引入了信贷不确定性的作用，并证明信贷不确定性的增加会引发预防性反应，这种反应与抵押品约束相互作用，导致产出、消费、投资、实际工资和工时同时下降；这是以往关于无信贷约束的不确定性冲击的研究无法在灵活价格环境下产生的特征。我们还对理论预测进行了实证检验，结果表明，信贷不确定性的意外增加会导致经济衰退时实际活动的广泛衡量指标同步下降。

引用次数: 0

Household Income, Portfolio Choice, and Heterogeneous Consumption Responses to Monetary Policy Shocks 家庭收入、投资组合选择和异质消费对货币政策冲击的反应

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-03-25 DOI: 10.1111/jmcb.13147

FUMITAKA NAKAMURA

This paper quantifies the roles played by income‐level heterogeneity in the response of consumption to monetary policy shocks using U.S. household data. We show empirically that the response of consumption to expansionary monetary policy shocks is larger for high‐income households than for low‐income households. Empirical facts related to household characteristics suggest two channels: the presence of illiquid assets and heterogeneity in government transfers. Motivated by these empirical findings, we develop a model that incorporates illiquid assets and heterogeneity in government transfers to quantify the importance. Simulations based on the model indicate that the presence of illiquid assets, whose return increases in response to expansionary monetary shocks, is essential for explaining the heterogeneous consumption response.

本文利用美国的家庭数据，量化了收入水平的异质性在消费对货币政策冲击的反应中所起的作用。我们的实证研究表明，高收入家庭的消费对扩张性货币政策冲击的反应要大于低收入家庭。与家庭特征相关的经验事实表明了两个渠道：非流动性资产的存在和政府转移支付的异质性。受这些实证研究结果的启发，我们建立了一个包含非流动性资产和政府转移支付异质性的模型，以量化其重要性。基于该模型的模拟结果表明，非流动性资产（其回报率会随着扩张性货币冲击而增加）的存在对于解释异质性消费反应至关重要。

引用次数: 0

Determinants of the Credit Cycle: A Flow Analysis of the Extensive Margin 信贷周期的决定因素：外延边际的流动分析

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-03-24 DOI: 10.1111/jmcb.13150

VINCENZO CUCINIELLO, NICOLA DI IASIO

Examining two decades of loan‐level data on Italian bank loans to households and businesses, we find that credit fluctuations primarily result from changes in the number of borrowers (extensive margin). Employing a flow approach, we decompose the extensive margin into inflows and outflows, revealing that borrower inflows significantly contribute to total borrower volatility. Moreover, borrower inflows exhibit greater volatility than outflows, are procyclical, and lead the business cycle. Utilizing a shift‐and‐share instrument derived from sectoral borrower inflows, our findings reveal that local markets experiencing increased credit demand exhibit a loosening of lending standards and a rise in bad loans. This sheds light on the intricate relationship between credit demand and financial instability at the local level.

通过研究二十年来意大利银行对家庭和企业的贷款数据，我们发现信贷波动主要源于借款人数量的变化（广义边际）。采用流量法，我们将广义边际分解为流入和流出，发现借款人流入对借款人总波动性有显著影响。此外，借款人流入比流出表现出更大的波动性，具有顺周期性，并引领商业周期。利用部门借款人流入量衍生的转移和分享工具，我们的研究结果表明，信贷需求增加的地方市场表现出贷款标准放松和不良贷款增加。这揭示了信贷需求与地方金融不稳定性之间错综复杂的关系。

引用次数: 0

Measuring Monetary Policy Shocks in Emerging Economies: Evidence from India 衡量新兴经济体的货币政策冲击：印度的证据

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-03-22 DOI: 10.1111/jmcb.13144

AEIMIT LAKDAWALA, RAJESWARI SENGUPTA

In this paper, we provide a template for constructing monetary policy shocks for emerging economies. Our approach synthesizes financial data with a narrative analysis of central bank communication and related media coverage. We create a publicly available time‐series database of policy dates and shocks for the Reserve Bank of India (RBI). Our shocks suggest that financial markets infer information about the future path of policy rate from RBI communication. Bond and stock markets react strongly to these monetary shocks but exhibit heterogeneity across governor regimes. Finally, we use the shocks as external instruments to identify the impact on macro‐economic variables.

在本文中，我们提供了一个构建新兴经济体货币政策冲击的模板。我们的方法将金融数据与对中央银行沟通和相关媒体报道的叙述性分析相结合。我们为印度储备银行（RBI）创建了一个公开的政策日期和冲击的时间序列数据库。我们的冲击表明，金融市场从印度储备银行的沟通中推断出有关政策利率未来走势的信息。债券市场和股票市场对这些货币冲击反应强烈，但在不同行长制度下表现出异质性。最后，我们利用这些冲击作为外部工具来确定其对宏观经济变量的影响。

引用次数: 0

Market Freezes 市场冻结

IF 1.2 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-03-22 DOI: 10.1111/jmcb.13148

CHAO GU, GUIDO MENZIO, RANDALL WRIGHT, YU ZHU

Market freezes are an interesting and theoretically challenging phenomenon —they are observed empirically, but cannot occur in standard models. This paper develops a formal theory of recurrent freezes emphasizing liquidity and self-fulfilling prophecies. While it is well understood how to get hot and cold spells, where prices and quantities fluctuate, we get asset market freezes and thaws where trade completely stops and starts. The simplest specification gets this using negative asset returns. Other specifications use information frictions or fixed costs. We also consider credit freezes, analyze the extent to which the decentralized nature of trade matters, and discuss policy implications.

