Journal of Monetary Economics最新文献

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Dispersed information, nominal rigidities and monetary business cycles: A Hayekian perspective 分散信息、名义刚性和货币商业周期：哈耶克的观点

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-09-29 DOI: 10.1016/j.jmoneco.2025.103843

Christian Hellwig , Venky Venkateswaran

We study the propagation of nominal shocks in a dispersed information economy where firms learn from and respond to information generated by their activities in product and factor markets. We show that imperfect information on its own has no effect on equilibrium outcomes, when firms have the flexibility to adjust prices and output instantaneously to changes in their market conditions, an outcome that we term the “Hayekian benchmark”. With sticky prices, however, this irrelevance obtains only if there are no strategic complementarities in pricing and aggregate and idiosyncratic shocks are equally persistent. With complementarities and/or differences in persistence, the interaction of nominal and informational frictions slows down price adjustment, amplifying real effects from nominal shocks (relative to a full information model with only nominal frictions). In a calibrated model, the amplification is most pronounced over the medium to long term. In the short run, market generated information leads to substantial aggregate price adjustment, even though firms may be completely unaware of changes in aggregate conditions.

我们研究了分散信息经济中名义冲击的传播，在这种经济中，企业从其在产品和要素市场上的活动产生的信息中学习并作出反应。我们表明，不完全信息本身对均衡结果没有影响，当企业具有根据市场条件的变化即时调整价格和产量的灵活性时，我们将这种结果称为“哈耶克基准”。然而，对于粘性价格，只有在定价方面没有战略互补性，而且总体冲击和特殊冲击同样持续的情况下，这种不相关性才会出现。由于互补性和/或持久性的差异，名义和信息摩擦的相互作用减缓了价格调整，放大了名义冲击的实际影响（相对于只有名义摩擦的完整信息模型）。在经过校准的模型中，这种放大在中长期内最为明显。在短期内，市场产生的信息导致大量的总价格调整，即使企业可能完全不知道总条件的变化。

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引用次数: 0

Overconfidence in private information explains biases in professional forecasts 对私人信息的过度自信解释了专业预测的偏差

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-09-24 DOI: 10.1016/j.jmoneco.2025.103839

Klaus Adam , Pei Kuang , Shihan Xie

We observe a rich set of public information signals available to participants in the Survey of Professional Forecasters (SPF) and decompose individual forecast revisions into those due to public information and a remainder due to residual information. We find that SPF forecasters overreact to residual information at almost all forecast horizons and for almost all forecast variables. In addition, forecasts are overly anchored to prior beliefs for all variables at all forecast horizons. We show analytically that overconfidence in private information qualitatively generates both of these features. It also implies that forecast errors correlate positively with past forecast revisions at the consensus level, but negatively at the individual level, as documented previously in the literature. Estimating Bayesian updating models on SPF data, we show that overconfidence in private information also replicates the observed patterns quantitatively. All estimated models display strong and statistically significant overconfidence in private information.

我们观察到专业预报员调查（SPF）参与者可获得的丰富的公共信息信号，并将个别预测修正分解为由于公共信息和由于残差信息的剩余部分。我们发现，SPF预报员对几乎所有预测水平和几乎所有预测变量的残差信息反应过度。此外，对于所有预测范围内的所有变量，预测都过于依赖于先前的信念。我们分析表明，对私人信息的过度自信定性地产生了这两个特征。这也意味着预测误差在共识水平上与过去的预测修正呈正相关，但在个人水平上呈负相关，如先前文献所述。估计SPF数据上的贝叶斯更新模型，我们表明对私人信息的过度自信也定量地复制了观察到的模式。所有估计的模型都显示出对私人信息的强烈和统计上显著的过度自信。

引用次数: 0

Staggered contracts and unemployment during recessions 经济衰退期间交错的合同和失业

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-09-24 DOI: 10.1016/j.jmoneco.2025.103830

