Journal of Monetary Economics最新文献

英文中文

Advance information and consumption insurance: Evidence and structural estimation

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-04-01 DOI: 10.1016/j.jmoneco.2025.103748

Marcelo Pedroni , Swapnil Singh , Christian A. Stoltenberg

We show that households’ private information on future income can be identified from the correlation between consumption growth and future income growth conditional on current income growth. Employing PSID data, we find that this conditional correlation is positive and significant. We use this evidence to structurally estimate a standard incomplete markets model and discover that US households possess enough advance information to reduce their income forecast errors by 15%. This significantly affects the measurement of consumption insurance. With advance information, 25% more income shocks pass through to consumption on average, and more than twice as much for the 5% asset poorest. Without advance information, the marginal benefits of public insurance are underestimated by an order of magnitude for some of the poorest wealth quantiles.

引用次数: 0

Automation and the rise of superstar firms 自动化与超级明星企业的崛起

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-04-01 DOI: 10.1016/j.jmoneco.2025.103733

Hamid Firooz , Zheng Liu , Yajie Wang

We provide empirical evidence suggesting that the rise of superstar firms is linked to automation. We explain this empirical link in a general equilibrium framework with heterogeneous firms and variable markups. Firms can operate a labor-only technology or, by paying a per-period fixed cost, an automation technology that uses both workers and robots. The fixed costs lead to an economy-of-scale effect of automation, such that larger and more productive firms are more likely to automate. Automation boosts labor productivity, allowing those large firms to expand further, raising industry concentration. Since robots substitute for workers, increased automation raises sales concentration more than employment concentration, consistent with empirical evidence. Under our calibration, a modest robot subsidy mitigates markup distortions and improves welfare by stimulating automation investment, bringing aggregate output closer to the efficient level.

我们提供的经验证据表明，超级明星企业的崛起与自动化有关。我们在一个具有异质企业和可变加价的一般均衡框架中解释了这种经验联系。企业可以采用纯劳动力技术，也可以通过支付每期固定成本，采用同时使用工人和机器人的自动化技术。固定成本导致了自动化的规模经济效应，规模越大、生产率越高的企业越有可能实现自动化。自动化提高了劳动生产率，使这些大型企业得以进一步扩张，从而提高了产业集中度。由于机器人可以替代工人，因此自动化程度的提高对销售集中度的影响大于对就业集中度的影响，这与经验证据是一致的。根据我们的校准，适度的机器人补贴可以缓解加价扭曲，并通过刺激自动化投资改善福利，使总产出更接近有效水平。

引用次数: 0

Natural gas and the macroeconomy: Not all energy shocks are alike

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-04-01 DOI: 10.1016/j.jmoneco.2025.103749

Piergiorgio Alessandri, Andrea Gazzani

How do shocks to the supply of natural gas affect output and inflation? To answer this question, we construct an instrument using daily news on the European gas market and employ it within a VAR model of the euro area. We find that negative supply shocks have sizable stagflationary effects and accounted for nearly 50 percent of the increase in core prices observed between 2021 and 2023. The propagation to core prices appears to be larger compared to oil shocks, suggesting that the structural differences between the two markets matter from an aggregate perspective.

引用次数: 0

Sinking ships: Liquidity constraints and return predictability in recessions

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-04-01 DOI: 10.1016/j.jmoneco.2025.103746

Artur Doshchyn

Using the context of the dry-bulk shipping industry, I document that future returns on real assets are strongly predictable and negatively related to current asset prices, earnings, and investment during recessions. However, there is no such relationship outside recessions. This evidence points to significant liquidity constraints faced by firms during downturns, resulting in cash-in-the-market pricing of capital and rising expected returns for buyers. It is puzzling, however, why firms would not exploit opportunities to buy assets cheaply in recessions, e.g. by pre-arranging credit lines. I build and estimate a model of a competitive industry with credit frictions that can quantitatively account for return predictability during downturns, even though firms can use state-contingent contracts to preserve liquidity for when they need it most. Firms’ relative impatience limits their risk management, meaning that even well-capitalized firms can become constrained following adverse shocks. This results in significant asymmetric amplification of shocks in equilibrium.

引用次数: 0

Announcements, expectations, and stock returns with asymmetric information 信息不对称情况下的公告、预期和股票收益

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-04-01 DOI: 10.1016/j.jmoneco.2025.103751

Leyla Jianyu Han

Revisions of consensus macroeconomic and earnings forecasts positively predict announcement-day forecast errors, whereas stock market returns during forecast revision periods negatively predict announcement-day returns. A dynamic noisy rational expectations model with periodic announcements quantitatively accounts for these findings. Under asymmetric information, informed investors’ forecast revisions positively predict forecast errors of the uninformed, causing average beliefs to underreact to new information and positively predict belief errors. Additionally, stock prices are partially driven by noise. Noise impact accumulates into stock prices during revision periods but gets corrected upon announcements. Therefore, revision period price changes negatively predict announcement-day returns.

