Journal of Monetary Economics最新文献

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Soft landing and inflation scares 软着陆和通胀恐慌

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-11-24 DOI: 10.1016/j.jmoneco.2025.103871

James Bullard , Alex Grimaud , Isabelle Salle , Gauthier Vermandel

We discuss the timing and strength of the Fed’s reaction to the recent inflation surge within an estimated macroeconomic model where long-run inflation expectations are heterogeneous and can lose their anchoring to the target. The resulting inflation scare worsens the real cost of disinflation. We derive a closed-form solution that retains the entire time-varying cross-sectional distribution of subjective inflation beliefs. We estimate the model using Bayesian techniques on both US macroeconomic time series and forecast data from the Survey of Professional Forecasters. Counterfactual simulations show that the timing – rather than the strength – of the policy reaction to the inflation surge is critical to contain the development of an inflation scare and prevent the entrenchment of above-target inflation. We show that the Fed fell behind the curve in 2021 since an earlier tightening could have reduced the inflation peak without triggering a recession. However, further delays would have unanchored inflation expectations, aggravated the inflation scare and strengthened the inflation surge, resulting in larger output losses.

我们在一个估计的宏观经济模型中讨论了美联储对最近通胀飙升的反应时机和力度，在这个模型中，长期通胀预期是异质的，可能会失去对目标的锚定。由此产生的通胀恐慌加剧了反通胀的实际成本。我们得到了一个封闭形式的解，它保留了主观膨胀信念的整个时变截面分布。我们使用贝叶斯技术对美国宏观经济时间序列和专业预测者调查的预测数据进行模型估计。反事实的模拟表明，对通胀飙升做出政策反应的时机——而非力度——对于遏制通胀恐慌的发展和防止通胀高于目标水平的巩固至关重要。我们表明，美联储在2021年落后于曲线，因为早些时候的紧缩本可以在不引发衰退的情况下降低通胀峰值。然而，进一步的拖延将会动摇通胀预期，加剧通胀恐慌，加剧通胀飙升，导致更大的产出损失。

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引用次数: 0

Dissecting the great retirement boom 剖析退休潮

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-11-20 DOI: 10.1016/j.jmoneco.2025.103870

Serdar Birinci , Miguel Faria-e-Castro , Kurt See

Between 2020 and 2023, the fraction of retirees in the working-age population in the U.S. increased above its pre-pandemic trend. Several explanations have been proposed to rationalize this gap, including increases in net worth, the deterioration of the labor market with higher job separations, the expansion of fiscal transfer programs, and higher mortality risk. We develop an incomplete markets, overlapping generations model with a frictional labor market to quantitatively study the interaction of these factors and decompose their contributions to the rise in retirements. We find that new retirements were concentrated at the bottom of the income distribution, and the most important factors driving the rise in retirements were higher job separations and the expansion of fiscal transfers. We show that our model’s predictions on aggregate labor market moments and cross-sectional moments on retirement patterns across income and wealth distributions are in line with the data.

2020年至2023年期间，美国工作年龄人口中退休人员的比例高于疫情前的趋势。人们提出了几种解释来合理化这一差距，包括净资产的增加、劳动力市场的恶化与更高的离职率、财政转移计划的扩大以及更高的死亡风险。我们建立了一个不完全市场、代与代重叠的模型和一个摩擦劳动力市场，定量研究了这些因素的相互作用，并分解了它们对退休人数上升的贡献。我们发现，新退休人员集中在收入分配的底部，推动退休人数上升的最重要因素是离职率的上升和财政转移的扩大。我们表明，我们的模型对总劳动力市场时刻和收入和财富分配中退休模式的横截面时刻的预测与数据一致。

引用次数: 0

Inequality and asset prices during Sudden Stops 突然止损期间的不平等和资产价格

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-11-20 DOI: 10.1016/j.jmoneco.2025.103872

