Journal of Monetary Economics最新文献

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Discussion of “Understanding the international rise and fall of inflation since 2020” 讨论 "了解 2020 年以来国际通胀的涨跌"

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2024-11-01 DOI: 10.1016/j.jmoneco.2024.103685

Susanto Basu

This discussion comments on the ambitious paper, “Understanding the International Rise and Fall of Inflation Since 2020,” by Mai Chi Dao, Pierre-Olivier Gourinchas, Daniel Leigh, and Prachi Mishra. The strengths of the DGLM paper are manifest. There is much to learn from it, both about the commonalities of the inflation experiences of this large group of important countries and their differences, and I draw some lessons and policy implications. I will suggest that one could have learned even more if the authors had devoted some of their effort to comparing the recent global inflation episode to earlier experiences, and if they had related their empirical specification and results to predictions of models with search frictions.

本讨论对 Mai Chi Dao、Pierre-Olivier Gourinchas、Daniel Leigh 和 Prachi Mishra 所撰写的雄心勃勃的论文《理解 2020 年以来通货膨胀的国际涨落》进行了评论。DGLM 论文的优势显而易见。无论是关于这一大批重要国家的通货膨胀经验的共性，还是关于它们的差异，都有很多值得学习的地方。我想说的是，如果作者们能将最近的全球通胀事件与之前的经验进行比较，如果他们能将其经验规格和结果与搜索摩擦模型的预测联系起来，我们就能学到更多东西。

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The long and variable lags of monetary policy: Evidence from disaggregated price indices 货币政策的长滞后和可变滞后：来自分类价格指数的证据

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2024-11-01 DOI: 10.1016/j.jmoneco.2024.103635

S. Borağan Aruoba, Thomas Drechsel

We study how monetary policy affects subcomponents of the Personal Consumption Expenditures Price Index (PCEPI) using local projections. Following a monetary policy contraction, the response of aggregate PCEPI turns significantly negative after over three years. There are stark differences in the timing and magnitude of the responses across price categories, including some prices that show an initially positive response. We discuss theoretical interpretations of our findings and point to useful directions for future theoretical research. We also show how to re-aggregate our cross-sectional estimates and their standard errors, taking into account dependence between different prices using a Seemingly Unrelated Regression approach. Re-aggregation exercises show that changes in expenditure behavior have not accelerated the long-lagged response of inflation to monetary policy.

我们利用本地预测研究了货币政策如何影响个人消费支出价格指数（PCEPI）的子项。在货币政策收缩后，个人消费支出价格总指数的反应在三年多后明显转为负值。不同价格类别的反应时间和幅度存在明显差异，包括一些价格最初显示出正反应。我们讨论了研究结果的理论解释，并指出了未来理论研究的有用方向。我们还展示了如何对横截面估计值及其标准误差进行再分类，并使用 "看似不相关回归 "方法将不同价格之间的依赖性考虑在内。重新分类结果表明，支出行为的变化并没有加速通货膨胀对货币政策的长滞后反应。

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Inflation: What we have learned and what we need to know 通货膨胀：我们学到了什么和我们需要知道什么

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2024-11-01 DOI: 10.1016/j.jmoneco.2024.103656

Jan Hatzius

We discuss the lessons that economic forecasters have learned about inflation since the Covid shock. First, physical shortages—e.g., in the auto sector—can push up goods prices much more dramatically than most forecasters expected following several decades near price stability. Second, imbalances in the rental housing market can sharply increase inflation and keep it high, especially in economies such as the US where rents are used to impute owner-occupied housing costs. Third, the jobs-workers gap can be a better measure of labor market balance than the unemployment rate or the employment/population ratio.

Originally prepared for the Spring 2024 NBER conference on “Inflation in the Covid era and beyond”.

我们将讨论自科维德冲击以来，经济预测者在通货膨胀方面吸取的经验教训。首先，实物短缺（如汽车行业）会推高商品价格，其幅度远远超出大多数预测者的预期。其次，住房租赁市场的失衡会急剧加剧通胀并使其居高不下，尤其是在美国等用租金来估算自住住房成本的经济体。第三，与失业率或就业/人口比例相比，就业与工人之间的差距可以更好地衡量劳动力市场的平衡。

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Tariff wars, unemployment, and top incomes 关税战、失业和最高收入

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2024-11-01 DOI: 10.1016/j.jmoneco.2024.103616

Motivated by the 2018–19 global tariff war, we develop a multi-country trade model with occupational choice, heterogeneous firms, and unemployment. The model features a complete tariff pass-through and positive optimal tariffs addressing product and labor-market distortions. The quantitative analysis of the model with four countries/regions shows that raising tariffs unilaterally by a country increases welfare but also raises unemployment and top incomes in that country, whereas having the opposite impact on tariff-targeted countries. A global tariff war reduces every country’s welfare, unemployment, and top-income inequality, whereas moving from a worldwide tariff war to free trade raises every country’s welfare, unemployment, and top-income inequality.

