Journal of Money Credit and Banking最新文献

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Foreign Exchange Intervention: A Data Set of Official Data and Estimates 外汇干预：官方数据和估算数据集

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.13137

GUSTAVO ADLER, KYUN SUK CHANG, RUI C. MANO, YUTING SHAO

A better understanding of foreign exchange intervention (FXI) is often hindered by the lack of data. This paper provides a new data set of FXI covering a large number of countries since 2000 at monthly and quarterly frequencies. It includes published official data for about 40 countries as well as carefully constructed estimates for 122 countries. Estimates account for a wide range of central bank operations, including both spot and derivative transactions. These estimates improve upon traditional proxies based on changes in reserves, by adjusting for valuation changes, income flows, and changes in other foreign‐currency balance sheet positions (both vis‐à‐vis residents and nonresidents)—the first estimates to do the latter to our knowledge—thus providing a more accurate measure of operations that change the central bank's foreign currency position. The data set also provides a classification of FXI operations into sterilized or not sterilized, a key dimension for economic analysis. Finally, the paper discusses the merits of the new estimates relative to traditional proxies, and presents stylized facts.

对外汇干预（FXI）的更好理解往往因缺乏数据而受阻。本文提供了一套新的外汇干预数据集，涵盖 2000 年以来大量国家的月度和季度数据。其中包括约 40 个国家已公布的官方数据以及 122 个国家的精心估算数据。估算值考虑了央行的各种操作，包括现货交易和衍生品交易。这些估算值改进了基于储备变化的传统代用指标，调整了估值变化、收入流量和其他外币资产负债表头寸的变化（包括对居民和非居民）--据我们所知，这是首个对后者进行调整的估算值--从而更准确地衡量了改变央行外币头寸的操作。该数据集还提供了外汇兑换业务的分类，即消毒与非消毒，这是经济分析的一个关键维度。最后，本文讨论了新估算值相对于传统估算值的优点，并介绍了典型事实。

引用次数: 0

The Deflationary Bias of the ZLB and the FED's Strategic Response ZLB 的通货紧缩倾向和美国联邦储备委员会的战略对策

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-02-29 DOI: 10.1111/jmcb.13140

ADRIAN PENALVER, DANIELE SIENA

The paper shows, in a simple analytical framework, the existence of a deflationary bias in an economy with a low natural rate of interest, a zero lower bound (ZLB) constraint on nominal interest rates and a discretionary Central Bank (CB) with an inflation mandate. The presence of the ZLB prevents the CB from offsetting negative shocks to inflation whereas it can offset positive shocks. This asymmetry pushes average inflation below the target which in turn drags down inflation expectations and reinforces the likelihood of hitting the ZLB. We show that this deflationary bias is particularly relevant for a CB with a symmetric dual mandate (i.e., minimizing deviations from inflation and employment), especially when facing demand shocks. But a strict inflation targeter cannot escape the suboptimal deflationary equilibrium either. The deflationary bias can be mitigated by targeting “shortfalls” instead of “deviations” from maximum employment and/or using flexible average inflation targeting. However, changing monetary policy strategy risks inflation expectations becoming entrenched above the target if the natural interest rate increases.

本文通过一个简单的分析框架说明，在一个自然利率较低、名义利率存在零下限（ZLB）约束、中央银行全权负责通胀任务的经济体中，存在通货紧缩偏差。零下限的存在使中央银行无法抵消通胀的负面冲击，但却可以抵消正面冲击。这种不对称会使平均通胀率低于目标值，进而拖累通胀预期，增加触及 ZLB 的可能性。我们的研究表明，这种通货紧缩偏差对于具有对称性双重任务（即最大限度地减少通胀与就业的偏差）的央行尤为重要，尤其是在面临需求冲击时。但是，严格的通胀目标制定者也无法摆脱次优的通货紧缩均衡。通货紧缩偏差可以通过瞄准 "缺口 "而非 "偏离 "最大就业率和/或使用灵活的平均通胀目标来缓解。然而，如果自然利率上升，改变货币政策战略有可能使通胀预期稳固在目标之上。

引用次数: 0

Caution: Do Not Cross! Distance to Regulatory Capital Buffers and Corporate Lending in a Downturn 注意：请勿穿越！不要越过！经济衰退时监管资本缓冲与企业贷款的距离

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-02-17 DOI: 10.1111/jmcb.13135

CYRIL COUAILLIER, MARCO LO DUCA, ALESSIO REGHEZZA, COSTANZA RODRIGUEZ D'ACRI

While banks are expected to draw down regulatory capital buffers in case of need during a crisis, we find that banks kept at a safe distance from regulatory buffers during the pandemic by procyclically reducing corporate lending. By exploiting granular credit register data, we show that banks with little capital headroom above their buffers reduced credit supply and that this behavior was amplified for banks that entered the crisis with larger undrawn credit lines. Affected firms were unable to fully rebalance their borrowing needs with other banks, although public guarantees mitigated banks' procyclical behavior and its real effect at the firm level. These findings raise concerns that the capital buffers introduced by Basel III may not be as countercyclical as intended.

