Journal of Monetary Economics最新文献

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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

The macroeconomic effects of excess savings 过度储蓄的宏观经济效应

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-10-14 DOI: 10.1016/j.jmoneco.2025.103847

Bence Bardóczy, Jae Sim, Andreas Tischbirek

We study how excess savings affect consumption and propagate through the macroeconomy, which permits us to evaluate the contribution of excess savings to post-pandemic inflation in the U.S. In partial equilibrium, the aggregate spending response depends on the initial distribution of excess savings and the cross-sectional heterogeneity in marginal propensities to consume. In general equilibrium, canonical RANK, TANK, and HANK models make markedly different predictions about the macroeconomic consequences of excess savings even if household wealth follows nearly identical paths. A quantitative HANK model matches the decumulation of the excess savings built up during the COVID-19 pandemic across the income distribution. The model attributes about a third of the trough-to-peak change in inflation to demand fueled by excess savings.

我们研究了过剩储蓄如何影响消费并通过宏观经济传播，这使我们能够评估过剩储蓄对美国大流行后通货膨胀的贡献。在部分均衡中，总支出的反应取决于过剩储蓄的初始分布和边际消费倾向的横截面异质性。在一般均衡中，即使家庭财富遵循几乎相同的路径，规范的RANK、TANK和HANK模型对过度储蓄的宏观经济后果做出了明显不同的预测。定量HANK模型与COVID-19大流行期间积累的过剩储蓄在整个收入分配中的累积相匹配。该模型将通胀从低谷到顶峰的变化中，约三分之一归因于过度储蓄推动的需求。

引用次数: 0

Stock market participation and macro-financial trends 股市参与与宏观金融走势

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-10-11 DOI: 10.1016/j.jmoneco.2025.103846

Francesco Saverio Gaudio

The U.S. stock market participation rate has risen substantially since the 1980s. This paper studies the macro-financial implications of such structural change in a production-based asset-pricing model with external habits, which make investors’ effective risk aversion time-varying and decreasing with consumption. In this setup, higher participation generates a fall in the risk-free rate and an increase in the equity premium, consistent with recent U.S. trends. These novel results stem from a decline in the average participant’s risk tolerance, due to the entry of lower-consumption households relative to incumbents. Micro-level evidence from the U.S. Consumer Expenditure Survey supports the main model mechanism.

自上世纪80年代以来，美国股市参与率大幅上升。本文在具有外部习惯的基于生产的资产定价模型中研究了这种结构变化的宏观金融含义，这种结构变化使投资者的有效风险厌恶随消费而时变并递减。在这种情况下，更高的参与率会导致无风险利率下降，股票溢价上升，这与美国近期的趋势一致。这些新颖的结果源于平均参与者风险承受能力的下降，这是由于相对于现有的低消费家庭的进入。来自美国消费者支出调查的微观证据支持了主要模型机制。

引用次数: 0

Revisiting the forecasts of others 重新审视别人的预测

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-10-08 DOI: 10.1016/j.jmoneco.2025.103844

Ryan Chahrour , Kyle Jurado

In macroeconomic models with dispersed information, agents have an incentive to learn from endogenous variables, which themselves depend on the forecasts of others. This paper revisits the model of Townsend (1983) to characterize how this mechanism affects equilibrium dynamics. The first part of the paper simplifies, revises, and extends past results about situations when prices are fully revealing. The second part shows that full revelation does not occur in the original model and proves that the equilibrium state vector is infinite-dimensional. It also provides a new numerical solution procedure for such cases, which operates entirely in the frequency domain.

在具有分散信息的宏观经济模型中，主体有从内生变量中学习的动机，内生变量本身依赖于他人的预测。本文回顾了Townsend（1983）的模型，以描述这种机制如何影响平衡动力学。本文的第一部分简化、修正和扩展了过去关于价格完全揭示情况的结果。第二部分证明了在原模型中不存在完全启示，并证明了平衡状态向量是无限维的。本文还提供了一种完全在频域中工作的新的数值求解方法。

引用次数: 0

Ex ante heterogeneity, separations, and labor market dynamics 事前异质性、离职和劳动力市场动态

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-10-03 DOI: 10.1016/j.jmoneco.2025.103845

César Barreto , Christian Merkl

Our paper documents the importance of ex ante worker heterogeneity for labor market dynamics and for the composition of the unemployment pool over the business cycle. In recessions, the unemployment pool shifts toward workers with higher wages in their previous jobs. Based on administrative data for Germany and two-way worker and firm wage fixed effects, we show that this shift is mainly connected to worker heterogeneity, not to firm heterogeneity. We calibrate a search and matching model with ex ante worker heterogeneity to the estimated relative residual wage dispersion across worker fixed-effect groups. We show that a lower idiosyncratic match-specific shock dispersion for high-wage workers is key for the larger relative fluctuations of their separation rate as well as for the positive comovement between prior wages and fixed effects of unemployed workers with aggregate unemployment. We argue that firm-based explanations, such as cyclical financial frictions, are unlikely to be key drivers for the documented empirical patterns.

我们的论文记录了事前工人异质性对劳动力市场动态和商业周期中失业人口构成的重要性。在经济衰退中，失业人群转向了以前工作中工资较高的工人。基于德国的行政数据和工人与企业工资的双向固定效应，我们发现这种转变主要与工人的异质性有关，而与企业的异质性无关。我们将事前工人异质性的搜索和匹配模型校准为估计的工人固定效应组之间的相对剩余工资分散。我们发现，对于高工资工人来说，较低的特殊匹配特异性冲击离散度是他们离职率相对波动较大的关键，也是失业工人先前工资和固定效应与总失业之间正相关的关键。我们认为，基于企业的解释，如周期性金融摩擦，不太可能是记录的经验模式的关键驱动因素。

引用次数: 0

Long-lag VARs

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-10-01 DOI: 10.1016/j.jmoneco.2025.103831

Ferre De Graeve , Andreas Westermark

Macroeconomic research often relies on structural vector autoregressions, (S)VARs, to uncover empirical regularities. Critics argue the method goes awry due to lag truncation: short lag lengths imply a poor approximation to important data-generating processes (e.g. DSGE models). Empirically, short lag length is deemed necessary as increased parametrization induces excessive uncertainty. The paper shows that this argument is incomplete. Longer lag length simultaneously reduces misspecification, which in turn reduces variance. Contrary to conventional wisdom, the trivial solution to the critique actually works. For data generated by frontier DSGE models long-lag VARs are feasible, reduce bias and variance, and have better mean-squared error. Long-lag VARs are also viable in common macroeconomic data and significantly change structural conclusions about the impact of technology and monetary policy shocks on the economy.

宏观经济研究经常依靠结构向量自回归(S) var来揭示经验规律。批评者认为这种方法由于滞后截断而出错：较短的滞后长度意味着对重要数据生成过程（例如DSGE模型）的近似值较差。根据经验，短滞后长度被认为是必要的，因为增加的参数化会导致过度的不确定性。本文表明，这一论点是不完整的。较长的滞后长度同时减少了错误规范，从而减少了方差。与传统智慧相反，对批评的琐碎解决方案实际上是有效的。对于前沿DSGE模型生成的数据，长滞后var是可行的，可以减小偏倚和方差，具有较好的均方误差。长期滞后var在共同宏观经济数据中也是可行的，并显著改变了关于技术和货币政策冲击对经济影响的结构性结论。

引用次数: 0

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