Sergio Villalvazo

This paper studies the cross-sectional dimension of Fisher’s debt-deflation mechanism that triggers endogenous Sudden Stop crises — i.e., episodes with large reversals in the current account. Analyzing microdata from Mexico, we show that this dimension has macroeconomic implications that operate via opposing effects. First, an amplifying effect by which households with high leverage fire-sale their assets during crises, increasing downward pressure on asset prices. Second, a dampening effect by which wealthy households with low leverage buy depressed assets, relieving downward pressure on asset prices. As a result, the role of inequality during crises is ambiguous. We conduct a quantitative analysis using a calibrated small open economy, asset-pricing model with heterogeneous agents and aggregate risk to measure the effects of inequality during crises. The model suggests that economies with lower inequality, whether due to reduced idiosyncratic risk or wealth redistribution across agents, experience less severe crises, as observed in the data.

本文研究了费雪的债务-通缩机制的横截面维度，该机制触发了内源性骤停危机——即经常账户出现大幅逆转的事件。通过分析墨西哥的微观数据，我们发现这一维度通过相反的效应对宏观经济产生影响。首先是一种放大效应，即高杠杆家庭在危机期间甩卖资产，加大了资产价格的下行压力。其次，低杠杆的富裕家庭购买低迷资产的抑制效应，缓解了资产价格的下行压力。因此，不平等在危机中的作用是模糊的。我们使用校准的小型开放经济、具有异质主体和总风险的资产定价模型进行定量分析，以衡量危机期间不平等的影响。该模型表明，正如数据所观察到的那样，不平等程度较低的经济体（无论是由于特殊风险降低，还是由于代理人之间的财富再分配）经历的危机较轻。

引用次数: 0

A theory of fear of floating 害怕漂浮的理论

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-11-19 DOI: 10.1016/j.jmoneco.2025.103869

Javier Bianchi , Louphou Coulibaly

Central banks with flexible exchange rate regimes are often reluctant to let their currency float, a phenomenon known as “fear of floating.” We develop a framework in which a floating exchange rate may exacerbate vulnerability to self-fulfilling financial crises rather than provide the intended insulation against external shocks. A commitment to a crawling peg—where the currency can fluctuate within a predetermined band—can help mitigate the risk of self-fulfilling crises. In contrast to the Mundell–Fleming paradigm, the optimal exchange rate policy entails allowing the exchange rate to float in response to real shocks while maintaining it fixed in response to non-fundamental shocks.

实行灵活汇率制度的央行通常不愿让本币浮动，这种现象被称为“浮动恐惧”。我们制定了一个框架，在这个框架中，浮动汇率可能会加剧对自我实现的金融危机的脆弱性，而不是提供预期的抵御外部冲击的隔离。对爬行式盯住汇率的承诺——即人民币可以在预定区间内波动——有助于减轻自我实现危机的风险。与蒙代尔-弗莱明范式相反，最优汇率政策需要允许汇率在应对实际冲击时浮动，而在应对非基本面冲击时保持固定。

引用次数: 0

Biased surveys 有偏见的调查

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-11-14 DOI: 10.1016/j.jmoneco.2025.103868

Luca Gemmi , Rosen Valchev

We find empirical evidence that surveys of professional forecasters are biased by strategic incentives. First, we find that individual forecasts overreact to idiosyncratic information but underreact to common information. We show this is consistent with a model of strategic diversification incentives in forecast reporting where forecasters want to optimally “stand out” from the crowd, and thus report forecasts that exaggerate the agents’ true beliefs. Second, we show that no such biases are present in forecasts data that is not subject to strategic incentives. We also test further comparative statics that also confirm the strategic incentive model. Overall, we conclude that strategic reporting biases the inference an econometrician can draw on the true underlying expectations formation process, and the precision and heterogeneity in agents’ information sets, and lastly we show how to correct for this.