Effrosyni Adamopoulou , Luis Díez-Catalán , Ernesto Villanueva

We analyze the impact of downward nominal wage rigidity (DNWR) due to collective bargaining agreements (CBAs) on wage and employment dynamics during two major recessions in Spain: the low-inflation recession of 2009, which included both short- and long-term CBAs, and the high-inflation recession of 1993, characterized by short-term CBAs. By exploiting variation in the timing of CBA renewals, we find that CBAs signed before recessions result in 1pp higher negotiated wage growth than those signed afterward. We leverage balance sheet data on firms and Social Security data on workers to document that CBA-induced DNWR accounted for 12% of job losses in 2009 due to higher wage growth, mainly among workers near the minimum wage floors. These workers experienced persistent non-employment, particularly if they were covered by long-term CBAs, and reallocation was limited. We find no real impacts in 1993, thus identifying conditions under which CBA-induced DNWR can amplify aggregate shocks.

我们分析了西班牙两次主要衰退期间集体谈判协议（cba）导致名义工资刚性下降（DNWR）对工资和就业动态的影响：2009年低通胀衰退（包括短期和长期cba）和1993年高通胀衰退（以短期cba为特征）。通过利用CBA续约时间的变化，我们发现，在经济衰退之前签署的CBA比在经济衰退之后签署的CBA谈判工资增长高出1个百分点。我们利用企业的资产负债表数据和工人的社会保障数据证明，由于工资增长较高，2009年由cba引起的DNWR占失业人数的12%，主要是在接近最低工资底线的工人中。这些工人经历了持续的失业，特别是如果他们被长期cba覆盖，重新分配是有限的。我们没有发现1993年的实际影响，从而确定了cba诱发的DNWR可以放大总冲击的条件。

引用次数: 0

Behavioral sticky prices 行为粘性价格

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-09-24 DOI: 10.1016/j.jmoneco.2025.103828

Sergio Rebelo , Miguel Santana , Pedro Teles

We develop a model in which households make decisions using a dual-process framework. System 1 relies on fast, intuitive heuristics but is prone to error, while System 2 demands cognitive effort but yields more accurate decisions. Monopolistic firms can influence which system households engage through pricing. This strategic influence creates a novel source of price inertia. The model accounts for the “rockets and feathers” phenomenon (prices rise quickly but fall slowly), explains why firms with unexpectedly high demand often avoid price changes, and why hazard functions are downward sloping. Our model implies that price stability is not optimal.

我们开发了一个模型，在这个模型中，家庭使用双流程框架做出决策。系统1依赖于快速、直观的启发式，但容易出错，而系统2需要认知努力，但产生更准确的决策。垄断企业可以通过定价影响家庭参与哪种系统。这种战略影响产生了价格惯性的新来源。该模型解释了“火箭和羽毛”现象（价格涨得快，跌得慢），解释了为什么需求出乎意料地高的公司经常避免价格变化，以及为什么风险函数是向下倾斜的。我们的模型表明价格稳定不是最优的。

引用次数: 0

“Information frictions in macroeconomics: The legacy of Robert E. Lucas, Jr.” 宏观经济学中的信息摩擦：小罗伯特·e·卢卡斯的遗产

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-09-23 DOI: 10.1016/j.jmoneco.2025.103842

Robert M. Townsend

This essay honors the contributions of Robert E. Lucas, Jr., to the most important macro problems where informational frictions are relevant today. The first step focuses on two of Lucas’ papers where information frictions play somewhat different roles, zeroing in on the key elements: money, islands, and imperfect information. Each paper is then linked to associated branches of the literature. The second step argues that new technologies have now emerged which make those key elements all the more crucial in the macroeconomics of today. Monetary policy considerations were forefront in Lucas’ mind, and so that is a recurrent theme throughout this essay.

本文旨在表彰小罗伯特·e·卢卡斯（Robert E. Lucas, Jr.）对当今与信息摩擦相关的最重要宏观问题的贡献。第一步关注Lucas的两篇论文，在这两篇论文中，信息摩擦扮演了不同的角色，并将注意力集中在关键因素上：金钱、孤岛和不完全信息。然后将每篇论文链接到相关的文献分支。第二步认为，现在出现的新技术使这些关键因素在今天的宏观经济学中更加重要。货币政策的考虑在卢卡斯的脑海中是最重要的，所以这是贯穿这篇文章的一个反复出现的主题。