市场冻结是一种有趣且具有理论挑战性的现象--人们通过经验观察到了这种现象，但在标准模型中却无法实现。本文提出了一种强调流动性和自我实现预言的反复冻结的正式理论。人们很清楚如何产生冷热波动，即价格和数量的波动，而我们得到的是资产市场的冻结和解冻，即交易完全停止和开始。最简单的方法是利用负资产回报率来实现这一点。其他规范则使用信息摩擦或固定成本。我们还考虑了信贷冻结问题，分析了贸易分散性质的重要程度，并讨论了政策影响。

引用次数: 0

Intensive and Extensive Margins of Labor Supply in HANK: Aggregate and Disaggregate Implications 汉克劳动供给的密集边际和外延边际：总量和分类影响

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-03-08 DOI: 10.1111/jmcb.13141

EUNSEONG MA

This paper studies how adjustment along intensive and extensive margins of labor supply affects aggregate and disaggregate effects of monetary policy. To this end, I develop a heterogeneous-agent New Keynesian (HANK) economy where a nonlinear mapping from hours worked into labor services generates operative adjustment along intensive and extensive margins of labor supply. I find that monetary policy has significantly different effects on earnings inequality, depending on the extent to which margin is dominant, even if it generates similar aggregate responses.

本文研究了劳动力供给的密集边际和广泛边际调整如何影响货币政策的总体和分类效应。为此，我建立了一个异质性代理的新凯恩斯主义（HANK）经济，在这个经济中，工作时间到劳动服务的非线性映射产生了沿着劳动供给的密集边际和广泛边际的操作性调整。我发现，货币政策对收入不平等的影响大不相同，这取决于边际在多大程度上占主导地位，即使它产生了类似的总体反应。

引用次数: 0

Price Stickiness Heterogeneity and Equilibrium Determinacy 价格粘性异质性与均衡决定性

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-03-07 DOI: 10.1111/jmcb.13138

JAE WON LEE, WOONG YONG PARK

Monetary policy can achieve equilibrium determinacy with considerably weak responses to inflation under price stickiness heterogeneity. The result holds in a sticky-price model with the constant elasticity-of-substitution aggregator and no trend inflation, and with a variable elasticity-of-substitution aggregator and historical trend inflation. The evidence in favor of the view that the U.S. economy was subject to self-fulfilling expectations-driven fluctuations in the pre-Volcker period and the systematic shift in monetary policy was crucial in subsequent stabilization of inflation appears much weaker through the lens of price stickiness heterogeneity than previously concluded in the literature under price stickiness homogeneity.

在价格粘性异质性条件下，货币政策可以实现均衡确定性，而对通货膨胀的反应却相当微弱。这一结果在具有恒定替代弹性和无趋势通胀的粘性价格模型中成立，在具有可变替代弹性和历史趋势通胀的粘性价格模型中也成立。通过价格粘性异质性的视角，支持前沃尔克时期美国经济受自我实现预期驱动的波动影响，以及货币政策的系统性转变对随后通货膨胀的稳定至关重要这一观点的证据似乎比之前在价格粘性同质性下得出的文献结论要弱得多。

引用次数: 0

Social Learning and Monetary Policy at the Effective Lower Bound 有效下限的社会学习与货币政策

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-03-01 DOI: 10.1111/jmcb.13133

JASMINA ARIFOVIC, ALEX GRIMAUD, ISABELLE SALLE, GAUTHIER VERMANDEL

This paper develops a model that jointly accounts for the missing disinflation in the wake of the Great Recession and the subsequently observed inflation‐less recovery. The key mechanism works through heterogeneous expectations that may durably lose their anchoring to the central bank (CB)'s target and coordinate on particularly persistent below‐target paths. The welfare cost associated with persistent low inflation may be reduced if the CB announces to the agents its target or its own inflation forecasts, as communication helps coordinate expectations. However, the CB may lose its credibility whenever its announcements become decoupled from actual inflation.

本文建立了一个模型，可以共同解释大衰退后缺失的通货紧缩以及随后观察到的无通胀复苏。关键机制通过异质预期发挥作用，这种预期可能会持久地失去对中央银行目标的锚定，并在特别持续的低于目标的路径上进行协调。如果中央银行向代理人公布其目标或自己的通胀预测，与持续低通胀相关的福利成本可能会降低，因为沟通有助于协调预期。然而，只要中央银行的公告与实际通货膨胀脱钩，中央银行就可能失去公信力。

引用次数: 0

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