我们发现经验证据表明，对专业预测者的调查受到战略激励的影响。首先，我们发现个体预测对特殊信息反应过度，而对常见信息反应不足。我们表明，这与预测报告中的战略多样化激励模型是一致的，预测者希望从人群中最优地“脱颖而出”，因此报告的预测夸大了代理人的真实信念。其次，我们表明，在不受战略激励影响的预测数据中不存在这种偏差。我们还测试了进一步的比较静态数据，也证实了战略激励模型。总体而言，我们得出的结论是，战略报告偏差是计量经济学家可以借鉴的真实潜在预期形成过程的推断，以及代理人信息集的准确性和异质性，最后我们展示了如何纠正这一点。

引用次数: 0

Generating inflation expectations with large language models 使用大型语言模型生成通胀预期

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-11-03 DOI: 10.1016/j.jmoneco.2025.103859

Ali Zarifhonarvar

This paper studies the generation of inflation expectations using generative AI in survey experiments, examining diverse agents created with both proprietary and open-source large language models (LLMs). It shows that model architecture significantly impacts expectations, with proprietary models generally exhibiting less disagreement in their responses than open-source alternatives. Some LLMs predict higher inflation than actual rates, aligning with patterns observed in the Survey of Consumer Expectations. Information treatments, particularly forward guidance on inflation, influence LLMs’ inflation expectations, though with varying magnitudes across model types. Customizing prompts with demographic personas induces heterogeneous responses that mirror human survey behaviors, with some biases similar to those documented in household surveys. The paper also demonstrates how central banks could leverage these models as communication policy tools to test messaging strategies before implementation.

本文在调查实验中使用生成式人工智能研究了通胀预期的生成，研究了由专有和开源大型语言模型（llm）创建的各种代理。它表明模型体系结构显著地影响期望，专有模型通常比开源替代方案在响应中表现出更少的分歧。一些法学硕士预测通货膨胀率将高于实际水平，这与消费者预期调查中观察到的模式一致。信息处理，特别是关于通胀的前瞻指导，影响法学硕士的通胀预期，尽管不同模型类型的影响程度不同。使用人口统计人物角色定制提示会引起反映人类调查行为的异质反应，其中有些偏差与家庭调查中记录的类似。本文还展示了央行如何利用这些模型作为沟通政策工具，在实施之前测试消息传递策略。

引用次数: 0

The natural rate of interest through a hall of mirrors 透过一大厅镜子看到的自然利率

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-11-01 DOI: 10.1016/j.jmoneco.2025.103858

Phurichai Rungcharoenkitkul, Fabian Winkler

We propose a novel explanation for persistent movements in the natural rate of interest, or r-star, based on a model of two-sided learning between the central bank and the private sector. Each side has some information about r-star fundamentals and also learns from observing output, inflation and interest rates. When both sides fail to recognise that their actions influence the other’s beliefs, a “hall-of-mirrors” effect arises that causes persistent shifts in r-star in response to cyclical shocks. The model can explain the post-2008 decline in r-star without changes in long-run fundamentals, as well as the excess sensitivity of long-term yields to monetary policy surprises and the underreaction of interest rate forecasts. Aggressive policy easing designed to counter a recession can inadvertently lower r-star and endogenously narrow policy space.

我们基于央行和私营部门之间的双边学习模型，对自然利率（r-star）的持续波动提出了一种新颖的解释。双方都有一些关于r-star基本面的信息，也从观察产出、通货膨胀和利率中学习。当双方都未能认识到自己的行为会影响对方的信念时，就会出现“镜子大厅”效应，导致r-star在周期性冲击下持续变化。该模型可以在不改变长期基本面的情况下解释2008年后r-star的下跌，以及长期收益率对货币政策意外的过度敏感和利率预测的反应不足。旨在应对衰退的激进宽松政策可能会无意中降低r-star，并内在地缩小政策空间。

引用次数: 0

Inflation-stabilizing monetary and fiscal policy rules at and away from the lower bound 稳定通胀的货币和财政政策在下限上下浮动