在危机期间，银行应在需要时提取监管缓冲资本，但我们发现，在大流行病期间，银行通过顺周期地减少企业贷款，与监管缓冲资本保持了安全距离。通过利用细粒度信贷登记数据，我们发现，在缓冲区之外资本余地很小的银行减少了信贷供应，而在危机中未提取信贷额度较大的银行的这种行为被放大了。尽管公共担保减轻了银行的顺周期行为及其在企业层面的实际影响，但受影响的企业无法完全重新平衡与其他银行的借贷需求。这些研究结果令人担忧，《巴塞尔协议三》引入的资本缓冲可能并不像预期的那样具有反周期作用。

引用次数: 0

The Rationality Bias 理性偏见

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-02-15 DOI: 10.1111/jmcb.13122

TIM HAGENHOFF, JOEP LUSTENHOUWER, MIKE TSIONAS

We analyze differences in consumption and wealth in an estimated New Keynesian model with rational and boundedly rational households. Shocks are shown to cause consumption and wealth heterogeneity due to the “rationality bias” of boundedly rational households. This bias can be decomposed into three components, which, for certain specifications of monetary policy, can exactly offset each other. Moreover, a more hawkish response to inflation leads to more volatility in consumption and wealth heterogeneity, which makes it optimal for the central bank to set lower coefficients in the Taylor rule than would have been the case under homogeneous rational expectations.

我们分析了具有理性家庭和有界理性家庭的新凯恩斯估算模型中的消费和财富差异。结果表明，由于有界理性家庭的 "理性偏差"，冲击会导致消费和财富的异质性。这种偏差可分解为三个部分，在某些货币政策规格下，这三个部分可以完全相互抵消。此外，对通胀做出更鹰派的反应会导致消费和财富的异质性更加波动，这使得中央银行在泰勒规则中设定比同质理性预期下更低的系数成为最优选择。

引用次数: 0

Housing, Distribution, and Welfare 住房、分配和福利

IF 1.2 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-02-14 DOI: 10.1111/jmcb.13136

NOBUHIRO KIYOTAKI, ALEXANDER MICHAELIDES, KALIN NIKOLOV

Housing is a long-lived asset whose value is sensitive to variations in expectations of long-run growth rates and interest rates. When a large fraction of households has leverage, housing price fluctuations cause large-scale redistribution and consumption volatility. We find that a practical way to insure the young and the poor from the housing market fluctuations is through a well-functioning rental market. In practice, homeownership subsidies keep the rental market small and the housing cycle affects aggregate consumption. Removing homeownership subsidies hurts old homeowners, while leverage limits hurt young homeowners.

住房是一种长期资产，其价值对长期增长率和利率预期的变化非常敏感。当很大一部分家庭拥有杠杆时，住房价格的波动会造成大规模的再分配和消费波动。我们发现，让年轻人和穷人免受住房市场波动影响的一个切实可行的办法是建立一个运作良好的租赁市场。在实践中，购房补贴使租赁市场规模较小，住房周期影响总消费。取消购房补贴会损害老房主的利益，而杠杆限制则会损害年轻房主的利益。

引用次数: 0

The Effects of Regulatory Office Closures on Bank Behavior 关闭监管办公室对银行行为的影响

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-02-11 DOI: 10.1111/jmcb.13126

IVAN LIM, JENS HAGENDORFF, SETH ARMITAGE

We investigate if the decentralized structure of regulatory office networks influences supervisory outcomes and bank behavior. Following the closure of an office, banks previously supervised by that office increase their lending and risk-taking. As a result, affected banks have larger loan losses and higher failure rates during the 2008–09 financial crisis. Analysis of the channels suggests that proximate supervisors enforce timelier provisioning practices, restrict large cash payouts, and provide advice that increases a bank's risk-adjusted returns. Overall, our findings imply that geographical proximity reduces informational frictions in supervisory monitoring and leads to more stable banks.

我们研究了监管办公室网络的分散结构是否会影响监管结果和银行行为。一个办事处关闭后，之前由该办事处监管的银行会增加贷款和风险承担。因此，在 2008-09 年金融危机期间，受影响的银行出现了更大的贷款损失和更高的倒闭率。对渠道的分析表明，临近的监管者会执行更及时的拨备措施，限制大额现金支付，并提供增加银行风险调整收益的建议。总体而言，我们的研究结果表明，地理上的临近性减少了监管监测中的信息摩擦，从而使银行更加稳定。

引用次数: 0

Digging Deeper—Evidence on the Effects of Macroprudential Policies from a New Database 深入挖掘--来自新数据库的宏观审慎政策效果证据

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-01-22 DOI: 10.1111/jmcb.13130

ZOHAIR ALAM, ADRIAN ALTER, JESSE EISEMAN, GASTON GELOS, HEEDON KANG, MACHIKO NARITA, ERLEND NIER, NAIXI WANG

This paper introduces a comprehensive database of macroprudential policies, which covers 134 countries from January 1990. Using a novel numerical indicator of the tightness of loan-to-value (LTV) regulations, we estimate the policy effects of incremental tightening in LTV limits, employing a propensity score–based method to address endogeneity concerns. The results point to economically significant and nonlinear effects on household credit, with a declining per-unit impact for larger tightening measures. The analysis indicates that policy leakage effects could be a factor behind the nonlinear effects. We finally find that the side effects of macroprudential policies on consumption and output are relatively small.

