Journal of Money Credit and Banking最新文献

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.

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.

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.

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.

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.

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.

In 2009, the Australian Government delivered approximately $8 billion in direct payments to households. These payments were randomly allocated over a 5-week period. Panel model estimates show that for the average household, there was no significant disbursement effect on nondurable consumption. Only for relatively young and low-income households, for example, at the bottom 10th percentile of each, was there a significant positive effect of the tax bonus payment on nondurable consumption. We argue the null findings on average could be due to macroeconomic and institutional differences leaving Australian households less constrained than their U.S. counterparts.

Many studies using quantile regressions (QRs) have found that downside risk to output growth varies more than upside risk. We show that Bayesian vector autoregressions (BVARs) with stochastic volatility are able to capture tail risks in forecast distributions. Even though the one-step-ahead conditional predictive distributions from the conventional stochastic volatility specification are symmetric, forecasts of downside risks to output growth are more variable than upside risks, and the reverse applies in the case of inflation and unemployment. Overall, BVAR models perform comparably to QR for estimating and forecasting tail risks, complementing BVARs' established performance for forecasting and structural analysis.

This paper constructs a survey-based measure capturing the evolution of market's expectations of the Federal Reserve's Large-Scale Asset Purchases (LSAP) program during 2008–18, and examines the transmission mechanism of unconventional monetary policy. Estimation results suggest that both signaling and portfolio balance channels of the LSAP were important in lowering long-term interest rates; Moreover, the Federal Reserve's forward guidance policy had led to a gradual extension of market's projections of the duration of the LSAP, making its effects more persistent. Model estimation also explains the 2013 taper tantrum well, and suggests that the LSAP's effects might have declined during QE III.