引用次数: 0

Coordinating business cycles 协调商业周期

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-09-22 DOI: 10.1016/j.jmoneco.2025.103829

Edouard Schaal , Mathieu Taschereau-Dumouchel

We develop a quantitative theory of business cycles with coordination failures. Because of demand complementarities and increasing returns, firms seek to coordinate production and multiple equilibria arise. We use a global game approach to discipline equilibrium selection and show that the unique dynamic equilibrium exhibits multiple steady states. Coordination on high production may fail after a large transitory shock, pushing the economy in a quasi-permanent recession. Our calibrated model rationalizes various features of the 2007–2009 recession and its recovery. Government spending, while generally harmful, can increase welfare when the economy is transitioning between steady states. Other policy instruments are preferable to fix miscoordination.

我们发展了具有协调失效的经济周期的定量理论。由于需求的互补性和收益的增加，企业寻求协调生产，从而产生多重均衡。我们采用全局博弈的方法进行学科均衡选择，并证明了唯一的动态均衡具有多个稳态。在一场巨大的暂时性冲击之后，高产量的协调可能会失败，将经济推入一场近乎永久性的衰退。我们的校准模型合理化了2007-2009年经济衰退及其复苏的各种特征。政府支出虽然总体上是有害的，但当经济在稳定状态之间过渡时，可以增加福利。其他政策工具更适合解决协调不当问题。

引用次数: 0

Aggregate demand externality and self-fulfilling default cycles 总需求外部性和自我实现的违约周期

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-09-16 DOI: 10.1016/j.jmoneco.2025.103827

Jess Benhabib , Feng Dong , Pengfei Wang , Zhenyang Xu

Recurrent clustered episodes of corporate default are a long-standing puzzle that standard models driven by observable fundamentals struggle to explain. We develop a general equilibrium model where demand externality generates such default cycles endogenously through a self-fulfilling mechanism. In our framework, a decline in aggregate output reduces individual firm revenues and values, raising default risk. The subsequent exit of defaulting firms further depresses aggregate output, creating a positive feedback loop and pessimistic expectations about defaults can become self-fulfilling. This mechanism generates multiple equilibria and features endogenous, sentiment-driven default cycles. A global dynamic analysis using Bogdanov–Takens bifurcation reveals a rich set of dynamics, including periodic orbits, that are overlooked by standard local analysis. Our framework thus provides a microfounded explanation for business cycle patterns driven by internal economic forces, as emphasized by the empirical literature of endogenous business cycles.

反复出现的企业违约集群式事件是一个长期存在的难题，由可观察到的基本面驱动的标准模型难以解释。我们建立了一个一般均衡模型，其中需求外部性通过自我实现机制内生地产生这种违约周期。在我们的框架中，总产出的下降会减少单个企业的收入和价值，从而增加违约风险。随后违约企业的退出进一步压低了总产出，形成了一个正反馈循环，对违约的悲观预期可能会自我实现。这种机制产生了多重平衡，并具有内生的、情绪驱动的违约周期。使用Bogdanov-Takens分岔的全局动力学分析揭示了一组丰富的动力学，包括周期轨道，这些动力学被标准的局部分析所忽略。因此，我们的框架为内部经济力量驱动的商业周期模式提供了微观解释，正如内生商业周期的实证文献所强调的那样。

引用次数: 0

Turbulent business cycles 动荡的商业周期

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-08-22 DOI: 10.1016/j.jmoneco.2025.103814

Ding Dong , Zheng Liu , Pengfei Wang

Firm-level evidence suggests that turbulence that reshuffles firms’ productivity rankings rises sharply in recessions. An increase in turbulence reallocates labor and capital from high- to low-productivity firms, reducing aggregate TFP and the stock market value of firms. A real business cycle model with heterogeneous firms and financial frictions can generate the observed macroeconomic and reallocation effects of turbulence. In the model, increased turbulence makes high-productivity firms less likely to remain productive, reducing their expected equity values and tightening their borrowing constraints relative to low-productivity firms. This leads to a reallocation that reduces aggregate TFP. Unlike uncertainty, turbulence changes both the conditional mean and the conditional variance of the firm productivity distribution, enabling a turbulence shock to generate a recession with synchronized declines in aggregate activities.

