Journal of Monetary Economics最新文献

What share of asset price movements is driven by news? We build a large, time-stamped event database covering scheduled macro news as well as unscheduled events and find that news account for up to 35% of bond and stock price movements in the United States and euro area since 2002. This suggests that a much larger share of return variation can be traced back to observable news than previously thought. Moreover, we provide stylized facts about the type of news that matter most for asset prices, spillover effects between the US and euro area, and the predictability of monetary policy shocks.

Government guarantees of bank liabilities have a long-standing history and are now ubiquitous. We study a model where financial sophistication enhances banks’ ability to exploit government guarantees and fuels inefficient economic booms. Driven by financial engineering, bank rent extraction creates a disconnect between lending decisions and borrower repayment prospects: In equilibrium, banks over-lend and only break-even courtesy of trading book profit. Exploitability is affected not only by financial sophistication but also by regulation. Given the pattern for regulatory changes in the last few decades, we posit that the Great Recession, partly, reversed a Great Distortion.

Based on indirect utility theory, we ask consumers about the change in their incomes that would be required to offset expected price changes and buy the same amounts of goods and services one year ahead in a large-scale, high-frequency survey of consumers in the US and 14 other countries. Aggregating responses across consumers provides an alternative, indirect measure of inflation expectations compared with conventional, direct measures, but with theoretically lower ex-post forecast errors. The survey responses show that indirect consumer inflation expectations vary based on age, gender, individual inflation experiences, and local shocks. Exploiting rich cross-sectional variation, inflation expectations increase by slightly more in response to gasoline price changes than implied by their expenditure share.

We document systematic differences in wage and earnings inequality both between and within occupations and show that these differences are intimately related to systematic differences in labor supply across occupations. We then develop a variant of a Roy model in which earnings are a non-linear function of hours, with the extent of this non-linearity differing across occupations. In our theory, the interplay between heterogeneity in tastes for leisure and occupational differences in non-linearities affects the sorting of workers. Moreover, this interplay is crucial to account for the facts on the distributions of hours, wages, and earnings within and across occupations.

We use high frequency identification methods to study the response of consumer inflation expectations to many different types of events using data from the Federal Reserve Bank of New York’s Survey of Consumer Expectations. We identify the response of expectations to a large set of shocks, including FOMC meetings and macroeconomic data releases. We find that macroeconomic news and FOMC meetings with a press conference or rate cuts jointly move expectations.

Introducing a new survey of U.S. firms’ inflation expectations, we document key stylized facts involving what U.S. firms know and expect about inflation and monetary policy. The resulting time series of firms’ inflation expectations displays unique dynamics, distinct from those of households and professional forecasters. By any typical definition of “anchored” expectations, the inflation expectations of U.S. managers in a low-inflation environment appear far from anchored, much like those of households. And like households, U.S. managers are largely uninformed about recent aggregate inflation dynamics or monetary policy. These results complement existing evidence on firms’ inflation expectations from other countries and confirm that inattention to inflation and monetary policy is pervasive among U.S. firms as well.

Using household-level data from the Canadian Survey of Consumer Expectations over 2014Q4–2023Q2, we study wage growth expectations and their link with inflation expectations. We document novel facts about wage growth expectations and the uncertainty around them. Households associate higher wage growth with a stronger economy. The link between wage and inflation expectations is weak, but stronger during the high-inflation period, in tighter labour markets, among new hires, for workers with above-inflation wage gains or higher levels of education or income. Uncertainty about wage gains is strongly positively linked to uncertainty about expected inflation, particularly during the high-inflation period.

Modern job search technologies enable job seekers to monitor the arrival of newly posted vacancies. This paper conceptualizes search as a monitoring decision and shows that monitoring technologies give rise to a novel source of strategic complementarities in search and can thus lead to potentially destabilizing multiplicity of equilibria. The model provides a theory of belief-driven fluctuations in labor supply that can permanently shift the path of the economy, and offers an explanation for persistently weak wage growth despite low unemployment during the recovery from the Great Recession.

Inflation at risk (IaR) refers to the tails of the distribution of inflation over a forecast horizon. We study IaR using quantile regressions in a panel of OECD countries for a sample that includes the Global Financial Crisis and the rise in inflation during the Covid-19 pandemic. First, we find that even though recently the conditional mean of inflation has been low and stable, there was ample variability in the tails. Second, financial conditions have a nonlinear effect on the predictive inflation distribution. Third, the role of economic drivers of IaR has changed over time. Our approach to measure tails complements others using financial market quotes and survey data.

This paper shows the existence of a central bank trilemma. When a central bank is involved in financial intermediation, either directly through a central bank digital currency (CBDC) or indirectly through other policy instruments, it can only achieve two of three objectives: a socially efficient allocation, financial stability (i.e., absence of runs), and price stability. In particular, a commitment to price stability can cause a run on the central bank. Implementation of the socially optimal allocation requires a commitment to inflation. We illustrate this idea through a nominal version of the Diamond and Dybvig (1983) model. Our perspective may be particularly appropriate when CBDCs are introduced on a wide scale.