引用次数: 0

Foreign exchange interventions in the New-Keynesian model: Policy, transmission, and welfare 新凯恩斯主义模型中的外汇干预：政策、传导和福利

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-04-01 DOI: 10.1016/j.jmoneco.2025.103763

Yossi Yakhin

The paper introduces foreign exchange interventions (FXIs) into an otherwise standard New-Keynesian small open economy model. It solves for the optimal FXI policy, suggests an implementable policy rule, and studies the transmission mechanism of FXIs. Relying on the portfolio balance channel, deviations from the uncovered interest rate parity (UIP) reflect financial inefficiencies. A policy rule that seeks to stabilize the UIP premium moves the economy toward its optimal allocation, regardless of the type of shocks it faces. Augmenting the rule with foreign reserves smoothing further improves welfare. The paper discusses the conditions under which strict targeting of the UIP premium is optimal. FXIs are transmitted by affecting the UIP premium. Purchasing foreign reserves increases the premium, thereby raising the effective return home agents face and depreciating the domestic currency. Consequently, domestic demand contracts and export expands. The results are robust to a variety of modeling alternatives for the financial sector.

引用次数: 0

CBDC and the operational framework of monetary policy 中央银行与货币政策的运作框架

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-04-01 DOI: 10.1016/j.jmoneco.2025.103762

Jorge Abad , Galo Nuño , Carlos Thomas

We analyze the impact of central bank digital currency (CBDC) on the operational framework of monetary policy and the macroeconomy. We develop a New-Keynesian model with a frictional interbank market, central bank deposit and lending facilities, and household preferences for different liquid assets, calibrated to the euro area. CBDC adoption implies a contraction in bank deposits, which is absorbed by a fall in reserves and, if large enough, increased recourse to central bank credit. The resulting changes in the operational framework (from ‘floor’ to ‘corridor’, and then to ‘ceiling’) thus shape the impact of CBDC on credit, investment and output.

我们分析了中央银行数字货币（CBDC）对货币政策操作框架和宏观经济的影响。我们建立了一个新凯恩斯主义模型，该模型具有摩擦性银行间市场、中央银行存贷便利和家庭对不同流动资产的偏好，并以欧元区为校准对象。采用 CBDC 意味着银行存款萎缩，而存款萎缩会被准备金的下降所吸收，如果准备金下降幅度足够大，则会增加对中央银行信贷的依赖。因此，操作框架的变化（从 "下限 "到 "走廊"，再到 "上限"）决定了 CBDC 对信贷、投资和产出的影响。

引用次数: 0

Bond market stimulus: Firm-level evidence

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-04-01 DOI: 10.1016/j.jmoneco.2024.103728

Olivier Darmouni , Kerry Y. Siani

How do asset purchases by central banks transmit to the real economy? Using micro-data on corporate balance sheets, we study firm behavior after the unprecedented policy support to corporate bond markets in 2020. As bond yields fell, firms issued bonds to accumulate large and persistent amounts of liquid assets. The effect on real investment was generally weak: many issuers already had access to bank liquidity and maintained equity payouts, while others used bond funds to pay back bank debt. This evidence sheds light on how corporate liquidity and financial heterogeneity matter for the macro-economy and the transmission of unconventional monetary policy.

引用次数: 0

The adoption and termination of suppliers over the business cycle

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-04-01 DOI: 10.1016/j.jmoneco.2025.103730

Le Xu , Yang Yu , Francesco Zanetti

We assemble a firm-level dataset to study the adoption and termination of suppliers over business cycles. We document that the aggregate number and rate of adoption of suppliers are procyclical. The rate of termination is acyclical at the aggregate level, and the cyclicality of termination encompasses large differences across producers. To account for these new facts, we develop a model with optimizing producers that incur separate costs for management, adoption, and termination of suppliers. These costs alter the incentives to scale up production and to replace existing with new suppliers. Sufficiently high convexity in management relative to adjustment costs is crucial to replicating the observed cyclicality in the adoption and termination rates at the producer and aggregate levels. We study the welfare implications of credit injections and subsidies on new inputs—the two main classes of supply-chain policies adopted in the U.S. since the COVID-19 pandemic. Credit injections generally outperform subsidies on new inputs, except when aggregate TFP is exceptionally high.