企业层面的证据表明，在经济衰退中，重新洗牌企业生产率排名的动荡会急剧上升。动荡的增加将劳动力和资本从高生产率企业重新分配到低生产率企业，降低了企业的总TFP和股票市场价值。具有异质企业和金融摩擦的真实商业周期模型可以产生观察到的宏观经济和再配置效应。在该模型中，增加的动荡使高生产率企业不太可能保持生产率，从而降低了它们的预期股本价值，并收紧了它们相对于低生产率企业的借贷约束。这导致了再分配，从而降低了总TFP。与不确定性不同，动荡改变了企业生产率分布的条件均值和条件方差，从而使动荡冲击产生经济衰退，同时导致总体活动同步下降。

引用次数: 0

Optimal monetary policy with uncertain private sector foresight 具有不确定私人部门远见的最优货币政策

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-08-20 DOI: 10.1016/j.jmoneco.2025.103826

Christopher Gust, Edward Herbst, David López-Salido

We model private-sector expectations in a finite-horizon-planning framework: households and firms have limited foresight when making spending, saving, and pricing decisions. In this setting, contrary to standard New Keynesian (NK) models, we show that an “inflation scare” problem can arise in which agents’ longer-run inflation expectations deviate persistently from a central bank’s inflation target. We characterize optimal time-consistent monetary policy when there is uncertainty about the planning horizons of private sector agents and a risk of inflation scares. We show how risk-management considerations modify the optimal “leaning-against-the-wind” principle in the NK literature with a novel, additional preemptive motive to avert inflation scares.

我们在有限视界规划框架中对私营部门的预期进行建模：家庭和企业在做出支出、储蓄和定价决策时，其远见是有限的。在这种情况下，与标准的新凯恩斯主义（NK）模型相反，我们表明，当经济主体的长期通胀预期持续偏离央行的通胀目标时，可能会出现“通胀恐慌”问题。我们认为，当私营部门主体的规划前景存在不确定性，且存在通胀恐慌风险时，最优的时间一致性货币政策是什么。我们展示了风险管理方面的考虑如何用一种新颖的、额外的先发制人的动机来修改朝鲜文献中最优的“逆风”原则，以避免通货膨胀恐慌。

引用次数: 0

Quantifying the allocative efficiency of capital: The role of capital utilization 资本配置效率的量化：资本利用的作用

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-08-16 DOI: 10.1016/j.jmoneco.2025.103822

Poorya Kabir , Eugene Tan , Ia Vardishvili

Higher dispersion of log average revenue product of capital (ARPK) is commonly associated with lower capital allocative efficiency. We show this is a result of the assumption that capital utilization is fixed. However, when capital utilization is endogenous, higher capital allocative efficiency is associated with lower dispersion of log average revenue product of capital services (log difference between revenue and utilized capital), not ARPK. Furthermore, contrary to the standard relationship, increases to capital allocative efficiency is associated with higher ARPK dispersion when such improvements arise from greater utilization flexibility. We provide evidence supporting the mechanism and demonstrate counterfactuals where allocative efficiency gains are accompanied by higher ARPK dispersion. Lastly, we apply our framework to study the impact of a capital market liberalization reform in India. We estimate the reform improved allocative efficiency by 0.04%, but counterfactual analysis neglecting the response of utilization would have concluded efficiency gains of 5.25%.

对数平均资本收益积（ARPK）的分散性越高，资本配置效率越低。我们表明，这是假设资本利用是固定的结果。然而，当资本利用是内生的时，较高的资本配置效率与资本服务的对数平均收益乘积（收益与使用资本之差的对数）的分散度较低相关，而与ARPK无关。此外，与标准关系相反，当资本配置效率的提高源于更大的利用灵活性时，这种提高与更高的ARPK分散有关。我们提供了支持这一机制的证据，并证明了配置效率的提高伴随着更高的ARPK分散的反事实。最后，我们运用我们的框架来研究印度资本市场自由化改革的影响。我们估计改革将使配置效率提高0.04%，但忽略利用响应的反事实分析将得出效率提高5.25%的结论。

引用次数: 0

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