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-10-30 DOI: 10.1016/j.jmoneco.2025.103857

Lucas Arden , Sebastian Hauptmeier , Christophe Kamps

We examine how fiscal policy can support monetary policy when nominal interest rates face an occasionally binding lower bound constraint. Within the conventional framework of active monetary policy and passive fiscal policy, the optimized fiscal rule features a strong response to inflation deviations from the central bank’s target. The inflation-stabilizing fiscal rule significantly reduces the deflationary bias and welfare costs associated with the lower bound constraint while maintaining debt sustainability. Counterfactual analysis for the U.S. shows that implementing the optimized fiscal rule during the pre-pandemic low-inflation period would have provided systematic support to monetary policy, lifting inflation closer to target when rates were at the lower bound and enabling an earlier rate lift-off.

我们研究了当名义利率面临偶尔具有约束力的下限约束时，财政政策如何支持货币政策。在传统的积极货币政策和被动财政政策框架下，优化后的财政规则对通胀偏离央行目标的反应强烈。稳定通胀的财政规则在保持债务可持续性的同时，显著降低了与下限约束相关的通缩倾向和福利成本。对美国的反事实分析表明，在大流行前的低通胀时期实施优化的财政规则，将为货币政策提供系统性支持，在利率处于较低区间时将通胀推至更接近目标的水平，并使加息更早。

引用次数: 0

Robot adoption and inflation dynamics 机器人采用和通货膨胀动态

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-10-17 DOI: 10.1016/j.jmoneco.2025.103856

Henrique S. Basso , Omar Rachedi

Leveraging variation in robot adoption across U.S. metropolitan areas, we document that automation reduces the sensitivity of inflation to unemployment. To rationalize this finding, we build a New Keynesian model with search frictions in the labor market where robot adoption flattens the Phillips curve. The key channel is the option value of automation: the threat of automating labor tasks alters effective workers’ bargaining power, muting the wage sensitivity to unemployment. We validate the relevance of this channel in the data by showing that robot adoption reduces the sensitivity of inflation to unemployment relatively more in highly unionized metropolitan areas.

利用美国大都市地区机器人采用的变化，我们证明自动化降低了通货膨胀对失业的敏感性。为了使这一发现合理化，我们在劳动力市场中建立了一个带有搜索摩擦的新凯恩斯模型，其中机器人的采用使菲利普斯曲线变平。关键的渠道是自动化的选择价值：自动化劳动任务的威胁改变了有效工人的议价能力，降低了失业对工资的敏感性。我们在数据中验证了这一渠道的相关性，表明在高度工会化的大都市地区，机器人的采用相对更能降低通货膨胀对失业的敏感性。

引用次数: 0

Oil price fluctuations, US banks, and macroprudential policy 油价波动、美国银行和宏观审慎政策

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-10-16 DOI: 10.1016/j.jmoneco.2025.103848

Paolo Gelain , Marco Lorusso

Using US micro-level data on banks, we document a negative effect of high oil prices on US banks’ balance sheets, more negative for highly leveraged banks. We set and estimate a general equilibrium model with banking and oil sectors that rationalizes those findings through the financial accelerator mechanism. This mechanism amplifies the effect of oil price shocks, making them non-negligible drivers of the dynamics of US banks’ intermediation activity and of the US real economy. Macroprudential policy, in the form of a countercyclical capital buffer, can meaningfully address oil price fluctuations and reduce the volatility they cause in the US economy.

利用美国银行的微观数据，我们记录了高油价对美国银行资产负债表的负面影响，对高杠杆银行的负面影响更大。我们设置并估计了银行和石油部门的一般均衡模型，该模型通过金融加速器机制使这些发现合理化。这一机制放大了油价冲击的影响，使其成为美国银行中介活动和美国实体经济动态的不可忽视的驱动力。以逆周期资本缓冲形式出现的宏观审慎政策，可以有效地应对油价波动，并减少油价波动给美国经济带来的波动。

引用次数: 0

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