本文介绍了一个宏观审慎政策综合数据库，该数据库涵盖了自 1990 年 1 月以来的 134 个国家。通过使用贷款价值比（LTV）法规松紧度的新数字指标，我们估算了逐步收紧贷款价值比限制的政策效果，并采用了基于倾向得分的方法来解决内生性问题。结果表明，政策对家庭信贷产生了显著的非线性经济影响，单位影响随着收紧措施的加大而下降。分析表明，政策泄漏效应可能是非线性效应背后的一个因素。最后，我们发现宏观审慎政策对消费和产出的副作用相对较小。

引用次数: 0

Trade-Off Theory for Dual Holders 双重持有者的权衡理论

IF 1.2 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-01-22 DOI: 10.1111/jmcb.13128

SNORRE LINDSET, GUTTORM NYGÅRD, SVEIN-ARNE PERSSON

A dual holder simultaneously owns (private) debt and equity in the same firm. Private debt has a tax advantage, a positive cashflow, which incentivizes its use. This cashflow leads to a lower net cost of debt, which again reduces default risk as well as the cost of external debt. The usual trade-off between tax benefits and bankruptcy costs is altered. Debt priority affects both financing and default decisions. We find that an enterprise-value maximizing firm should issue senior, external debt and junior, private debt, rather than debt with pari-passu priority. Our analysis further highlights that tax authorities can effectively curtail the tax-motivated use of private debt through straightforward measures.

双重持有人同时拥有同一家公司的（私人）债务和股权。私人债务具有税收优势，即正向现金流，这激励了债务的使用。这种现金流会降低债务的净成本，从而再次降低违约风险和外债成本。税收优惠与破产成本之间通常的权衡发生了变化。债务优先权会影响融资和违约决策。我们发现，企业价值最大化的公司应该发行优先的外债和次级的私人债务，而不是具有准优先权的债务。我们的分析进一步强调，税务机关可以通过直接的措施有效遏制以税收为动机的私人债务使用。

引用次数: 0

Precautionary Money Demand in a Cash-in-Advance Model 预付现金模式中的预防性货币需求

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-01-21 DOI: 10.1111/jmcb.13131

SERGIO SALAS

While numerous studies in monetary economics explore inflation, interest rates, stock returns, and money velocity, a model seamlessly linking these interactions remains elusive. One crucial omission in this literature is idiosyncratic precautionary money demand, a prominent feature in the data. This paper addresses this gap by presenting a simple model where precautionary money demand arises from heterogeneous household liquidity needs. Despite its intricate heterogeneity, the model allows straightforward aggregation, enabling analysis of its implications for household portfolios composed of cash, government bonds, and equities. The empirical analysis spans the period 1959.I–2022.I. Notably, the model captures crucial time-series properties that models without the idiosyncratic element fail to achieve.

尽管货币经济学中的许多研究都在探讨通货膨胀、利率、股票回报率和货币速度，但将这些相互作用无缝连接起来的模型仍未出现。这些文献中的一个重要疏漏是特异性预防性货币需求，这是数据中的一个显著特征。本文针对这一空白，提出了一个简单的模型，在该模型中，预防性货币需求源于异质性的家庭流动性需求。尽管存在复杂的异质性，但该模型允许直接汇总，从而可以分析其对由现金、政府债券和股票组成的家庭投资组合的影响。值得注意的是，该模型捕捉到了重要的时间序列特性，而没有特异性因素的模型则无法实现这一点。

引用次数: 0

Determinacy and E-Stability with Interest Rate Rules at the Zero Lower Bound 零下限利率规则的确定性和电子稳定性

IF 1.5 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-01-21 DOI: 10.1111/jmcb.13129

YUNJONG EO, NIGEL MCCLUNG

We evaluate and compare alternative interest rate rules, namely, average inflation targeting (AIT), price-level targeting (PLT), and traditional inflation targeting rules, in a standard New Keynesian model that features recurring, transient zero lower bound regimes. We use determinacy and expectational stability (E-stability) of equilibrium as the criteria for stabilization policy. We find that PLT policy, including nominal GDP targeting as a special case, most effectively promotes determinacy and E-stability among the policy frameworks, whereas standard inflation targeting rules are prone to indeterminacy. AIT can induce determinacy and E-stability effectively, provided the averaging window is sufficiently long.

我们在一个标准的新凯恩斯主义模型中评估并比较了其他利率规则，即平均通胀目标制（AIT）、价格水平目标制（PLT）和传统的通胀目标制规则。我们将均衡的确定性和预期稳定性（E-stability）作为稳定政策的标准。我们发现，在各种政策框架中，PLT 政策（包括作为特例的名义 GDP 目标制）能最有效地促进确定性和 E 稳定性，而标准的通胀目标制规则则容易导致不确定性。只要平均窗口足够长，AIT 就能有效促进确定性和 E 稳定性。

引用次数: 0

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