Journal of Money Credit and Banking最新文献

We provide evidence that for advanced economies' sovereign bond markets in recent decades, both sides of the government balance sheet matter: for explaining government borrowing cost empirically, (i) government assets are significant in addition to government liabilities, and (ii) it is government net worth (total financial and non-financial assets less liabilities) rather than government liabilities that matters when both are included. The central country-specific fiscal factor driving sovereign bond yields thus appears to be government net worth. The focus of policy and academic debates though has tended to be narrowly on government debt, even as government net worth has declined substantially in many OECD countries in recent decades.

We provide new evidence that mispriced mortgage insurance shifted credit supply and contributed to the mortgage boom and bust of the early 2000s. Original data on private mortgage insurance premiums from 1999 to 2016 reveal that before 2008, premiums did not vary across loans with widely different indicators of default risk. We quantify the mispricing of premiums before 2008 and show that even allowing for more optimistic beliefs, the flat premium structure resulted in cross-subsidies and substantial adverse selection.

Financial shocks generate a protracted and quantitatively important effect on real economic activity and financial markets only if the shocks are both negative and large. Otherwise, their role is quite modest. Financial shocks have become more important for economic fluctuations after 2000 and have contributed substantially to deepening the recessions of 2001 and 2008. The evidence is obtained using a new econometric procedure based on a Vector Moving Average representation that includes a nonlinear function of the financial shock. This method is a contribution of the present work.

We investigate the role of monetary policy in stock price misalignments and explore whether central banks can attenuate excessive mispricing as suggested by the proponents of a “leaning against the wind” monetary policy. Decomposing stock prices into expected excess dividends, an equity risk premium, and a mispricing component, we find that prices fall more strongly in response to an increase in the policy rate than what is implied by their underlying fundamentals. This systematic overreaction suggests that tighter monetary policy may contain emerging asset price misalignments. Our findings are at odds with the predictions of a rational bubble framework, but can be explained by mispricing arising from false subjective expectations of irrational investors.

This study examines the intertemporal nature of countries’ external adjustment by using two oil income shocks with different timings: giant oil discovery news shocks and contemporaneous oil revenue shocks from international oil price changes. Empirical estimates using a large panel of countries support the intertemporal theory. Net foreign assets hike immediately upon oil revenue shocks, but decline for the first 5 years after oil discoveries and rebound subsequently. These adjustments are largely through the current account but partially stabilized by valuation effects for oil revenue shocks. Oil discoveries attract FDI inflows, while oil revenue shocks increase foreign debt assets holdings.

We are in a digital era and more and more banks have begun to offer Internet banking. The availability of this new channel can reduce households' cost of acquiring information and the time spent on financial transactions; therefore, it could also impact on households' decisions to start investing in financial markets. Using an instrumental variable approach, we find that the adoption of Internet banking induces households to participate in financial markets and, in particular, to hold short-term assets with a low risk/return profile. Over time, the adoption of Internet banking also drives a better understanding of basic financial concepts.