引用次数: 0

The real effects of financial disruptions in a monetary economy

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-04-01 DOI: 10.1016/j.jmoneco.2025.103735

Miroslav Gabrovski , Athanasios Geromichalos , Lucas Herrenbrueck , Ioannis Kospentaris , Sukjoon Lee

A large literature in macroeconomics concludes that disruptions in financial markets have large negative effects on output and (un)employment. Though diverse, most papers in this literature share a common characteristic: they employ frameworks where money is not explicitly modeled. This paper argues that the omission of money may hinder a model’s ability to evaluate the real effects of financial shocks, since it deprives agents of a payment instrument that they could have used to cope with the resulting liquidity disruption. In a carefully calibrated New-Monetarist model with frictional labor, product, and financial markets, we show that the existence of money dampens or even nearly eliminates the real impact of financial shocks, depending on the nature of the shock. We also show that the propagation of financial shocks to the real economy depends on the inflation level: high inflation levels magnify the real effects of adverse financial shocks.

宏观经济学中有大量文献认为，金融市场的混乱会对产出和（非）就业产生巨大的负面影响。尽管观点各异，但这些文献中的大多数论文都有一个共同特点：它们采用的框架没有明确地模拟货币。本文认为，忽略货币可能会妨碍模型评估金融冲击实际影响的能力，因为这使代理人失去了一种支付工具，而他们本可以用这种工具来应对由此产生的流动性中断。在一个经过仔细校准的具有摩擦性劳动力、产品和金融市场的新货币主义模型中，我们表明货币的存在会抑制甚至几乎消除金融冲击的实际影响，这取决于冲击的性质。我们还表明，金融冲击对实体经济的传播取决于通胀水平：高通胀水平会放大不利金融冲击的实际影响。

引用次数: 0

下一页尾页

类型

全部化学•材料生命科学医学物理工程技术环境•农林材料科学地球科学法学管理学化学环境科学与生态学计算机科学教育学经济学农林科学人文科学生物学数学物理与天体物理心理学综合性期刊其他工业工程理学历史学农学文学信息工程

数据库

全部 ACS Publications Elsevier ieeexplore Springer The Royal Society of Chemistry Wiley

期刊

Journal of Monetary Economics

全部 Acc. Chem. Res. ACS Applied Bio Materials ACS Appl. Electron. Mater. ACS Appl. Energy Mater. ACS Appl. Mater. Interfaces ACS Appl. Nano Mater. ACS Appl. Polym. Mater. ACS BIOMATER-SCI ENG ACS Catal. ACS Cent. Sci. ACS Chem. Biol. ACS Chemical Health & Safety ACS Chem. Neurosci. ACS Comb. Sci. ACS Earth Space Chem. ACS Energy Lett. ACS Infect. Dis. ACS Macro Lett. ACS Mater. Lett. ACS Med. Chem. Lett. ACS Nano ACS Omega ACS Photonics ACS Sens. ACS Sustainable Chem. Eng. ACS Synth. Biol. Anal. Chem. BIOCHEMISTRY-US Bioconjugate Chem. BIOMACROMOLECULES Chem. Res. Toxicol. Chem. Rev. Chem. Mater. CRYST GROWTH DES ENERG FUEL Environ. Sci. Technol. Environ. Sci. Technol. Lett. Eur. J. Inorg. Chem. IND ENG CHEM RES Inorg. Chem. J. Agric. Food. Chem. J. Chem. Eng. Data J. Chem. Educ. J. Chem. Inf. Model. J. Chem. Theory Comput. J. Med. Chem. J. Nat. Prod. J PROTEOME RES J. Am. Chem. Soc. LANGMUIR MACROMOLECULES Mol. Pharmaceutics Nano Lett. Org. Lett. ORG PROCESS RES DEV ORGANOMETALLICS J. Org. Chem. J. Phys. Chem. J. Phys. Chem. A J. Phys. Chem. B J. Phys. Chem. C J. Phys. Chem. Lett. Analyst Anal. Methods Biomater. Sci. Catal. Sci. Technol. Chem. Commun. Chem. Soc. Rev. CHEM EDUC RES PRACT CRYSTENGCOMM Dalton Trans. Energy Environ. Sci. ENVIRON SCI-NANO ENVIRON SCI-PROC IMP ENVIRON SCI-WAT RES Faraday Discuss. Food Funct. Green Chem. Inorg. Chem. Front. Integr. Biol. J. Anal. At. Spectrom. J. Mater. Chem. A J. Mater. Chem. B J. Mater. Chem. C Lab Chip Mater. Chem. Front. Mater. Horiz. MEDCHEMCOMM Metallomics Mol. Biosyst. Mol. Syst. Des. Eng. Nanoscale Nanoscale Horiz. Nat. Prod. Rep. New J. Chem. Org. Biomol. Chem. Org. Chem. Front. PHOTOCH PHOTOBIO SCI PCCP Polym. Chem.

﹀