在 2018-19 年全球关税战的激励下，我们建立了一个包含职业选择、异质企业和失业的多国贸易模型。该模型具有完全的关税传递和正向最优关税，可解决产品和劳动力市场扭曲问题。对模型中四个国家/地区的定量分析表明，一国单方面提高关税会增加福利，但也会提高该国的失业率和最高收入，而对关税目标国的影响则相反。全球关税战会降低每个国家的福利、失业率和最高收入不平等，而从全球关税战转向自由贸易则会提高每个国家的福利、失业率和最高收入不平等。

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Tiers of joy? Reserve tiering and bank behavior in a negative-rate environment 层级之乐？负利率环境下的储备分级和银行行为

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2024-11-01 DOI: 10.1016/j.jmoneco.2024.103614

Negative interest rate regimes typically involve reserve tiering to exempt a portion of bank reserves from negative rates. We study the effects on bank behavior of a large and unanticipated change in reserve tiering by the Swiss National Bank that generated substantial variation across banks and was not related to other events. We find a sizable reallocation of liquidity and deposits within the banking system. Higher exemptions reduce the pass-through of negative rates to deposit rates, especially at retail banks with limited access to the interbank market. Effects on lending are moderate and suggest that higher profitability lessens pressure to reach for yield. Our results are informative about the transmission channels of monetary policy through the banking sector more broadly. We discuss how effects of reserve tiering may differ from effects of changes in interest rates, emphasizing that reserve tiering affects the economy through a narrower set of channels.

负利率制度通常涉及准备金分级，使部分银行准备金不受负利率影响。我们研究了瑞士国家银行对储备金分级进行的一次巨大且意料之外的调整对银行行为的影响，这一调整在各银行之间产生了巨大差异，且与其他事件无关。我们发现，银行体系内的流动性和存款发生了相当大的重新分配。较高的豁免降低了负利率对存款利率的传递，尤其是对银行间市场准入有限的零售银行而言。对贷款的影响不大，表明较高的盈利能力减轻了追求收益的压力。我们的研究结果更广泛地说明了货币政策通过银行业的传导渠道。我们讨论了存款准备金分级的影响与利率变化的影响有何不同，强调存款准备金分级通过更窄的渠道影响经济。

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Who bears the costs of inflation? Euro area households and the 2021–2023 shock 谁来承担通货膨胀的成本？欧元区家庭与 2021-2023 年冲击

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2024-11-01 DOI: 10.1016/j.jmoneco.2024.103671

Filippo Pallotti , Gonzalo Paz-Pardo , Jiri Slacalek , Oreste Tristani , Giovanni L. Violante

We measure the heterogeneous first-order welfare effects of the recent inflation surge across households in the euro area. A simple framework illustrating the numerous transmission channels of surprise inflation to household welfare guides our empirical exercise. By combining micro data and aggregate time series, we conclude that: (i) country-level average welfare costs – expressed as a share of triennial income – were sizable and heterogeneous: around 3% in France and Spain, 7% in Germany, and 9% in Italy; (ii) this inflation episode resembles an age-dependent tax, with the retirees losing up to 14%, and roughly half of the 25–44 year-old winning; (iii) losses were quite uniform across consumption quantiles because rigid rents served as a hedge for the poor; (iv) nominal net positions were the key driver of heterogeneity across-households; (v) the rise in energy prices generated vast variation in individual-level inflation rates, but unconventional fiscal policies helped shield households. The counterpart of this household-sector loss is a significant gain for the government.

我们测算了近期通胀飙升对欧元区不同家庭的一阶福利影响。一个简单的框架说明了意外通胀对家庭福利的众多传导渠道，为我们的实证研究提供了指导。结合微观数据和总体时间序列，我们得出以下结论(i) 国家层面的平均福利成本--以三年期收入的比例表示--相当可观且各不相同：在法国和西班牙约为 3%，在德国为 7%，在意大利为 9%；(ii) 这一通胀事件类似于与年龄相关的税收，退休人员的损失高达 14%，25-44 岁人群的损失约占一半；(iii) 不同消费数量级的损失相当一致，因为刚性租金对穷人起到了对冲作用；(iv) 名义净头寸是家庭间异质性的主要驱动因素；(v) 能源价格的上涨导致个人层面的通胀率差异巨大，但非常规的财政政策有助于保护家庭。与家庭部门的损失相对应的是政府的巨大收益。

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Understanding the international rise and fall of inflation since 2020 了解 2020 年以来国际通胀率的涨跌

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2024-11-01 DOI: 10.1016/j.jmoneco.2024.103658

Mai Chi Dao , Pierre-Olivier Gourinchas , Daniel Leigh , Prachi Mishra

This paper analyzes inflation dynamics in 21 advanced and emerging market economies since 2020. We decompose inflation into core inflation as measured by the weighted median inflation rate, and headline shocks—deviations of headline inflation from core. Headline shocks occurred largely on account of energy price changes, although food price changes and indicators of supply chain problems also played a role. We explain the evolution of core inflation with two factors: the strength of macroeconomic conditions—measured by the unemployment gap, the output gap, and the ratio of job vacancies to unemployment—and the pass-through into core inflation from past headline shocks. We conclude that the international rise and fall of inflation since 2020 largely reflected the direct and pass-through effects of headline shocks. Macroeconomic conditions generally played a secondary role. In the United States, estimated price pressures from strong macroeconomic conditions had been greater than in other economies but have eased.

