Journal of Monetary Economics最新文献

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Negative nominal interest rates and monetary policy 负名义利率与货币政策

IF 4.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-06-28 DOI: 10.1016/j.jmoneco.2025.103799

Duhyeong Kim

How much can central banks reduce nominal interest rates? Can the lower bound be controlled by monetary policy? If so, should central banks reduce it to implement negative interest rates? I construct a model with multiple means of payment where the costs of holding paper currency effectively reduce its rate of return, creating a negative effective lower bound on interest rates. I find that central banks can reduce this lower bound with a non-par exchange rate between currency and bank reserves, but doing so raises currency-holding costs for individuals, leading to welfare losses. Moreover, implementing a negative rate by reducing the lower bound has no benefits because this policy combination lowers both the rate of return on currency and the interest rate on financial assets, leaving relative interest rates unchanged.

央行能将名义利率降低多少？利率下限能被货币政策控制吗？如果是这样，央行是否应该降低利率以实施负利率？我构建了一个包含多种支付手段的模型，在这个模型中，持有纸币的成本有效地降低了它的回报率，从而产生了一个负的有效利率下限。我发现，央行可以通过货币与银行储备之间的非平价汇率来降低这一下限，但这样做会增加个人持有货币的成本，从而导致福利损失。此外，通过降低利率下限来实施负利率没有任何好处，因为这种政策组合会降低货币回报率和金融资产利率，使相对利率保持不变。

引用次数: 0

Decomposing the monetary policy multiplier 分解货币政策乘数

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-04-30 DOI: 10.1016/j.jmoneco.2025.103783

Piergiorgio Alessandri , Òscar Jordà , Fabrizio Venditti

Financial markets play an important role in generating monetary policy transmission asymmetries in the U.S. Credit spreads only adjust to unexpected increases in interest rates, causing output and prices to respond more to a monetary contraction than to a monetary loosening. At a one year horizon, the ‘financial multiplier’ of monetary policy — defined as the ratio between the cumulative responses of employment and credit spreads — is zero for a monetary loosening, -2 for a monetary contraction, and -4 for a monetary contraction that takes place under strained credit market conditions. These results have important policy implications: monetary policy may become inadvertently tight in times of financial distress.

在美国，金融市场在造成货币政策传导不对称方面发挥着重要作用。信贷息差只会对利率的意外上升做出调整，导致产出和价格更多地对货币紧缩做出反应，而不是对货币宽松做出反应。在一年的期限内，货币政策的“金融乘数”——定义为就业和信贷息差的累积反应之间的比率——在货币宽松时为零，在货币紧缩时为-2，在信贷市场紧张条件下发生的货币紧缩时为-4。这些结果具有重要的政策含义：在金融危机时期，货币政策可能会在不经意间变得紧缩。

引用次数: 0

Elasticity of substitution between robots and workers: Theory and evidence from Japanese robot price data 机器人与工人之间的替代弹性：来自日本机器人价格数据的理论与证据

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-04-29 DOI: 10.1016/j.jmoneco.2025.103782

Daisuke Adachi

This paper examines the wage effects of the increased use of industrial robots, focusing on their role in specific tasks and international trade. I construct a novel dataset by tracking shocks to the cost of acquiring robots from Japan, termed the Japan Robot Shock (JRS), and analyze these shocks across different occupations that have adopted robots. A general equilibrium model incorporating robot automation in a large open economy is developed, and a model-implied optimal instrumental variable of the JRS is constructed to address the identification challenges posed by the correlation between automation shocks and the JRS. The study finds that the elasticity of substitution (EoS) between robots and labor is heterogeneous across occupations, reaching up to 3 in production and material moving occupations, which is significantly higher than the EoS between other capital goods and labor. These findings underscore the importance of targeted policy to help workers adapt and mitigate potential wage pressures.

