Journal of Money Credit and Banking最新文献

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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

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

Identifying the Depreciation Rate of Durables from Marginal Spending Responses 从边际支出反应确定耐用消费品的折旧率

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.13134

JIN CAO, CHAO CUI, VALERIYA DINGER, MARTIN B. HOLM, SHULONG KANG

This paper presents a new method to estimate the depreciation rate of durable goods using a combination of identified marginal and average spending shares. We apply our method to Chinese spending responses to disposable income changes induced by monetary policy in 2008–09. The marginal total spending response is 0.40. About 46% of this marginal spending response is due to durable goods. By combining this marginal spending share on durables with an average spending share of 14%, we estimate the annual depreciation rate of durables in China to be 0.17.

本文提出了一种新方法，利用已识别的边际支出份额和平均支出份额的组合来估算耐用品的折旧率。我们将这一方法应用于中国对 2008-09 年货币政策引起的可支配收入变化的支出反应。边际总支出反应为 0.40。约 46%的边际支出反应来自耐用品。将耐用消费品的边际支出份额与 14% 的平均支出份额相结合，我们估计中国耐用消费品的年贬值率为 0.17。

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

The Effect of Job Loss on Bank Account Ownership 失业对银行账户所有权的影响

IF 1.2 3区经济学 Q3 BUSINESS, FINANCE

Journal of Money Credit and Banking

Pub Date : 2024-02-03 DOI: 10.1111/jmcb.13127

RYAN M. GOODSTEIN, MARK J. KUTZBACH

We estimate the effect of job loss on households’ bank account ownership using novel data: Federal Deposit Insurance Corporation (FDIC)-sponsored biennial supplements to the Current Population Survey (CPS), linked to respondents’ work history in surrounding months constructed from the Basic Monthly CPS. Leveraging differences in the timing of unemployment spells across households, we show that job loss leads to a large decrease in the likelihood of having an account among the lower-income, renter households we study. Job loss also leads to increased use of other products and services that might substitute for a bank account, including prepaid cards, check cashing, and money orders.

我们使用新数据估计失业对家庭银行账户所有权的影响：联邦存款保险公司（FDIC）赞助的两年一次的当前人口调查（CPS）补充，与受访者在基本月度CPS构建的周围月份的工作经历相关联。利用不同家庭失业时间的差异，我们表明，在我们研究的低收入租房家庭中，失业导致拥有账户的可能性大幅下降。失业还会导致人们更多地使用其他可能替代银行账户的产品和服务，包括预付卡、支票兑现和汇票。

引用次数: 0

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