Journal of Money Credit and Banking最新文献

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.

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.

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.

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.

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.

We study the behavioral mechanisms which contribute to increased strategic defaults during an economic crisis. In our laboratory experiment, subjects can default on an outstanding loan, but moral constraints and social norm enforcement may provide incentives to repay. We exogenously vary the state of the economy: In the weak economy, more borrowers are forced to default than in the strong. We identify two main effects of weak economic conditions: First, moral constraints are softened: Solvent debtors default more often. Second, under informational uncertainty about the reason for default, social norm enforcement is undermined: Peers are more reluctant to sanction defaulters.