本文考察了工业机器人使用增加对工资的影响，重点关注它们在特定任务和国际贸易中的作用。我通过跟踪从日本购买机器人成本的冲击，构建了一个新的数据集，称为日本机器人冲击（JRS），并分析了采用机器人的不同职业的这些冲击。建立了大型开放经济中包含机器人自动化的一般均衡模型，并构建了模型隐含的JRS最优工具变量，以解决自动化冲击与JRS之间的相关性带来的识别挑战。研究发现，机器人与劳动力之间的替代弹性（EoS）在不同职业之间存在异质性，在生产和物资运输职业中达到3，显著高于其他资本品与劳动力之间的替代弹性。这些发现强调了有针对性的政策对帮助工人适应和减轻潜在的工资压力的重要性。

引用次数: 0

Wealth taxation and life expectancy 财富税和预期寿命

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-04-24 DOI: 10.1016/j.jmoneco.2025.103781

Antonio Andrés Bellofatto

This paper studies the role of wealth taxes in providing insurance against lifespan risk through the lens of a dynamic Mirrlees model with altruism. I derive novel formulas linking optimal taxes on savings and bequests to the degree of annuity market imperfections at the optimum. In the presence of positive correlation between productivity and life expectancy, optimal annuity markups are positive in expectation. This creates a motive not only for taxing savings but also for subsidizing bequests. When calibrating the model, I find that the forces of differential longevity lead to optimal wealth taxes commensurate with prevailing wealth tax rates in developed countries. Relative to the US status quo, optimal policies provide work incentives by increasing welfare of the short-lived at the bottom of the skill distribution. This channel generates significant welfare gains. Replacing the optimal annuity markup by a nonlinear history-independent approximation generates small efficiency losses.

本文通过一个具有利他主义的动态莫里斯模型，研究了财富税在提供针对寿命风险的保险中的作用。我推导出新颖的公式，将储蓄和遗赠的最优税收与年金市场最优不完善程度联系起来。在生产率与预期寿命存在正相关关系的情况下，最优年金加价在期望上是正的。这不仅产生了对储蓄征税的动机，也产生了补贴遗赠的动机。在校准模型时，我发现寿命差异的力量导致了与发达国家现行财富税率相称的最优财富税。相对于美国的现状，最优政策通过增加技能分配底层短命者的福利，提供工作激励。这一渠道产生了显著的福利收益。用与历史无关的非线性近似代替最优年金加价产生很小的效率损失。

引用次数: 0

Policy transition risk, carbon premiums, and asset prices 政策转型风险、碳溢价和资产价格

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-04-15 DOI: 10.1016/j.jmoneco.2025.103780

Christoph Hambel , Frederick van der Ploeg

We analyze the effects of policy transition risk on asset pricing and the green transition using a global two-sector, macro-finance model of climate and the economy. Policy transition risk results from probabilistic changes between three policy states: no, modest, and ambitious carbon pricing. We show that policy transition risk leads to carbon premiums (i.e. higher expected returns on brown than on green assets), especially if the economy is still quite carbon-intensive and close to the temperature cap, and thus accelerate the green transition. Increased transition risk leads to more precautionary saving and falls in the risk-free rate. We offer extensions to deal with physical risks (temperature-related risk of climate disasters and climate tipping), technology transition risk, and more realistic policy tipping with endogenous transition probabilities.

我们使用全球两部门气候和经济宏观金融模型分析了政策转型风险对资产定价和绿色转型的影响。政策转型风险来自三种政策状态之间的概率变化：无碳定价、适度定价和雄心勃勃的碳定价。我们发现，政策转型风险会导致碳溢价（即棕色资产的预期回报高于绿色资产），特别是在经济仍然相当碳密集型且接近温度上限的情况下，从而加速绿色转型。过渡风险增加导致预防性储蓄增加，无风险利率下降。我们提供了扩展来处理物理风险（气候灾害和气候引爆的温度相关风险），技术转型风险，以及更现实的具有内生转移概率的政策引爆。

引用次数: 0

The long-term effects of industrial policy 产业政策的长期影响

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-04-11 DOI: 10.1016/j.jmoneco.2025.103779

Jaedo Choi , Andrei A. Levchenko

This paper provides causal evidence on the impact of a large-scale industrial policy – South Korea’s Heavy and Chemical Industry (HCI) Drive – on firms’ long-term performance and quantifies its long-term welfare effects. Using unique historical data on the universe of firm-level subsidies and a natural experiment, we find large and persistent effects of this industrial policy. Subsidized firms grew faster than those never subsidized for 30 years after subsidies ended. We build a quantitative heterogeneous firm model that rationalizes these effects through a combination of learning-by-doing and financial frictions. The model is calibrated to firm-level data, and its key parameters are disciplined with the econometric estimates. The HCI Drive generated larger benefits than costs. If it had not been implemented, South Korea’s welfare would have been 3%–4% lower. The majority of the total welfare impact comes from the long-term productivity benefits of learning-by-doing.

