Journal of Money Credit and Banking最新文献

We introduce a novel measure of the market-wide risk of the interbank market: the total (across all banks) uncollateralized/collateralized lending volume ratio: $��M�w�i�d�e�R�i�s�k�I�n�t�e�r�B�$. This measure is based on the intuition that lender banks should use less (more) uncollateralized (collateralized) lending when aggregate risk increases, after controlling for banks’ features and market conditions that might affect $��M�w�i�d�e�R�i�s�k�I�n�t�e�r�B�$ (e.g., banks’ credit risk, cross-border inflows, supply–demand heterogeneity, and funding costs, among others). This is because collateralized loans are safer than uncollateralized ones after an interbank market-wide collapse. Actually, we show that $��M�w�i�d�e�R�i�s�k�I�n�t�e�r�B�$ modifies the future lending decisions and net lending holdings of individual banks.

This paper studies monetary policy and welfare in a sticky wage New Keynesian model with heterogeneous firms and endogenously variable markups. We show that stabilizing nominal wages is optimal only when product creation is based on an instantaneous zero-profit condition and when the aggregate markup is constant. A constant markup requires strong selection effects generated by a Pareto firm-level productivity distribution. When product creation is based on a dynamic zero-profit condition optimal monetary policy accounts for the distribution of firms and the welfare loss from stabilizing nominal wages is between $��0.1�\%�$ and 0.2% of steady-state consumption.

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.

Using responses obtained through the Nielsen Homescan panel survey, we explore the differences between managers’ and nonmanagers’ expectations and perceptions of inflation and unemployment. By and large, managers and nonmanagers exhibit similar average inflation and unemployment expectations as well as similar levels of disagreement and sensitivity to information provided in a randomized control trial. Responses to hypothetical questions suggest that inflation expectations of managers frequently affect their economic decisions. Finally, the inflation expectations of managers deviate systematically from the predictions of “anchored” expectations.

Are households harmed by inaccurate inflation beliefs? This paper analyzes two established inflation perceptions biases and evaluates their welfare effects. Using French survey data I study the frequency bias, where households overweight goods that they purchase frequently, and the level bias, where households consistently overestimate current inflation. To evaluate the associated welfare losses, I incorporate biased inflation perceptions into a model with a nominal bond subject to inflation risk. Only the level bias significantly reduces welfare and asset accumulation. Removing the perception bias reduces the welfare loss, suggesting that inaccurate perceptions can harm households beyond affecting expectations.

This paper empirically examines the effects of fiscal measures during COVID-19, using a novel database of daily fiscal policy announcements—classified by type of fiscal measure—and high-frequency economic indicators for 52 countries from January 1 to December 31, 2020. Results suggest that fiscal policy announcements have been effective in stimulating economic activity, boosting confidence, and reducing unemployment, but their effect varies by type of measure and country characteristics. Emergency lifeline measures are more effective when containment policies are stringent, providing cashflow support to most affected firms and households. Demand support measures are more effective when containment measures are relaxed.