本文分析了自 2020 年以来 21 个发达经济体和新兴市场经济体的通胀动态。我们将通胀分解为以加权中位通胀率衡量的核心通胀和总体冲击--总体通胀与核心通胀的差异。总体冲击主要发生在能源价格变化上，尽管食品价格变化和供应链问题指标也发挥了作用。我们用两个因素来解释核心通胀的演变：宏观经济条件的强度--用失业缺口、产出缺口和职位空缺与失业率的比率来衡量--以及过去的标题冲击对核心通胀的传递。我们的结论是，2020 年以来国际通胀率的上升和下降在很大程度上反映了标题冲击的直接和传递效应。宏观经济条件一般起次要作用。在美国，强劲的宏观经济条件带来的估计价格压力曾大于其他经济体，但现在已经有所缓解。

引用次数: 0

A theory of the dynamics of factor shares 要素份额动态理论

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2024-11-01 DOI: 10.1016/j.jmoneco.2024.103610

This paper proposes a theory of the dynamics of factor shares within the context of an equilibrium model of endogenous innovation, growth, and cycles. Our deterministic model rests on two assumptions: (i) production requires two complementary inputs, capital, and labor, and (ii) technical progress is labor-saving and embodied in capital goods. The model’s unique equilibrium path displays recurring growth cycles, each consisting of an adoption and innovation phase, along which factor shares fluctuate within bounds. The interaction between factor prices and opportunities for labor-saving innovations brings about both persistent growth and aggregate oscillations through which it takes place. We provide evidence that the model-implied correlations between factor shares and the other labor market variables are consistent with the data.

本文在内生创新、增长和周期的均衡模型中提出了要素份额动态理论。我们的确定性模型基于两个假设：(i) 生产需要资本和劳动力这两种互补投入；(ii) 技术进步是节省劳动力的，并体现在资本产品中。该模型的唯一均衡路径显示了循环往复的增长周期，每个周期由采用阶段和创新阶段组成，沿此周期要素份额在一定范围内波动。要素价格与节省劳动力的创新机会之间的相互作用既带来了持续增长，也带来了总的振荡。我们提供的证据表明，模型推测的要素份额与其他劳动力市场变量之间的相关性与数据是一致的。

引用次数: 0

Contagion in debt and collateral markets 债务和抵押品市场的蔓延

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2024-11-01 DOI: 10.1016/j.jmoneco.2024.103600

This paper investigates contagion in financial networks through collateralized debt and its effects on social welfare. Our model incorporates contagion through both counterparty debt exposures and endogenous collateral asset pricing. We find that collateral mitigates counterparty exposures and reduces social inefficiency when faced with negative shocks, but not always. We also show the importance of the interaction between the level of collateral and network structure as contagion can change dramatically depending on that interaction. The model also provides policy-relevant collateral-to-debt ratios (haircuts) to attain robust and fully insulated macroprudential states for any network and also the optimal collateral ratio to attain full insulation for a specific network.

本文研究了金融网络中通过抵押债务产生的传染及其对社会福利的影响。我们的模型包含了通过交易对手债务风险和内生抵押资产定价产生的传染。我们发现，在面临负面冲击时，抵押品可以减轻交易对手的风险敞口并降低社会低效率，但并不总是如此。我们还展示了抵押品水平与网络结构之间相互作用的重要性，因为传染会因这种相互作用而发生巨大变化。该模型还提供了与政策相关的抵押品与债务比率（扣减率），以实现任何网络的稳健和完全隔离的宏观审慎状态，以及实现特定网络完全隔离的最佳抵押品比率。

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Wage employment, unemployment and self-employment across countries 各国的有薪就业、失业和自营职业情况

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2024-09-12 DOI: 10.1016/j.jmoneco.2024.103684

Markus Poschke

Poor countries have low wage employment and high self-employment. This paper shows that they also have high unemployment relative to wage employment, and that self-employment increases with this ratio. To understand the sources of these patterns, I build a search and matching model with choice between job search and self-employment and with learning about matches, and calibrate it to match all transition rates between wage employment, unemployment and self-employment as well as separation hazards by job duration, separately for all 37 countries with available data. Quantitative analysis of the model shows that labor market frictions affect self-employment as much as unemployment. Labor market frictions also reduce aggregate output, not only by raising unemployment, but also by worsening the average quality of both wage employment matches and active self-employment projects.

穷国的有薪就业率低，自营职业率高。本文表明，相对于有薪就业而言，这些国家的失业率也很高，而且自雇比例也随之增加。为了了解这些模式的来源，我建立了一个在求职和自雇之间进行选择以及学习匹配的搜索和匹配模型，并对其进行了校准，以匹配所有 37 个有可用数据的国家的有薪就业、失业和自雇之间的所有过渡率以及按工作持续时间划分的离职风险。对模型的定量分析显示，劳动力市场摩擦对自雇的影响与失业一样大。劳动力市场摩擦也会降低总产出，这不仅会增加失业率，还会恶化工资就业匹配和积极自雇项目的平均质量。

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