本文为大规模产业政策——韩国的重化工业（HCI）驱动——对企业长期绩效的影响提供了因果证据，并量化了其长期福利效应。利用企业层面补贴的独特历史数据和自然实验，我们发现这一产业政策产生了巨大而持久的影响。在补贴结束后的30年里，获得补贴的企业比那些从未获得补贴的企业增长得更快。我们建立了一个定量的异质企业模型，通过结合“边做边学”和金融摩擦来合理化这些效应。该模型是校准到企业层面的数据，其关键参数是纪律与计量经济学估计。HCI驱动器带来的收益大于成本。如果没有实施，韩国的福利将会下降3%-4%。总的福利影响大部分来自“边做边学”的长期生产力效益。

引用次数: 0

An options-based impact study of the negative interest rate policy and forward guidance 基于期权的负利率政策影响与前瞻指引研究

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-04-04 DOI: 10.1016/j.jmoneco.2025.103776

Massimo Rostagno , Carlo Altavilla , Giacomo Carboni , Wolfgang Lemke , Roberto Motto , Arthur Saint-Guilhem

The effect of Negative Interest Rate Policy (NIRP) and rate Forward Guidance (FG) on the yield curve is very similar with both policies exerting their maximal impact on a same spectrum of short-to-medium term maturities. Yet, we find that their impact on the predictive interest rate distribution differs. Accommodative FG prices out high interest rate trajectories, thus affecting upper percentiles; NIRP changes the market pricing of the effective lower bound on the policy rate, thus affecting lower percentiles. Building on this evidence, we combine option-implied rate densities with event-study analysis to separate the effects of NIRP and FG. We find that the impact of the ECB's NIRP on forward rates was stronger than that of FG.

负利率政策（NIRP）和利率前瞻指导（FG）对收益率曲线的影响非常相似，这两种政策对同一中短期期限的影响都是最大的。然而，我们发现它们对预测利率分布的影响是不同的。宽松的金融价格排除了高利率轨迹，从而影响了较高的百分位数；负利率政策改变了政策利率有效下限的市场定价，从而影响到较低的百分位数。在此证据的基础上，我们将期权隐含的利率密度与事件研究分析相结合，以分离NIRP和FG的影响。我们发现，欧洲央行NIRP对远期利率的影响强于FG。

引用次数: 0

Production and inventory dynamics under ambiguity aversion 歧义规避下的生产与库存动态

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics

Pub Date : 2025-04-04 DOI: 10.1016/j.jmoneco.2025.103767

Yulei Luo , Jun Nie , Xiaowen Wang , Eric R. Young

In this paper we propose a production-cost smoothing model with Knightian uncertainty and ambiguity aversion to study the joint behavior of production, inventories, and sales. Our model can explain ten facts that previous studies find difficult to account for simultaneously including the high volatility of production relative to sales, the low ratio of inventory-investment volatility to sales volatility, the positive correlation between sales and inventory investment, and the negative correlation between the inventory-to-sales ratio and sales. Our main results extend to a model of endogenous sales. Finally, we find that the stock-out avoidance motive emerges endogenously in our model, reconciling the long debate in the inventory literature over the production-cost smoothing and stock-out avoidance models.

本文提出了一个具有knight不确定性和模糊性规避的生产成本平滑模型来研究生产、库存和销售的联合行为。我们的模型可以同时解释以往研究难以解释的十个事实，包括生产相对于销售的高波动性、库存-投资波动性与销售波动性的低比率、销售与库存投资之间的正相关关系以及库存-销售比率与销售之间的负相关关系。我们的主要结果扩展到内生销售模型。最后，我们发现避免缺货的动机在我们的模型中是内生的，这调和了库存文献中关于生产成本平滑模型和避免缺货模型的长期争论。

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

Advance information and consumption insurance: Evidence and structural estimation 事前信息与消费保险：证据与结构估计

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.

我们发现，家庭关于未来收入的私人信息可以从当前收入增长条件下的消费增长与未来收入增长之间的相关性中识别出来。利用PSID数据，我们发现这种条件相关性是正的，显著的。我们利用这一证据对一个标准的不完全市场模型进行了结构性估计，并发现美国家庭拥有足够的提前信息，可以将其收入预测误差降低15%。这就极大地影响了消费保险的计量。根据事先的信息，平均有25%的收入冲击会传导到消费上，而对于5%的资产最贫困人口来说，这一影响是前者的两倍多。在没有事先信息的情况下，公共保险的边际效益被低估了一个数量级。

引用次数: 0

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